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- All Papers are available on-line. Recent papers are being relocated to the University of California Digital Library site: eScholarship Digital Repository
- RPF-297. "Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes." Niklas Wagner and Terry A. Marsh. June 2003 (November 2002). Acrobat .pdf
- RPF-296. “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 .pdf
- RPF-295. "On Adaptive Tail Index Estimation for Financial Return Models." Niklas Wagner and Terry Marsh. November 2000. Acrobat .pdf
RPF-294."Rational Markets: Yes or No? The Affirmative Case." Mark Rubinstein. June 2000. Acrobat .pdf- RPF-293."Return-Volume Dependence and Extremes in International Equity Markets." Terry A. Marsh and Niklas Wagner. May 2000. Acrobat .pdf
- RPF-292."On the Relation Between Binomial and Trinomial Option Pricing Models." Mark Rubinstein. May 2000. Acrobat .pdf
- RPF-291. "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- Abstract
RPF-290. * "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes." Hayne E. Leland. December 1999. Text & Figures Acrobat .pdf, Text Word.doc , Figures Acrobat .pdf- RPF-289 "Credit Derivatives in Banking: Useful Tools for Managing Risk?" Gregory R. Duffee and Chunsheng Zhou. November 1999. Acrobat .pdf
- Abstract
- RPF-288. "Order Flow and Exchange Rate Dynamics." Martin D. D. Evans and Richard K. Lyons. August 1999. Acrobat .pdf
- RPF-287 "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-286."Housing Return and Construction Cycles." Matthew Spiegel. January 1999. Acrobat.pdf
- RPF-285."Search Costs: The Neglected Spread Component." Mark D. Flood, Ronald Huisman, Kees G. Koedijk, and Richard Lyons. October 1998. Word .doc Acrobat.pdf.
- Abstract
- RPF-284* "Valuation and Return Dynamics of New Ventures." Jonathan B. Berk, Richard C. Green and Vasant Naik. September 1998. Acrobat.pdf
- Abstract
- RPF-283."Predicting Excess Returns with Public and Insider Information: The Case of Thrift Conversions." James A. Wilcox and Zane D. Williams. September 1998. Word Document or Acrobat.pdf
- Abstract
- RPF-282. "The "Credit Crunch" and the Availability of Credit to Small Business" Diana Hancock and James A. Wilcox. August 1998.
- Abstract
- RPF-281."Dynamic Optimal Risk Management and Dividend Policy under Optimal Capital Structure and Maturity." Michael P. Ross. July 1998. Acrobt.pdf
- Abstract
- RPF-280."Corporate Hedging: What, Why and How?" Michael P. Ross. July 1998. Postscript Acrobat.pdf
- Abstract
- RPF-279."Pricing Derivatives the Martingale Way." Pierre Collin Dufresne, William Keirstead and Michael P. Ross. July 1998. Acrobat.pdf
- Abstract
- RPF-278."Agency Costs, Risk Management, and Capital Structure." Hayne E. Leland. April 1998. Acrobat.pdf
- Abstract
- 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
- Abstract
- RPF-276."Closed-End Fund Discounts in a Rational Agent Economy." Matthew Spiegel. December 1997. Economic WPA Archives
- Abstract
- RPF-275."Edgeworth Binomial Trees." Mark Rubinstein. November 1997. Acrobat.pdf . This paper has been published in the Journal of Derivatives 5, No. 3 (Spring 1998), pp. 20-27.
- Abstract
- RPF-274-Rev."Derivatives Performance Attribution." Mark Rubinstein. November 1997. Acrobat.pdf .
- Abstract
- RPF-273."Profits and Position Control: A Week of FX Dealing." Richard K. Lyons. October 1997. Word /Windows .doc
- Abstract
- RPF-272."Bank Risk Management: Theory." David H. Pyle. July 1997. Acrobat.pdf Word/Windows .doc
- Abstract
- RPF-271. "International Portfolio Investment Flows." Michael J. Brennan. and H. Henry Cao. February 1997.(Published Journal of Finance, 1997, 52:5, 1351-1880.)
- Abstract
- RPF-270."Is There Private Information in the FX Market? The Tokyo Experiment." Takatoshi Ito, Richard K. Lyons and Michael T. Melvin. January 1997.
