The Department of Finance 1998 Working Paper Series was generously sponsored by:

FIN-98-001 Optimal Risk Management Using Options Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert F. Whitelaw October 1997

FIN-98-002 Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives George Allayannis, Eli Ofek July 1997

FIN-98-003Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade Edward I. Altman February 1998

FIN-98-004 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange Yakov Amihud, Haim Mendelson, Beni Lauterbach October 1997

FIN-98-005 Economic News and the Yield Curve: Evidence from the U.S. Treasury Market Pierluigi Balduzzi, Edwin J. Elton, T. Clifton Green October 1997

FIN-98-006 Optimal Retention in Principal/Agent Models Jeffrey S. Banks, Rangarajan K. Sundaram February 2, 1998

FIN-98-007 The Effects of Bank Mergers and Acquisitions on Small Business Lending Allen N. Berger, Anthony Saunders, Joseph M. Scalise, Gregory F. Udell January 1, 1998

FIN-98-008 Causes and Effects of Corporate Refocusing Programs Philip G. Berger, Eli Ofek August 1997

FIN-98-009 No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property Menachem Brenner, Young Ho Eom June 1997

FIN-98-010 Altering the Terms of Executive Stock Options Menachem Brenner, Rangarajan K. Sundaram, David Yermack February 8, 1998

FIN-98-011 Offshore Hedge Funds: Survival & Performance 1989-1995 Stephen J. Brown, William N. Goetzmann, Roger G. Ibbotson February 3, 1998

FIN-98-012 The Japanese Open-End Fund Puzzle Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Toshiyuki Otsuki, Noriyoshi Shiraishi October 3, 1998

FIN-98-013 The Dow Theory: William Peter Hamilton's Track Record Re-Considered Stephen J. Brown, William N. Goetzmann, Alok Kumar February 17, 1998

FIN-98-014 Hedge Funds and the Asian Currency Crisis of 1997 Stephen J. Brown, William N. Goetzmann, James M. Park January 13, 1998

FIN-98-015 Stock Price Performance Following Insider Option Exercise Jennifer N. Carpenter, Barbara Remmers is Now FIN-99-007 Executive Stock Option Exercises and Inside Information February 26, 1999

FIN-98-016 The Optimal Dynamic Investment Policy for A Fund Manager Compensated With An Incentive Fee Jennifer N. Carpenter is Now FIN-99-076 Does Option Compensation Increase Managerial Risk Appetite? August 1999

FIN-98-017 The Exercise and Valuation of Executive Stock Options Jennifer N. Carpenter November 21, 1997 Now published in Journal of Financial Economics 48, 127-158

FIN-98-018 Asymmetric Information, Corporate Myopia and Implications for Capital Gain Tax Rates Thomas J. Chemmanur, S. Abraham Ravid August 1997

FIN-98-019 The Effect of Leverage on Bidding Behavior: Theory and Evidence from the FCC Auctions Matthew J. Clayton, S. Abraham Ravid February 1998

FIN-98-020 Cross Holding and Imperfect Product Markets Matthew J. Clayton, Bjorn N. Jorgensen January 1998

FIN-98-021 Debt, Investment, and Product Market Competition Matthew J. Clayton July 1997

FIN-98-022 Cookie-Cutter versus Character: The Micro Structure of Small Business Lending by Large and Small Banks Rebel A. Cole, Lawrence G. Goldberg, Lawrence J. White December 16, 1997

FIN-98-023 Organizational Form Changes: Increasing Stockholder Wealth or Serving Managerial Interests? Aswath Damodaran, Kose John, Crocker H. Liu February 1998

FIN-98-024 Of Smiles and Smirks: A Term-Structure Perspective Sanjiv R. Das, Rangarajan K. Sundaram February 3, 1998

FIN-98-025 Youth, Adolescence, and Maturity of Banks: Credit Availability to Small Business in an Era of Banking Consolidation Robert DeYoung, Lawrence G. Goldberg, Lawrence J. White October 10, 1997

FIN-98-026 Modern Portfolio Theory, 1950 to Date Edwin J. Elton, Martin J. Gruber February 1998

FIN-98-027 Common Factors in Mutual Fund Returns Edwin J. Elton, Martin J. Gruber, Christopher R. Blake January 1998

