1999 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).

#99-01-B
Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns
Roger M. Edelen and Jerold B. Warner, October 1999

#99-02-C
Checking Accounts and Bank Monitoring
Loretta J. Mester, Leonard I. Nakamura and Micheline Renault, July 2002

#99-03
Deposits and Relationship Lending
Mitchell Berlin and Loretta J. Mester, November 1998
This is the preprint version only. For the published version please see:Review of Financial Studies 12, pp. 579-607. 1999.

#99-04
The Dollars and Sense of Bank Consolidation
Joseph P. Hughes, William Lang, Loretta J. Mester and Choon-Geol Moon, May 1998
This is the preprint version only. For the published version please see: "The Dollars and Sense of Bank Consolidation." Journal of Banking and Finance. Vol. 23, pp. 291-324. February 1999.

#99-05
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay, August 1998
This is the preprint version only. For the published version please see: "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange." Review of Economics and Statistics. Vol. 81, pp. 661-673. 1999.

#99-06
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management
Anil Bangia, Francis X. Diebold, Til Schuermann and John D. Stroughair, December 1998
This is the preprint version only. For the published version please see: "Liquidity on the Outside." Risk. Vol. 12, pp. 68-73. 1999.

#99-07
Extensions of Modified DEA
Mei Xue and Patrick T. Harker, January 1999

#99-08
The Distribution of Exchange Rate Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys, January 1999
This is the preprint version only. For the published version please see: "The Distribution of Realized Exchange Rate Volatility." Journal of the American Statistical Association. Vol. 96 pp. 42-55. 2001.

#99-09
Expense Shifting: An Empirical Study of Agency Costs in the Mutual Fund Industry
Nicolaj Siggelkow, January 1999

#99-10
What Explains the Dramatic Changes in Cost and Profit Performance of the U.S. Banking Industry?
Allen N. Berger and Loretta J. Mester, February 1999

#99-11
Customer Learning and Loyalty When Quality is Uncertain
Noah Gans, January 1999

#99-12
Customer Loyalty and Supplier Strategies for Quality Competition
Noah Gans, January 1999
This is the preprint version only. For the published version please see Management Science, 48, 207-221. 2002.

#99-13
Why Focus? A Study of Intra-Industry Focus Effects
Nicolaj Siggelkow, December 1998
This is the preprint version only. For the published version please see: Journal of Industrial Economics, 51, pp. 121-150. 1003

#98-35-B
Is There an Optimal Size for the Financial Sector
Anthony M. Santomero and John J. Seater, February 1999
This is the preprint version only. For the published version please see: Journal of Banking and Finance. Vol 24, Issue 6, pp. 445-65. 2000.

#99-14
Tail Estimation and Catastrophe Security Pricing: Can We Tell What Target We Hit if We Are Shooting in the Dark?
James F. Moore, March 1999

#99-15
Scenario Modeling of Selective Hedging Strategies
Andrea Beltratti, Andrea Laurent and Stavros A. Zenios, March 1999

#99-16
Value Creation and Process Management: Evidence from Retail Banking
Frances X. Frei and Patrick T. Harker, March 1999
Published in: Creating Value in Financial Services, edited by E. Melnick, P. Nayyar, M. Pinedo and S. Seshadri. Kluwer Academic Publishers, 2000

#98-30-B
Diversity of Opinion and Financing of New Technologies
Franklin Allen and Douglas Gale, March 1999
This is the preprint version only. For the published version please see: "Diversity of Opinion and Financing of New Technologies," Journal of Financial Intermediation, Volume 8, Numbers 1/2, January/April 1999

#99-17
Overcoming the Inherent Dependency of DEA Efficiency Scores: A Bootstrap Approach
Mei Xue and Patrick T. Harker, April 1999

#99-18
The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program
Jeffrey R. Brown, Olivia S. Mitchell and James M. Poterba, April 1999

#99-19
Blockholder Identity, Equity Ownership Structures and Hostile Takeovers
Gary Gorton and Matthias Kahl, May 1999

#99-20
Service Competition, Outsourcing and Co-Production in a Queuing Game
Gérard P. Cachon and Patrick T. Harker, March 1999

#99-21
Do Better Customers Utilize Electronic Distribution Channels: The Case of PC Banking
Lorin M. Hitt and Frances X. Frei, April 1999
This is the preprint version only. For the published version please see: Management Science 48(6, June): 732-749 . 2002.

