Papers 1998

Working Papers 1998

Executive Compensation & the Boundary of the Firm: The Case of Short-Lived Projects
Gary Gorton and Bruce D. Grundy

Customer-Controlled Firms: The Case of Stock-Exchanges
Carmine Di Noia

[PUBLISHED] #03-98
The Declining Credit Quality of US Corporate Debt: Myth or Reality?
Marshall E. Blume, Felix Lim and A. Craig MacKinlay
The Journal of Finance, Volume 53, No. 4, August 1998, pp. 1389-1413

[PUBLISHED] #04-98
Costs of Equity Capital and Model Mispricing
Lubos Pástor and Robert F. Stambaugh
The Journal of Finance, Volume 54, No. 1, February 1999, pp. 67-121.

[PUBLISHED] #05-98
An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks
Donald B. Keim
The Journal of Financial Economics, Volume 51, No. 2, February 1999, pp. 173-194.

Capital Market Equilibrium with Mispricing and Arbitrage Activity
Süleyman Basak and Benjamin Croitoru

The Information Contained in Stock Exchange Seat Prices
Donald B. Keim and Ananth Madhavan

[PUBLISHED] #08-98
The Cost of Institutional Equity Trades
Donald B. Keim and Ananth Madhavan
The Financial Analysts Journal, Volume 54, No. 4, July/August 1998, pp. 50-69

[PUBLISHED] #09-98
Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
Süleyman Basak and Mike Gallmeyer
Mathematical Finance, Volume 9, No. 1, January 1999, pp. 1-30.

On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis
Süleyman Basak
(Journal of Economic Dynamics Control, Vol. 23, Issue 7, June 1999)

Management Turnover and Corporate Governance Changes Following the Revelation of Fraud
Anup Agrawal, Jeffrey J. Jaffe and Jonathan M. Karpoff
(The Journal of Law and Economics, Vol. 42, Issue 2, 1999)

Capital Market Equilibrium with Differential Taxation
Süleyman Basak and Mike Gallmeyer
(Review of Finance, Vol. 7, Issue 2, January 2003)

Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing
Bruce D. Grundy and J. Spencer Martin
(The Review of Financial Studies, Vol. 14, Issue 1, January 2001)

Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE
Michael A. Goldstein and Kenneth A. Kavajecz
(Journal of Financial Economics, Vol. 56, Issue 1, April 2000)

A Theory of Dividends Based on Tax Clienteles
Franklin Allen, Antonio Bernardo and Ivo Welch
(The Journal of Finance, Vol. 55, Issue 6, December 2002)

Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?
Ron Kaniel and Hong Liu

Risk Arbitrage in Takeovers
Francesca Cornelli and David D. Li
(The Review of Financial Studies, Vol. 15, Issue 3, April 2002)

Revenue Efficiency and Change of Control: The Case of Bankruptcy
Francesca Cornelli and Leonardo Felli

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
A. Craig MacKinlay and Lubos Pástor
(The Review of Financial Studies, Vol 13, Issue 4, October 2000)

Optimal Consumption of a Divisible Durable Good
Domenico Cuoco and Hong Liu
(Journal of Economic Dynamics and Control, Vol. 24, Issue 4, April 2000)

The Equity Premium and Structural Breaks
Lubos Pástor and Robert F. Stambaugh
(The Journal of Finance, Vol. 56, Issue 4, December 2002)

Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach
Ayelet Balsam, Shmuel Kandel and Ori Levy