IDEAS home

Printed from https://ideas.repec.org/s/ucb/calbrf.html

My serials Follow this serial

University of California at Berkeley

Research Program in Finance Working Papers

Contact information of University of California at Berkeley

Postal:

University of California at Berkeley, Berkeley, CA USA

Phone: 510-642-0822
Fax: 510-642-6615
Web page: http://haas.berkeley.edu/finance/WP/rpflist.html
Email:

More information through EDIRC

Serial Information

Order information:
Postal: IBER, F502 Haas Building, University of California at Berkeley, Berkeley CA 94720-1922
Email:

Pricing information: Single copies are free to academics (limit of 3); fee for corporations and nonacademics is $5.00 (U.S.A.) and $7.50 international.
Series handle: RePEc:ucb:calbrf

Citations RSS feed: at CitEc

Impact factors

Access and download statistics
Top item:

By citations
By downloads (last 12 months)

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucb:calbrf. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debrkus.html .

Content

2000

RPF-295 On Adaptive Tail Index Estimation for Financial Return Models
by Niklas Wagner and Terry Marsh.
RPF-294 Rational Markets: Yes or No? The Affirmative Case
by Mark Rubinstein.
RPF-293 Return-Volume Dependence and Extremes in International Equity Markets
by Terry A. Marsh and Niklas Wagner.
RPF-292 On the Relation Between Binomial and Trinomial Option Pricing Models
by Mark Rubinstein.
RPF-291 Corporate Diversification and Agency
by Benjamin E. Hermalin and Michael L. Katz.
RPF-256-Rev How Do Firms Choose Their Lenders? An Empirical Investigation
by Miguel Cantillo and Julian Wright.

1999

RPF-289 Credit Derivatives in Banking: Useful Tools for Managing Risk?
by Gregory R. Duffee and Chunsheng Zhou.
RPF-288 Order Flow and Exchange Rate Dynamics
by Martin D. D. Evans and Richard K. Lyons.
RPF-287 The Role of a Corporate Bond Market in an Economy - and in Avoiding Crises
by Nils H. Hakansson
RPF-286 Housing Return and Construction Cycles
by Matthew Spiegel.

1998

RPF-285 Search Costs: The Neglected Spread Component
by Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons.
RPF-284 Valuation and Return Dynamics of New Ventures
by Jonathan B. Berk Richard C. Green and Vasant Naik.
RPF-283 Predicting Excess Returns with Public and Insider Information: The Case of Thrift Conversions
by James A. Wilcox and Zane D. Williams.
RPF-282 The "Credit Crunch" and the Availability of Credit to Small Business
by Diana Hancock and James A. Wilcox.
RPF-281 Dynamic Optimal Risk Management and Dividend Policy under Optimal Capital Structure and Maturity
by Michael P. Ross.
RPF-280 Corporate Hedging: What, Why and How?
by Michael P. Ross.
RPF-279 Pricing Derivatives the Martingale Way
by Pierre Collin Dufresne William Keirstead and Michael P. Ross.
RPF-278 Agency Costs, Risk Management, and Capital Structure
by Hayne E. Leland.
RPF-277 Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model
by Robert R. Grauer and Nils H. Hakansson.

1997

RPF-276 Closed-End Fund Discounts in a Rational Agent Economy
by Matthew Spiegel.
RPF-275 Edgeworth Binomial Trees
by Mark Rubinstein.
RPF-274-Rev Derivatives Performance Attribution
by Mark Rubinstein.
RPF-273 Profits and Position Control: A Week of FX Dealing
by Richard K. Lyons.
RPF-272 Bank Risk Management: Theory
by David H. Pyle.
RPF-271 International Portfolio Investment Flows
by Michael J. Brennan. and H. Henry Cao.
RPF-270 Is There Private Information in the FX Market? The Tokyo Experiment
by Takatoshi Ito Richard K. Lyons and Michael T. Melvin.

1996

RPF-269 Are Investors Reluctant to Realize Their Losses?
by Terrance Odean.
RPF-268 A Theory of Corporate Capital Structure and Investment
by Miguel Cantillo Simon.
RPF-267 Options and Expectations
by Hayne E. Leland.
RPF-266 Volume, Volatility, Price and Profit When All Trader Are Above Average
by Terrance Odean.
RPF-265 Recovering Risk Aversion from Option Prices and Realized Returns
by Jens Carsten Jackwerth.
RPF-264 Generalized Binomial Trees
by Jens Carsten Jackwerth.
RPF-263-rev Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies
by Hayne E. Leland.
RPF-262 Implied Binomial Trees: Generalizations and Empirical Tests
by Jens Carsten Jackwerth.
RPF-261 Optimal Asset Rebalancing in the Presence of Transactions Costs
by Hayne Leland.
RPF-260 Stock Price Volatility in a Multiple Security Overlapping Generations Model
by Matthew Spiegel.

