Working Papers 1992
#01-92
Security Prices and Market Transparency (Revision of 12-90)
Ananth Madhavan
[abstract]
(Journal of Financial Intermediation, Vol 5, Issue 3, July 1996)
#02-92
Limited Market Participation and Volatility of Asset Prices (Revision of 14-91) (Reprint 043)
Allen, Franklin and Douglas Gale
[abstract]
(The American Economic Review, Vol 84, Issue 4, September 1994)
#03-92
The Monotonicity of the Term Premium: Another Look (Reprint 026)
Matthew Richardson, Paul Richardson and Tom Smith
[abstract]
(Journal of Financial Economics, Vol 31, Issue 1, 1992)
#04-92
Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92)
Marshall E. Blume and Michael A. Goldstein
[abstract]
#05-92
Reserve Requirements and the Indicator Properties of Monetary Aggregates
Jeremy J. Siegel
[abstract]
#06-92
The Theory of Security Pricing and Market Structure (Revision of 20-91). Forward by Paul A. Samuelson
Marshall E. Blume and Jeremy J. Siegel
[abstract]
#07-92
Flexible (S,s) Bands, Uncertainty, and Aggregate Consumer Durables
Janice C. Eberly
[abstract]
#08-92
A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
Michael R. Gibbons and Krishna Ramaswamy
[abstract]
(The Review of Financial Studies, Vol 6, Issue 3, August 1993)
#09-92
Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle
Andrew B. Abel
[abstract]
#10-92
General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)
Wayne E. Ferson, Stephen R. Foerster and Donald B. Keim
[abstract]
(The Journal of Finance, Vol 48, Issue 1, March 1993)
#11-92
What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)
Joseph Gyourko and Donald B. Keim
[abstract]
(Real Estate Economics, Vol 20, Issue 3, September 1992)
#12-92
Soft Dollars and the Brokerage Industry (Reprint 034)
Marshall E. Blume
[abstract]
(Financial Analysts Journal, Vol 49, Issue 2, March/April 1993)
#13-92
Temporary Components of Stock Prices: A Skeptic’s View (Reprint 032)
Matthew Richardson
[abstract]
(Journal of Business and Economic Statistics, Vol 11, Issue 2, 1993)
#14-92
Stocks are a Good Hedge for Inflation (In the Long Run)
Jacob Boudoukh and Matthew Richardson
[abstract]
(Capital Markets and Financial Intermediation, Cambridge University Press, 1993)
#15-92
Stock Markets and Resource Allocation (Reprint 036)
Franklin Allen
[abstract]
#16-92
Finite Bubbles with Short Sale Constraints and Asymmetric Information (Reprint 042)
Franklin Allen, Stephen Morris and Andrew Postlewaite
[abstract]
(Journal of Economic Theory, Vol 61, Issue 2, December 1993)
#17-92
A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Information Flow Throughout the Day
Mathew Richardson and Tom Smith
[abstract]
(Journal of Financial and Quantitative Analysis, Vol 29, Issue 1, March 1994)
#18-92
A Test of Multivariate Normality in Stock Returns (Reprint 033)
Mathew Richardson and Tom Smith
[abstract]
(The Journal of Business, Vol 66, No 2, April 1993)
#19-92
The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis
Shmuel Kandel, Aharon R. Ofer and Oded Sarig
[abstract]
#20-92
Price Experimentation and Security Market Structure
Chris J. Leach and Ananth N. Madhavan
[abstract]
(The Review of Financial Studies, Vol 6, Issue 2, April 1993)
#21-92
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revised: 10-94)
Donald B. Keim and Ananth Madhavan
[abstract]
(The Review of Financial Studies, Vol 9, Issue 1, January 1996)
#22-92
An Analysis of Daily Changes in Specialist Inventories and Quotations
Ananth Madhavan and Seymour Smidt
[abstract]
(The Journal of Finance, Vol 48, Issue 5, December 1993)
#23-92
On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)
Gabriel Hawawini and Donald B. Keim
[abstract]
(Handbooks in Operations Research and Management Science, Vol 9, 1995)
#24-92
Churning Bubbles (Reprint 039)
Franklin Allen and Gary Gorton
[abstract]
(The Review of Economic Studies, Vol 60, Issue 4, October 1993)
#25-92
A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the “Too-Big-To-Fail” Doctrine
Joseph P. Hughes and Loretta J. Mester
[abstract]
(Journal of Productivity Analysis, Vol 4, Issue 3, September 1993)
#26-92
Efficiency in the Savings and Loan Industry
Loretta J. Mester
[abstract]
(Journal of Banking and Finance, Vol 17, Issues 2-3, April 1993)
#27-92
Displayed and Effective Spreads by Market (Revision of 4-92)
Marshall E. Blume and Michael A. Goldstein
[abstract]
#28-92
Testing Inequality Restrictions Implied by Conditional Asset Pricing Models
Jacob Boudoukh, Matthew Richardson and Tom Smith
[abstract]