WORKING PAPERS - 1989 Click on the links listed below to see the abstract. Click here for a complete list of abstracts for this year. Click on the icon beside the title in order to download the full paper in Adobe Acrobat. (If you do not have the Adobe Reader you can get a free copy from Adobe's World Wide Web Site at http://www.adobe.com/acrobat/readstep.html). 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 #01-89 Signalling and the Pricing of Unseasoned New Issues Mark Grinblatt and Chuan Yang Hwang [abstract] #02-89 Welfare Improving Nominal Contracts Henning Bohn and Gary Gorton [abstract] #03-89 Market Discipline and the Valuation of Bank Subordinated Debt Gary Gorton and Anthony Santomero [abstract] #04-89 When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) Andrew Lo and Craig A. Mackinlay [abstract] #05-89 The Sources and Nature of Long-Term Memory in the Business Cycle Joseph G. Haubrich and Andrew W. Lo [abstract] #06-89 Trading Volume and Changes in Heterogeneous Expectations Larry H.P. Lang and Robert H. Litzenberger [abstract] #07-89 Empirical Tests of the Consumption-Oriented CAPM Douglas T. Breeden, Michael R Gibbons and Robert H. Litzenberger [abstract] #08-89 Risk and Return Characteristics of Lower-Grade Bonds 1977-1987 Marshall E. Blume and Donald B. Keim [abstract] #09-89 Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium Andrew B. Abel [abstract] #10-89 Arbitrage, Short Sales and Financial Innovation Franklin Allen and Douglas Gale [abstract] #11-89 Incomplete Markets and Incentives to Set Up An Options Exchange Franklin Allen and Douglas Gale [abstract] #12-89 Expectations and Volatility of Long-Horizon Stock Returns Shmuel Kandel and Robert F. Stambaugh [abstract] #13-89 Birth, Death and Taxes Andrew B. Abel [abstract] #14-89 The Valuation of Callable Bonds Marshall E. Blume and Donald B. Keim [abstract] #15-89 Volatility Patterns of Fixed Income Securities Marshall E. Blume and Donald B. Keim [abstract] #16-89 On Cash-In-Advance Models of Money Demand and Asset Pricing (Reprint 007) Henning Bohn [abstract] #17-89 Trading Technology and Financial Market Stability Sanford J. Grossman [abstract] #18-89 Saving in the Twenty First Century Jean Crockett [abstract] #19-89 An Econometric Analysis of Nonsyschronous-Trading Andrew W. Lo and Craig A. MacKinlay [abstract] #20-89 Consumption and Fractional Differencing: Old and New Anomalies Joseph G. Haubrich [abstract] #21-89 Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) Andrew W. Lo and Craig A. MacKinlay [abstract] #22-89 Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008) Donald B. Keim [abstract] #23-89 Takeover Attempts, Economic Welfare, and the Role of Outside Directors Jean A. Crockett [abstract] #24-89 On the Econometrics of Predicting Inflation from the Nominal Interest Rate Jean A. Crockett [abstract] #25-89 Pricing Physical Assets Internationally: A Non Linear Heteroskedastic Process for Equilibrium Real Exchange Rates Bernard Dumas [abstract] #26-89 Consumption and Fractional Differencing: Old and New Anomalies Joseph G. Haubrich [abstract] #27-89 Variance Ratio Tests of a Random Walk in Real Exchange Rates Jack D. Glen [abstract] #28-89 Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States Henning Bohn [abstract] #29-89 Security Baskets and Index-Linked Securities George Pennacchi and Gary Gorton [abstract] #30-89 Simple Binomial Processes as Diffusion Approximations in Financial Models (Reprint 003) Daniel B. Nelson and Krishna Ramaswamy [abstract] #31-89 Realized Returns and Defaults on Lower-Grade Bonds: The Cohort of 1977 and 1978 (Reprint 006) Marshall E. Blume and Donald B. Keim [abstract] #32-89 The Valuation of Corporate Fixed Income Securities In Joon Kim, Krishna Ramaswamy and Suresh Sundaresan [abstract] #33-89 An Economic Analysis of Dual Trading Sanford J. Grossman [abstract] #34-89 The Money and Bond Markets in France: Segmentation vs. Integration Bernard Dumas and Bertrand Jacquillat [abstract] #35-89 The Changing Nature of Debt and Equity: A Financial Perspective Franklin Allen [abstract] #36-89 Optimal Dynamic Trading with Leverage Constraints Sanford J. Grossman and Jean-Juc Vila [abstract] #37-89 Exchange Rate Uncertainty, Forward Contracts and the Performance of Global Equity Portfolios Jack D. Glen [abstract] #38-89 Returns and Volatility of Low-Grade Bonds 1977-1988 Marshall E. Blume, Donald B. Keim and Sandeep A. Patel [abstract] #39-89 Developments in the Theory of Security Pricing and Market Structure (Revised: 20-91, 6-92) Marshall E. Blume and Jeremy J. Siegel [abstract] #40-89 Self-Generating Trade and Rational Fads: The Response of Price to New Information James Dow and Gary Gorton [abstract] #41-89 An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) Bernard Dumas and Elisa Luciano [abstract] #M1-89 Return Indexes for Lower Grade Bonds Marshall E. Blume and Donald B. Keim [abstract]
Rodney L. White Center for Financial Research Telephone: (215) 898-7616 Facsimile: (215) 573-8084 Email: rlwctr@finance.wharton.upenn.edu Copyright ©1998 The Wharton School of the University of Pennsylvania. All rights reserved. Site designed by Singularity Design.