Working Papers 1995
#01-95
On the Integration of the US Equity Markets (Revised: 18-95)
Marshall E. Blume and Michael A. Goldstein
[abstract]
#02-95
Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis
Shmuel Kandel, Aharon R. Ofer and Sarig, Oded
[abstract]
(The Journal of Finance, Vol 51, Issue 1, March 1996)
#03-95
Precautionary Saving and Social Insurance
Glenn R. Hubbard, Jonathan Skinner and Stephen P. Zeldes
[abstract]
(Journal of Political Economy, Vol 103, issue 2, April 1995)
#04-95
Optimal Consumption and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income
Domenico Cuoco
[abstract]
(Journal of Economic Theory, Vol 72, Issue 1, January 1997)
#05-95
Financial Markets, Intermediaries, and Intertemporal Smoothing (Revised 14-96)
Franklin Allen and Douglas Gale
[abstract]
(Journal of Political Economy, Vol 105, Issue 3, June 1997)
#06-95
Banks and Derivatives
Gary Gorton and Richard Rosen
[abstract]
(NBER Macroeconomics Annual, Vol 10, 1995)
#07-95
Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062)
Süleyman Basak
[abstract]
(Economic Theory, Vol 10, Issue 3, September 1997)
#08-95
An Intertemporal Model of Segmentation (Reprint 056)
Süleyman Basak
[abstract]
#09-95
Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)
Donald B. Keim and Ananth Madhavan
[abstract]
#10-95
Rational Expectations, Inflation and the Nominal Interest Rate
Jean A. Crockett
[abstract]
(Journal of Econometrics, Vol 83, Issues 1-2, March-April 1998)
#11-95
Theory of Rational Option Pricing: II (Revised: 1-96)
Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener
[abstract]
#12-95
Call Policies with Flotation Costs: A Dog Chasing Its Tail (Revised: 22-95)
Giovanni Barone-Adesi and Francisco A. Delgado
[abstract]
#13-95
Does Section 16b Deter Insider Trading by Target Managers? [Are Target Managers Afraid of Section 16b?] (Revision of 16-94) (Reprint 048)
Anup Agrawal and Jeffrey F. Jaffe
[abstract]
(Journal of Financial Economics, Vol 39, Issues 2-3, October-November 1995)
#14-95
Testing Option Pricing Models
David S. Bates
[abstract]
(Handbook of Statistics, Vol 14, 1996)
#15-95
Options, the Value of Capital, and Investment
Andrew B. Abel, Avinash K. Dixit, Janice B. Eberly and Robert S. Pindyck
[abstract]
(The Quarterly Journal of Economics, Vol 111, Issue 3, August 1996)
#16-95
Stock Market Efficiency and Economic Efficiency: Is There a Connection?
James Dow and Gary Gorton
[abstract]
(The Journal of Finance, Vol 52, Issue 3, July 1997)
#17-95
Bank Capital Regulation in General Equilibrium
Gary Gorton and Andrew Winton
[abstract]
#18-95
Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96)
Marshall E. Blume and Michael A. Goldstein
[abstract]
(The Journal of Finance, Vol 52, Issue 1, March 1997)
#19-95
Stochastic Volatility: Univariate and Multivariate Extensions
Eric Jacquier, Nicholas G. Polson and Peter Rossi
[abstract]
#20-95
Using Genetic Algorithms to Find Technical Trading Rules (Revision of 20-93)
Franklin Allen and Risto Karjalainen
[abstract]
(Journal of Financial Economics, Vol 51, Issue 2, February 1999)
#21-95
The Effects of Irreversibility and Uncertainty on Capital Accumulation
Andrew B. Abel, Janice B. Eberly
[abstract]
(Journal of Monetary Economics, Vol 44, Issue 3, December 1999)
#22-95
Capital Structure, Call Policies and Flotation Costs: A Dog Chasing Its Tail (Revision of 12-95)
Francisco A. Delgado and Giovanni Barone-Adesi,
[abstract]
#23-95
The Pre-Acquisition Performance of Target Firms: A Re-Examination of the Inefficient Management Hypothesis (Revised: 6-96)
Anup Agrawal and Jeffrey F. Jaffe
[abstract]