2003 Working Paper Series

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#03-01
Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market
Evan Gatev and Philip E. Strahan, January 2003
This is the preprint version only. For the published version please see: Journal of Finance, 61(2), 867-892. 2006..

#03-02
Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates
Andrew Kuritzkes,Til Schuermann and Scott M. Weiner, November 2002
Published in in Herring, R. and R. Litan (eds.), Brookings-Wharton Papers in Financial Services 2003, 141-194.

#03-03
Service Co-Production, Customer Efficiency and Market Competition
Mei Xue and Patrick T. Harker, January 2003

#03-04
Incorporating the Dual Customer Roles in e-Service Design
Mei Xue, Patrick T. Harker and Gregory R. Heim, January 2003
This is the preprint version only. For the published version please see, International Journal of Electronic Business,3 (2) 174-197

#01-21-B
Payout Policy
Franklin Allen and Roni Michaely, April 2002
This is the preprint version only. For the published version please see: North-Holland Handbook of Economics, edited by George Constantinides, Milton Harris and Rene Stulz, pp. 337-429.

#01-37-B
Financial Fragility, Liquidity and Asset Prices
Franklin Allen and Douglas Gale, January 2003
This is the preprint version only. For the published version please see:Journal of European Economic Association, 2 (2004)1015-1048.

#03-05
Venture Capital and Corporate Governance
Franklin Allen and Wei-ling Song, September 2002
This is the preprint version only. For the published version please see: Corporate Governance and Capital Controls in a Global Economy, edited by Peter K. Cornelius and Bruce Kogut. Oxford University Press. Pp. 133-156. 2004.

#00-44-C
Financial Intermediaries and Markets
Franklin Allen and Douglas Gale, January 2003
This is the preprint version only. For the published version please see: Econometrica. 72(4), pp. 1023-1061. 2004.

#03-06
Beauty Contests, Bubbles and Iterated Expectations in Asset Markets
Franklin Allen, Stephen Morris and Hyun Song Shin, February 2003
This is the preprint version only. For the published version please see: Review of Financial Studies 19(3), pp. 719-752. 2006.

#03-07
Capital Adequacy Regulation: In Search of a Rationale
Franklin Allen and Douglas Gale, September 2002
This is the preprint version only. For the published version please see: Economics for an Imperfect World: Essays in Honor of Joseph Stiglitz, edited by R. Arnott, B. Greenwald, R. Kanbur, and B. Nalebuff. MIT Press, 83. 109. 2003.

#03-08
Measurement and Estimation of Credit Migration Matrices
Til Schuermann and Yusuf Jafry, April 2003
This is the preprint version only. For the published version please see: Journal of Banking and Finance 28(11), pp. 2603-2639. 2004.

#03-09
Metrics for Comparing Credit Migration Matrices
Yusuf Jafry and Til Schuermann, March 2003
This is the preprint version only. For the published version please see: Journal of Banking and Finance 28(11), pp. 2603-2639. 2004.

#03-10
Foreign Banks in the Pacific: Some History and Policy Issues
Adrian E. Tschoegl, March 2003

#03-11
Who Owns the Major US Subsidiaries of Foreign Banks? A Note
Adrian E. Tschoegl, April 2003
This is the preprint version only. For the published version please see: "Who owns the Major US Subsidiaries of Foreign Banks? A Note." Journal of International Financial Markets, Institutions & Money, (3), 255-266, 2004.

#03-12
Statistical Analysis of a Telephone Call Center: A Queueing-Science Perspective
Lawrence Brown, Noah Gans, Avishai Mandelbaum, Anat Sakov, Haipeng Shen, Sergey Zeltyn and Linda Zhao, Novemer 2002

#03-13-B
Macroeconomic Dynamics and Credit Risk: A Global Perspective
M. Hashem Pesaran, Til Schuermann, Björn-Jakob Treutler, Scott M. Weiner, November 2003
Forthcoming, Journal of Money, Credit and Banking.

#03-14
The New Basel Capital Accord and Questions for Research
Marc Saidenberg and Til Schuermann, May 2003
This is the preprint version only. For the published version please see:ch. 7 in Benton Gup (ed.) The New Basel Capital Accord, SouthWestern/Thomson, 2004.

#03-15
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Michael W. Brandt and Francis X. Diebold, April 2003
This is the preprint version only. For the published version please see: Journal of Business 79, pp. 61-74. 2006.

