WORKING PAPERS - 1992
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).
#01-92
Security Prices and Market Transparency (Revision of 12-90)
Ananth Madhavan
[abstract]
#02-92
Limited Market Participation and Volatility of Asset Prices (Revision of 14-91) (Reprint 043)
Allen, Franklin and Douglas Gale
[abstract]
#03-92
The Monotonicity of the Term Premium: Another Look (Reprint 026)
Matthew Richardson, Paul Richardson and Tom Smith
[abstract]
#04-92
Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92)
Marshall E. Blume and Michael A. Goldstein
[abstract]
#05-92
Reserve Requirements and the Indicator Properties of Monetary Aggregates
Jeremy J. Siegel
[abstract]
#06-92
The Theory of Security Pricing and Market Structure (Revision of 20-91). Forward by Paul A. Samuelson
Marshall E. Blume and Jeremy J. Siegel
[abstract]
#07-92
Flexible (S,s) Bands, Uncertainty, and Aggregate Consumer Durables
Janice C. Eberly
[abstract]
#08-92
A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
Michael R. Gibbons and Krishna Ramaswamy
[abstract]
#09-92
Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle
Andrew B. Abel
[abstract]
#10-92
General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)
Wayne E. Ferson, Stephen R. Foerster and Donald B. Keim
[abstract]
#11-92
What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)
Joseph Gyourko and Donald B. Keim
[abstract]
#12-92
Soft Dollars and the Brokerage Industry (Reprint 034)
Marshall E. Blume
[abstract]
#13-92
Temporary Components of Stock Prices: A Skeptic's View (Reprint 032)
Matthew Richardson
[abstract]
#14-92
Stocks are a Good Hedge for Inflation (In the Long Run)
Jacob Boudoukh and Matthew Richardson
[abstract]
#15-92
Stock Markets and Resource Allocation (Reprint 036)
Franklin Allen
[abstract]
#16-92
Finite Bubbles with Short Sale Constraints and Asymmetric Information (Reprint 042)
Franklin Allen, Stephen Morris and Andrew Postlewaite
[abstract]
#17-92
A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Information Flow Throughout the Day
Mathew Richardson and Tom Smith
[abstract]
#18-92
A Test of Multivariate Normality in Stock Returns (Reprint 033)
Mathew Richardson and Tom Smith
[abstract]
#19-92
The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis
Shmuel Kandel, Aharon R. Ofer and Oded Sarig
[abstract]
#20-92
Price Experimentation and Security Market Structure
Chris J. Leach and Ananth N. Madhavan
[abstract]
#21-92
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revised: 10-94)
Donald B. Keim and Ananth Madhavan
[abstract]
#22-92
An Analysis of Daily Changes in Specialist Inventories and Quotations
Ananth Madhavan and Seymour Smidt
[abstract]
#23-92
On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)
Gabriel Hawawini and Donald B. Keim
[abstract]
#24-92
Churning Bubbles (Reprint 039)
Franklin Allen and Gary Gorton
[abstract]
#25-92
A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the "Too-Big-To-Fail" Doctrine
Joseph P. Hughes and Loretta J. Mester
[abstract]
#26-92
Efficiency in the Savings and Loan Industry
Loretta J. Mester
[abstract]
#27-92
Displayed and Effective Spreads by Market (Revision of 4-92)
Marshall E. Blume and Michael A. Goldstein
[abstract]
#28-92
Testing Inequality Restrictions Implied by Conditional Asset Pricing Models
Jacob Boudoukh, Matthew Richardson and Tom Smith
[abstract]
|
