Papers 1995

Working Papers 1995

On the Integration of the US Equity Markets (Revised: 18-95)
Marshall E. Blume and Michael A. Goldstein

Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis
Shmuel Kandel, Aharon R. Ofer and Sarig, Oded
(The Journal of Finance, Vol 51, Issue 1, March 1996)

Precautionary Saving and Social Insurance
Glenn R. Hubbard, Jonathan Skinner and Stephen P. Zeldes
(Journal of Political Economy, Vol 103, issue 2, April 1995)

Optimal Consumption and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income
Domenico Cuoco
(Journal of Economic Theory, Vol 72, Issue 1, January 1997)

Financial Markets, Intermediaries, and Intertemporal Smoothing (Revised 14-96)
Franklin Allen and Douglas Gale
(Journal of Political Economy, Vol 105, Issue 3, June 1997)

Banks and Derivatives
Gary Gorton and Richard Rosen
(NBER Macroeconomics Annual, Vol 10, 1995)

Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062)
Süleyman Basak
(Economic Theory, Vol 10, Issue 3, September 1997)

An Intertemporal Model of Segmentation (Reprint 056)
Süleyman Basak

Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)
Donald B. Keim and Ananth Madhavan

Rational Expectations, Inflation and the Nominal Interest Rate
Jean A. Crockett
(Journal of Econometrics, Vol 83, Issues 1-2, March-April 1998)

Theory of Rational Option Pricing: II (Revised: 1-96)
Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener

Call Policies with Flotation Costs: A Dog Chasing Its Tail (Revised: 22-95)
Giovanni Barone-Adesi and Francisco A. Delgado

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
(Journal of Financial Economics, Vol 39, Issues 2-3, October-November 1995)

Testing Option Pricing Models
David S. Bates
(Handbook of Statistics, Vol 14, 1996)

Options, the Value of Capital, and Investment
Andrew B. Abel, Avinash K. Dixit, Janice B. Eberly and Robert S. Pindyck
(The Quarterly Journal of Economics, Vol 111, Issue 3, August 1996)

Stock Market Efficiency and Economic Efficiency: Is There a Connection?
James Dow and Gary Gorton
(The Journal of Finance, Vol 52, Issue 3, July 1997)

Bank Capital Regulation in General Equilibrium
Gary Gorton and Andrew Winton

Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96)
Marshall E. Blume and Michael A. Goldstein
(The Journal of Finance, Vol 52, Issue 1, March 1997)

Stochastic Volatility: Univariate and Multivariate Extensions
Eric Jacquier, Nicholas G. Polson and Peter Rossi

Using Genetic Algorithms to Find Technical Trading Rules (Revision of 20-93)
Franklin Allen and Risto Karjalainen
(Journal of Financial Economics, Vol 51, Issue 2, February 1999)

The Effects of Irreversibility and Uncertainty on Capital Accumulation
Andrew B. Abel, Janice B. Eberly
(Journal of Monetary Economics, Vol 44, Issue 3, December 1999)

Capital Structure, Call Policies and Flotation Costs: A Dog Chasing Its Tail (Revision of 12-95)
Francisco A. Delgado and Giovanni Barone-Adesi,

The Pre-Acquisition Performance of Target Firms: A Re-Examination of the Inefficient Management Hypothesis (Revised: 6-96)
Anup Agrawal and Jeffrey F. Jaffe