Papers 1988

Working Papers 1988

#01-88
Investment Earnings and the Initial Dividend Decision
Douglas P. McCann
[abstract]

#02-88
Black-Markets for Foreign Currency
Jack D. Glen
[abstract]

#03-88
Devaluations in an Overlapping Generations Economy
Jack D. Glen
[abstract] 

#04-88
Dividend Policy in Perspective: Can Theory Explain Behavior? (Revision of 30-86)
Jean Crockett and Irwin Friend
[abstract] 
(The Review of Economics and Statistics, Vol 70, Issue 4, November 1998)

#05-88
Tax Clienteles and the Miller Model with Incomplete Markets (Revision of 4-87)
Franklin Allen and Jeffrey Jaffe
[abstract]

#06-88
The Implications of Insurance for the Efficacy of Fiscal Policy
Andrew B. Abel
[abstract] 

#07-88
Two-Person Dynamic Equilibrium: Trading in the Capital Market
Bernard Dumas
[abstract] 

#08-88
Market Efficiency and Equity Pricing: International Evidence and Implications for Global Investing
Gabriel Hawawini
[abstract]

#09-88
Seasonality, Size Premium and the Relationship Between the Risk and the Return of French Common Stocks
Gabriel Hawawini and Claude Viallet
[abstract] 

#10-88
A Look at the Validity of the CAPM in Light of Equity Market Anomalies: The Case of Belgian Common Stocks
Gabriel Hawawini, Pierre Michel and Albert Corhay
[abstract] 
A Reappraisal of the Efficiency of Financial Markets

#11-88
Managerial Incentives in an Entrepreneurial Stock Market Model
Richard E. Kihlstrom and Steven Matthews
[abstract] 
(Journal of Financial Intermediation, Vol 1, Issue 1, March 1990)

#12-88
Pricing Physical Assets Internationally
Bernard Dumas
[abstract]

#13-88
Endogenous Government Spending & Ricardian Equivalence (Revised: 9-90)
Henning Bohn
[abstract] 

#14-88
Assessing Dynamic Efficiency: Theory and Evidence
Andrew Abel, Gregory N. Mankiw, Lawrence H. Summers and Richard Zeckhauser
[abstract] 
(The Review of Economic Studies, Vol 56, Issue 1, January 1989)

#15-88
Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model
Andrew Abel
[abstract]
(Journey of Monetary Economics, Vol 22, Issue 3, 1988)

#16-88
Consumption and Liquidity Constraints: An Empirical Investigation
Stephen P. Zeldes
[abstract]
(Journal of Political Economy, Vol 97, Issue 2, April 1989)

#17-88
An Empirical Investigation of Bond Prices and Inflation
George G. Pennacchi
[abstract]

#18-88
Are Loan Sales Really Off-Balance Sheet
Gary Gorton and George Pennacchi
[abstract]
Off Balance Sheet Activities, Quorum Books, 1990)

#19-88
A Positive Theory of Foreign Currency Debt
Henning Bohn
[abstract]
(Journal of International Economics, Vol 29, Issues 3-4, November 1990)

#20-88
Order Imbalances and Stock Price Movements on October 19 and 20 (Revised: 39-88)
Marshall E. Blume, Craig A. MacKinlay and Bruce Terker
[abstract] 
(The Journal of Finance, Vol 44, Issue 4, September 1989)

#21-88
Adverse Risk Incentives and the Design of Performance-Based Contracts
Mark Grinblatt and Sheridan Titman
[abstract] 
(Management Science, Vol 35, Issue 7, July 1989)

#22-88
Portfolio Performance Evaluation: Old Issues and New Insights
Mark Grinblatt and Sheridan Titman
[abstract] 
(The Review of Financial Studies, Vol 2, Issue 3, July 1989)

#23-88
Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
Mark Grinblatt and Sheridan Titman
[abstract]
(Journal of Business, Vol 62, Issue 3, July 1989)

#24-88
The Stock Market Crash of 1987: A Macro-Finance Perspective
Jeremy J. Siegel
[abstract]

#25-88
A Mean-Variance Framework for Tests for Asset Pricing Models
Shumel Kandel and Robert F. Stambaugh
[abstract] 
(The Review of Financial Studies, Vol 2, Issue 2, April 1989)

#26-88
Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
Nai-Fu Chen, Bruce Grundy and Robert F Stambaugh
[abstract]
(Journal of Business, Vol 63, Issue 1, January 1990)

#27-88
Tax Smoothing with Financial Instruments (Reprint 004)
Henning Bohn
[abstract]
(The American Economic Review, Vol 80, Issue 5, December 1990)

#28-88
Asymptotic Arbitrage Opportunities and Asset Market Equilibrium
Jevons C. Lee and Taychang Wang
[abstract]

#29-88
A General Theory of Arbitrage Pricing: When the Idiosyncratic Risks are Dependent and their Second Moments Do Not Exist
Jevons C. Lee and Taychang Wang
[abstract] 

#30-88
Asymptotic Arbitrage Opportunities in Various Modes of Convergence and the Approximate Linear Pricing Relation in Asset Market
Jevons C. Lee and Taychang Wang
[abstract] 

#31-88
Linear Transformation of Asset Returns and the APT
Jevons C. Lee and Taychang Wang
[abstract]

#32-88
Real Exchange Rates: Heteroscedasticity and Reversion Toward PPP
Jack D. Glen
[abstract] 

#33-88
Time Consistency of Monetary Policy in the Open Economy (Revised: 8-90)
Henning Bohn
[abstract] 
(Journal of International Economics, Vol 3, Issues 3-4, May 1991)

#34-88
Transaction Contracts
Gary B. Gorton and George Pennacchi
[abstract]

#35-88
The Loan Sales Market
Gary B. Gorton and Joseph G. Haubrich
[abstract] 

#36-88
The Cash Premium: Option Pricing Under Asymmetric Processes, with Applications to Options on Deutschemark Futures
David S. Bates
[abstract] 

#37-88
Pricing Options Under Jump-Diffusion Processes
David S. Bates
[abstract]

#38-88
Private Information, Trading Volume, and Stock Return Variances
Michael J. Barclay, Robert H. Litzenberger and Jerold B. Warner
[abstract] 
(The Review of Financial Studies, Vol 3, Issue 2, April 1990)

#39-88
Order Imbalances and Stock Price Movements on October 19 and 20 (Revision of 20-88)
Marshall E. Blume, Craig A. MacKinlay and Bruce Terker
[abstract] 
(The Journal of Finance, Vol 44, Issue 4, September 1989)

#40-88
Risky Business: The Clearance and Settlement of Financial Transactions
Ananth Madhavan, Morris Mendelson and Junius W. Peake
[abstract] 

#41-88
Rational Finite Bubbles
Franklin Allen and Gary B. Gorton
[abstract] 

#42-88
Modeling Expected Stock Returns for Long and Short Horizons
Shmuel Kandel and Robert F. Stambaugh
[abstract]

#43-88
Super Contact and Related Optimality Conditions: A Supplement to Avinash Dixit’s: “A Simplified Exposition of Some Results Concerning Regulated Brownian Motion” (Reprint 020)
Bernard Dumas
[abstract]
(Journal of Economic Dynamics and Control, Vol 15, Issue 4, October 1991)

#44-88
Perishable Investment and Hysteresis in Capital Formation
Bernard Dumas
[abstract]

#M1-88
Return Indexes for Lower Grade Bonds: 1977-1987
M.E Blume and D. B. Keim
[abstract]

#M2-88
Portfolio Management
M.E Blume
[abstract]