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Finance Readings

Timothy Falcon Cracktimcrack@alum.mit.edu,

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A B C D E F H I J K L M N O P Q R S T U V W X Y Z ABBREVIATIONS KEY LINKS BOOKS ON MY SHELF

A

ACCOUNTING TOPICS
- Allen and Saunders, 1989, Bank Window Dressing: Theory and Evidence, WP Baruch CUNY.
- Anton, 1976, Objectives of Financial Accounting: Review and Analysis, Journal of Accountancy (January).
- Baxter and Spinney, 1975, A Closer Look at Consolidated Financial Statement Theory, The CA Magazine.
- Beaver, 1973, What Should Be the FASB's Objectives?, J of Accountancy (2 copies).
- Benston, 1963, The Role of the Firm;s Accounting System for Motivation, The Accounting Review.
- Bowen and Burgstahler and Daley, 1987, The Incremental Information Content of Accrual Versus Cash Flows, The Accounting Review.
- Bradbury, 1986, Innovative Financial Instruments and Off Balance Sheet Financing, The Accountant's Journal.
- Bradbury, 1987, Debt Defeasance: Financial Tool or Window Dressing?, The Accountant's Journal (cf Chaney's article - plagiarism?).
- Caplan, 1966, Behavioral Assumptions of Management Accounting, The Accounting Review.
- Chambers, 1975, Accounting for Inflation - The Case for Continuously Contemporary Accounting, The Australian Accountant.
- Chambers, 197?, Stock Market Prices and Accounting Research, Abacus.
- Chaney, 1985, Defeasance: Financial Tool or Window Dressing?, Management Accounting (cf Bradbury's article).
- Chatfield, 1971, The Origins of Cost Accounting, Management Accounting.
- Dopuch and Sunder, 1980, FASB's Statements on Objectives and Elements of Financial Accounting: A Review, The Accounting Review (January), pp1-12.
- Drtina and Largay, 1985, Pitfalls in Calculating Cash Flow from Operations, The Accounting Review.
- Drucker, 1963, Managing for Business Effectiveness, Harvard Business Review.
- Edwards and Bell, 1970, The Problem and the Challenge: Economic Needs and Accounting Responsibilities, Book Extract (Theory and Measurement of Business Income, UC Berkley Press).
- Edwards and Bell, 1970, Core of the Theory: Profit Maximization and the Evaluation of Business Decisions, Book Extract (as above).
- Edwards and Bell, 1970, The Theory Extended: Operating Versus Holding Activities and the Problem of Market Values, Book Extract (as above).
- Eiler and Goletz and Keegan, 1982, Is Your Cost Accounting Up to Date?, Harvard Business Review.
- Emmanuel, 1984, The Information Content of Sign and Size of Earnings Announcements: New Zealand Evidence, Accounting and Finance.
- FASB, 1978, The FASB Conceptual Framework for Financial Accounting and Reporting: Highlights, Book Extract.
- Frankel and Lee, 1996, Accounting Diversity and International Valuation, NYSE WP 96-01.
- Fremgen, 1968, The Going Concern Assumption: A Critical Appraisal, The Accounting Review.
- Gerboth, 1972, Muddling Through with the APB, The Journal of Accountancy.
- Foster and Horngren, 1987, JIT: Cost Accounting and Cost Management Issues, Management Accounting.
- Harris, 1986, Examining the Standard of Legal Disclosures, Accountants' Journal.
- Hicks, 1946, Income, Book Extract (Value and Capital, Oxford, Clarendon Press, 2nd Ed, pp171-181).
- Hines, 1982, The Usefulness of Annual Reports: the Anomaly between the Efficient Markets Hypothesis (EMH) and Shareholder Surveys, Accounting and Business Research.
- Horngren, 1965, How Should We Interpret the Realization Concept?, The Accounting Review.
