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SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB and the Rock Center.
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Empirical Examination of the Return Generating Process of the Arbitrage Pricing Theory
The return generating process of the arbitrage pricing theory is examined using factor analysis. Over the period 1953-1971 not only do formal statistical tests fail to confirm the notion of industry factors, but the statistics suggest that the…
Empirical Tests of the Consumption-Oriented CAPM
The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a market portfolio-oriented capital asset pricing model. Measurement problems associated with reported…
Equilibrium and the Role of the Firm in Incomplete Markets
This paper studies the role of the firm in incomplete markets. Stock market equilibria are shown to exist generically in economies with “smooth” preferences and production sets. The set of equilibrium allocations is generically infinite. The…
Excess Capacity as a Barrier to Entry: An Empirical Appraisal
This paper examines excess capacity barriers to entry and investment dynamics in a sample of thirty-eight chemical product industries. Logit and log-linear models of investment behavior are estimated, and specific case examples are considered.…
Finance and Global Competition: Exploiting Financial Scope and Coping with Volatile Exchange Rates
Abstract not available.
Financial Implications of Divestment of South Africa-Related Stocks
Abstract not available.
Game Forms with Minimal Message Spaces
Abstract not available.
Involuntary Unemployment and Imperfect Competition: A Game Theoretic Macro Model
This paper considers a game-theoretic, non-Walrasian, general equilibrium model of price determination, production, and exchange. In this game, firms first select prices and wages, consumers/workers then make input supply and output demand offers…
Lincoln's Leadership: Excellence in War Management
Lincoln’s management of the Civil War used so many of the principles described by Peters and Waterman (1982) in their best selling book, In Search of Excellence: Lessons from America’s Best Run Companies, that we have attempted to analyze Lincoln…
Loss-Leaders: A Phenomenon of Price Competition or Implicit Collusion
In this paper we analyze equilibrium pricing strategies for firms competing in a market for two goods consumed by two types of consumers. It is shown that if the proportion of poor to rich consumers is not too small or too large, equilibrium…
Money in General Equilibrium Theory
This paper establishes the existence of monetary equilibrium in a static economy with a finite number of agents, each described by a preference relation, an endowment of commodities and pure fiat money, and a transactions technology. In addition…
Monitoring, Moral Hazard, Asymmetric Information, and Risk Sharing in Procurement Contracting
Abstract not available.
On Timing and Selectivity
The dichotomy between timing ability and the ability to select individual assets has been widely used in discussing investment performance measurement. This paper discusses the conceptual and econometric problems associated with defining and…
On the Evaluation of Structural Equation Models
Criteria for evaluating structural equation models with latent variables are defined, critiqued, and illustrated. An overall program for model evaluation is proposed based upon an interpretation of converging and diverging evidence. Model…
On the Robustness of Equilibrium Refinements
Abstract not available.
On the Term Structure of Interest Rates
This is a brief review of the theory of the term structure of interest rates, and includes a discrete-time example that parallels the continuous-time model of the term structure due to Cox, Ingersoll, and Ross.
Optimal Auditing, Insurance, and Redistribution
The objective of this paper is to analyse optimal tax and audit strategies for a principal seeking to redistribute income among a population of taxpayers when the principal can observe the income of an individual at a cost. We show that in very…
Optimal Hedging and Equilibrium in a Dynamic Futures Market
In this paper optimal hedging strategies are solved for in a continuous time setting. We consider a single agent maximizing the expected utility of the sum of the terminal value of a fixed portfolio of spot market assets and the terminal value of…
Optimal Innovation of Futures Contracts
This paper provides an expression for the revenue maximizing and open interest maximizing choice of futures contracts by exchanges in incomplete markets under uncertainty, with quadratic Von Neumann-Morgenstern preferences and proportional…