WORKING PAPERS - (1998)

For a printed versions of any of these papers, please contact Mary Ann Nelson at maryann.nelson@yale.edu.  Requests from non-academic institutions will be billed $20 for processing and mailing

1998

 Bris, Arturo and Salvatore Cantale, "Bank Capital Requirements and Managerial Self-Interest." September 1998 

 Bris, Arturo, "When Do Bidders Purchase a Toehold? Theory and Tests." October 1998 

 Brown, Stephen J., William N. Goetzmann, Mark Grinblatt, "Positive Portfolio Factors." January 1998 

 Brown, Stephen J., William N. Goetzmann and Alok Kumar, "The Dow Theory: William Peter Hamilton's Track Record Reconsidered." March 1998 

 Brown, Stephen J., William N. Goetzmann and James Park, "Hedge Funds and the Asian Currency Crisis of 1997." May 1998 

 Dennis, Stephen A., and Andrew Jeffrey, "Structural Changes in Australian Bank Risk." June 1998 

 Fuerst, Oren and Sok-Hyon Kang, "Corporate Governance, Expected Operating Performance, and Pricing." December 1998 

 Fuerst, Oren, "Investment in EMU Countries using the Expected Residual Income Valuation Method." August 1998 

 Fuerst, Oren, "A Theoretical Analysis of the Investor Protection Regulations Arguement for Global Listing of Stocks." September 1998 

 Gatev, Evan G., William N. Goetzmann and K. Geert Rouwenhorst, "Pairs Trading: the performance of a relative value arbitrage strategy." November 1998

 Goetzmann, William N. and David Geltner, "Two Decades of Commercial Property Returns: A NCREIF Index Using Independent Appraisals."

 Goetzmann, William N., Zoran Ivkovich and Jon Ingersoll, "Monthly Measurement of Daily Timers." March 1998

 Goetzmann, William N., Jon Ingersoll and Stephen A. Ross, "High Water Marks." March 1998

 Hefflin, Frank and Kenneth W. Shaw, "Cross Sectional Determinants of Specialist Spread and Depth Quotes," July, 1998 

 Ingersoll, Jon, "Digital Contracts: Simple Tools for Pricing Complex Derivatives." June 1998 

 Ingersoll, Jon, "An Approximation for Valuing American Options and Other Financial Contracts Using 'Barrier' Derivatives." June 1998 

 Jeffrey, Andrew, "An Empirical Examination of a Path-Dependent Term Structure Model." October 1998

 Prabhala, Nagpurnanand and Manju Puri, "How Does Underwriter Price Support Affect The IPO Process? Empirical Evidence." May 1998 Text and Tables. 

 Prabhala, Nagpurnanand and Subhankar Nayak, "The Informational Relation Between Split and Dividends." April 1998 

 Prabhala, Nagpurnanand and Bent J. Christensen, "The Relation Between Implied and Realized Volatility." Text and Tables May, 1998 

 Prabhala, Nagpurnanand and Bent J. Christensen, "Expectations and the Cross-Section of Dividend Announcement Effects." Text and Tables June 1998 

 Rouwenhorst, K. Geert, "European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?" October 1998 

 Rouwenhorst, K. Geert, "Local Return Factors and Turnover in Emerging Stock Markets." July 1998 

 Schiller, Robert, "Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing." July 1998 

 Schiller, Robert, "Indexed Units of Account: Theory and Assessment of Historical Experience." January 1998


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