Papers 1991

Working Papers 1991

#01-91
Tests of Asset Pricing Models with Changing Expectations
Wayne E. Ferson, Stephen R. Foerster and Donald B. Keim
[abstract]

#02-91
A Bayesian Model of Intraday Specialist Pricing
Ananth Madhavan and Seymour Smidt
[abstract]
(Journal of Financial Economics, Vol 30, Issue 1, November 1991)

#03-91
Budget Balance Through Revenue or Spending Adjustments ? Some Historical Evidence for the United States (Reprint 013)
Henning Bohn
[abstract]
(Journal of Monetary Economics, Vol 27, Issue 3, June 1991)

#04-91
The Evolution of Mortgage Yield Concepts
Jack M. Guttentag
[abstract]
(Financial Analysts Journal, Vol 48, Issue 1, January/February 1992)

#05-91
The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revised: 13-91)
Jeremy J. Siegel
[abstract]

#06-91
Effects of Bid-Ask Spreads and Price Discreteness on Stock Returns
Ajay R. Dravid
[abstract]

#07-91
Rational Expectations and Stock Market Bubbles
Franklin Allen and Andrew Postlewaite
[abstract]

#08-91
Bayesian Inference and Portfolio Efficiency (Revised: 4-93)
Shmuel Kandel, Robert McCulloch and Robert H. Stambaugh
[abstract]
(The Review of Financial Studies, Vol 8, Issue 1, January 1995)

#09-91
The Real Rate of Interest from 1800-1990: A Study of the U.S. and U.K. (Reprint 028)
Jeremy J. Siegel
[abstract]
(Journal of Monetary Economics, Vol 29, Issue 2, April 1992)

#10-91
Historical Returns: The Case for Equity
Jeremy J. Siegel
[abstract]

#11-91
Option Prices and the Underlying Asset’s Return Distribution (Reprint 012)
Bruce D. Grundy
[abstract]
(The Journal of Finance, Vol 46, Issue 3, July 1991)

#12-91
Robust Power Calculations with Tests for Serial Correlation in Stock Returns
Matthew Richardson and Tom Smith
[abstract]

#13-91
The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revision of 5-91)
Jeremy J. Siegel
[abstract]

#14-91
Limited Market Participation and Volatility of Asset Prices (Revised: 2-92)
Franklin Allen and Douglas Gale
[abstract]
(The American Economic Review, Vol 84, Issue 4, September 1994)

#15-91
Risks and Returns of Low-Grade Bonds: An Update (Reprint 027)
Marshall E. Blume and Donald B. Keim
[abstract] 

#16-91
Optimal State-Contingent Capital Taxation: When is there and Indeterminancy?
Henning Bohn
[abstract]
(Journal of Monetary Economics, Vol 34, Issue 1, August 1994)

#17-91
The Sustainability of Budget Deficits in a Stochastic Economy (Revision of 6-90) (Reprint 014)
Henning Bohn
[abstract]
(The Journal of Money, Credit and Banking, Vol 27, No 1, February 1995)

#18-91
What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92)
Joseph Gyourko and Donald B. Keim
[abstract]
(Real Estate Economics, Vol 20, Issue 3, September 1992)

#19-91
On Testing Sustainability of Government Deficits in a Stochastic Environment
Henning Bohn
[abstract]
(Journal of Money, Credit, and Banking, Vol 27, Issue 1, February 1995)

#20-91
The Theory of Security Pricing and Market Structure (Revision of 39-89, Revised: 6-92)
Marshall E. Blume and Jeremy J. Spiegel
[abstract]

#21-91
Stock Price Manipulation, Market Microstructure and Asymmetric Information (Reprint 024)
Franklin Allen and Gary Gorton
[abstract]

#22-91
Adjustment of Consumers’ Durables Stocks: Evidence from Automobile Purchases
Janice C. Eberly
[abstract]
(Journal of Political Economy, Vol 102, Issue 3, June 1994)

#23-91
Generalized Put-Call Parity (Reprint 040)
David F. Babbel and Laurence K. Eisenberg
[abstract]

#24-91
Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)
David F. Babbel and Laurence K. Eisenberg
[abstract] 

#25-91
Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment Around the Stock Crash of October 1987
Jeremy J. Siegel
[abstract]
(The Journal of Business, Vol 65, Issue 4, October 1992)

#26-91
An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)Jerry A. Hausman, Andrew W. Lo and Craig A. MacKinlay
[abstract]
(Journal of Financial Economics, Vol 31, Issue 3, June 1992)

#27-91
The Myths and Reality of Low-Grade Bonds
Marshall E. Blume and Donald B. Keim,
[abstract] 
(Financial Management of Life Insurance Companies, 1993)

#28-91
Budget Deficits and Government Accounting
Henning Bohn
[abstract] 

#29-91
Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)
David F. Babbel and Laurence K. Eisenberg
[abstract] 

#30-91
Estimating Divisional Cost of Capital for Insurance Companies (Reprint 037)
Franklin Allen
[abstract]
(Financial Management of Life Insurance Companies, 1993)