FIN-98-028 Do Investors Care About Sentiment? Edwin J. Elton, Martin J. Gruber, Jeffrey A. Busse February 1998

FIN-98-029 Tax and Liquidity Effects in Pricing Government Bonds Edwin J. Elton, T. Clifton Green May 1997

FIN-98-030 Empirical Pricing Kernels Joshua Rosenberg, Robert F. Engle is now FIN-99-014 Empirical Pricing Kernels March 1999

FIN-98-031 Testing the Volatility Term Structure using Option Hedging Criteria Robert F. Engle, Joshua Rosenberg March 1998

FIN-98-032 The Adaptive Mesh Model: A New Approach to Efficient Option Pricing Stephen Figlewski, Bin Gao March 15, 1998

FIN-98-033 Derivatives Risks, Old and New Stephen Figlewski December 7, 1997

FIN-98-034 Privatization with Political Constraint: Auctions versus Private Negotiations Zsuzsanna Fluck, Kose John, S. Abraham Ravid April 15, 1997

FIN-98-035 Control Rights and Maturity: The Design of Debt, Equity, and Convertible Securities Zsuzsanna Fluck November 15, 1997

FIN-98-036 Why Do firms Merge and Then Divest: A Theory of Financial Synergy Zsuzsanna Fluck, Anthony Lynch October 8, 1998

FIN-98-037 The Dynamics of the Management-Shareholder Conflict Zsuzsanna Fluck January 1998

FIN-98-038 Where Does the Money Come From? The Financing of Small Entrepreneurial Enterprises Zsuzsanna Fluck, Douglas Holtz-Eakin, Harvey S. Rosen February 1998

FIN-98-039 De Novo Banks and Lending to Small Businesses: An Empirical Analysis Lawrence G. Goldberg, Lawrence J. White July 28, 1997

FIN-98-040 Has International Financial Integration Increased? Lawrence G. Goldberg, James R. Lothian, John Okunev September 1997

FIN-98-041 The Dynamics of Discrete Bid and Ask Quotes Joel Hasbrouck July 25, 1997

FIN-98-042 Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation Joel Hasbrouck October 5, 1998

FIN-98-043 A Theory of Bank Regulation and Management Compensation Kose John, Anthony Saunders, Lemma W. Senbet May 1998

FIN-98-044 Relationship Investing: Large Shareholder Monitoring with Managerial Cooperation N. K. Chidambaran, John Kose November 1998

FIN-98-045 Corporate Governance and Board Effectiveness Kose John, Lemma W. Senbet October 1997

FIN-98-046 Shareholder Proposals and Corporate Governance Kose John, April Klein March 1995

FIN-98-047 Analysis of Senior-Subordinated Structures Backed by Private-Label Mortgages Kose John, Crocker Liu, R. A. Radhakrishnan February 1998

FIN-98-048 Evaluating Stock Price Volatility: The Case of REITs Jarl Kallberg, Crocker H. Liu November 10, 1997

FIN-98-049 Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior Anthony W. Lynch, Pierluigi Balduzzi October 22, 1998

FIN-98-050 Understanding Fee Structures in the Asset Management Business Anthony W. Lynch, David K. Musto December 17, 1997

FIN-98-051 Compensation and Top Management Turnover Hamid Mehran, David Yermack November 1997

FIN-98-052 Does Equity-Based Compensation Increase Managers' Ownership? Eli Ofek, David Yermack November 1997

FIN-98-053 Toehold Strategies and Rival Bidders S. Abraham Ravid, Matthew Spiegel October 19, 1997

FIN-98-054 The Comparative Efficiency of Small-Firm Bankruptcies: A Study of the US and Finnish Bankruptcy Codes S. Abraham Ravid, S. Sundgren January 1998

FIN-98-055 Leverage Changes and Product Pricing Incentives -- A Tax Induced Analysis S. Abraham Ravid October 1997

FIN-98-056 Information, Blockbusters and Stars? A Study of the Film Industry S. Abraham Ravid November 1997

FIN-98-057 Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions Joshua Rosenberg June 1997

FIN-98-058 The Determinants of Bank Interest Rate Margins: An International Study Anthony Saunders, Liliana Schumacher September 1997

FIN-98-059 CEO Involvement in the Selection of New Board Members: An Empirical Analysis Anil Shivdasani, David Yermack May 1998