#99-22
The Reaquisition of Credit Following Chapter 7 Personal Bankruptcy
David K. Musto, June 1999

# 99-23
The Impact of Uncertainty in Managing Seismic Risk: The Case of Earthquake Frequency and Structural Vulnerability
Patricia A. Grossi, Paul Kleindorfer and Howard Kunreuther, December 1998

#99-24
Assessing the Benefits and Costs of Earthquake Mitigation
Patricia A. Grossi, June 1999

#99-25
The Supply of Catastrophe Insurance Under Regulatory Constraints
Robert W. Klein and Paul R. Kleindorfer, June 1999

#99-26
A Cat Bond Premium Puzzle?
Vivek J. Bantwal and Howard C. Kunreuther, May 1999

#99-27
Real Estate Booms and Banking Busts: An International Perspective
Richard J. Herring and Susan Wachter, July 1999

#99-28
Corporate Governance and Competition
Franklin Allen and Douglas Gale, July 1999
This is the preprint version only. For the published version please see: Corporate Governance: Theoretical and Empirical Perspectives, edited by X. Vives, Camburdge University Press, pp. 23-94. 2000.

#99-29-B
Conglomeration Versus Strategic Focus: Evidence from the Insurance Industry
Allen N. Berger, J. David Cummins, Mary A. Weiss and Hongmin Zi, March 2000
This is the preprint version only. For the published version please see: Journal of Financial Intermediation 9, pp. 323-362. 2000.

#99-30-B
What Do Financial Intermediaries Do?
Franklin Allen and Anthony M. Santomero, September 1999
This is the preprint version only. For the published version please see: Journal of Banking and Finance, 25, pp. 271-294. 2001.

#99-31
Demand Curves and the Pricing of Money Management
Susan Christoffersen and David K. Musto, August 1999
This is the preprint version only. For the published version please see: Review of Financial Studies 15(5), Winter 2002, 1499-1524.

#99-32
A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
Dilip Madan and Haluk Unal, June 1999

#99-33-B
Optimal Financial Contracts for Large Investors: The Role of Lender Liability
Mitchell Berlin and Loretta J. Mester, April 2000
This is the preprint version only. For the published version please see: "Lender Liability and Large Investors," Journal of Financial Intermediation, forthcoming (2001).

#99-34
Customizing Reinsurance and Cat Bonds for Natural Hazard Risks
David C. Croson and Howard C. Kunreuther, June 1999

#99-35
Credit Enhancement through Financial Engineering: Freeport-McMoRan's Gold-Denominated Depository Shares
N.K. Chidambaran, Chitru S. Fernando and Paul A. Spindt, June 1999

#98-11-B
Can Insurers Pay for the "Big One"? Measuring the Capacity of an Insurance Market to Respond to Catastrophic Losses
J. David Cummins, Neil A. Doherty and Anita Lo, June 1999
This is the preprint version only. For the published version please see: Journal of Banking and Finance 26, pp. 557-583. 2002.

#99-36
Offer Price, Target Ownership Structure and IPO Performance
Chitru S. Fernando, Srinivasan Krishnamurthy and Paul A. Spindt, August 1999

#97-06-C
Is Share Price Related to Marketability? Evidence from Mutual Fund Share Splits
Chitru S. Fernando, Srinivasan Krishnamurthy and Paul A. Spindt, August 1999

#99-37
Marriages of Convenience and Other Trade-offs: Exploring the Ambivalent Nature of Organizational Relationships
Michael G. Pratt and Lorna Doucet, September1999

#99-38
The Incentive Effects of No Fault Automobile Insurance
J. David Cummins, Mary A. Weiss and Richard D. Phillips, August 1999
This is the preprint version only. For the published version please see: Journal of Law and Economics 44, pp. 427-464. 2001.

#99-39
Managing Learning and Turnover in Employee Staffing
Noah Gans and Yong-Pin Zhou, July 1999
This is the preprint version only. For the published version please see: Operations Research 50, 991-1006. 2002.

#99-40-B
A Single-Server Queue with Markov Modulated Service Times
Yong-Pin Zhou and Noah Gans, October 1999

#99-41
At Last the Internationalization of Retail Banking? The Case of the Spanish Banks in Latin America
Mauro F. Guillén and Adrian E. Tschoegl, September 1999
This is the preprint version only. For the published version please see: "The Internationalization of Retail Banking:The Case of the Spanish Banks in Latin America," Transnational Corporations, 2000. Vol 9 (3): 63-97.

#97-42-B
The Technical Process of Bank Privatization in Mexico
Haluk Unal and Miguel Navarro, May 1999
Forthcoming , Journal of Financial Services Research, September 1999.

#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 chapter in Michael Frenkel, Ulrich Hommel and Markus Rudolf, eds. 2004. Risk Management: Challenge and Opportunity. Springer-Verlag.

#99-43
Financial Risk Management in a Volatile Global Environment
Francis X. Diebold and Anthony M. Santomero, October 1999
This is the preprint version only. For the published version please see: "Managing Volatility." Asia Risk. pp. 35-36. December 1999.

#99-44
Testing, Comparing, and Combining Value at Risk Measures
Peter Christoffersen, Jinyong Hahn and Atsushi Inoue, October 1999