"Measuring Tail Thickness under GARCH and an Application to Extremal
Exchange Rate Changes." Niklas Wagner and Terry A. Marsh. June 2003
(November 2002). Acrobat
“An Empirical Test of a Two-Factor Mortgage Valuation Model: How
Much Do House Prices Matter?” Chris Downing, Richard Stanton and
Nancy Wallace. April 2003 Acrobat
"On Adaptive Tail Index Estimation for Financial Return Models."
Niklas Wagner and Terry Marsh. November 2000. Acrobat
Markets: Yes or No? The Affirmative Case." Mark Rubinstein. June
Dependence and Extremes in International Equity Markets." Terry A.
Marsh and Niklas Wagner. May 2000. Acrobat
the Relation Between Binomial and Trinomial Option Pricing Models."
Mark Rubinstein. May 2000. Acrobat
"Corporate Diversification and Agency." Benjamin E. Hermalin
and Michael L. Katz. January 2000. Acrobat
.pdf format RPF-256-Rev."How Do Firms Choose Their
Lenders? An Empirical Investigation." Miguel Cantillo and Julian
Wright. January 2000. Acrobat .pdf
"Order Flow and Exchange Rate Dynamics." Martin D. D. Evans
and Richard K. Lyons. August 1999. Acrobat
"The Role of a Corporate Bond Market in an Economy - and in Avoiding
Crises." Nils H. Hakansson, June 1999. Acrobat
.pdf Published in China Accounting and Finance Review,
vol. 1, no. 1, March 1999, pp 105-114 (Chinese version 98-104); summary
in Japanese by Nomura Research Institute.
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-252. Jacob Boudoukh, Matthew Richardson,
Richard Stanton, and Robert F. Whitelaw. "Pricing Mortgage-Backed
Securities in a Multifactor Interest Rate Environment: A Multivariate
Density Estimation Approach." July 1995. Stanton
RPF-239. Robert R. Grauer and Nils H. Hakansson.
"Gains from Diversifying into Real Estate: Three Decades of Portfolio
Returns Based on the Dynamic Investment Model." October 1994. (Published
in Real Estate Economics, 23 (Summer 1995), 117-159.)
RPF-219. Lewis X. Lu. "Continuous Equilibrium
in Speculative Markets with Heterogeneous Information." November
RPF-218. Lewis X. Lu. "Optimal Continuous Speculation with Information
Extracted from Price History." November 1991.
RPF-217. Alan Jung. "Portfolio Policies
with Transactions Costs: Discrete Time Model." October 1991.
RPF-216. Gerard Gennotte and Alan Jung. "Commissions
and Asset Allocation." October 1991.
RPF-215. Hua He and Chi-fu Huang. "Efficient
Consumption-Portfolio Policies." October 1991.
RPF-214. Nils Hakansson. "Supershares."
RPF-213. Gerard Gennotte and Alan Jung. "Investment
Strategies under Transaction Costs: The Finite Horizon Case." August
RPF-212. Nils H. Hakansson. "Welfare Economics
of Financial Markets." June 1991.
RPF-211. Gerard Gennotte and Hayne Leland.
"Low Margins, Derivative Securities, and Volatility." May 1991.
RPF-210. Gerard Gennotte and Terry A. Marsh.
"Variations in Economic Uncertainty and Risk Premiums on Capital
Assets." May 1991.
RPF-209. Hua He. "Optimal Consumption-Portfolio
Policies: A Convergence from Discrete to Continuous Time Models."
RPF-208. Steven E. Plaut. "The Prepayment
Uncertainty of Collateralized Mortgage Obligations." March 1991.
RPF-207. Steven E. Plaut. "Reinsurance
and Securitization of Deposit Insurance; A Workable Proposal for Risk-Based
Pricing." February 1991.
RPF-206. Robert R. Grauer and Nils H. Hakansson.
"On the Use of Mean-Variance and Quadratic Approximations in Implementing
Dynamic Investment Strategies: A Comparison of Returns and Investment
Policies." January 1991. (published in Management Science,
39 (July 1993), 856-871) RPF-205. Mark Rubinstein. "Continuously
Rebalanced Investment Strategies." January 1991.
RPF-204. Richard R. Lindsey. "Market Makers,
Asymmetric Information and Price Information." December 1990.
