Working Papers 1989
#01-89
Signalling and the Pricing of Unseasoned New Issues
Mark Grinblatt and Chuan Yang Hwang
[abstract]
#02-89
Welfare Improving Nominal Contracts
Henning Bohn and Gary Gorton
[abstract]
#03-89
Market Discipline and the Valuation of Bank Subordinated Debt
Gary Gorton and Anthony Santomero
[abstract]
(Journey of Money, Credit, and Banking, Vol 22, Issue 1, February 1990)
#04-89
When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001)
Andrew Lo and Craig A. Mackinlay
[abstract]
(The Review of Financial Studies, Vol 3, Issue 2, April 1990)
#05-89
The Sources and Nature of Long-Term Memory in the Business Cycle
Joseph G. Haubrich and Andrew W. Lo
[abstract]
#06-89
Trading Volume and Changes in Heterogeneous Expectations
Larry H.P. Lang and Robert H. Litzenberger
[abstract]
#07-89
Empirical Tests of the Consumption-Oriented CAPM
Douglas T. Breeden, Michael R Gibbons and Robert H. Litzenberger
[abstract]
(The Journal of Finance, Vol 44, Issue 2, June 1989)
#08-89
Risk and Return Characteristics of Lower-Grade Bonds 1977-1987
Marshall E. Blume and Donald B. Keim
[abstract]
#09-89
Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium
Andrew B. Abel
[abstract]
#10-89
Arbitrage, Short Sales and Financial Innovation
Franklin Allen and Douglas Gale
[abstract]
(Econometrica: Journal of Econometric Society, Vol 59, Issue 4, July 1991)
#11-89
Incomplete Markets and Incentives to Set Up An Options Exchange
Franklin Allen and Douglas Gale
[abstract]
(The Geneva Papers on Risk and Insurance Theory, Vol 15, Issue 1, March 1990)
#12-89
Expectations and Volatility of Long-Horizon Stock Returns
Shmuel Kandel and Robert F. Stambaugh
[abstract]
#13-89
Birth, Death and Taxes
Andrew B. Abel
[abstract]
(Journal of Public Economics, Vol 39, Issue 1, June 1989)
#14-89
The Valuation of Callable Bonds
Marshall E. Blume and Donald B. Keim
[abstract]
#15-89
Volatility Patterns of Fixed Income Securities
Marshall E. Blume and Donald B. Keim
[abstract]
#16-89
On Cash-In-Advance Models of Money Demand and Asset Pricing (Reprint 007)
Henning Bohn
[abstract]
(Journal of Money, Credit, and Banking, Vol 23, Issue 2, May 1991)
#17-89
Trading Technology and Financial Market Stability
Sanford J. Grossman
[abstract]
#18-89
Saving in the Twenty First Century
Jean Crockett
[abstract]
#19-89
An Econometric Analysis of Nonsyschronous-Trading
Andrew W. Lo and Craig A. MacKinlay
[abstract]
(Journal of Econometrics, Vol 45, Issues 1-2, July-August 1990)
#20-89
Consumption and Fractional Differencing: Old and New Anomalies
Joseph G. Haubrich
[abstract]
(The Review of Economics and Statistics, Vol 75, Issue 4, November 1993)
#21-89
Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002)
Andrew W. Lo and Craig A. MacKinlay
[abstract]
(The Review of Financial Studies, Vol 3, Issue 3, July 1990)
#22-89
Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008)
Donald B. Keim
[abstract]
(Journal of Financial Economics, Vol 25, Issue 1, November 1989)
#23-89
Takeover Attempts, Economic Welfare, and the Role of Outside Directors
Jean A. Crockett
[abstract]
#24-89
On the Econometrics of Predicting Inflation from the Nominal Interest Rate
Jean A. Crockett
[abstract]
#25-89
Pricing Physical Assets Internationally: A Non Linear Heteroskedastic Process for Equilibrium Real Exchange Rates
Bernard Dumas
[abstract]
#26-89
Consumption and Fractional Differencing: Old and New Anomalies
Joseph G. Haubrich
[abstract]
(The Review of Economics and Statistics, Vol 75, Issue 4, November 1993)
#27-89
Variance Ratio Tests of a Random Walk in Real Exchange Rates
Jack D. Glen
[abstract]
#28-89
Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States
Henning Bohn
[abstract]
(Journey of Monetary Economics, Vol 27, Issue 3, June 1991)
#29-89
Security Baskets and Index-Linked Securities
George Pennacchi and Gary Gorton
[abstract]
#30-89
Simple Binomial Processes as Diffusion Approximations in Financial Models (Reprint 003)
Daniel B. Nelson and Krishna Ramaswamy
[abstract]
(The Review of Financial Studies, Vol 3, Issue 3, July 1990)
#31-89
Realized Returns and Defaults on Lower-Grade Bonds: The Cohort of 1977 and 1978 (Reprint 006)
Marshall E. Blume and Donald B. Keim
[abstract]
#32-89
The Valuation of Corporate Fixed Income Securities
In Joon Kim, Krishna Ramaswamy and Suresh Sundaresan
[abstract]
#33-89
An Economic Analysis of Dual Trading
Sanford J. Grossman
[abstract]
(Journal of Finance, 1988)
#34-89
The Changing Nature of Debt and Equity: A Financial Perspective
Bernard Dumas and Bertrand Jacquillat
[abstract]
#35-89
The Changing Nature of Debt and Equity: A Financial Perspective
Franklin Allen
[abstract]
#36-89
Optimal Dynamic Trading with Leverage Constraints
Sanford J. Grossman and Jean-Juc Vila
[abstract]
(Journal of Financial and Quantitative Analysis, Vol 27, Issue 2, June 1992)
#37-89
Exchange Rate Uncertainty, Forward Contracts and the Performance of Global Equity Portfolios
Jack D. Glen
[abstract]
#38-89
Returns and Volatility of Low-Grade Bonds 1977-1988
Marshall E. Blume, Donald B. Keim and Sandeep A. Patel
[abstract]
(The Journal of Finance, Vol 46, Issue 1, March 1991)
#39-89
Developments in the Theory of Security Pricing and Market Structure (Revised: 20-91, 6-92)
Marshall E. Blume and Jeremy J. Siegel
[abstract]
#40-89
Self-Generating Trade and Rational Fads: The Response of Price to New Information
James Dow and Gary Gorton
[abstract]
#41-89
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)
Bernard Dumas and Elisa Luciano
[abstract]
#M1-89
Return Indexes for Lower Grade Bonds
Marshall E. Blume and Donald B. Keim
[abstract]
(Financial Analysts Journal, Vol 43, Issue 4, July-August 1987)