The Department of Finance 1999 Working Paper Series was generously sponsored by:

FIN-99-001 An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps Anurag Gupta, and Marti G. Subrahmanyam February 1999

FIN-99-002 The Valuation of American Barrier Options Using the Decomposition Technique B. Gao J. Huang and Marti G. Subrahmanyam October 26, 1999

FIN-99-003 When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel Guntar Franke, Richard C. Stapleton, and Marti G. Subrahmanyam December 1999

FIN-99-004 Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-1998 Edward I. Altman, and Luis Beltran January 2000

FIN-99-005 Defaults & Returns on High Yield Bonds: Analysis Through 1998 and Default Outlook for 1999-2001 Edward I. Altman, Diane Cooke, and Vellore Kishore January 1999

FIN-99-006 Privatization with Political Constraints: Auctions versus Private Negotiations Zsuzsanna Fluck, Kose John, and S. Abraham Ravid January 1, 1999

FIN-99-007 Executive Stock Option Exercises and Inside Information Jennifer N. Carpenter, and Barbara Remmers February 26, 1999

FIN-99-008 Continuous Time Equilibrium Pricing of Nonredundant Assets Elyes Jouini, and Clotilde Napp March 2, 1999

FIN-99-009 Pricing of Non-redundant Derivatives in a Complete Market Elyes Jouini, Pierre-Francois Koehl and Abdelhamid Bizid March 2, 1999

FIN-99-010 Regime Shifts and Bond Returns Jacob Boudoukh, Matthew Richardson, Tom Smith, and Robert Whitelaw November 1, 1999

FIN-99-011 Common Factors in Prices, Order Flows and Liquidity Joel Hasbrouck, and Duane J. Seppi December 31, 1998

FIN-99-012 Trading Fast and Slow: Security Market Events in Real Time Joel Hasbrouck February 19, 1999

FIN-99-013 A Direct Approach to Arbitrage-Free Pricing of Derivatives Sanjiv Ranjan Das, and Rangarajan K. Sundaram November 1998

FIN-99-014 Empirical Pricing Kernels Joshua Rosenberg, and Robert F. Engle August 1999

FIN-99-015 Empirical Tests of Interest Rate Model Pricing Kernels Joshua Rosenberg May 1999

FIN-99-016 Financial Services Strategies in the Euro-Zone Ingo Walter March 1999
 
FIN-99-017 Forecasting Multifractal Volatility Laurent Calvet, and Adlai Fisher February 1999

FIN-99-018 Value Creation and Enhancement: Back to the Future Aswath Damodaran 1999

FIN-99-019 Estimating Risk Parameters Aswath Damodaran 1999

FIN-99-020 Financing Innovations and Capital Structure Choices Aswath Damodaran 1999

FIN-99-021 Estimating Equity Risk Premiums Aswath Damodaran 1999

FIN-99-022 The Dark Side of Valuation: Firms with No Earnings, No History and No Comparables Aswath Damodaran 1999

FIN-99-023 Dealing with Operating Leases in Valuation Aswath Damodaran 1999

FIN-99-024 Research and Development Expense: Implications for Profitability Measurement and Valuation Aswath Damodaran 1999

FIN-99-025 Asset Pricing Puzzles: Evidence from Options Markets Joshua Rosenberg July 1999

FIN-99-026 Option-Based Tests of Interest Rate Diffusion Functions Joshua Rosenberg June 1999

FIN-99-027 Implied Volatility Functions: A Reprise Joshua Rosenberg July 1999

FIN-99-028 Semiparametric Pricing of Multivariate Contingent Claims Joshua Rosenberg August 1999

FIN-99-029 Optimal Compensation for Fund Managers of Uncertain Type: The Information Advantages of Bonus Schemes Alexander Stremme October 1999

FIN-99-030 Price Impact Asymmetry of Block Trades: An Institutional Trading Gideon Saar October 1999

FIN-99-031 The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence Alexander Shapiro September 1999

FIN-99-032 Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices Suleyman Basak, and Alexander Shapiro October 1999

FIN-99-033 Arbitrage and Viability in Securities Markets with Fixed Trading Costs Elyès Jouini, Hédi Kallal and Clotilde Napp July 1999

FIN-99-034 Arbitrage and Investment Opportunities Elyès Jouini, and Clotilde Napp September 1999

FIN-99-035 Efficient Trading Strategies in the Presence of Market Frictions Elyès Jouini, and Hédi Kallal September 1999

FIN-99-036 Viability and Equilibrium in Securities Markets with Frictions Elyès Jouini, and Hédi Kallal March 1999

FIN-99-037 Optimal Investment with Taxes: An Existence Result Elyès Jouini, Pierre-Francois Koehl and Nizar Touzi July 1999

FIN-99-038 Price Functionals with Bid-Ask Spreads: An Axiomatic Approach Elyès Jouini May 1999

FIN-99-039 The Impact of the Rule of Law on the Structure and Function of Securities Markets Larry Alan Bear, and Rita Maldonado-Bear September 1999

FIN-99-040 Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson, and Robert Whitelaw November 1999

FIN-99-041 Dividend Policy and Clientele Rationality Lee Nelson December 14, 1999

FIN-99-042 A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility Jacob Boudoukh, Matthew Richardson, Richard Stanton, and Robert Whitelaw June 1999

FIN-99-043 Temporal Resolution of Uncertainty and Corporate Debt Yields: an Empirical Investigation Alexander Reisz November 1999

FIN-99-044 Temporal Resolution of Uncertainty, the Investment Policy of Levered Firms and Corporate Debt Yields Alexander Reisz October 26, 1999

FIN-99-045 The Term Structure of Interest Rate-Futures Prices R.C. Stapleton and Marti G. Subrahmanyam September 29, 1999

