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information about our Working Paper Series, click here.
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FIN-00-001
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Rosenberg, Joshua. "Nonparametric
Pricing of Multivariate Contingent Claims." WP, April 2000.
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FIN-00-002
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Clayton, Matthew; Hartzell , Jay; Rosenberg, Joshua. "The Impact of CEO Turnover on Equity Volatility." WP,
August 2000.
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FIN-00-003
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Dai, Qiang; Singleton, Kenneth. "Expectation
Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure." WP,
September 18, 2000.
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FIN-00-004
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Dai, Qiang. "From Equity Premium
Puzzle to Expectations Puzzle: A General Equilibrium Production Economy with Stochastic Habit Formation." WP, May 22, 2000.
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FIN-00-005
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Dai, Qiang. "Ownership Structure, Income
Distribution, and Competitive Equilibrium: A Theory of Business Cycles, Human Capital, and Asset Returns." WP, August 16, 2000.
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FIN-00-006
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Altman, Edward I.; Saunders, Anthony. "An
Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings." WP,
January 2000.
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FIN-00-007
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Allen, Linda; Jagtiani, Julapa; Saunders, Anthony. "The Role of Financial Advisors in Mergers and Acquisitions." WP,
May 2000.
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FIN-00-008
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Dahiya, Sandeep; Puri, Manju; Saunders, Anthony. "Bank Borrowers and Loan Sales: New Evidence on the Uniqueness of Bank Loans." WP, July 2000.
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FIN-00-009
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Boudoukh, Jacob; Richardson, M.P.; Subrahmanyam, M.; Whitelaw, R.F. "The Last Great Arbitrage: Exploiting the Buy-and-Hold Mutual Fund Investor." WP, May 2000.
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FIN-00-010
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Gupta, Anurag; Subrahmanyam, M. "An
Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor
Markets." WP, August 2000.
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FIN-00-011
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Franke, G.; Stapleton, R.C.; Subrahmanyam, M. "Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk." WP, March 30, 1999.
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FIN-00-012
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Merrick, John. "Pascal Spreading
of Short-Term Interest Rate Contracts." WP, June 2000.
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FIN-00-013
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Hartzell, Jay; Ofek, Eli; Yermack, David. "What's in it for me? Personal Benefits Obtained by CEOs Whose Firms Are Acquired." WP, July 2000.
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FIN-00-014
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Clayton, Matthew J.; Hartzell, Jay C.; Rosenberg, Joshua. "The Impact of CEO Turnover on Equity Volatility." WP,
August 2000.
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FIN-00-015
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Hartzell, Jay C.; Starks, Laura T. "Institutional
Investors and Executive Compensation." WP, July 2000.
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FIN-00-016
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Almeida, Heitor. "Credit
Constraints and Investment-Cash Flow Sensitivities." WP, September 30,
2000.
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FIN-00-017
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Almeida, Heitor. "Financial
Constraints and House Prices - An International Perspective." WP, September
27, 2000.
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FIN-00-018
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Ljungqvist, Alexander; Jenkinson, Tim; Wilhelm, Jr. William J. "Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors." WP, September 8, 2000.
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FIN-00-019
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Boudoukh, Jacob; McAllister, Patrick; Richardson, Matthew; Whitelaw, Robert F. "The Valuation and Hedging of Deferred Commission Asset Backed Securities." WP, April 2000.
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FIN-00-020
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Guo, Hui; Whitelaw, Robert F. "Risk
and Return: Some New Evidence." WP, October 2000.
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FIN-00-021
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Hull, John; White, Alan. "Valuing
Credit Default Swaps I: No Counterparty Default Risk." WP, April 2000.
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FIN-00-023
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Hull, John; White, Alan. "Forward
Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model." WP, August 2000.
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FIN-00-024
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Hull, John; White, Alan. "The
General Hull-White Model and Super Calibration." WP, August 2000.
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FIN-00-025
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Hull, John; Suo, Wulin. "A
Test of the Use of the Implied Volatility Function Model to Price Exotic Options."
WP, May 2000.
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FIN-00-026
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Brown, Stephen J.; Goetzmann, William N.; Park, James. "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry." WP, October 29, 2000.
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FIN-00-027
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Wachter, Jessica A. "Optimal Consumption
and Portfolio Allocation under Mean-Reverting Returns: An Exact Solution for Complete Markets." WP, September 26, 2000.
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FIN-00-028
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Fluck, Zsuzsanna. "Capital Structure
Decisions in Small and Large Firms: A Life-cycle Theory of Financing." WP,
July 31, 2000.
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FIN-00-029
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Shapiro, Alexander ; Basak, Suleyman. "A
Model of Credit Risk, Optimal Policies, and Asset Prices" WP, October 2000.
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FIN-00-030
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Allen, Linda; Jagtiani, Julapa; Moser, James. "Do
Markets React to Bank Examination Ratings? Evidence of Indirect Disclosure of Management Quality Through BHCs'
Applications to Convert to FHCs." WP, October 2000.
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FIN-00-031
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Elton, Edwin J.; Gruber, Martin J.; Agrawal, Deepak; Mann, Christopher. "Factors Affecting the Valuation of Corporate Bonds." WP, October
26, 2000.