- Abstract
- RPF-269."Are Investors Reluctant to Realize Their Losses?" Terrance Odean. November 1996. acrobat.pdf Revised paper (.ps and .pdf) Journal of Finance (December 1997) (.ps and .pdf) Acrobat.pdf-author's web page
- Abstract
- RPF-268."A Theory of Corporate Capital Structure and Investment." Miguel Cantillo Simon. November 1996. Acrobat.pdf
- Abstract
- RPF-267*. "Options and Expectations." Hayne E. Leland. October 1996.
- Abstract
- RPF-266. "Volume, Volatility, Price and Profit When All Trader Are Above Average." Terrance Odean. October 1996. Acrobat.pdf Economics WP Archive: Acrobat, Postscript or Word
additional texts- Abstract
- RPF-265."Recovering Risk Aversion from Option Prices and Realized Returns." Jens Carsten Jackwerth. September 1996. Economics WP Archive: Acrobat, Postscript (Additional texts)
- Abstract
- RPF-264."Generalized Binomial Trees."Jens Carsten Jackwerth. September 1996. Economics WP Archive: Acrobat, Postscript
- Abstract
- RPF-263-rev.* "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies." Hayne E. Leland. August 1996. Revised October 1998. Acrobat.pdf Figure 1 in .pdf format only Word /Windows .doc
- Abstract
- RPF-262."Implied Binomial Trees: Generalizations and Empirical Tests." Jens Carsten Jackwerth. June 1996.
- Abstract
- RPF-261."Optimal Asset Rebalancing in the Presence of Transactions Costs." Hayne Leland. March 1996 Economic WP Archive: Acrobat, Postscript
- Abstract
- RPF-260."Stock Price Volatility in a Multiple Security Overlapping Generations Model." Matthew Spiegel. January 1996. revised: Oxford University Press Reprint
- Abstract
- RPF-259. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads." Hayne E. Leland and Klaus Bjerre Toft. December 1995.
- Abstract
- RPF-258. H. Henry Cao. "Imperfect Competition in Securities Markets with Diversely Informed Traders." November 1995. Acrobat.pdf
- Abstract
- RPF-257. Matthew Spiegel and Avanidhar Subrahmanyam. "The Efficacy of Insider Trading Regulation." October 1995.
- Abstract
- RPF-256-Rev. Miguel Cantillo. "How Do Firms Choose Their Lenders? Theory and Evidence." October 1995. Economic WP Archive: Acrobat, Postscript
- Abstract
- RPF-255. Miguel Cantillo. "A Theory of Corporate Capital Structure and Investment." October 1995.
- Abstract
- RPF-254-Rev. Miguel Cantillo. "The Rise and Fall of Bank Control in the United States: 1890-1920." October 1995. Economic WP Archive
- Abstract
- RPF-253. William N. Goetzmann and Matthew Spiegel. "A Spatial Model of Housing Returns and Neighborhood Substitutability." September 1995. Spiegel web site: related list
- Abstract
- 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 web site:
- Abstract
- RPF-251. Richard Stanton and Nancy Wallace. "Mortgage Choice: What's the Point?" July 1995.
- Abstract
- RPF-250. Jens Carsten Jackwerth and Mark Rubinstein. "Implied Probability Distributions: Empirical Analysis." June 1995. (Published in Journal of Finance 51, No. 5, 1611-1631.) Acrobat.pdf
- Abstract
- RPF-249. Hua He and Akihiko Takahashi. "A Variable Reduction Technique for Pricing Average-Rate Options." May 1995.
- Abstract
- RPF-248. Hua He, William P. Keirstead, and Joachim Rebholz. "Double Lookbacks." May 1995.
- Abstract
- RPF-247. Richard Stanton and Nancy Wallace. "Anatomy of an ARM: Index Dynamics and Adjustable Rate Mortgage Valuation." April 1995. Related Papers.
- Abstract
- RPF-246. Sankar De, Mark Fedenia, and Alexander J. Triantis. "Effects of Competition on Bidder Returns." April 1995.
- Abstract
- RPF-245. Marcus Berliant and Sankar De. "On Revelation of Private Information in Stock Market Economies." April 1995.
- Abstract
- RPF-244. Hayne Leland and Gregory Connor. "Optimal Cash Management for Investment Funds." March 1995.
- Abstract
- RPF-243. Richard K. Lyons. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?" January 1995.
- Abstract
- RPF-242. Richard K. Lyons and Andrew K. Rose. "Explaining Forward Exchange Bias...Intraday." January 1995.
- Abstract
- RPF-241. Mark Rubinstein. "On the Accounting Valuation of Employee Stock Options." December 1994.