1995

RPF-259 Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
by Hayne E. Leland and Klaus Bjerre Toft.
RPF-258 Imperfect Competition in Securities Markets with Diversely Informed Traders
by H. Henry Cao.
RPF-257 The Efficacy of Insider Trading Regulation
by Matthew Spiegel and Avanidhar Subrahmanyam.
RPF-255 A Theory of Corporate Capital Structure and Investment
by Miguel Cantillo.
RPF-254-Rev The Rise and Fall of Bank Control in the United States: 1890-1920
by Miguel Cantillo.
RPF-253 A Spatial Model of Housing Returns and Neighborhood Substitutability
by William N. Goetzmann and Matthew Spiegel.
RPF-252 Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach
by Jacob Boudoukh Matthew Richardson Richard Stanton and Robert F. Whitelaw.
RPF-251 Mortgage Choice: What's the Point?
by Richard Stanton and Nancy Wallace.
RPF-250 Implied Probability Distributions: Empirical Analysis
by Jens Carsten Jackwerth and Mark Rubinstein.
RPF-249 A Variable Reduction Technique for Pricing Average-Rate Options
by Hua He and Akihiko Takahashi.
RPF-248 Double Lookbacks
by Hua He William P. Keirstead and Joachim Rebholz.
RPF-247 Anatomy of an ARM: Index Dynamics and Adjustable Rate Mortgage Valuation
by Richard Stanton and Nancy Wallace.
RPF-246 Effects of Competition on Bidder Returns
by Sankar De Mark Fedenia and Alexander J. Triantis.
RPF-245 On Revelation of Private Information in Stock Market Economies
by Marcus Berliant and Sankar De.
RPF-244 Optimal Cash Management for Investment Funds
by Hayne Leland and Gregory Connor.
RPF-243 Foreign Exchange Volume: Sound and Fury Signifying Nothing?
by Richard K. Lyons.
RPF-242 Explaining Forward Exchange Bias...Intraday
by Richard K. Lyons and Andrew K. Rose.

1994

RPF-241 On the Accounting Valuation of Employee Stock Options
by Mark Rubinstein.
RPF-240 Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk
by Hayne Leland.
RPF-239 Gains from Diversifying into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model
by Robert R. Grauer and Nils H. Hakansson.
RPF-238 Options on Leveraged Equity with Default Risk
by Klaus Bjerre Toft.
RPF-237 Exact Formulas for Expected Hedging Error and Transactions Costs in Option Replication
by Klaus Bjerre Toft.
RPF-236 Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets
by Domenico Cuoco and Hua H.
RPF-235 Market Structure and Liquidity on the Tokyo Stock Exchange
by Bruce N. Lehmann and David M. Modest.
RPF-234 Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View
by Bruce N. Lehmann and David M. Modest.
RPF-233 Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
by Hayne E. Leland.
RPF-232 Implied Binomial Trees
by Mark Rubinstein.

1993

RPF-231 Optimal Transparency in a Dealership Market with an Application to Foreign Exchange
by Richard K. Lyons.
RPF-230 Tests of Microstructural Hypotheses in the Foreign Exchange Market
by Richard K. Lyons.
RPF-229 The Economic Functions of Derivatives: An Academician's Point of View
by David Pyle.
RPF-228 Differential Information and Dynamic Behavior of Stock Trading Volume
by Hua He and Jiang Wang.
RPF-227 The U.S. Savings and Loan Crisis
by David H. Pyle.
RPF-226 Long-Term Debt Value, Bond Covenants, and Optimal Capital Structure
by Hayne Leland.
RPF-225 Liquidation Costs and Risk- Based Bank Capital
by Helena M. Mullins and David H. Pyle.

1992

RPF-224 The Strategic Timing of Corporate Disclosures
by Gerard Gennotte and Brett Trueman.
RPF-223 Market Frictions and Consumption-Based Asset Pricing
by Hua He and David M. Modest.
RPF-222 Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs
by Gonzalo Rubio.

