Papers 1992

Working Papers 1992

Security Prices and Market Transparency (Revision of 12-90)
Ananth Madhavan
(Journal of Financial Intermediation, Vol 5, Issue 3, July 1996)

Limited Market Participation and Volatility of Asset Prices (Revision of 14-91) (Reprint 043)
Allen, Franklin and Douglas Gale
(The American Economic Review, Vol 84, Issue 4, September 1994)

The Monotonicity of the Term Premium: Another Look (Reprint 026)
Matthew Richardson, Paul Richardson and Tom Smith
(Journal of Financial Economics, Vol 31, Issue 1, 1992)

Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92)
Marshall E. Blume and Michael A. Goldstein

Reserve Requirements and the Indicator Properties of Monetary Aggregates
Jeremy J. Siegel

The Theory of Security Pricing and Market Structure (Revision of 20-91). Forward by Paul A. Samuelson
Marshall E. Blume and Jeremy J. Siegel

Flexible (S,s) Bands, Uncertainty, and Aggregate Consumer Durables
Janice C. Eberly

A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
Michael R. Gibbons and Krishna Ramaswamy
(The Review of Financial Studies, Vol 6, Issue 3, August 1993)

Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle
Andrew B. Abel

General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)
Wayne E. Ferson, Stephen R. Foerster and Donald B. Keim
(The Journal of Finance, Vol 48, Issue 1, March 1993)

What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)
Joseph Gyourko and Donald B. Keim
(Real Estate Economics, Vol 20, Issue 3, September 1992)

Soft Dollars and the Brokerage Industry (Reprint 034)
Marshall E. Blume
(Financial Analysts Journal, Vol 49, Issue 2, March/April 1993)

Temporary Components of Stock Prices: A Skeptic’s View (Reprint 032)
Matthew Richardson
(Journal of Business and Economic Statistics, Vol 11, Issue 2, 1993)

Stocks are a Good Hedge for Inflation (In the Long Run)
Jacob Boudoukh and Matthew Richardson
(Capital Markets and Financial Intermediation, Cambridge University Press, 1993)

Stock Markets and Resource Allocation (Reprint 036)
Franklin Allen

Finite Bubbles with Short Sale Constraints and Asymmetric Information (Reprint 042)
Franklin Allen, Stephen Morris and Andrew Postlewaite
(Journal of Economic Theory, Vol 61, Issue 2, December 1993)

A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Information Flow Throughout the Day
Mathew Richardson and Tom Smith
(Journal of Financial and Quantitative Analysis, Vol 29, Issue 1, March 1994)

A Test of Multivariate Normality in Stock Returns (Reprint 033)
Mathew Richardson and Tom Smith
(The Journal of Business, Vol 66, No 2, April 1993)

The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis
Shmuel Kandel, Aharon R. Ofer and Oded Sarig

Price Experimentation and Security Market Structure
Chris J. Leach and Ananth N. Madhavan
(The Review of Financial Studies, Vol 6, Issue 2, April 1993)

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revised: 10-94)
Donald B. Keim and Ananth Madhavan
(The Review of Financial Studies, Vol 9, Issue 1, January 1996)

An Analysis of Daily Changes in Specialist Inventories and Quotations
Ananth Madhavan and Seymour Smidt
(The Journal of Finance, Vol 48, Issue 5, December 1993)

On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)
Gabriel Hawawini and Donald B. Keim
(Handbooks in Operations Research and Management Science, Vol 9, 1995)

Churning Bubbles (Reprint 039)
Franklin Allen and Gary Gorton
(The Review of Economic Studies, Vol 60, Issue 4, October 1993)

A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the “Too-Big-To-Fail” Doctrine
Joseph P. Hughes and Loretta J. Mester
(Journal of Productivity Analysis, Vol 4, Issue 3, September 1993)

Efficiency in the Savings and Loan Industry
Loretta J. Mester
(Journal of Banking and Finance, Vol 17, Issues 2-3, April 1993)

Displayed and Effective Spreads by Market (Revision of 4-92)
Marshall E. Blume and Michael A. Goldstein

Testing Inequality Restrictions Implied by Conditional Asset Pricing Models
Jacob Boudoukh, Matthew Richardson and Tom Smith