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, July 2008

#06-20
Accounting Information, Disclosure, and the Cost of Capital
Richard A. Lambert, Christian Leuz, and Robert E. Verrecchia, August 2006
This is the preprint version only. For the published version please see: Journal of Accounting Research 45 (2007), 385-420.

#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