FIN-99-046 Portfolio Performance and Agency Philip H. Dybvig, Heber K. Farnsworth, and Jennifer Carpenter December 1999

FIN-99-047 Margin Rules, Informed Trading in Derivatives and Price Dynamics K. John, A. Koticha, R. Narayanan and Marti G. Subrahmanyam December 1999

FIN-99-048 Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt V. Acharya, J. Huang, Marti G. Subrahmanyam and R. Sundaram December 8, 1999

FIN-99-049 Political Risk, Financial Crisis, and Market Volatility Jianping Mei August 1999

FIN-99-050 Wealth Creation and Destruction from Brooke Group's Tobacco Litigation Strategy Sandeep Dahiya and David Yermack December 1999

FIN-99-051 Major League Baseball Player Contracts: An Investigation of the Empirical Properties of Real Options Matthew Clayton and David Yermack November 1999

FIN-99-052 Crisis Dynamics of Implied Default Recovery Ratios: Evidence From Russia and Argentina John J. Merrick, Jr. November 1999

FIN-99-053 Optimal Compensation Contracts with Pay-For-Performance and Termination Incentives Greg Hallman and Jay C. Hartzell December 1999

FIN-99-054 The IPO Lock-Up Period: Implications for Market Efficiency And Downward Sloping Demand Curves Eli Ofek and Matthew Richardson January 2000

FIN-99-055 The Effect of Leverage on Bidding Behavior: Theory and Evidence from the FCC Auctions Matthew J. Clayton and S. Abraham Ravid December 1999

FIN-99-056 Debt, Investment, and Product Market Competition Matthew J. Clayton January 1999

FIN-99-057 On the Formation and Structure of International Exchanges Matthew J. Clayton, Bjorn N. Jorgensen, and Kenneth A. Kavajecz September 14, 1999

FIN-99-058 Cross Holding and Imperfect Product Markets Matthew J. Clayton, Bjorn N. Jorgensen September 1999

FIN-99-059 The Distribution of Exchange Rate Volatility Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys November 2, 1999

FIN-99-060 Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys October 26, 1999

FIN-99-061 (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys October 26, 1999

FIN-99-062 Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management Anil Bangia, Francis X. Diebold, Til Schuermann and John D. Stroughair December 21, 1998

FIN-99-063 Unit Root Tests are Useful for Selecting Forecasting Models Francis X. Diebold and Lutz Kilian January 18, 1999

FIN-99-064 The Effects of Deregulation on the Performance of Financial Institutions: The Case of Spanish Savings Banks Subal C. Kumbhakar, Ana Lozano-Vivas, C. A. Knox Lovell, and Iftekhar Hasan 1999

FIN-99-065 Underpricing of Venture and Non Venture Capital IPOs: An Empirical Investigation Bill B. Francis and Iftekhar Hasan 1999

FIN-99-066 The Determinants of De Novo Bank Survival Robert DeYoung, Iftekhar Hasan, and William C. Hunter 1999

FIN-99-067 A Rational Explanation For Home Country Bias Iftekhar Hasan, and Yusif Simaan 1999

FIN-99-068 Organizational Form and Expense Preference: Spanish Experience Iftekhar Hasan, and Ana Lozano 1999

FIN-99-069 Capital Structure Decisions in Small and Large Firms: A Life-cycle Theory of Financing Zsuzsanna Fluck October 31, 1999

FIN-99-070 Contingent Control Rights and Managerial Incentives: The Design of Long-term Debt Zsuzsanna Fluck November 1, 1999

FIN-99-071 Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash Adlai Fisher September 1999

FIN-99-072 A Multifractal Model of Assets Returns Laurent Calvet, Adlai Fisher, and Benoit Mandelbrot March 1999

FIN-99-073 Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability Anthony W. Lynch December 1999

FIN-99-074 1998 Survey of Derivatives and Risk Management Practices by U.S. Institutional Investors Richard M. Levich, Gregory S. Hayt and Beth A. Ripston October 1999

FIN-99-075 Underpricing of New Equity Offerings by Privatized Firms: An International Test Qi Huang and Richard M. Levich September 14, 1999

FIN-99-076 Does Option Compensation Increase Managerial Risk Appetite? Jennifer Carpenter August 1999 Now forthcoming in Journal of Finance

FIN-99-077 Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs Stephen Brown June 30, 1999

FIN-99-078 The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model Sandra Peterson, Richard C. Stapleton, and Marti G. Subrahmanyam December 8, 1999

FIN-99-079 What Motivates Managers? Evidence from Organizational Form Changes Aswath Damodaran, Kose John, and Crocker H. Liu November 23, 1999

FIN-99-080 The Value Added from Investment Managers: an Examination of Funds of REITs Jarl G. Kallberg, Crocker H. Liu, and Charlese Trzcinka March 8, 1999

FIN-99-081 Evaluating Stock Price Volatility Jarl G. Kallberg, Crocker H. Liu, and Anand Srinivasan November 11, 1999

FIN-99-082 Explaining the Rate Spread on Corporate Bonds Edward J. Elton, Martin J. Gruber, Deepak Agrawal and Christopher Mann September 24, 1999

FIN-99-083 Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses Paul Bennett, Kenneth Garbade, and John Kambhu November 23, 1999

FIN-99-084 An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings Edward Altman, and Anthony Saunders January 2000

FIN-99-085 Fee Speech: Signalling and the Regulation of Mutual Fund Fees Sanjiv Ranjan Das, and Rangarajan K. Sundaram April 4, 1999

FIN-99-086 The Price of Options Illiquidity Menachem Brenner, Rafi Eldor, and Shmuel Hauser September 1999

FIN-99-087 On the Optimality of Resetting Executive Stock Options Viral Acharya, Kose John, and Rangarajan K. Sundaram December 8, 1999