Working Papers Series 2002

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FIN-02-001

Grishchenko, Olesya V.; Litov, Lubomir P. and Mei, Jianping. " Private Information Trading and Corporate Governance In Emerging Markets"  WP  October 2002.

FIN-02-002

Inderst, Roman and Mueller, Holger M.   "Venture Capital Contracts and Market Structure"  WP  January 2002.

FIN-02-003

Brito, Jose Almeida and John, Kose.   "Leverage and Growth Opportunities: Risk-Avoidance Induced by Risky Debt"  WP  January 2002.

FIN-02-004

Gervais, Simon; Lynch, Anthony W. Musto, David K.   "Delegated Monitoring of Fund Managers"  WP  July 2002.

FIN-02-005

Doukas, John A.; Kim, Chansog and Pantzalis, Christos.   "Discounted Stocks and Excess Analyst Coverage"  WP  January 2002.

FIN-02-006

Doukas, John A. and Padmanabhan, Prasad.   "The Operational Hedging Properties of Intangible Assets: The Case of Non-voluntary Foreign Asset Selloffs"  WP  February 2002.

FIN-02-007

Saunders, Anthony and Stover, Roger D.   "Commercial Bank Underwriting of Credit-Enhanced Bonds: Are there Certification Benefits to the Issuer?"  WP  March 2002.

FIN-02-008

Ahimud, Yakov; DeLong, Gayle L. and Saunders, Anthony.   "The Effects of Cross-Border Bank Mergers on Bank Risk and Value"  WP  March 2002.

FIN-02-009

Amihud, Yakov; Kahan, Marcel and Sundaram, Rangarajan.   "The Foundations of Freezeout Laws in Takeovers"  WP  October 2002.  Revised August 2003

FIN-02-010

Inderst, Roman; Mueller, Holger M. and Warneryd, Karl.   "Distributional Conflict in Organizations"  WP  February 2002.

FIN-02-011

Brown, Stephen J.; Goetzmann, William N.; Hiraki, Takato; Shiraishi, Noriyoshi and Watanabe, Masahiro.   "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows"  WP March 2002.

FIN-02-012

Baker, Malcolm and Wurgler, Jeffrey.   "A Catering Theory of Dividends"  WP November 2002.

FIN-02-013

Acharya, Viral V.; Huang, Jing-zhi; Subrahmanyam, Marti G. and Sundaram, Rangarajan K.   "When Does Strategic Debt Service Matter?"  WP May 2002.

FIN-02-014

Brenner, Menachem; Sundaram, Rangarajan K. and Yermack, David.   "On Rescissions in Executive Stock Options"  WP April 2002.

FIN-02-015

Gautier, Axel and Heider, Florian.   "The benefit and cost of winner-picking: Redistribution vs. Incentives"  WP April 2002.

FIN-02-016

John, Kose and Reisz, Alexander S.   "Temporal Resolution of Uncertainty, the Investment Policy of Levered Firms and Corporate Debt Yields "  WP March 2002.

FIN-02-017

Nagar, Venky; Petroni, Kathy and Wolfenzon, Daniel   "Ownership and Performance in Close Corporations: A Natural Experiment in Exogenous Ownership Structure"  WP February 2002.

FIN-02-018

Allen, Linda and Saunders, Anthony   "A Survey of Cyclical Effects in Credit Risk Measurement Models" WP May 2002.

FIN-02-019

Amihud, Yakov and Hurvich, Clifford M.   "Predictive Regressions: A Reduced-Bias Estimation Method" WP January 2003.   Revised June 2003

FIN-02-020

Walter, Ingo  " Financial integration across borders and across sectors: implications for regulatory structures " WP June 2002.

FIN-02-021

Silber, William L.  " On the Nature of Trading: Do Speculators Leave Footprints? "  WP
August 2002.

FIN-02-022

Figlewski, Stephen  " Assessing the Incremental Value of Option Pricing Theory Relative to an ‘Informationally Passive’ Benchmark "  WP September 2002.

FIN-02-023

Almeida, Heitor and Wolfenzon, Daniel   " The Effect of External Finance and Internal Capital Markets on the Equilibrium Allocation of Capital"  WP September 2002.

