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SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB the Rock Center.
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The Effect of Time-Complementarity on Optimal Consumption-Investment Decisions
Abstract not available.
The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?
Abstract not available.
The Relation Between Forward Prices and Futures Prices
This paper consolidates the results of some recent work on the relation between forward prices and futures prices. It develops a number of propositions characterizing the two prices. These propositions contain several testable implications about…
Decentralized Investment Management (Presidential Address, American Finance Association Annual Meeting, Denver, Colorado)
Abstract not available.
Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium
Abstract not available.
Estimating the Parameters of the Capital Asset Pricing Model (CAPM)--A Minimum Expected Loss (MELO) Approach
The modern theory of finance has produced the capital asset pricing model (CAPM) which is an equilibrium model establishing a relationship among the parameters of the multivariate distribution of returns from assets. Several attempts have been…
Mutual Fund Insurance
During the 1970s, mutual fund insurance was sold in the U.S. by the Harleysville and Prudential lnsurance Companies. This paper examines the valuation and demand for this insurance. It illustrates that because of its design, for many plausible…
Nondissipative Signaling Structures and Dividend Policy
Existence conditions for signaling equilibria in which the signal is not exogenously costly are derived for the continuum of classes case. Applications to labor market, models based on productivity quotas and time-profiles of wages, and an…
Portfolio Efficiency with Stochastic Opportunity Sets
Abstract not available.
Tax Induced Clientele Effects in the Market for British Government Securities: Placing Bounds on Security Values in an Incomplete Market
This paper develops a new method for measuring tax effects in bond markets and presents empirical results for British Government Securities. The basic idea is to construct a least cost portfolio which, for investors in a given tax bracket,…
An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption- goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived.…
Asymmetric Information, Input Regulation and Output Regulation of Service Quality
Abstract not available.
Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities
A method of measuring the term structure of interest rates is developed which accommodates the tax dependence of an investors choice of securities. Empirical results are given for the British Government Securities Market over the period 1955-1975…
Minimum Quality Standards Through Entry Licensing, Malpractice Suits and Equilibrium in a Medical Care Market with Asymmetric Information
Abstract not available.
On the CAPM Approach to the Estimation of a Public Utility's Cost of Equity Capital
Abstract not available.
The Return on Called Bonds
This paper analyzes the experience of investors in refunded bonds during the 1970s. These bonds tended to provide a higher return than bonds of the same company which were not called. However, the investor suffered an opportunity loss on…
A Consumption-Oriented Explanation of Some Special Features or the International Bond Market
Abstract not available.