#03-16
Political Relationships, Global Financing and Corporate Transparency
Christian Leuz and Felix Oberholzer-Gee, May 2003
This is the preprint version only. For the published version please see: Journal of Financial Economics 81 (2006), 411-439.

#03-17
Estimating the Cost of Equity Capital for Property-Liability Insurers
J. David Cummins and Richard D. Phillips, June 2003
This is the preprint version only. For the published version please see:Journal of Risk and insurance. 2004 72(3): 441-478 .

#03-18
Actuarially Consistent Valuation of Catastrophe Derivatives
Alexander Muermann, July 2003
Forthcoming, ASTIN Bulletin.

#03-19
Financial Infrastructure, Underwriter Reputations, and Securities Fraud
Wei-Ling Song, May 2003

#03-20
Competition and Coalition Among Underwriters: The Decision to Join a Syndicate
Wei-Ling Song, June 2003
This is the preprint version only. For the published version please see: The Journal of Finance 59 (2004): 2421-2444 .

#03-21
Coexistence and Specialization of Investment Banks and Commercial Banks: Evidence from Corporate Bond
Wei-Ling Song, May 2003

#03-22
Finance as a Barrier to Entry: Bank Competition And Industry Structure in Local U.S. Markets
Nicola Cetorelli and Philip E. Strahan, June 2003
This is the preprint version only. For the published version please see: Journal of Finance, 61(1), 437-461, 2006..

#03-23
The Impact of Regret on the Demand for Insurance
Michael Braun and Alexander Muermann, July 2003
This is a preprint version only. For the published version, please see: Journal of Risk and Insurance, 71:4, 2004, p. 737-767.

#99-42-B
The Key to Risk Management: Management
Adrian E. Tschoegl, July 2003
This is a preprint version only. For the published version, please see Michael Frenkel, Ulrich Hommel and Markus Rudolf, eds. 2004. Risk Management: Challenge and Opportunity. Springer-Verlag.

#03-24
Internationalization as a Rearrangement of Ownership of Firms and Parts of Firms: Grindlays Bank, 1828-2000
Adrian E. Tschoegl, August 2003

#03-25
Applying Efficiency Measurement Techniques to Central Banks
Loretta J. Mester, July 2003

#03-26
Competition and Financial Stability
Franklin Allen and Douglas Gale, September 2003
This is the preprint version only. For the published version please see: Journal of Money, Credit and Banking, 36(3) Pt. 2, 453-480.

#03-27
A Comparative Theory of Corporate Governance
Franklin Allen and Douglas Gale, December 2002

#03-28
Firm Value and Managerial Incentives: A Stochastic Frontier Approach
Michael A. Habib and Alexander Ljungqvist, October 2003
This is the preprint version only. For the published version please see: Journal of Business 78(6), 2063-2093, 2005 .

#03-29
The Macroeconomy and the Yield Curve: A Nonstructural Analysis
Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba, October 2003
This is a preprint version only. For the published version, please see: "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," Journal of Econometrics 131, pp. 309-338. 2006.

#03-30
The Effect of Organizational Structure on Efficiency: Evidence From the Spanish Insurance Industry
J. David Cummins, Maria Rubio-Misas, and Hongmin Zi, October 2003
Forthcoming, Journal of Money, Credit and Banking. 2004.

#03-31
Estimating The Cost of Equity Capital For Property-Liability Insurers
J. David Cummins and Richard D. Phillips, June 2003
This is a preprint version only. For the published version, please see: Journal of Risk and Insurance 72(3), pp. 441-478. 2005.

#03-32
Insurance Company Failures: Why Do They Cost So Much?
Martin F. Grace, Robert W. Klein and Richard D. Phillips, October 2003

#03-33
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold, September 2003
Forthcoming as "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," Review of Economics and Statistics, 2006.

#03-34
Lessons from Behavioral Finance for Retirement Plan Design
Olivia Mitchell and Stephen Utkus, October 2003
Please see: Olivia S. Mitchell and Stephen P. Utkus, eds. Pension Design and Structure: New Lessons from Behavioral Finance. Pension Research Council. Oxford, UK: Oxford University Press, 2004

#03-35
Financial Crises and the Presence of Foreign Banks
Adrian E. Tschoegl, December 2003
Fortchoming as Financial Crises and the Presence of Foreign Banks. 2004. In P. Honohan and L. Laeven, eds. Systemic Financial Distress: Containment and Resolution. Cambridge Univ. Press.