Welcome to the Rodney L. White Center for Financial Research, an independently managed site at the Wharton School of the University of Pennsylvania.








WORKING PAPERS - 1999

Click on any title listed below to see the abstract. 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).

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#01-99
The High Volume Return Premium
Simon Gervais, Ron Kaniel, Dan Mingelgrin
[abstract]

#02-99
Is the Abnormal Return Following Equity Issuances Anomalous?
Alon Brav, Christopher Geczy, Paul A. Gompers
[abstract]

#03-99
The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation
Andrew B. Abel
[abstract]

#04-99
Going Public with Asymmetric Information, Agency Costs, and Dynamic Trading
Armando Gomes
[abstract]

#05-99
Multiple Large Shareholders in Corporate Governance
Armando Gomes
[abstract]

#06-99
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Suleyman Basak and Alex Shapiro
[abstract]

#07-99
Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices
Suleyman Basak and Benjamin Croitoru
[abstract]

#08-99
The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Gabriel Hawawini, Donald B. Keim
[abstract]

#09-99
Organizational Design Choices in Retail Banking
Venky Nagar
[abstract]

#10-99
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
Fernando Alvarez, Urban J. Jermann
[abstract]

#11-99
Mutual Fund Returns and Market Microstructure
Mark M. Carhart, Ron Kaniel, David K. Musto, Adam Reed
[abstract]

#12-99
Econometric Models of Limit-Order Executions
Andrew W. Lo, A. Craig MacKinlay, June Zhang
[abstract]

#13-99
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
A. Craig MacKinlay, Lubos Pastor
[abstract]

[PUBLISHED] #14-99
Adverse Selection and Competitive Market Making: Empirical Evidence from a Pure Limit Order Market
Patrik Sandas
Review of Financial Studies, Volume 14, 2001, pp. 705-734                             [abstract]

[PUBLISHED] #15-99
Imperfect Market Monitoring and SOES Trading
Thierry Foucalt, Ailsa Roell, Patrik Sandas
[abstract]

#16-99
Comparing Asset Pricing Models: An Investment Perspective
Lubos Pastor, Robert F. Stambaugh
[abstract]

#17-99
Equilibrium Mispricing in a Capital Market with Portfolio Constraints
Suleyman Basak, Benjamin Croitoru
[abstract]

#18-99
Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
Klaas Baks, Andrew Metrick, Jessica Wachter
[abstract]

#19-99
Estimating the Returns to Insider Trading
Leslie A. Jeng, Andrew Metrick, Richard Zeckhauser
[abstract]

#20-99
Institutional Investors and Equity Prices
Paul A. Gompers, Andrew Metrick
[abstract]

#21-99
A Theory of Negotiations and Formation of Coalitions
Armando Gomes
[abstract]

#22-99
On the Formation and Structure of International Exchanges
Matthew J. Clayton, Bjorn N. Jorgensen, Kenneth A. Kavajecz
[abstract]

[PUBLISHED} #23-99
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
Alon Brav, George Constantinides, Christopher Geczy
Journal of Political Economcy (2002) Vol. 110, No. 4, pp. 793-824              

#24-99
Household Securities Purchases, Transactions Costs, and Hedging Motives

Nicholas S. Souleles

#25-99
The wildcard option in transaction mutual-fund shares
John M.R. Chalmers, Roger M. Edelen, Gregory B. Kadlec

#26-99
Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns
Roger M. Edelen, Jerold B. Warner

#27-99
Mutual fund trading costs
John M.R. Chalmers, Roger M. Edelen, Gregory B. Kadlec

#28-99
Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry
Christopher C. Geczy, Bernadette A. Minton, and Catherine Schrand

#29-99
An Empirical Analysis of Limit Order Markets
Burton Hollifield, Robert A. Miller, patrik Sandas


Rodney L. White Center for
Financial Research
Telephone: (215) 898-7616
Facsimile: (215) 573-8084
Email: rlwctr@finance.wharton.upenn.edu

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