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A Comparison of the Skewness of Stock Return Distributions at Earnings and Non-Earnings Announcement Dates
This paper presents evidence that stock return prediction errors are less positively skewed in the time period surrounding accounting earnings report announcements than in a subsequent non-announcement period. Assuming that information available…
A Conjunctive-Compensatory Approach to the Self-Explication of Multi-attributed Preferences
Consumer choice among multiattributed products is modeled as a two-stage process in which a conjunctive stage (that eliminates products with one or more “totally unacceptable” attribute levels) is followed by a compensatory stage (that…
Notes on the Theory of Choice
In this book, Professor Kreps presents a first course on the basic models of choice theory that underlie much of economic theory. This course, taught for several years at the Graduate School of Business, Stanford University, gives the student an…
A Direct Aggregation Approach to Inferring Microparameters of the Koyck Advertising-Sales Relationship from Macro Data
The authors examine the advertising-sales relationship in the framework of the Koyck model. They note that if only macro (e.g., annual) data are available, it is necessary to approximate micro (e.g., monthly) data in order to minimize the ‘…
Externally Espoused Values and the Legitimation of Financial Performance
Organizations devote significant resources to the process of external legitimation of their activities. This paper focuses on a particular aspect of this process, espoused values. We begin by drawing on the organizational culture literature to…
Comment: On The Negative Binomial Distribution
Adjustable Rate Mortgages: Prepayment Behavior
Adjustable Rate Mortgages: Valuation
A simulation method is employed to value Adjustable Rate Mortgages, (ARMS). It is used to price two typical instruments: an ARM linked to a Treasury interest rate and an ARM linked to a “Cost of Funds” Index. Contractual provisions such as…
An Economic Approach to Influence Activities in Organizations
An Extension of the Modigliani-Miller Theorem to Stochastic Economies with Incomplete Markets and Fully Interdependent Securities
The Modigliani-Miller theorem is shown to hold in a general model of a multiperiod, stochastic economy with incomplete markets and perfect foresight. In the model, firms are allowed to trade all available securities; thus, share prices and…
Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?
Multibeta asset pricing models are examined in a framework which exploits time-varying, conditional expected returns to estimate conditional betas. Examples include multiple-consumption-beta models and models where common stock “size portfolios”…
Arrow and General Equilibrium Theory
This is a review of the Collected Papers of Kenneth J. Arrow, Volume 2: General Equilibrium. The review focuses on Arrow’s contribution in three areas: the existence of equilibrium, the relationship between equilibria and Pareto optimality, and…
Bargaining Costs, Influence Costs and the Organization of Economic Activity
Abstract not available.
Bioerodible polymers for controlled release systems
Business, Strategy, Market Structure, and Risk Return Relationships: A Casual Interpretation
The present paper analyzes four questions both theoretically and empirically: 1) how are risk and return outcomes at the business-unit level related to each other?; 2) how does market share influence risk-return outcomes?; 3) to what extent is…
Changes in Expected Security Returns, Risk, and the Level of Interest Rates
Regressions of security returns on treasury bill rates implicitly indicate the behavior of conditional covariances with benchmark pricing variables. The information in one-month rates is sufficient to detect variation in the covariances for…
Computationally Feasible Bounds For Partially Observed Markov Decision Processes
A partially observed Markov decision process (POMDP) is a sequential decision problem where information concerning parameters of interest is incomplete, and possible actions include sampling, surveying, or otherwise collecting additional…
A Consumer Choice Health Plan For the 1990s: Cost and Budget Estimates and Supporting Detail
Abstract not available.
Coordination and the Potential for Self-Sacrifice
An extension of games is proposed, where players are given the option of incurring costs. This extension allows players to signal their intended strategy in the original game. We apply the logic of forwards and backwards induction, without…
Coordination through Committees and Markets
We discuss three common mechanisms for achieving coordination, with particular reference to the choice of compatibility standards. The first involves explicit communication and negotiation before irrevocable choices are made: it represents what…