- RPF-240. Hayne Leland. "Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk." November 1994.
- Abstract
- 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.)
- Abstract
- RPF-238. Klaus Bjerre Toft. "Options on Leveraged Equity with Default Risk." July 1994.
- Abstract
- RPF-237. Klaus Bjerre Toft. "Exact Formulas for Expected Hedging Error and Transactions Costs in Option Replication." July 1994.
- Abstract
- RPF-236. Domenico Cuoco and Hua HŠ. "Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets." June 1994.
- Abstract
- RPF-235. Bruce N. Lehmann and David M. Modest. "Market Structure and Liquidity on the Tokyo Stock Exchange." May 1994.
- Abstract
- RPF-234. Bruce N. Lehmann and David M. Modest. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View." April 1994.
- Abstract
- RPF-233. Hayne E. Leland. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure." January 1994.
- Abstract
- RPF-232. Mark Rubinstein. "Implied Binomial Trees." January 1994.
- Abstract
- RPF-231. Richard K. Lyons. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange." September 1993.
- Abstract
- RPF-230. Richard K. Lyons. "Tests of Microstructural Hypotheses in the Foreign Exchange Market." August 1993.
- Abstract
- RPF-229. David Pyle. "The Economic Functions of Derivatives: An Academician's Point of View." July 1993.
- Abstract
- RPF-228. Hua He and Jiang Wang. "Differential Information and Dynamic Behavior of Stock Trading Volume." May 1993.
- Abstract
- RPF-227. David H. Pyle. "The U.S. Savings and Loan Crisis." April 1993.
- Abstract
- RPF-226. Hayne Leland. "Long-Term Debt Value, Bond Covenants, and Optimal Capital Structure." February 1993.
- Abstract
- RPF-225. Helena M. Mullins and David H. Pyle. "Liquidation Costs and Risk- Based Bank Capital." January 1993.
- Abstract
- RPF-224. Gerard Gennotte and Brett Trueman. "The Strategic Timing of Corporate Disclosures." November 1992.
- Abstract
- RPF-223. Hua He and David M. Modest. "Market Frictions and Consumption-Based Asset Pricing." July 1992.
- Abstract
- RPF-222. Gonzalo Rubio. "Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs." June 1992.
- Abstract
- RPF-221. Hua He and Hayne Leland. "Equilibrium Asset Price Processes." December 1991.
- Abstract
- RPF-220. Mark Rubinstein. "Exotic Options." December 1991.
- Abstract
- RPF-219. Lewis X. Lu. "Continuous Equilibrium in Speculative Markets with Heterogeneous Information." November 1991.
- 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." August 1991.
- RPF-213. Gerard Gennotte and Alan Jung. "Investment Strategies under Transaction Costs: The Finite Horizon Case." August 1991.
- 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." April 1991.
- 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." December 1990.
- RPF-202. Richard R. Lindsey and Ulrike Schaede. "Specialist vs. Saitori: Market Making in New York and Tokyo." December 1990.
- RPF-201. Jivendra K. Kale, Nils H. Hakansson, and Gerald W. Platt. "Industry vs. Other Factors in Risk Prediction." March 1991.
- RPF-200. Hua He and Henri F. PagŠs. "Consumption and Portfolio Decisions with Labor Income and Borrowing Constraints." August 1990.
- 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." August 1989.
- 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." March l988.
- 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 l987.
- 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." August l987.
- 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." April l987.
- RPF172. Steven E. Plaut and Arie L. Melnik. "The Pricing of Bank Loans with Contingent Assets and Liabilities." May l987.
- 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) pp91-108, http://www.jstor.org)
- 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." May l986.
- 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." February l986.
- RPF157. Yoon Dokko and Robert H. Edelstein. "Stock Market Returns and Inflation: The Effects of Economic Uncertainty." August l985.
- 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 l985.
- 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." May l985.
- 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." January l985.
- 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." October l984.
- 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 l983.
- 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.
- Acrobat.pdf
- 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 l981.
- RPF119. Mark Rubinstein. "A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period." October l981.
- 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." September l981.
- RPF115. David F. Babbel and Nicholas Economides. "The Pareto-Optimal Design of Term Life Insurance Contracts." l981.
- RPF114. James A. Wilcox. "Interest Rates, Expected Inflation, and Supply Shocks or Why Real Interest Rates Were So Low in the l970s." July l981.