RPF-203. Ulrike Schaede. "Black Monday
in New York, Blue Tuesday in Tokyo: The October 1987 Crash in Japan."
RPF-202. Richard R. Lindsey and Ulrike Schaede.
"Specialist vs. Saitori: Market Making in New York and Tokyo."
RPF-201. Jivendra K. Kale, Nils H. Hakansson,
and Gerald W. Platt. "Industry vs. Other Factors in Risk Prediction."
RPF-200. Hua He and Henri F. Pags. "Consumption
and Portfolio Decisions with Labor Income and Borrowing Constraints."
RPF-199. Hua He. "Convergence from Discrete
to Continuous Time Contingent Claims Prices." July 1990.
RPF-198. Joe Peek and James A. Wilcox. "Pitfalls
in Fisher Model Building: Interest Rates and Inflation in the Interwar
Period." July 1990.
RPF-197. Gerard Gennotte and David Pyle. "Capital
Controls and Bank Risk." Revised December 1990.
RPF-196. Richard Breen and Gregory Connor.
"The Relationship Between Non- Arbitrage and Recursive Competitive
Equilibrium Pricing." June 1990.
RPF-195. Hayne E. Leland. "Insider Trading:
Should It Be Prohibited?" March 1990.
RPF-194. Robert R. Grauer and Nils H. Hakansson.
"Stein and CAPM Estimators of the Means in Portfolio Choice: A Case
of Unsuccess." March 1990. (published in International Review
of Financial Analysis, 4 (1995), 35-66.)
RPF-193. Hua He. "Moment Approximation
and Estimation of Diffusion Models of Asset Prices." March 1990.
RPF-192. Gerard Gennotte and Hayne Leland.
"Market Liquidity, Hedging and Crashes." December l989. (Revised
version of Working Paper 184, of May l989)
RPF-191. Hua He and Neil D. Pearson. "Consumption
and Portfolio Policies with Incomplete Markets and Short-Sale Constraints:
The Infinite Dimensional Case." October 1989.
RPF-190. Hua He. "Convergence from Discrete
to Continuous Time Financial Model." October l989.
RPF-189. Hua He and Neil D. Pearson. "Consumption
and Portfolio Policies with Incomplete Markets and Short-Sale Constraints:
The Finite Dimensional Case." September l989.
RPF-188. Robert R. Grauer, Nils H. Hakansson,
and Frederick C. Shen. "Industry Rotation in the U.S. Stock Market:
1934-1986 Returns on Passive, Semi-passive, and Active Strategies."
RPF-187. Mark Rubinstein. "Market Basket
Alternatives." August 1989.
RPF-186. David H. Pyle and Avinash K. Verma.
"Competitive Pricing of Demand Deposits." June 1989.
RPF-185. Hayne E. Leland. "LBOs and Taxes:
No One to Blame But Ourselves?" May 1989.
RPF-184. Gerard Gennotte and Hayne Leland.
"Market Liquidity, Hedging and Crashes." May 1989. (Revised
as Working Paper 192, of December l989)
RPF-183. Mark Latham. "The Arbitrage Pricing
Theory: A State-Preference Analysis." August 1988.
RPF182. Reuven Glick and Steven E. Plaut. "Money
and Off-Balance-Sheet Liquidity: An Empirical Analysis." April l988.
RPF181. Gregory Connor and Robert A. Korajczyk.
"The Attributes, Behavior and Performance of U.S. Mutual Funds."
RPF180. Ehud I. Ronn and Lemma W. Senbet. "Debt
and Market Incompleteness." December l987.
RPF179. Yoon Dokko and Robert H. Edelstein.
"Stock Prices, Risk Premia, Inflation, and Uncertainty." October
RPF178. Reuven Glick and Steven E. Plaut. "Off-Balance-Sheet
Liquidity and Monetary Control." October l987.
RPF177. Richard C. Grinold. "Ex-Ante Characterization
of an Efficient Portfolio." September l987.
RPF176. Gregory Connor and Robert Korajczyk.
"An Intertemporal Equilibrium Beta Pricing Model." August l987.
RPF175. Gregory Connor and Robert T. Uhlaner.
"New Cross-Sectional Regression Tests of Beta Pricing Models."
RPF174. Gregory Connor and Robert Korajczyk.
"Risk and Return in an Equilibrium APT." April l987.
RPF173. Gregory Connor and Robert A. Korajczyk.
