WORKING PAPERS - 1991
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).
#01-91
Tests of Asset Pricing Models with Changing Expectations
Wayne E. Ferson, Stephen R. Foerster and Donald B. Keim
[abstract]
#02-91
A Bayesian Model of Intraday Specialist Pricing
Ananth Madhavan and Seymour Smidt
[abstract]
#03-91
Budget Balance Through Revenue or Spending Adjustments ? Some Historical Evidence for the United States (Reprint 013)
Henning Bohn
[abstract]
#04-91
The Evolution of Mortgage Yield Concepts
Jack M. Guttentag
[abstract]
#05-91
The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revised: 13-91)
Jeremy J. Siegel
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#06-91
Effects of Bid-Ask Spreads and Price Discreteness on Stock Returns
Ajay R. Dravid
[abstract]
#07-91
Rational Expectations and Stock Market Bubbles
Franklin Allen and Andrew Postlewaite
[abstract]
#08-91
Bayesian Inference and Portfolio Efficiency (Revised: 4-93)
Shmuel Kandel, Robert McCulloch and Robert H. Stambaugh
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#09-91
The Real Rate of Interest from 1800-1990: A Study of the U.S. and U.K. (Reprint 028)
Jeremy J. Siegel
[abstract]
#10-91
Historical Returns: The Case for Equity
Jeremy J. Siegel
[abstract]
#11-91
Option Prices and the Underlying Asset's Return Distribution (Reprint 012)
Bruce D. Grundy
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#12-91
Robust Power Calculations with Tests for Serial Correlation in Stock Returns
Matthew Richardson and Tom Smith
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#13-91
The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revision of 5-91)
Jeremy J. Siegel
[abstract]
#14-91
Limited Market Participation and Volatility of Asset Prices (Revised: 2-92)
Franklin Allen and Douglas Gale
[abstract]
#15-91
Risks and Returns of Low-Grade Bonds: An Update (Reprint 027)
Marshall E. Blume and Donald B. Keim
[abstract]
#16-91
Optimal State-Contingent Capital Taxation: When is there and Indeterminancy?
Henning Bohn
[abstract]
#17-91
The Sustainability of Budget Deficits in a Stochastic Economy (Revision of 6-90) (Reprint 014)
Henning Bohn
[abstract]
#18-91
What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92)
Joseph Gyourko and Donald B. Keim
[abstract]
#19-91
On Testing Sustainability of Government Deficits in a Stochastic Environment
Henning Bohn
[abstract]
#20-91
The Theory of Security Pricing and Market Structure (Revision of 39-89, Revised: 6-92)
Marshall E. Blume and Jeremy J. Spiegel
[abstract]
#21-91
Stock Price Manipulation, Market Microstructure and Asymmetric Information (Reprint 024)
Franklin Allen and Gary Gorton
[abstract]
#22-91
Adjustment of Consumers' Durables Stocks: Evidence from Automobile Purchases
Janice C. Eberly
[abstract]
#23-91
Generalized Put-Call Parity (Reprint 040)
David F. Babbel and Laurence K. Eisenberg
[abstract]
#24-91
Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)
David F. Babbel and Laurence K. Eisenberg
[abstract]
#25-91
Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment Around the Stock Crash of October 1987
Jeremy J. Siegel
[abstract]
#26-91
An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)
Jerry A. Hausman, Andrew W. Lo and Craig A. MacKinlay
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#27-91
The Myths and Reality of Low-Grade Bonds
Marshall E. Blume and Donald B. Keim,
[abstract]
#28-91
Budget Deficits and Government Accounting
Henning Bohn
[abstract]
#29-91
Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)
David F. Babbel and Laurence K. Eisenberg
[abstract]
#30-91
Estimating Divisional Cost of Capital for Insurance Companies (Reprint 037)
Franklin Allen
[abstract] |