1991

RPF-221 Equilibrium Asset Price Processes
by Hua He and Hayne Leland.
RPF-220 Exotic Options
by Mark Rubinstein.
RPF-219 Continuous Equilibrium in Speculative Markets with Heterogeneous Information
by Lewis X. Lu.
RPF-218 Optimal Continuous Speculation with Information Extracted from Price History
by Lewis X. Lu.
RPF-217 Portfolio Policies with Transactions Costs: Discrete Time Model
by Alan Jung.
RPF-216 Commissions and Asset Allocation
by Gerard Gennotte and Alan Jung.
RPF-215 Efficient Consumption-Portfolio Policies
by Hua He and Chi-fu Huang.
RPF-214 Supershares
by Nils Hakansson.
RPF-213 Investment Strategies under Transaction Costs: The Finite Horizon Case
by Gerard Gennotte and Alan Jung.
RPF-212 Welfare Economics of Financial Markets
by Nils H. Hakansson.
RPF-211 Low Margins, Derivative Securities, and Volatility
by Gerard Gennotte and Hayne Leland.
RPF-210 Variations in Economic Uncertainty and Risk Premiums on Capital Assets
by Gerard Gennotte and Terry A. Marsh.
RPF-209 Optimal Consumption-Portfolio Policies: A Convergence from Discrete to Continuous Time Models
by Hua He.
RPF-208 The Prepayment Uncertainty of Collateralized Mortgage Obligations
by Steven E. Plaut.
RPF-207 Reinsurance and Securitization of Deposit Insurance; A Workable Proposal for Risk-Based Pricing
by Steven E. Plaut.
RPF-206 On the Use of Mean-Variance and Quadratic Approximations in Implementing Dynamic Investment Strategies: A Comparison of Returns and Investment Policies
by Robert R. Grauer and Nils H. Hakansson.
RPF-205 Continuously Rebalanced Investment Strategies
by Mark Rubinstein.
RPF-201 Industry vs. Other Factors in Risk Prediction
by Jivendra K. Kale Nils H. Hakansson and Gerald W. Platt.

1990

RPF-203 Black Monday in New York, Blue Tuesday in Tokyo: The October 1987 Crash in Japan
by Ulrike Schaede.
RPF-202 Specialist vs. Saitori: Market Making in New York and Tokyo
by Richard R. Lindsey and Ulrike Schaede.
RPF-200 Consumption and Portfolio Decisions with Labor Income and Borrowing Constraints
by Hua He and Henri F. Pags.
RPF-199 Convergence from Discrete to Continuous Time Contingent Claims Prices
by Hua He.
RPF-198 Pitfalls in Fisher Model Building: Interest Rates and Inflation in the Interwar Period
by Joe Peek and James A. Wilcox.
RPF-197. Capital Controls and Bank Risk
by Gerard Gennotte & David Pyle
RPF-196 The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing
by Richard Breen and Gregory Connor.
RPF-195 Insider Trading: Should It Be Prohibited?
by Hayne E. Leland.
RPF-194 Stein and CAPM Estimators of the Means in Portfolio Choice: A Case of Unsuccess
by Robert R. Grauer and Nils H. Hakansson.
RPF-193 Moment Approximation and Estimation of Diffusion Models of Asset Prices
by Hua He.
RPF-04 Market Makers, Asymmetric Information and Price Information
by Richard R. Lindsey.

1989

RPF-192 Market Liquidity, Hedging and Crashes
by Gerard Gennotte and Hayne Leland.
RPF-191 Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Infinite Dimensional Case
by Hua He and Neil D. Pearson.
RPF-190 Convergence from Discrete to Continuous Time Financial Model
by Hua He.
RPF-189 Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Finite Dimensional Case
by Hua He and Neil D. Pearson.
RPF-188 Industry Rotation in the U.S. Stock Market: 1934-1986 Returns on Passive, Semi-passive, and Active Strategies
by Robert R. Grauer Nils H. Hakansson and Frederick C. Shen.
RPF-187 Market Basket Alternatives
by Mark Rubinstein.
RPF-186 Competitive Pricing of Demand Deposits
by David H. Pyle and Avinash K. Verma.
RPF-185 LBOs and Taxes: No One to Blame But Ourselves?
by Hayne E. Leland.
RPF-184 Market Liquidity, Hedging and Crashes
by Gerard Gennotte and Hayne Leland.

1988

RPF-183 The Arbitrage Pricing Theory: A State-Preference Analysis
by Mark Latham.
182 Money and Off-Balance-Sheet Liquidity: An Empirical Analysis
by Reuven Glick and Steven E. Plaut.
181 The Attributes, Behavior and Performance of U.S. Mutual Funds
by Gregory Connor and Robert A. Korajczyk.