"Estimating Pervasive Economic Factors with Missing Observations."
RPF172. Steven E. Plaut and Arie L. Melnik.
"The Pricing of Bank Loans with Contingent Assets and Liabilities."
RPF171. Aimee G. Ronn and Ehud I. Ronn. "A
New Option Spread Arbitrage Condition: Theory, Tests and Investment Strategies."
May l987. (published in Review of Financial Studies, vol.2, no. 1 (1989)
RPF170. Ehud I. Ronn. "Non-Additive Preferences
and the Marginal Propensity to Consume." April l987.
RPF169. Ehud I. Ronn and Avinash K. Verma.
"A Multi-Attribute Comparative Evaluation of a Relative Risk for
a Sample of Banks." April l987.
RPF168. Robert R. Grauer and Nils H. Hakansson.
"Gains from International Diversification: l968-85 Returns on Portfolios
of Stocks and Bonds." March l987. (published
in Journal of Finance, 42 (July 1987), 721-739.)
RPF167. Aamir Sheikh. "Stock Splits, Volatility
Increases and Implied Volatilities." March l987.
RPF166. Richard C. Grinold. "Multiple
Factor Risk Models and Exact Factor Pricing." February l987.
RPF165. Bjorn Flesaker and Ehud I. Ronn. "Inflation
Futures and a Riskless Real Interest Rate." December l986.
RPF164. Mark Latham. "Informational Efficiency
and the Private Value of Information." December l986.
RPF163. Terry A. Marsh and Robert C. Merton.
"Dividend Behavior for the Aggregate Stock Market." July l986.
RPF162. Joe Mattey and Richard Meese. "Empirical
Assessment of Present Value Relations." June l986.
RPF161. Ehud I. Ronn. "On the Rationality
of Common Stock Return Volatility." May l986.
RPF160. Ehud I. Ronn and Avinash K. Verma.
"The Determination of Capital Adequacy Standards for Banks."
RPF159. Ehud I. Ronn. "A New Linear Programming
Approach to Bond Portfolio Management." May l986. (Published in Journal
of Financial and Quantitative Analysis vol 22, no. 4, (Dec. 1987)
pp 439-466. http:www.jstor.org)
RPF158. David H. Pyle. "Financial Deregulation."
RPF157. Yoon Dokko and Robert H. Edelstein.
"Stock Market Returns and Inflation: The Effects of Economic Uncertainty."
RPF156. David F. Babbel and Eisaku Ohtsuka.
"Aspects of Optimal Multiperiod Life Insurance." August l985.
RPF155. David F. Babble. "The Brennan
and Schwartz Two Factor Model of the Term Structure of Interest; Empirical
Extension." August l985.
RPF154. David F. Babbel and Jaime Cuevas Dermody.
"Optimal Insurance of the Common Form Under Moral Hazard." August
RPF153. Robert R. Grauer and Nils Hakansson.
"A Half-Century of Returns on Levered and Unlevered Portfolios of
Stocks, Bonds, and Bills, With and Without Small Stocks." July l985.
RPF152. Ehud I. Ronn and Avinash K. Verma.
"Pricing Risk-Adjusted Deposit Insurance." May l985. (published
in Journal of Finance vol 41, no. 4 (Sept 12986) pp. 871-895 http://www.jstor.org)
RPF151. Robert H. Litzenberger and Ehud I.
Ronn. "A Utility-Based Model of Common Stock Price Movements."
RPF150. Mark Latham. "Defining Capital-Market
Efficiency." April l985. (Published in Journal of Finance vol
41, no.1 (Mar 1986), pp. 67-92. http://www.jstor.org)
RPF149. D. Chinhyung Cho, Cheol S. Eun and
Lemma W. Senbet. "International Arbitrage Pricing Theory: An Empirical
Investigation." March l985.
RPF148. Robert M. Dammon and Lemma W. Senbet.
"Tax Effects of Production and Finance." January l985.
RPF147. Sudipto Bhattacharya and Dilip Mookherhee.
"Portfolio Choice in Research and Development." December l984.
RPF146. Joe Peek and James A. Wilcox. "Taxable
and Tax-Exempt Interest Rates: The Role of Personal and Corporate Tax
Rates." January l985.
RPF145. James A. Wilcox. "Short-Term Movements
of Long-Term Interest Rates: Evidence from the U.K. Indexed Market."