FIN-98-060 Global Patterns of Mergers and Acquisition Activity in the Financial Services Industry Roy C. Smith, Ingo Walter January 1998

FIN-98-061 Risks and Rewards in Emerging Market Investment Roy C. Smith, Ingo Walter June 1997

FIN-98-062 The European Securities Industry Under A Single Currency Roy C. Smith February 1998

FIN-98-063 Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk Marti G. Subrahmanyam, Günter Franke, Richard C. Stapleton February 1998

FIN-98-064 Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates Marti G. Subrahmanyam, Richard C. Stapleton February 1998

FIN-98-065 Why are Options Expensive? Marti G. Subrahmanyam, Günter Franke, Richard C. Stapleton February 1998

FIN-98-066 The Size of Background Risk and the Theory of Risk Bearing Marti G. Subrahmanyam, Günter Franke, Richard C. Stapleton February 1998

FIN-98-067 The Valuation of American Barrier Options Using the Decomposition Technique Marti G. Subrahmanyam, Bin Gao, Jing-zhi Huang September 21, 1998

FIN-98-068 An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps Marti G. Subrahmanyam, Anurag Gupta April 1998

FIN-98-069 Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps Marti G. Subrahmanyam, Young Ho Eom, Jun Uno February 1998

FIN-98-070 An Arbitrage-free Two-factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach Marti G. Subrahmanyam, Sandra Peterson, Richard C. Stapleton May 5, 1998

FIN-98-071 The Symptoms of Lyme Disease Irwin Vanderhoof February 1998

FIN-98-072 The Global Asset Management Industry: Competitive Structure, Conduct and Performance Ingo Walter February 1998

FIN-98-073Stock Market Risk and Return: An Equilibrium Approach Robert F. Whitelaw October 1997

FIN-98-074 Time-Varying Sharpe Ratios and Market Timing Robert F. Whitelaw November 1997

FIN-98-075 Mexico's Banking Crisis: Devaluation and Asset Concentration Effects Berry Wilson, Anthony Saunders, Gerard Caprio, Jr. November 1997

FIN-98-076 Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data Joel Hasbrouck August 14, 1998

FIN-98-077 Survivorship Bias and Attrition Effects in Measures of Performance Persistence Jennifer Carpenter, Anthony Lynch October 19, 1998

FIN-98-078 Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis Marti G. Subrahmanyam, Young Ho Eom, Jun Uno April 1998

FIN-98-079 Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange Francis X. Diebold, Jinyong Hahn, Anthony S. Tay August 26, 1998

FIN-98-080 How Relevant is Volatility Forecasting for Financial Risk Management? Peter F. Christoffersen, Francis X. Diebold October 17, 1998

FIN-98-081 Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management Francis X. Diebold, Til Schuermann, John D. Stroughair March 1998

FIN-98-082 An Asset Allocation Puzzle: When is A Puzzle Not A Puzzle? Edwin J. Elton, Martin J. Gruber April 20, 1998

FIN-98-083 Specification Analysis of Affine Term Structure Models Qiang Dai, Kenneth J. Singleton October 27, 1998

FIN-98-084 Bank Capital and Bank Structure: A Comparative Analysis of the US, UK and Canada Anthony Saunders, Berry Wilson October, 1998

FIN-98-085 The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis Sanjiv Ranjan Das, Rangarajan K. Sundaram February 9, 1998

FIN-98-086 An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming N. K. Chidambaran, Chi-Wen Jevons Lee, Joaguin R. Trigueros November 1998

FIN-98-087 Credit Enhancement Through Targeted Risk Managment: Freeport-McMoRan's Gold-Dominated Depository Shares N. K. Chidambaran, Chitru S. Fernando, Paul A. Spindt November 1998

FIN-98-088 Contract Renegotiation and the Optimality of resetting Executive Stock Options Viral V. Acharya, Kose John, Rangarajan K. Sundaram December 9, 1998

FIN-98-089 Price Formation in the OTC Corporate Bond Markets: A Field Study of the Inter-Dealer Market Anthony Saunders, Anand Srinivasan, Ingo Walter October 1998
 
FIN-98-090 The Impact of the Likelihood of Turnover on Executive Compensation Jay C. Hartzell October 1998