Papers 1993

Working Papers 1993

The Design of Bank Loan Contracts, Collateral, and Renegotiation (Revised: 2-96)
Gary Gorton and James Kahn
(The Review of Financial Studies, Vol. 13, Issue 2, April 2000)

Corporate Control, Portfolio Choice, and the Decline of Banking
Gary Gorton and Richard Rosen
(The Journal of Finance, Vol 50, Issue 5, December 1995)

Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94)
Shmuel Kandel and Robert F. Stambaugh

Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046)
Shmuel Kandel, Robert McCulloch and Robert F. Stambaugh
(The Review of Financial Studies, Vol 8, Issue 1, January 1995)

Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing (Reprint 052)
James Dow and Gary Gorton
(Journal of Economic Theory, Vol 67, Issue 2, December 1995)

Arbitrage Chains
James Dow and Gary Gorton
(The Journal of Finance, Vol 49, Issue 3, July 1994)

Backwardation in Oil Futures Markets: Theory and Empirical Evidence
Robert H. Litzenberger and Nir Rabinowitz
(The Journal of Finance, Vol 50, Issue 5, December 1995)

Dynamic Wealth Redistribution, Trade, and Asset Pricing
Simon Benninga and Joram Mayshar

Futures and Forward Prices with Markovian Interest Rate Processes
Simon Benninga and Aris Protopapadakis

Quote Changes and Order Imbalances
Marshall E. Blume and Yun K. Wong

Implementing Numerical Option Pricing Models
Simon Benninga, Raz Steinmetz and John Stroughair
Computational Economics and Finance: Modeling and Analysis with Mathematica, Vol 2, Hamilton Printing Co.

An Exact Solution for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility
Andrew B. Abel and Janice C. Eberly
(Journal of Economic Dynamics and Control, Vol. 21, Issues 4-5, May 1997)

Reputation Formation in Early Bank Debt Markets
Gary Gorton

A Unified Model of Investment Under Uncertainty
Andrew B. Abel and Janice C. Eberly

Multifactor Models Do Not Explain Deviations From the CAPM (Revised: 21-94)
Craig A. MacKinlay
(Journal of Financial Economics, Vol 38, Issue 1, May 1995)

A Tale of Two Cities: Racial and Ethnic Geographic Disparities in Home Mortgage Lending in Boston and Philadelphia
Michael H. Schill and Susan M. Wachter
(Journal of Housing Research, Vol 4, No 2, 1993)

Estimating Conditional Expectations When Volatility Fluctuates
Robert F. Stambaugh

Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94)
Donald B. Keim and Ananth Madhavan
(Journal of Financial Economics, Vol 37, Issue 3, March 1995)

Direct Evidence of Non-Trading of NYSE and AMEX Stocks
Stephen R. Foerster and Donald B. Keim
Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, 2000

Using Genetic Algorithms to Find Technical Trading Rules (Revised: 20-95)
Franklin Allen and Risto Karjalainen