FIN-02-024

Lettau, Martin and Ludvigson, Sydney C.   " Expected Returns and Expected Dividend Growth";  WP September 2002.

FIN-02-025

Walter, Ingo   " Strategies in Financial Services, the Shareholders and the System Is Bigger and Broader Better?"  WP September 2002.

FIN-02-026

Ljungqvist, Alexander   " Conflicts of interest and efficient contracting in IPOs"  WP September 2002.

FIN-02-027

Heider, Florian   " Signalling risk and value: a unifying approach"  WP June 2002.

FIN-02-028

Brown, Stephen J.; Goetzmann, William N.; Hiraki Takato and Shiraishi, Noriyoshi.   " An analysis of the relative performance of Japanese and foreign money management"  WP September 2002.

FIN-02-029

Bloomfield, Robert; O´Hara, Maureen and Saar, Gideon   " The "Make or Take" Decision in an Electronic Market: Evidence on the Evolution of Liquidity"  WP August 2002. Revised January 2003

FIN-02-030

Almeida, Heitor; Campello, Murillo and Weisbach, Michael S.   " Corporate Demand for Liquidity"  WP September 2002.

FIN-02-031

Brown, Stephen J.; Goetzmann, William N. and Liang, Bing   " Fees on Fees in Funds of Funds";  WP October 2002.

FIN-02-032

Yermack, David   " Remuneration, Retention, and Reputation Incentives for Outside Directors" ;  WP September 2002.

FIN-02-033

Ofek, Eli and Richardson, Matthew.   " The Valuation and Market Rationality of Internet Stock Prices"  WP October 2002.

FIN-02-034

Ofek, Eli; Richardson, Matthew and Whitelaw, Robert F.   " Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets"   WP October 2002.

FIN-02-035

Pasquariello, Paolo   " Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity, and Transaction Costs in Proximity of Central Bank Interventions"   WP October 2002.

FIN-02-036

Pasquariello, Paolo   " Central Bank Intervention and the Intraday Process of Price Formation in the Currency Markets"   WP October 2002.

FIN-02-037

Engle, Robert   " New Frontiers for Arch Models"   WP June 2002.

FIN-02-038

Engle, Robert   " Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models"
WP January 2002.

FIN-02-039

Mei, Jianping and Moses, Michael    " Are Investors Credulous? Some Preliminary Evidence from Art Auctions"   WP October 2002.

FIN-02-040

Huang, Jing-zhi and Huang, Ming   " How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?"   WP October 2002.

FIN-02-041

Altman, Edward I.   " Revisiting Credit Scoring Models in a Basel 2 Environment"   WP May 2002.

FIN-02-042

Calvet, Laurent; Gonzalez-Eiras, Martin and Sodini, Paolo   " Financial Innovation, Market Participation and Asset Prices"   WP March 2002.

FIN-02-043

Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing and Whitelaw, Robert F.   " Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market"  WP Revised February 2003.

FIN-02-044

Allen, Linda and Saunders, Anthony    " Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature"   WP December 2002.

FIN-02-045

Elton, Edwin J.; Gruber, Martin J. and Busse, Jeffrey A.   " Are Investors Rational? Choices Among Index Funds"   WP October 2002.

FIN-02-046

Elton, Edwin J. and Gruber, Martin J.   " Optimum Centralized Portfolio Construction with Decentralized Portfolio Management"   WP October 2002.

FIN-02-047

Elton, Edwin J.; Gruber, Martin J. and Blake, Christopher R.   " Marginal Stockholder Tax Effects and Ex-Dividend Day Behavior-Thirty-Two Years Later"   WP October 2002.

FIN-02-048

Landskroner, Yoram and Raviv, Alon   " Pricing inflation-indexed convertible bonds with credit risk"   WP October 2002.

FIN-02-049

Altman, Edward I.; Brady, Brooks; Resti, Andrea and Sironi, Andrea   " The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality"   WP July 2002.

FIN-02-050

Altman, Edward I. and Bana, Gaurav   " Defaults and Returns on High Yield Bonds: Analysis Through September 30, 2002"   WP October 2002.