1987

180 Debt and Market Incompleteness
by Ehud I. Ronn and Lemma W. Senbet.
179 Stock Prices, Risk Premia, Inflation, and Uncertainty
by Yoon Dokko and Robert H. Edelstein.
178 Off-Balance-Sheet Liquidity and Monetary Control
by Reuven Glick and Steven E. Plaut.
177 Ex-Ante Characterization of an Efficient Portfolio
by Richard C. Grinold.
176 An Intertemporal Equilibrium Beta Pricing Model
by Gregory Connor and Robert Korajczyk.
175 New Cross-Sectional Regression Tests of Beta Pricing Models
by Gregory Connor and Robert T. Uhlaner.
174 Risk and Return in an Equilibrium APT
by Gregory Connor and Robert Korajczyk.
173 Estimating Pervasive Economic Factors with Missing Observations
by Gregory Connor and Robert A. Korajczyk.
172 The Pricing of Bank Loans with Contingent Assets and Liabilities
by Steven E. Plaut and Arie L. Melnik.
171 A New Option Spread Arbitrage Condition: Theory, Tests and Investment Strategies
by Aimee G. Ronn and Ehud I. Ronn.
170 Non-Additive Preferences and the Marginal Propensity to Consume
by Ehud I. Ronn.
169 A Multi-Attribute Comparative Evaluation of a Relative Risk for a Sample of Banks
by Ehud I. Ronn and Avinash K. Verma.
168 Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds
by Robert R. Grauer and Nils H. Hakansson.
167 Stock Splits, Volatility Increases and Implied Volatilities
by Aamir Sheikh.
166 Multiple Factor Risk Models and Exact Factor Pricing
by Richard C. Grinold.

1986

165 Inflation Futures and a Riskless Real Interest Rate
by Bjorn Flesaker and Ehud I. Ronn.
164 Informational Efficiency and the Private Value of Information
by Mark Latham.
163 Dividend Behavior for the Aggregate Stock Market
by Terry A. Marsh and Robert C. Merton.
162 Empirical Assessment of Present Value Relations
by Joe Mattey and Richard Meese.
161 On the Rationality of Common Stock Return Volatility
by Ehud I. Ronn.
160 The Determination of Capital Adequacy Standards for Banks
by Ehud I. Ronn and Avinash K. Verma.
159 A New Linear Programming Approach to Bond Portfolio Management
by Ehud I. Ronn.
158 Financial Deregulation
by David H. Pyle.

1985

157 Stock Market Returns and Inflation: The Effects of Economic Uncertainty
by Yoon Dokko and Robert H. Edelstein.
156 Aspects of Optimal Multiperiod Life Insurance
by David F. Babbel and Eisaku Ohtsuka.
155 The Brennan and Schwartz Two Factor Model of the Term Structure of Interest; Empirical Extension
by David F. Babble.
154 Optimal Insurance of the Common Form Under Moral Hazard
by David F. Babbel and Jaime Cuevas Dermody.
153 A Half-Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, With and Without Small Stocks
by Robert R. Grauer and Nils Hakansson.
152 Pricing Risk-Adjusted Deposit Insurance
by Ehud I. Ronn and Avinash K. Verma.
151 A Utility-Based Model of Common Stock Price Movements
by Robert H. Litzenberger and Ehud I. Ronn.
150 Defining Capital-Market Efficiency
by Mark Latham.
149 International Arbitrage Pricing Theory: An Empirical Investigation
by D. Chinhyung Cho Cheol S. Eun and Lemma W. Senbet.
148 Tax Effects of Production and Finance
by Robert M. Dammon and Lemma W. Senbet.
146 Taxable and Tax-Exempt Interest Rates: The Role of Personal and Corporate Tax Rates
by Joe Peek and James A. Wilcox.
145 Short-Term Movements of Long-Term Interest Rates: Evidence from the U.K. Indexed Market
by James A. Wilcox.

1984

147 Portfolio Choice in Research and Development
by Sudipto Bhattacharya and Dilip Mookherhee.
144 Option Pricing and Replication with Transactions Costs
by Hayne E. Leland.
143 Dealerships, Trading Externalities, and General Equilibrium
by Sudipto Bhattacharya and Kathleen Hagerty.

