Finance Homepage
Complete List of Research Program in Finance Working
Papers
RPF-278. "Agency Costs, Risk Management, and Capital Structure." Hayne E. Leland. April 1998. Acrobat.pdf
RPF-277. "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model." Robert R. Grauer and Nils H. Hakansson. April 1998. Acrobat.pdf
RPF-276. "Closed-End Fund Discounts in a Rational Agent Economy." Matthew Spiegel. December 1997. Acrobat .pdf
RPF-275 "Edgeworth Binomial Trees." Mark Rubinstein. November 1997. Available in PowerPoint as .ppt document . Use Notes View.
RPF-274-Rev "Derivatives Performance Attribution." Mark Rubinstein. Revised May 1998. (Available in PowerPoint as .ppt document. Use Notes View
RPF-273 "Profits and Position Control: A Week of FX Dealing." Richard K. Lyons. October 1997. Available as Word /Windows .doc document only
RPF-272 "Bank Risk Management: Theory." David H. Pyle. July 1997. (available as Word/Windows .doc document only)
RPF-270. Takatoshi Ito, Richard K. Lyons and Michael T. Melvin. "Is There Private Information in the FX Market? The Tokyo Experiment." January 1997.
RPF-269. Terrance Odean. "Are Investors Reluctant to Realize Their Losses?" November 1996. Revised paper (.ps and .pdf) Journal of Finance (December 1997) (.ps and .pdf)
RPF-268. Miguel Cantillo Simon. "A Theory of Corporate Capital Structure and Investment." November 1996. Acrobat file
RPF-266-rev. Terrance Odean. "Volume, Volatility, Price and Profit When All Trader Are Above Average." October 1996. (postscript.ps and Acrobat .pdf)
additional textsRPF- 265. "Recovering Risk Aversion from Option Prices and Realized Returns." September 1996. Jens Carsten Jackwerth. Acrobat .pdf and postscript (Additional texts)
RPF- 264. "Generalized Binomial Trees." September 1996. Jens Carsten Jackwerth. Acrobat .pdf and postscript
RPF-263. Hayne E. Leland. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies." August 1996. <
- Acrobat .pdf
- Figure in .pdf format
- Word Windows
- RPF- 262. "Implied Binomial Trees: Generalizations and Empirical Tests." Jens Carsten Jackwerth. June 1996.
RPF- 261. "Optimal Asset Rebalancing in the Presence of Transactions Costs." Hayne E. Leland. March 1996, revised August 1996. Acrobat copy of RPF261.pdf
- RPF-260. Matthew Spiegel. "Stock Price Volatility in a Multiple Security Overlapping Generations Model." January 1996.
- RPF-256-rev. "How Do Firms Choose Their Lenders? Theory and Evidence." Miguel Cantillo. October 1995. Acrobat .pdf
- RPF-254-rev. "The Rise and Fall of Bank Control in the United States: 1890-1920." Miguel Cantillo. October 1995. Acrobat .pdf
RPF-253. "A Spatial Model of Housing Returns and Neighborhood Substitutability." William N. Goetzmann and Matthew Spiegel. September 1995.
RPF-252. "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach." Jacob Boudoukh, Matthew Richardson, Richard Stanton, and Robert F. Whitelaw. July 1995.
RPF-250-REV. (1996) "Recovering Probability Distributions from Option Prices." Jens Carsten Jackwerth and Mark Rubinstein, This is somewhat longer article than the revision printed in Journal of Finance 51, No. 5, 1611-1631. Acrobat PDF file
RPF-251. "Mortgage Choice: What's the Point?" Richard Stanton and Nancy Wallace. July 1995. Option#2: Postscript
Website designed and produced by Patt Bagdon
Updated 8/26/98
