WORKING PAPER ABSTRACTS - 1973 Listed below are the abstracts for all of the working papers for this year. To see a list of paper titles (with links to available PDF files) click here. 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 01-73 Mythodology in Finance Irwin Friend no abstract 02-73 The Arbitrage Theory of Capital Asset Pricing Stephen A. Ross no abstract 03-73 The Error Learning Hypothesis and the Term Structure of Interest Rates in Eurodollars Anthony M. Santomero The expectations hypothesis used to explain the term structure of interest rates has as its main empirical support the error learning hypothesis first introduced by David Meiselman [1962]. Since the publication of his work, however, there has been considerable disagreement as to the robustness of his empirical estimation procedure. The present study will continue that inquiry. This will be accomplished by employing the error learning approach to the term structure in a new market, the Eurodollar market. It is felt that the explicit term structure in this market is preferable to the approach used heretofore of free-hand approximations of the yield curve, and will result in the first unbiased data set. 04-73 Performance of New Mining Issues James E. Walter no abstract 05-73 An Analysis of Devaluation Wilfred, J. Ethier no abstract 06-73 The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models Randolph Westerfield no abstract 07-73 Some New Bond Indexes John S. Bildersee no abstract 08-73 The Association Between a Market-Determined Measure of Risk and Alternative Measures or Risk John S. Bildersee Many studies have investigated beta from the market model of portfolio theory. Although many studies agree that beta may be a useful measure of risk, relatively little work has been done comparing beta to measures of risk traditionally thought to be economically important and to specific corporate decisions. In this paper we look at the association between betas for common and non-convertible preferred stocks and several traditional accounting measures of risk which have been said to measure various aspects of firm’s asset structure and its capital structure. We find that selected non-accounting corporate decisions appear to be to associated with the market risk levels of firm’s common and preferred stocks at least as strongly as accounting variables. 09-73 Uncertainty Resolution and Multi-Period Investment Decisions Randolph Westerfield and John R. Percival no abstract 10-73 Risky Corporate Debt in a Market Model Context John R. Percival no abstract 11-73 Discounts and Premiums on Shares of Diversified Closed-End Investment Funds Hans R. Stoll no abstract 12-73 The Determinants of Value in the Philadelphia Housing Market: A Case Study of the Main Line, 1967-1969 Robert H. Edelstein no abstract 13-73 A Structural Study of the Income Velocity of Circulation John M. Mason no abstract 14-73 An Application of the Decomposition Principle to Financial Decision Models James R. Morris no abstract 15-73 Notes on the Theory of Optimal Public Investment in Pollution Control Robert H. Edelstein no abstract 16-73 A Generalized Theory of Velocity John M. Mason no abstract 17-73 Return, Risk and Arbitrage Stephen A. Ross no abstract 18-73 Security Analysis in Efficiency Markets Daniel Rie no abstract 19-73 Creating a New Financial Instrument: The Case of Reverse Mortgages Jack M. Guttentag no abstract 20-73 Portfolio Turnpike Theorems for Constant Policies Stephen A. Ross no abstract 21-73 Use of Survey Data to Check Behavioral Parameters in Econometric Models Irwin Friend no abstract 22-73 Consumption and Saving in Economic Development Jean Crockett and Irwin Friend no abstract 23-73 Rates of Return on Bonds and Stocks, the Market Price of Risk and the Cost of Capital Irwin Friend no abstract 24-73 The Comparative Performance and Yields of Seasoned U.S. Government and Government Agency Securities John S. Bildersee no abstract 25-73 Some Notes on the Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues Stephen A. Ross no abstract 26-73 Managing the Corporate Financial Structure James E. Walter and Michael R. Milken no abstract 27-73 Rating Changes and Information in the Bond Market John R. Percival no abstract 28-73 How Diversification Reduces Risk: Some Empirical Evidence Randolph W. Westerfield no abstract 29-73 Security Valuation Formulae: Their Relationship to Estimates of the Risk-Return Trade-off Daniel Rie This paper will show that a return generating process is the direct result of the parameters which control security valuation. Because the valuation process may be complex and respond to many external factors, a usefully simple return generating process may not exist. By beginning with a relatively simple valuation formula, a multiple market factor return generating process is developed and it is further shown that a single market factor model will produce errors which vary systematically with beta and which are explainable in terms of a few market-wide variables. This theory is empirically tested and found to be appropriate in terms of the implied return generating process and also capable of giving a significant explanation of the residual errors of a single factor model. Unfortunately the difficulty in getting correct proxies for the independent variables weakens the results of the estimation. A comparison of these explained residual errors with those produced by the zero beta factor showed that the two are significantly related, but that the zero beta factor offered a significant improvement over the residuals generated from the available proxy variables.
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