1983

142 Pricing Deposit Insurance: The Effects of Mismeasurement
by David H. Pyle.
141 Default Risk, Liquidity and Loan Commitments
by David H. Pyle and Jeffrey Skelton.
140 Are Asset-Demand Functions Determined by CAPM?
by Jeffrey A. Frankel and William T. Dickens.
139 Hedging With Stock Index Futures: Theory and Application in a New Market
by Stephen Figlewski.
138 Why Are Prices for Stock Index Futures So Low?
by Stephen Figlewski.
137 Market Timing and Mutual Fund Performance: An Empirical Investigation
by Roy D. Henriksson.
136 Portfolio Strategies Using Treasury Bond Options and Futures
by James W. Hoag and Dennis Draper.
135 Bank Income Taxes and Interest Rate Risk Management
by Eitan Gurel and David Pyle.

1982

134 Risk Adjusted Discounting
by Sasson Bar-Yosef and Hayne Leland.
133 Ex Post Stockholder Unanimity: A Complete and Simplified Treatment
by James A. Ohlson.
132 International Portfolio Choice and Corporation Finance: A Survey
by Michael Adler and Bernard Dumas.
131 On the Doubling Strategy Paradox and the Definition of Arbitrage
by Avi Bick.
130 The Efficiency of the Forward Exchange Market: A Conditional Nonparametric Test of Forecasting Ability
by Roy D. Henriksson and Donald R. Lessard.
129 The Postwar Stability of the Fisher Effect
by Joe Peek and James A. Wilcox.
128 Excess Reserves in the Great Depression
by James A. Wilcox.
127 On the Positive Role of Financial Intermediation in Allocation of Venture Capital in a Market with Imperfect Information
by Yuk-Shee Chan.
126 Optimal Duration of Growth Investments -- A Bayesian Approach
by Itzhak Venezia.
125 Comments on the Valuation of Derivative Assets
by Avi Bick.
124 To Pay or Not to Pay Dividends
by Nils H. Hakansson.

1981

123 Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation
by Nils H. Hakansson.
122 Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange
by Nils H. Hakansson & J. Gregory Kunkel & James A. Ohlson.
121 The Impact of the Government on Financial Equilibrium and Corporate Financial Decisions
by Sasson Bar-Yosef and Yoram Landskroner.
120 The Stability of UK Risk Measures and the Problem of Thin Trading
by Elroy Dimson and Paul Marsh.
119 A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period
by Mark Rubinstein.
118 Displaced Diffusion Option Pricing
by Mark Rubinstein.
117 Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, l976 through August 31, l978
by Mark Rubinstein.
116 Information Production, Market Signalling, and the Theory of Financial Intermediation: A Comment
by Yuk-Shee Chan.
114 Interest Rates, Expected Inflation, and Supply Shocks or Why Real Interest Rates Were So Low in the l970s
by James A. Wilcox.
113 A Characterization of Self-Financing Portfolio Strategies
by Yaacov Z. Bergman.
111 An Analytical Model and Evaluation of a Modern Market Clearing System
by Jivendra Kale.
109 Option Pricing with Different Interest Rates for Borrowing and for Lending
by Yaacov Z. Bergman.

1980

107 Deregulation and Monetary Control: Historical Perspective and Impact of the l980 Act
by Thomas F. Cargill and Gillian G. Garcia.
106 On the Feasibility of Automated Market Making by a Programmed Specialist
by Nils H. Hakansson Avraham Beja and Jivendra Kale.
105 Time Dominance Efficiency Analysis
by Steinar Ekern.
104 Market Value Maximization and Markov Dynamic Programming
by Richard C. Grinold.
103 Valuation of Risky Assets in Arbitrage-Free Economies with Transactions Costs
by Mark B. Garman and James A. Ohlson.
102 Deposit Costs and Mortgage Rates
by David H. Pyle.
101 The Works of Paul H. Cootner: A Review Essay
by David H. Pyle.
100 A Comparison of Growth Optimal and Mean Variance Investment Policies
by Robert R. Grauer.
99 Macro and Micro Tests of the Mean Variance and Linear Risk Tolerance Capital Asset Pricing Models
by Robert R. Grauer.
98 A Synthesis of the Pure Theory of Arbitrage
by Mark B. Garman.

1979

97 Toward Measures of Real Estate Value, Return, and Risk
by James W. Hoag.
96 Signaling and the Valuation of Unseasoned New Issues
by David H. Downes and Robert Heinkel.
95 Who Should Buy Portfolio Insurance?
by Hayne E. Leland.
94 The Option Value of Reserves of Natural Resources
by Octavio A. F. Tourinho.
93 Credit Cards in an Interdisciplinary Survey: Toward a General Theory of Consumer Behavior
by Gillian Garcia.
92 Repurchase Agreements: Bias and Inconsistency in the Estimation of the Money-Demand Function
by Gillian Garcia and Simon Pak.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.