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

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WORKING PAPERS - 2007

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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  01-07

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Francis X. Diebold and Kamil Yilmaz

[abstract]

02-07

Competition and Fragmentation in the Equity Markets: The Effect of Regulation NMS
Marshall E. Blume

[abstract]

  03-07

Durability of Output and Expected Stok Returns
Joao Gomes, Leonid Kogin and Motohiro Yogo

[abstract]

04-07

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
Jessica A. Wachter and Missaka Warusawitharana

abstract]

05-07

Does Mutual Fund Performance Vary Over the Business Cycle?
Anthony A. Lynch and Jessica A. Wachter

[abstract]

06-07

Deliberation and Security Design in Bankruptcy
Hulya Eraslan and Bilge Yilmaz

[abstract]

07-07

Information Based Trade
Philip Bond and Hulya Eraslan

[abstract]

08-07
Asset Prices Under Habit Formation and Reference-Dependent Preferences
Motohiro Yogo

[abstract]

09-07

The Responses of Corporate Financing and Investment to Changes in the Supply of Credit: A Antural Experiment
Michael Lemmon and Michael R. Roberts

[abstract]

10-07

Control Rights and Capital Structure: An Empirical Investigation
Michael R. Roberts and Amir Sufi

[abstract]

11-07

Predictive Systems: Living with Imperfect Predictors
Lubos Pastor and robert F. Stambaugh

[abstract]

12-07

Incentives for Information Producation in Markets Where Prices Affect Real Investment
James Dow, Itay Goldstein and Alexander Guembel

[abstract]

13-07

Corporate Bankruptcy Reorganizationa: Estimates from a Bargaining Model
Hulya Eraslan

[abstract]

14-07

Vauable Information & Costly Liquidity: Evidence from Individual Mutual Fund Trades
Susan E. K. Christoffersen, Donald B. Keim and David K. Musto

[abstract]

15-07

Why Do Household Portfolio Shares Rise in Wealth?
Jessica A. Wachter and Motohiro Yogo

[abstract]

16-07

Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices
Alex Edmans

[abstract]

17-07

The Economics of Private Equity Funds
Andrew Metrick and Ayako Yasuda

[abstract]

18-07

Optimal Retirement Benefit Guarantees
Stavros Panageas

[abstract]

19-07

Sources of Lifetime Income
Mark Huggett, Gustavo Ventura and Amir Yaron

[abstract]

20-07

Optimal Income Taxation
Andrew B. Abel

[abstract]

21-07

The Equity Premium Implied By Producation
Urban J. Jermann

[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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