Research Program in Finance Working Papers

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University of California at Berkeley, Berkeley, CA USA.
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RPF-295: On Adaptive Tail Index Estimation for Financial Return Models

Niklas Wagner and Terry Marsh.

RPF-294: Rational Markets: Yes or No? The Affirmative Case

Mark Rubinstein.

RPF-293: Return-Volume Dependence and Extremes in International Equity Markets

Terry A. Marsh and Niklas Wagner.

RPF-292: On the Relation Between Binomial and Trinomial Option Pricing Models

Mark Rubinstein.

RPF-291: Corporate Diversification and Agency

Benjamin E. Hermalin and Michael L. Katz.

RPF-289: Credit Derivatives in Banking: Useful Tools for Managing Risk?

Gregory R. Duffee and Chunsheng Zhou.

RPF-288: Order Flow and Exchange Rate Dynamics

Martin D. D. Evans and Richard K. Lyons.

RPF-287: The Role of a Corporate Bond Market in an Economy - and in Avoiding Crises

Nils H. Hakansson

RPF-286: Housing Return and Construction Cycles

Matthew Spiegel.

RPF-285: Search Costs: The Neglected Spread Component

Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons.

RPF-284: Valuation and Return Dynamics of New Ventures

Jonathan B. Berk Richard C. Green and Vasant Naik.

RPF-283: Predicting Excess Returns with Public and Insider Information: The Case of Thrift Conversions

James A. Wilcox and Zane D. Williams.

RPF-282: The "Credit Crunch" and the Availability of Credit to Small Business

Diana Hancock and James A. Wilcox.

RPF-281: Dynamic Optimal Risk Management and Dividend Policy under Optimal Capital Structure and Maturity

Michael P. Ross.

RPF-280: Corporate Hedging: What, Why and How?

Michael P. Ross.

RPF-279: Pricing Derivatives the Martingale Way

Pierre Collin Dufresne William Keirstead and Michael P. Ross.

RPF-278: Agency Costs, Risk Management, and Capital Structure

Hayne Leland

RPF-277: Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model

Robert R. Grauer and Nils H. Hakansson.

RPF-276: Closed-End Fund Discounts in a Rational Agent Economy

Matthew Spiegel.

RPF-275: Edgeworth Binomial Trees

Mark Rubinstein.

RPF-274-Rev: Derivatives Performance Attribution

Mark Rubinstein.

RPF-273: Profits and Position Control: A Week of FX Dealing

Richard Lyons

RPF-272: Bank Risk Management: Theory

David H. Pyle.

RPF-271: International Portfolio Investment Flows

Michael J. Brennan. and H. Henry Cao.

RPF-270: Is There Private Information in the FX Market? The Tokyo Experiment

Takatoshi Ito Richard K. Lyons and Michael T. Melvin.

RPF-269: Are Investors Reluctant to Realize Their Losses?

Terrance Odean

RPF-268: A Theory of Corporate Capital Structure and Investment

Miguel Cantillo Simon.

RPF-267: Options and Expectations

Hayne Leland

RPF-266: Volume, Volatility, Price and Profit When All Trader Are Above Average

Terrance Odean

RPF-265: Recovering Risk Aversion from Option Prices and Realized Returns

Jens Carsten Jackwerth.

RPF-264: Generalized Binomial Trees

Jens Carsten Jackwerth.

RPF-263-rev: Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies

Hayne Leland

RPF-262: Implied Binomial Trees: Generalizations and Empirical Tests

Jens Carsten Jackwerth.

RPF-261: Optimal Asset Rebalancing in the Presence of Transactions Costs

Hayne Leland

RPF-260: Stock Price Volatility in a Multiple Security Overlapping Generations Model

Matthew Spiegel.

RPF-259: Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads

Hayne E. Leland and Klaus Bjerre Toft.

RPF-258: Imperfect Competition in Securities Markets with Diversely Informed Traders

Huining Cao

RPF-257: The Efficacy of Insider Trading Regulation

Matthew Spiegel and Avanidhar Subrahmanyam.

RPF-256-Rev: How Do Firms Choose Their Lenders? An Empirical Investigation

Miguel Cantillo and Julian Wright.

RPF-255: A Theory of Corporate Capital Structure and Investment

Miguel Cantillo

RPF-254-Rev: The Rise and Fall of Bank Control in the United States: 1890-1920

Miguel Cantillo

RPF-253: A Spatial Model of Housing Returns and Neighborhood Substitutability

William N. Goetzmann and Matthew Spiegel.

RPF-252: Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

Jacob Boudoukh Matthew Richardson Richard Stanton and Robert F. Whitelaw.

RPF-251: Mortgage Choice: What's the Point?

Richard Stanton and Nancy Wallace.

RPF-250: Implied Probability Distributions: Empirical Analysis

Jens Carsten Jackwerth and Mark Rubinstein.

RPF-249: A Variable Reduction Technique for Pricing Average-Rate Options

Hua He and Akihiko Takahashi.

RPF-248: Double Lookbacks

Hua He William P. Keirstead and Joachim Rebholz.

RPF-247: Anatomy of an ARM: Index Dynamics and Adjustable Rate Mortgage Valuation

Richard Stanton and Nancy Wallace.

RPF-246: Effects of Competition on Bidder Returns

Sankar De Mark Fedenia and Alexander J. Triantis.

RPF-245: On Revelation of Private Information in Stock Market Economies

Marcus Berliant and Sankar De.