2006 Working Paper Series

Click on the title to see the abstract. Click on the icon to download the entire paper. (You will need the free Acrobat Reader from Adobe).

#06-01
Substantive and Procedural Rationality in Decisions under Uncertainty
Syngjoo Choi, Raymond Fisman and Douglas Gale, December 2005

#06-02
Large Investors, Price Manipulation, and Limits to Arbitrage:
An Anatomy of Market Corners
Franklin Allen, Lubomir Litov and Jianping Mei, January 2006
This is the preprint version only. For the published version please see: Review of Finance, 10(4) 645-693, 2006.

#06-03
Agency-Based Asset Pricing
Gary B. Gorton and Ping He, February 2006

#06-04
Asset Prices when Agents are Marked-to-Market
Gary B. Gorton and Ping He, January 2006

#06-05
What We Know, Don't Know and Can't Know About Bank Risk: A View from the Trenches
Andrew Kuritzkes and Til Schuermann, March 2008

#06-06
Bank Credit Cycles
Gary B. Gorton and Ping He, May 2005

#06-07
Facts and Fantasies about Commodities Futures
Gary Gorton and K. Geert Rouwenhorst, February 2005

#06-08
Financing Firms in India
Franklin Allen, Rajesh Chakrabarti, Sankar De, Jun Qian and Meijun Qian, October, 2007

#06-09
Managing Bank Liquidity Risk: How Deposit Loan Synergies Vary with Market Conditions
Evan Gatev, Til Schuermann, Philip E. Strahan, April 2006
Forthcoming, Review of Financial Studies

#06-10
Visible and Hidden Risk Factors for Banks
Til Schuermann and Kevin J. Stiroh, May 2006

#06-11
Foreign Banks in Mexico: New Conquistadors or Agents of Change?
Heiner Schulz, April 2006

#06-12
Well ARMed and FiRM: Diversification of Mortgage Loans for Homeowners
Kourosh M. Rasmussen and Stavros A. Zenios, May 2006
This is the preprint version only. For the published version please see: Journal of Risk, Vol. 10(1), pp. 1-19, Fall 2007.

#06-13
Capital Allocation and the Pricing of Financially Intermediated Risks: An Empirical Investigation
J. David Cummins, Yijia Lin, and Richard D. Phillips, June 2006

#06-14
Rational Decumulation
David F. Babbel and Craig B. Merrill, May 2007

#06-15
Mark-to-Market Accounting and Liquidity Pricing
Franklin Allen and Elena Carletti, July 2006
Forthcoming, Journal of Accounting and Economics.

#06-16
Cross-Border Banking in Central and Eastern Europe
Thomas Caspar Altmann, August 2006

#06-17
Investment Behavior of Stock Exchanges and the Rationale for Demutualization - Theory and Empirical Evidence
Baris Serifsoy and Marcel Tyrell, August 2006

#06-18
How Much of a Haircut? Options-Based Structural Modeling of Defaulted Bond Modeling Rates
Robert R. Cangemi, Jr., Joseph R. Mason, and Michael S. Pagano, August 2006

#06-19
Cost of Capital Effects and Changes in Growth Expectations
around U.S. Cross-Listings
Luzi Hail and Christian Leuz, October 2006

#06-20
Accounting Information, Disclosure, and the Cost of Capital
Richard A. Lambert, Christian Leuz, and Robert E. Verrecchia, August 2006

#06-21
Information Asymmetry, Information Precision,
and the Cost of Capital
Richard A. Lambert, Christian Leuz, and Robert E. Verrecchia, March 2006

#06-22
Foreign ownership in Mexican Banking: A Self-Correcting Phenomenon
Adrian E. Tschoegl, October 2006

#06-23
Whom Can you Trust? A Study of Mutual Fund Governance
Meijun Qian, October 2006