RPF144. Hayne E. Leland. "Option Pricing
and Replication with Transactions Costs." December l984.
RPF143. Sudipto Bhattacharya and Kathleen Hagerty.
"Dealerships, Trading Externalities, and General Equilibrium."
RPF142. David H. Pyle. "Pricing Deposit
Insurance: The Effects of Mismeasurement." October l983.
RPF141. David H. Pyle and Jeffrey Skelton.
"Default Risk, Liquidity and Loan Commitments." June l983.
RPF140. Jeffrey A. Frankel and William T. Dickens.
"Are Asset-Demand Functions Determined by CAPM?" May l983.
RPF139. Stephen Figlewski. "Hedging With
Stock Index Futures: Theory and Application in a New Market." May
RPF138. Stephen Figlewski. "Why Are Prices
for Stock Index Futures So Low?" May l983.
RPF137.* Roy D. Henriksson. "Market Timing
and Mutual Fund Performance: An Empirical Investigation." March l983.
RPF136. James W. Hoag and Dennis Draper. "Portfolio
Strategies Using Treasury Bond Options and Futures." March l983.
RPF135. Eitan Gurel and David Pyle. "Bank
Income Taxes and Interest Rate Risk Management." January l983.
RPF134. Sasson Bar-Yosef and Hayne Leland.
"Risk Adjusted Discounting." December l982.
RPF133. James A. Ohlson. "Ex Post Stockholder
Unanimity: A Complete and Simplified Treatment." December l982.
RPF132. Michael Adler and Bernard Dumas. "International
Portfolio Choice and Corporation Finance: A Survey." November l982.
RPF131. Avi Bick. "On the Doubling Strategy
Paradox and the Definition of Arbitrage." September l982.
RPF130. Roy D. Henriksson and Donald R. Lessard.
"The Efficiency of the Forward Exchange Market: A Conditional Nonparametric
Test of Forecasting Ability." July l982.
RPF129. Joe Peek and James A. Wilcox. "The
Postwar Stability of the Fisher Effect." August l982.
RPF128. James A. Wilcox. "Excess Reserves
in the Great Depression." July l982.
RPF127. Yuk-Shee Chan. "On the Positive
Role of Financial Intermediation in Allocation of Venture Capital in a
Market with Imperfect Information." June l982.
RPF126. Itzhak Venezia. "Optimal Duration
of Growth Investments -- A Bayesian Approach." June l982.
RPF125. Avi Bick. "Comments on the Valuation
of Derivative Assets." Revised April l982.
RPF124. Nils H. Hakansson. "To Pay or
Not to Pay Dividends." April l982.
RPF123. Nils H. Hakansson. "Changes in
the Financial Market: Welfare and Price Effects and the Basic Theorems
of Value Conservation." Revised October l981.
RPF122. Nils H. Hakansson, J. Gregory Kunkel,
and James A. Ohlson. "Sufficient and Necessary Conditions for Information
to Have Social Value in Pure Exchange." Revised August l981.
RPF121. Sasson Bar-Yosef and Yoram Landskroner.
"The Impact of the Government on Financial Equilibrium and Corporate
Financial Decisions." October l981.
RPF120. Elroy Dimson and Paul Marsh. "The
Stability of UK Risk Measures and the Problem of Thin Trading." September
RPF119. Mark Rubinstein. "A Simple Formula
for the Expected Rate of Return of an Option over a Finite Holding Period."
RPF118. Mark Rubinstein. "Displaced Diffusion Option Pricing."
November l981. (see http://www.jstor.org/)
RPF117. Mark Rubinstein. "Nonparametric
Tests of Alternative Option Pricing Models Using All Reported Trades and
Quotes on the 30 Most Active CBOE Option Classes from August 23, l976
through August 31, l978." October l981.
RPF116. Yuk-Shee Chan. "Information Production,
Market Signalling, and the Theory of Financial Intermediation: A Comment."
RPF115. David F. Babbel and Nicholas Economides.
"The Pareto-Optimal Design of Term Life Insurance Contracts."
RPF114. James A. Wilcox. "Interest Rates,
Expected Inflation, and Supply Shocks or Why Real Interest Rates Were
So Low in the l970s." July l981.
RPF113. Yaacov Z. Bergman. "A Characterization
of Self-Financing Portfolio Strategies." August l981. Acrobat