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FIN-00-032
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Llorente, Guillermo; Michaely, Roni; Saar, Gideon; Wang, Jiang. "Dynamic Volume-Return Relation of Individual Stocks." WP, August
15, 2000.
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FIN-00-033
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Engle, Robert F.; Patton, Andrew J. "Impacts
of Trades in an Error-Correction Model of Quote Prices." WP, August 22, 2000.
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FIN-00-034
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Engle, Robert F. "Dynamic Conditional
Correlation - A Simple Class of Multivariate Garch Models." WP, May 2000.
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FIN-00-035
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Engle, Robert F. "Financial Econometrics
- A New Discipline With New Methods."
WP, April 2000.
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FIN-00-036
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Acharya, Viral V.; Carpenter, Jennifer N. "Corporate
Bonds: Valuation, Hedging, and Optimal call and Default Policies." WP, February
18, 2000.
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FIN-00-037
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Figlewski, Stephen; Wang, Xiaozu. "Is
the "Leverage Effect" a Leverage Effect?." WP, November 6, 2000.
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FIN-00-038
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Carhart, Mark M.; Carpenter, Jennifer N.; Lynch, Anthony W.; Musto, David K.. "Mutual Fund Survivorship." WP, September
12, 2000.
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FIN-00-039
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Lynch, Anthony W. "Portfolio Choice
with Many Risky Assets, Market Clearing and Cash Flow Predictability." WP,
October 2000.
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FIN-00-040
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Ljungqvist, Alexander; Habib, Michel. "Firm
Value and Managerial Incentives." WP, November 30, 2000.
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FIN-00-041
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Amihud, Yakov. "Illiquidity And Stock
Returns: Cross-Section and Time-Series Effects." WP, August 2000.
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FIN-00-042
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Levy, Amnon. "Why Does Capital Structure
Choice Vary With Macroeconomic Conditions?" WP, December 1, 2000.
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FIN-00-043
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Cebenoyan, A. Sinan; Cooperman, Elizabeth S.; Register, Charles A. "Managerial Stock Ownership As A Corporate Control Device: When Is Enough, Enough?" WP, October 2000.
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FIN-00-044
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Cebenoyan, A. Sinan; Strahan, Philip E. "Risk
Management, Capital Structure and Capital Budgeting in Financial Institutions."
WP, September 27, 2000.
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FIN-00-045
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Hargis, Kent; Mei, Jianping. "What Are
the Sources of Country and Industry Diversification?"
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FIN-00-046
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Hasbrouck, Joel. "Intraday
Price Formation in US Equity Index Markets." WP, November 16, 2000.
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FIN-00-047
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Hasbrouck, Joel. "Stalking
the “Efficient Price”in Market Microstructure Specifications: An Overview." WP,
June 21, 2000.
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FIN-00-048
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John, Kose; Kedia, Simi. "Design of
Corporate Governance: Role of Ownership Structure, Takeovers, Bank Debt and Large Shareholder Monitoring." WP, August 2000.
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FIN-00-049
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John, Kose; Chidambaran, N.K.. "Managerial
Compensation and the Efficiency of Large Shareholder Monitoring." WP, September
2000.
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FIN-00-050
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John, Kose; Lynch, Anthony; Puri, Manju. "Credit
Ratings, Collateral and Loan Characteristics: Implications for Yield." WP,
November 2000.
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FIN-00-051
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Damodaran, Aswath; John, Kose; Liu, Crocker. "What
Motivates Managers? Evidence from Organizational Form Changes." WP, June 26,
2000.
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FIN-00-052
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Gande, Amar; John, Kose; Senbet, Lemma. "The
Role of Inventives in the Prevention of Financial Crises in Emerging Economies."
WP, September 30, 2000.
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FIN-00-053
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Dahiya, Sandeep; John, Kose; Puri, Manju; Ramirez, Gabriel. "The Dynamics of Debtor-in- Possession Financing: Bankruptcy Resolution and the Role of Prior Lenders." WP, September 2000
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FIN-00-054
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Cebenoyan, Sinan; Strahan, Philip. "Risk
Management, Capital Structure and Capital Budgeting in Financial Institutions."
WP, September 27, 2000.
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FIN-00-055
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Levy, Amon. "Why Does Capital Structure
Choice Vary With Macroeconomic Conditions?" WP, December 1, 2000.
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FIN-00-056
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Saunder, Anthony; Ingo Walter. "Are
Emerging-Market Equities a Separate Asset Class?" WP, July 8, 2000.
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FIN-00-057
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Brenner, Menachem; Ou, Ernest; Zhang, Jin. "Hedging
Volatility Risk." WP, November 2000.
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FIN-00-058
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Brown, Stephen J.; Steenbeek, Onno W. "Doubling:
Nick Leeson's trading strategy." WP, 2000
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FIN-00-059
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Yu, Lei. "On the Wealth and Risk Effects
of the Glass-Steagall Overhaul: Evidence from the Stock Market." WP, 2000
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FIN-00-060
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Altman, Edward; Saunders, Anthony. "Credit
Ratings and the Bis Reform Agenda" WP, 2000
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FIN-00-061
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Frydman, Halina ; Frydman, Roman; Trimbath, Susanne. "Cost Inefficiency, Size of Firms, and Takeovers." WP, 2000
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