Working Papers 1999
#01-99
The High Volume Return Premium
Simon Gervais, Ron Kaniel, Dan Mingelgrin
[abstract]
(The Journal of Finance, Vol. 56, Issue 3, June 2001)
#02-99
Is the Abnormal Return Following Equity Issuances Anomalous?
Alon Brav, Christopher Geczy, Paul A. Gompers
[abstract]
(Journal of Financial Economics, Vol. 56, Issue 2, May 2000)
#03-99
The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation
Andrew B. Abel
[abstract]
#04-99
Going Public with Asymmetric Information, Agency Costs, and Dynamic Trading
Armando Gomes
[abstract]
#05-99
Multiple Large Shareholders in Corporate Governance
Armando Gomes
[abstract]
#06-99
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Suleyman Basak and Alex Shapiro
[abstract]
(The Review of Financial Studies, Vol. 14, Issue 2, April 2001)
#07-99
Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices
Suleyman Basak and Benjamin Croitoru
[abstract]
(Journal of Mathematical Economics, Vol. 35, Issue 2, April 2001)
#08-99
The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Gabriel Hawawini, Donald B. Keim
[abstract]
(Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, 2000)
#09-99
Organizational Design Choices in Retail Banking
Venky Nagar
[abstract]
#10-99
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
Fernando Alvarez, Urban J. Jermann
[abstract]
(The Review of Financial Studies, Vol. 14, Issue 4, October 2001)
#11-99
Mutual Fund Returns and Market Microstructure
Mark M. Carhart, Ron Kaniel, David K. Musto, Adam Reed
[abstract]
#12-99
Econometric Models of Limit-Order ExecutionsEconometric Models of Limit-Order Executions
Andrew W. Lo, A. Craig MacKinlay, June Zhang
[abstract]
(Journal of Financial Economics, Vol 65, Issue 1, July 2002)
#13-99
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
A. Craig MacKinlay, Lubos Pastor
[abstract]
(The Review of Financial Studies, Vol. 13,Issue 4, October 2000)
[PUBLISHED] #14-99
Adverse Selection and Competitive Market Making: Empirical Evidence from a Pure Limit Order Market
Patrik Sandas
Review of Financial Studies, Volume 14, 2001, pp. 705-734 [abstract]
[PUBLISHED] #15-99
Imperfect Market Monitoring and SOES Trading
Thierry Foucalt, Ailsa Roell, Patrik Sandas
[abstract]
#16-99
Comparing Asset Pricing Models: An Investment Perspective
Lubos Pastor, Robert F. Stambaugh
[abstract]
(Journal of Financial Economics, Vol. 56, Issue 3, June 2000)
#17-99
Equilibrium Mispricing in a Capital Market with Portfolio Constraints
Suleyman Basak, Benjamin Croitoru
[abstract]
(The Review of Financial Studies, Vol. 13, Issue 3, July 2000)
#18-99
Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
Klaas Baks, Andrew Metrick, Jessica Wachter
[abstract]
(The Journal of Finance, Vol. 56, Issue 1, December 2000)
#19-99
Estimating the Returns to Insider Trading
Leslie A. Jeng, Andrew Metrick, Richard Zeckhauser
[abstract]
(The Review of Economics and Statistics, Vol 85, Issue 2, May 2003)
#20-99
Institutional Investors and Equity Prices
Paul A. Gompers, Andrew Metrick
[abstract]
(The Quarterly Journal of Economics, Vol. 116, Issue 1, February 2001)
#21-99
A Theory of Negotiations and Formation of Coalitions
Armando Gomes
[abstract]
#22-99
On the Formation and Structure of International Exchanges
Matthew J. Clayton, Bjorn N. Jorgensen, Kenneth A. Kavajecz
[abstract]
[PUBLISHED} #23-99
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
Alon Brav, George Constantinides, Christopher Geczy
Journal of Political Economcy (2002) Vol. 110, No. 4, pp. 793-824
#24-99
Household Securities Purchases, Transactions Costs, and Hedging Motives
Nicholas S. Souleles
#25-99
The wildcard option in transaction mutual-fund shares
John M.R. Chalmers, Roger M. Edelen, Gregory B. Kadlec
#26-99
Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns
Roger M. Edelen, Jerold B. Warner
(Journal of Financial Economics, Vol. 59, Issue 2, February 2001)
#27-99
Mutual fund trading costs
John M.R. Chalmers, Roger M. Edelen, Gregory B. Kadlec
#28-99
Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry
Christopher C. Geczy, Bernadette A. Minton, and Catherine Schrand
#29-99
An Empirical Analysis of Limit Order Markets
Burton Hollifield, Robert A. Miller, patrik Sandas
(The Review of Economic Studies, Vol. 71, Issue 4)