Papers 1994

Working Papers 1994

A General Equilibrium Model of Portfolio Insurance (Reprint 053)
Süleyman Basak
(The Review of Financial Studies, Vol 8, Issue 4, October 1995)

Efficiency of Banks in the Third Federal Reserve District
Loretta J. Mester

Consumer Behavior and the Stickiness of CreditCard Interest Rates
Paul S. Calem and Loretta J. Mester
(The American Economic Review, Vol 85, Issue 5, December 1995)

Evidence on the Objectives of Bank Managers
Joseph P. Hughes and Loretta J. Mester

A Transaction Cost Theory of Corporate Finance, with Applications to Security, Bankruptcy, and the Nature of Economic Organization
Bruce D. Johnsen

Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93)
Shmuel Kandel and Robert F. Stambaugh
(The Journal of Finance, Vol 50, Issue 1, March 1995)

Whose Market Is It Anyway? Intermediaries’ or Investors’ (Reprint 044)
Morris Mendelson and Junius W. Peake

Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95)
Süleyman Basak
(Economic Theory, Vol 10, Issue 3, September 1997)

An Index-Contingent Trading Mechanism: Economic Implications
Avi Wohl and Shmuel Kandel

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revision of 21-92)
Donald B. Keim and Ananth Madhavan
(The Review of Financial Studies, Vol 9, Issue 1, January 1996)

Systematic Risk and Diversification in the Equity REIT Market
Joseph Gyourko and Edward Nelling
(Real Estate Economics, Vol 24, Issue 4, December 1996)

Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revision of 18 93) (Reprint 045)
Donald B. Keim and Ananth Madhavan
(Journal of Financial Economics, Vol 37, Issue 3, March 1995)

A Welfare Comparison of the German and U.S. Financial Systems (Reprint 047)
Franklin Allen and Douglas Gale
(European Economic Review, 1995)

Dividend Policy (Reprint 050)
Franklin Allen and Roni Michaely
(Handbooks in Operation Research and Management Science, Vol 9, 1995)

Corporate Financial Structure, Incentives and Optimal Contracting (Reprint 049)
Franklin Allen and Andrew Winton
(Handbooks in Operation Research and Management Science, Vol 9, 1995)

Are Target Managers Afraid of Section 16b? (Revised: 13-95)
Anup Agrawal and Jeffrey F. Jaffe
(Journal of Financial Economics, Vol 39, Issues 2-3, October-November 1995)

Limiting Differences Between Forward and Futures Prices in a Lucas Consumption Model
Zvi Wiener, Simon Benninga and Aris Protopapadakis
(Journal of International Financial Markets, Institutions, and Money, Vol 10, Issue 2, June 2000)

How Far Apart Can Two Riskless Interest Rates (One Moves, the Other One Does Not)
Francisco Delgado and Bernard Dumas

Noise Trading, Delegated Portfolio Management, and Economic Welfare
James Dow and Gary Gorton
(Journal of Political Economy, Vol 105, Issue 5, October 1997)

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
Ananth Madhavan, Matthew Richardson, and Mark Roomans
(The Review of Financial Studies, Vol 10, Issue 4, October 1997)

Multifactor Models Do Not Explain Deviations from the CAPM (Revision of 15-93)
Craig A. MacKinlay
(Journal of Financial Economics, Vol 38, Issue 1, May 1995)

On the Predictability of Common Stock Returns: World-Wide Evidence (Revision of 23-92) (Reprint 054)
Gabriel Hawawini and Donald B. Keim
(Handbooks in Operation Research and Management Science, Vol 9, 1995)

On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers
Giovanni Barone-Adesi, Keith C. Brown and W. V. Harlow

ALM in Banks (Revised 8-96)
Giovanni Barone-Adesi

Numerical Evaluation of the Critical Price and American Options
Walter Allegretto, Giovanni Barone-Adesi and Robert J. Elliott
(The European Journal of Finance, Vol 1, Issue 1, 1995)

Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)
Donald B. Keim and Ananth Madhavan

On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)
Shmuel Kandel and Robert F. Stambaugh
(The Journal of Finance, Vol 51, Issue 2, June 1996)

Managerial Compensation and the Threat of Takeover
Anup Agrawal and Charles R. Knoeber
(Journal of Financial Economics, Vol 47, Issue 2, February 1998)

Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders
Anup Agrawal and Charles R. Knoeber
(Journal of Financial and Quantitative Analysis, Vol 31, Issue 3, September 1996)