FIN-02-051

Almeida, Heitor; Campello, Murillo and Liu, Crocker   " The Financial Accelerator in Household Spending: Evidence from International Housing Markets"   WP November 2002.

FIN-02-052

Altman, Edward I.   " Corporate Distress Prediction Models in a Turbulent Economic and BASEL II Environment"   WP September 2002.

FIN-02-053

Hamao, Yasushi; Mei, Jianping and Xu, Yexiao   " Idiosyncratic Risk and Creative Destruction in Japan"   WP November 2002.

FIN-02-054

Dai, Qiang and Singleton, Kenneth   " Term Structure Dynamics in Theory and Reality"   WP July 2002.

FIN-02-055

Dai, Qiang and Singleton, Kenneth   " Fixed Income Pricing"   WP July 2002.

FIN-02-056

Baker, Malcolm and Wurgler, Jeffrey   " Why are dividends disappearing? An empirical analysis"
WP November 2002.

FIN-02-057

Dai, Qiang   " Time Series and Cross-sectional Variations of Expected Returns"   WP October 2002.

FIN-02-058

Cebenoyan, Fatma; Cebenoyan, A. Sinan and Cooperman, Elizabeth S.   " The Determinants of Takeovers: Recent Evidence from U.S. Thrifts"   WP December 2002.

FIN-02-059

Inderst, Roman and Mueller, Holger M.   " Credit Risk Analysis and Security Design"   WP November 2002.

FIN-02-060

Kallberg, Jarl G.; Liu, Crocker H. and Srinivasan, Anand   " Limited Partnerships and Reputation Formation"   WP November 2002.

FIN-02-061

Amihud, Yakov and Li, Keifer.   " The Declining Information Content of Dividend Announcements and the Effect of Institutional Holdings"   WP December 2002.

FIN-02-062

Basak, Suleyman; Pavlova, Anna and Shapiro, Alex.   " Offsetting the Incentives: Risk Shifting, and Benefits of Benchmarking in Money Management"   WP December 2002.

FIN-02-063

Lynch, Anthony and Tan, Sinan.   " Multiple Risky Assets, Transaction Costs and Return Predictability: Implications for Portfolio Choice"   WP December 2002.

FIN-02-064

Calvet, Laurent and Fisher, Adlai   " Regime-Switching and the Estimation of Multifractal Processes" WP December 2002.

