Research Program in Finance

Working Papers Available On-line

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Complete List of Research Program in Finance Working Papers

Working Paper Abstracts

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. ( and Acrobat .pdf)
additional texts

RPF- 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

Updated 8/26/98

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