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). 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 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011                   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 Copyright ©1998 The Wharton School of the University of Pennsylvania. All rights reserved. Site designed by Singularity Design.