FIN-02-001	Grishchenko, Olesya V.; Litov, Lubomir P. and Mei, Jianping. " Private Information Trading and Corporate Governance In Emerging Markets" WP October 2002.
FIN-02-002	Inderst, Roman and Mueller, Holger M. "Venture Capital Contracts and Market Structure" WP January 2002.
FIN-02-003	Brito, Jose Almeida and John, Kose. "Leverage and Growth Opportunities: Risk-Avoidance Induced by Risky Debt" WP January 2002.
FIN-02-004	Gervais, Simon; Lynch, Anthony W. Musto, David K. "Delegated Monitoring of Fund Managers" WP July 2002.
FIN-02-005	Doukas, John A.; Kim, Chansog and Pantzalis, Christos. "Discounted Stocks and Excess Analyst Coverage" WP January 2002.
FIN-02-006	Doukas, John A. and Padmanabhan, Prasad. "The Operational Hedging Properties of Intangible Assets: The Case of Non-voluntary Foreign Asset Selloffs" WP February 2002.
FIN-02-007	Saunders, Anthony and Stover, Roger D. "Commercial Bank Underwriting of Credit-Enhanced Bonds: Are there Certification Benefits to the Issuer?" WP March 2002.
FIN-02-008	Ahimud, Yakov; DeLong, Gayle L. and Saunders, Anthony. "The Effects of Cross-Border Bank Mergers on Bank Risk and Value" WP March 2002.
FIN-02-009	Amihud, Yakov; Kahan, Marcel and Sundaram, Rangarajan. "The Foundations of Freezeout Laws in Takeovers" WP October 2002. Revised August 2003
FIN-02-010	Inderst, Roman; Mueller, Holger M. and Warneryd, Karl. "Distributional Conflict in Organizations" WP February 2002.
FIN-02-011	Brown, Stephen J.; Goetzmann, William N.; Hiraki, Takato; Shiraishi, Noriyoshi and Watanabe, Masahiro. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows" WP March 2002.
FIN-02-012	Baker, Malcolm and Wurgler, Jeffrey. "A Catering Theory of Dividends" WP November 2002.
FIN-02-013	Acharya, Viral V.; Huang, Jing-zhi; Subrahmanyam, Marti G. and Sundaram, Rangarajan K. "When Does Strategic Debt Service Matter?" WP May 2002.
FIN-02-014	Brenner, Menachem; Sundaram, Rangarajan K. and Yermack, David. "On Rescissions in Executive Stock Options" WP April 2002.
FIN-02-015	Gautier, Axel and Heider, Florian. "The benefit and cost of winner-picking: Redistribution vs. Incentives" WP April 2002.
FIN-02-016	John, Kose and Reisz, Alexander S. "Temporal Resolution of Uncertainty, the Investment Policy of Levered Firms and Corporate Debt Yields " WP March 2002.
FIN-02-017	Nagar, Venky; Petroni, Kathy and Wolfenzon, Daniel "Ownership and Performance in Close Corporations: A Natural Experiment in Exogenous Ownership Structure" WP February 2002.
FIN-02-018	Allen, Linda and Saunders, Anthony "A Survey of Cyclical Effects in Credit Risk Measurement Models" WP May 2002.
FIN-02-019	Amihud, Yakov and Hurvich, Clifford M. "Predictive Regressions: A Reduced-Bias Estimation Method" WP January 2003. Revised June 2003
FIN-02-020	Walter, Ingo " Financial integration across borders and across sectors: implications for regulatory structures " WP June 2002.
FIN-02-021	Silber, William L. " On the Nature of Trading: Do Speculators Leave Footprints? " WP August 2002.
FIN-02-022	Figlewski, Stephen " Assessing the Incremental Value of Option Pricing Theory Relative to an ‘Informationally Passive’ Benchmark " WP September 2002.
FIN-02-023	Almeida, Heitor and Wolfenzon, Daniel " The Effect of External Finance and Internal Capital Markets on the Equilibrium Allocation of Capital" WP September 2002.
FIN-02-024	Lettau, Martin and Ludvigson, Sydney C. " Expected Returns and Expected Dividend Growth"; WP September 2002.
FIN-02-025	Walter, Ingo " Strategies in Financial Services, the Shareholders and the System Is Bigger and Broader Better?" WP September 2002.
FIN-02-026	Ljungqvist, Alexander " Conflicts of interest and efficient contracting in IPOs" WP September 2002.
FIN-02-027	Heider, Florian " Signalling risk and value: a unifying approach" WP June 2002.
FIN-02-028	Brown, Stephen J.; Goetzmann, William N.; Hiraki Takato and Shiraishi, Noriyoshi. " An analysis of the relative performance of Japanese and foreign money management" WP September 2002.
FIN-02-029	Bloomfield, Robert; O´Hara, Maureen and Saar, Gideon " The "Make or Take" Decision in an Electronic Market: Evidence on the Evolution of Liquidity" WP August 2002. Revised January 2003
FIN-02-030	Almeida, Heitor; Campello, Murillo and Weisbach, Michael S. " Corporate Demand for Liquidity" WP September 2002.
FIN-02-031	Brown, Stephen J.; Goetzmann, William N. and Liang, Bing " Fees on Fees in Funds of Funds"; WP October 2002.
