Working Papers 2006

01-06
Demand-Based Option Pricing
Nicolae Garleanu, Lasse Heje Pedersen and Allen Poteshman
[abstract]
(The Review of Financial Studies, Volume 22, Issue 10, 1 October 2009)

02-06
Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk
Refer S. Gurkaynak and Justin Wolfers
[abstract]

03-06
High-Water Marks: High Risk Apetites? Convex Compensation, Long Horizons and Portfolio Choice
Stavros Panageas and Mark. M. Westerfield
[abstract]
(The Journal of Finance, Vol 64, Issue 1, February 2009)

04-06
Capital Gains Taxes, Pricing Spreads and Arbitrage: Evidence from Cross-Listed Firms in the U.S.
Jennifer Blouin, Luzi Hail and Michelle Yetman
[abstract]
(The Accounting Review, Vol 84, Issue 5, September 2009)

05-06
Diagnosing Discrimination: Stock Returns and CEO Gender
Justin Wolfers
[abstract]
(Journal of the European Economic Association, Vol 4, Issue 2-3, April-May 2006)

06-06
Competing Approaches to Forecasting Elections: Economic Models, Opinion Polling and Prediction Markets
Andrew Leigh and Justin Wolfers
[abstract]
(Economic Record, Vol 82, Issue 258, September 2006)

07-06
Five Open Questions About Prediction Markets
Justin Wolfers and Eric Zitzewitz
[abstract]

08-06
Prediction Markets in Theory and Practice
Justin Wolfers
[abstract]

09-06
Asset Prices When Agents are Market-to-Market
Gary B. Gorton, Ping He and Lixin Huang
[abstract]

10-06
Agency-Based Asset Pricing
Gary B. Gorton and Ping He
[abstract]
(Journal of Economic Theory, Vol 149, January 2014)

11-06
Interpreting Prediction Market Prices as Probabilities
Justin Wolfers and Eric Zitzewitz
[abstract]

12-06
Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?
Borja Larrain and Motohiro Yogo
[abstract]
(Journal of Financial Economics, Vol 87, Issue 1, January 2008)

13-06
Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
Andrew B. Abel
[abstract]

14-06
Valuation in Over-the-Counter Markets
Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen
[abstract]
(The Review of Financial Studies, Vol 20, Issue 6, November 2007)

15-06
The Welfare Cost of Bank Capital Requirements
Skander Van den Heuvel
[abstract]
(Journal of Monetary Economics, Vol 55, Issue 2, March 2008)

16-06
Back to the Beginning: Persistence and the Cross-Section of Corporate Capital Structure
Michael L. Lemmon, Michael R. Roberts, and Jaime F. Zender
[abstract]
(The Journal of Finance, Vol 63, Issue 4, August 2008)

17-06
Evidence on the Tradeoff Between Risk and Return for IPO anmd SEO Firms
Alon Brav, Roni Michaely, Michael Roberts and Rebecca Zarutskie
[abstract]
(Financial Management, Vol 38, Issue 2, September 2009)

18-06
The Dividend Policies of Private Firms: Insights into Smoothing, Agency Costs and Information Asymmetry
Roni Michaely and Michael R. Roberts
[abstract]

19-06
Is Financial Contracting Costly? An Empirical Analysis of Debt Covenants and Corporate Investment
Sudheer Chava and Michael R. Roberts
[abstract]

20-06
Predatory Lending in a Rational World
Philip Bond, David k. Musto and Bilge Yilmaz
[abstract]

21-06
Takeover Defenses and Managerial Incentives under Alternative Legal Regimes
Richard E. Kihlstrom and Michael L. Wachter
[abstract]

22-06
Directors’ Ownership in the U. S. Mutual Fund Industry
Qi Chen, Itay Goldstein and Wei Jiang
[abstract]
(The Journal of Finance, Vol 63, Issue 6, December 2008)

23-06
Costly Communication, Shareholder Activism, and Limits to Arbitrage: Evidence from Closed-End Funds
Michael Bradley, Alon Brav, Itay Goldstein and Wei Jiang
[abstract]

24-06
The Benefits of Volume-Conditional Order-Crossing
Dean P. Foster, Simon Gervais and Krishna Ramaswamy
[abstract]

25-06
Stale or Sticky Stock Prices? Non-Trading, Predictability and Mutual Fund Returns
Marshall E. Blume and Donald B. Keim
[abstract]

26-06
Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement
Laura Veldkamp and Justin Wolfers
[abstract]
(Journal of Monetary Economics, Vol 54, Supplement, September 2007)

27-06
Technological Growth, Asset Pricing and Consumption Risk
Stavros Panageas and Jianfeng Yu
[abstract]