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 - 2004

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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  01-04

S&P 500 Indexers, Tracdking Errors and Liquidity
Marshall E. Blume and Roger M. Edelen
[abstract]

02-04

Investing in Socially Responsible Mutual Funds
Christopher C. Geczy, Robert F. Stambaugh and David Levin
[abstract]

03-04

Estimating the Benchmark Yield Curve - A New Approach Using Stochastic Frontier Functions
Gangadhar Darbha
[abstract]

04-04

Forecasting the Term Structure of Government Bond Yields
Francis X. Diebold and Canlin Li
[abstract]

05-04

Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics

Peter F. Christoffersen and Francis X. Diebold
[abstract]

06-04

Parametric and Nonparametric Volatility Measurement
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
[abstract]

07-04

The Nobel Memorial Prize for Robert Engle
Francis X. Diebold
[abstract]

08-04

Overconfidence and Team Coordination
Simon Gervais and Itay Goldstein
[abstract]

09-04

Dynamic Portfolio Selection by Augmenting the Asset Space
Michael Brandt and Pedro Santa-Clara
[abstract]

10-04

Employees' Investment Decisions about Company Stock
James Choi, David Laibson, Brigitte Madrian and Andrew Metrick
[abstract]

11-04

Consumption-Wealth Comovement of the Wrong Sign
James Choi, David Laibson, Brigitte Madrian and Andrew Metrick
[abstract]

12-04

Incentives vs. Control: An Analysis of the U. S. Dual-Class Companies
Paul A. Gompers, Joy Ishii and Andrew Metrick
[abstract]

13-04

SEC Regulation Fair Disclosure, Information, and the Cost of Capital
Armando Gomes, Gary Gorton and Leonardo Madureira
[abstract]

14-04

Illiquidity and the Closed-End Country Fund Discounts
Ravi Jain, Yihong Xia and Matthew Qianli Wu
[abstract]

15-04

Asymmetric Information and Financing with Convertibles
Archishman Chakraborty and Bilge Yilmaz
[abstract]

16-04

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba
[abstract]

17-04

International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?
Luzi Hail and Christian Leuz
[abstract]

18-04

Firms' Capital Allocation Choices, Information Quality and the Cost of Capital
Christian Leuz and Robert E. Verrecchia
[abstract]

19-04

Political Relationships, Global Financing and Corporate Transparency
Christian Leuz and Felix Oberholzer-Gee
[abstract]

20-04

Estimating the Gains from Trade in Limit Order Markets
Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive
[abstract]

21-04

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
[abstract]

22-04

Large Blocks of Stock: Prevalence, Size and Measurement
Jennifer Dlugosz, Rudiger Fahlenbrach, Paul Gompers and Andrew Metrick
[abstract]

23-04

Estimating the Elasticity of Intertemporal Substitution When Instruments are Weak
Motohiro Yogo
[abstract]

24-04

Analyst Reputation, Underwriting Pressure and Forecast Accuracy
Lily Fang and Ayako Yasuda
(
Forthcoming, Review of Financial Studies)
[abstract]

25-04

Can Mutual Fund Managers Pick Stocks? Evidence From Their Trades Prior to Earnings Announcements
Malcolm Baker, Lubomir Litov, Jessica A. Wachter and Jeffrey Wurgler
[abstract]

26-04

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Martin lettau, Sydney C. Ludvigson and Jessica A. Wachter
[abstract]

27-04

A Consumption-Based Model of the Term Structure of Interest Rates
Jessica A. Wachter
[abstract]

28-04

Saving and Investing for Early Retirement: A Theoretical Analysis
Emmanuel Farhi and Stavros Panageas
[abstract]

29-04

The Long-term Return on the Original S&P 500 Firms
Jeremy J. Siegel and Jeremy D. Schwartz
[abstract]

30-04

Taking a View: Corporate Speculation, Governance and Compensation
Christopher C. Geczy, Bernadette A. Minton and Catherine Schrand
[abstract]

31-04

Going Public: Public Debt or Public Equity?
Elazar Berkovitch, Ruth Gesser and Oded Sarig
[abstract]


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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