FIN-02-032	Yermack, David " Remuneration, Retention, and Reputation Incentives for Outside Directors" ; WP September 2002.
FIN-02-033	Ofek, Eli and Richardson, Matthew. " The Valuation and Market Rationality of Internet Stock Prices" WP October 2002.
FIN-02-034	Ofek, Eli; Richardson, Matthew and Whitelaw, Robert F. " Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets" WP October 2002.
FIN-02-035	Pasquariello, Paolo " Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity, and Transaction Costs in Proximity of Central Bank Interventions" WP October 2002.
FIN-02-036	Pasquariello, Paolo " Central Bank Intervention and the Intraday Process of Price Formation in the Currency Markets" WP October 2002.
FIN-02-037	Engle, Robert " New Frontiers for Arch Models" WP June 2002.
FIN-02-038	Engle, Robert " Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models" WP January 2002.
FIN-02-039	Mei, Jianping and Moses, Michael " Are Investors Credulous? Some Preliminary Evidence from Art Auctions" WP October 2002.
FIN-02-040	Huang, Jing-zhi and Huang, Ming " How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?" WP October 2002.
FIN-02-041	Altman, Edward I. " Revisiting Credit Scoring Models in a Basel 2 Environment" WP May 2002.
FIN-02-042	Calvet, Laurent; Gonzalez-Eiras, Martin and Sodini, Paolo " Financial Innovation, Market Participation and Asset Prices" WP March 2002.
FIN-02-043	Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing and Whitelaw, Robert F. " Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market" WP Revised February 2003.
FIN-02-044	Allen, Linda and Saunders, Anthony " Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature" WP December 2002.
FIN-02-045	Elton, Edwin J.; Gruber, Martin J. and Busse, Jeffrey A. " Are Investors Rational? Choices Among Index Funds" WP October 2002.
FIN-02-046	Elton, Edwin J. and Gruber, Martin J. " Optimum Centralized Portfolio Construction with Decentralized Portfolio Management" WP October 2002.
FIN-02-047	Elton, Edwin J.; Gruber, Martin J. and Blake, Christopher R. " Marginal Stockholder Tax Effects and Ex-Dividend Day Behavior-Thirty-Two Years Later" WP October 2002.
FIN-02-048	Landskroner, Yoram and Raviv, Alon " Pricing inflation-indexed convertible bonds with credit risk" WP October 2002.
FIN-02-049	Altman, Edward I.; Brady, Brooks; Resti, Andrea and Sironi, Andrea " The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality" WP July 2002.
FIN-02-050	Altman, Edward I. and Bana, Gaurav " Defaults and Returns on High Yield Bonds: Analysis Through September 30, 2002" WP October 2002.
FIN-02-051	Almeida, Heitor; Campello, Murillo and Liu, Crocker " The Financial Accelerator in Household Spending: Evidence from International Housing Markets" WP November 2002.
FIN-02-052	Altman, Edward I. " Corporate Distress Prediction Models in a Turbulent Economic and BASEL II Environment" WP September 2002.
FIN-02-053	Hamao, Yasushi; Mei, Jianping and Xu, Yexiao " Idiosyncratic Risk and Creative Destruction in Japan" WP November 2002.
FIN-02-054	Dai, Qiang and Singleton, Kenneth " Term Structure Dynamics in Theory and Reality" WP July 2002.
FIN-02-055	Dai, Qiang and Singleton, Kenneth " Fixed Income Pricing" WP July 2002.
FIN-02-056	Baker, Malcolm and Wurgler, Jeffrey " Why are dividends disappearing? An empirical analysis" WP November 2002.
FIN-02-057	Dai, Qiang " Time Series and Cross-sectional Variations of Expected Returns" WP October 2002.
FIN-02-058	Cebenoyan, Fatma; Cebenoyan, A. Sinan and Cooperman, Elizabeth S. " The Determinants of Takeovers: Recent Evidence from U.S. Thrifts" WP December 2002.
FIN-02-059	Inderst, Roman and Mueller, Holger M. " Credit Risk Analysis and Security Design" WP November 2002.
FIN-02-060	Kallberg, Jarl G.; Liu, Crocker H. and Srinivasan, Anand " Limited Partnerships and Reputation Formation" WP November 2002.
FIN-02-061	Amihud, Yakov and Li, Keifer. " The Declining Information Content of Dividend Announcements and the Effect of Institutional Holdings" WP December 2002.
FIN-02-062	Basak, Suleyman; Pavlova, Anna and Shapiro, Alex. " Offsetting the Incentives: Risk Shifting, and Benefits of Benchmarking in Money Management" WP December 2002.
FIN-02-063	Lynch, Anthony and Tan, Sinan. " Multiple Risky Assets, Transaction Costs and Return Predictability: Implications for Portfolio Choice" WP December 2002.
FIN-02-064	Calvet, Laurent and Fisher, Adlai " Regime-Switching and the Estimation of Multifractal Processes" WP December 2002.