- Johnson, 1981, Toward a New Understanding of Nineteenth-Century Cost Accounting, The Accounting Review.
- Johnson, 197?, The Role of Accounting History in the Study of Modern Business Enterprise, Book Extract.
- Johnson, 1983, The Search for Gain in Markets and Firms: A Review of the Historical Emergence of Management Accounting Systems, Accounting, Organisations and Society.
- Largay and Stickney, 1980, Cash Flows, Ratio Analysis and The W.T. Grant Company Bankruptcy, FAJ.
- Macintosh, 198?, Annual Reports in an Ideological Role: A Critical Theory Analysis, Book Extract.
- Miller and Vollman, 1979, The Hidden Factory, Harvard Business Review.
- Miller, 1981, The Funds Statement Debate: A Reconsideration of Objectives and Concepts, The Chartered Accountant in Australia.
- Most, 19??, The Development if Accounting Thought, Chp2 of Most's Book "Accounting Theory."
- NZ Society of Accountants, 1987, SSAP10 Statement of Cash Flows, Standard Statement of Accounting Practice.
- Ostlund, 1977, Attitudes of Managers Toward Corporate Social Responsibility, California Management Review.
- Ramanathan, 1976, Toward A Theory of Corporate Social Accounting, The Accounting Review.
- Robb, 1986, Perry Dines Inquiry Casts Doubt on SSAP10, The Accountants' Journal.
- Saunders, 1990?, The Separation of Banking and The Shifting Frontier Between Banking and Non Financial Services, WP NYU.
- Schiff and Lewin, 1970?, The Impact of People on Budgets, The Accounting Review.
- Smith and Firth, 1986, Employee Reporting in New Zealand - What Employees Think, Accountants' Journal.
- Smith and Firth, 1987, Employee Reporting in New Zealand - What Employers Think, Accountants' Journal.
- Solomons, 1978, The Politicization of Accounting, Book Extract.
- Solomons, 1961, Economic and Accounting Concepts of Income, The Accounting Review.
- Sombart, 1916, Medieval and Modern Commercial Enterprise, (from Werner Sombart's Der Moderne Kapitalismus 1916)
- Sorter and Horngren, 1962, Asset Recognition and Economic Attributes - The Relevant Approach, The Accounting Review.
- Spicer, 1990, The Resurgence of Interest in Cost and Management Accounting: Practice, Theories and Case Research Methods.
- Sterling, 1972, Decision Oriented Financial Accounting, Accounting and Business Research.
- Vatter, 1945, Limitations of Overhead Allocation, The Accounting Review (plus review and critique of the paper by me).
- Wright and Wright, 1991, Waived Audit Adjustments and Reporting Risk, WP BU.
- Wyatt, 1977, The Economic Impact of Financial Accounting Standards, The Journal of Accountancy.
- Zeff, 1978, The Rise of Economic Consequences, The Journal of Accountancy (plus review and critique by me).
- Zijl, 1983, Inflation Accounting - its Impact on Share Prices, The Accountants' Journal.
- Reading List, Financial Accounting Readings Course (251), Otago.
- Reading List, Finance Course (256), Otago.
ARBITRAGE PRICING THEORY (APT)
- Tony Bernardo and Olivier Ledoit, 1997, Gain, Loss, and Asset Pricing, WP#16-96 UCLA, (May), 40pp.
- Bower and Bower and Logue, 1984, A Primer on Arbitrage Pricing Theory, Midland Corporate Finance Journal (V2 #3, Fall, p69-77).
- Bray, 1994, The Non-Robustness of the Arbitrage Pricing Theory, WP LSE.
- Bray, 1994, The Arbitrage Pricing Theory is not Robust 1: Variance Matrices and Portfolio Theory in Pictures, WP LSE.
- Chen and Roll and Ross, 1986, Economic Forces and the Stock Market, JB.
- Timothy Crack, 1991, Derivation of the Arbitrage Pricing Theory's Arbitrage Hyperplane - A Proof, notes.
- Dhrymes and Friend and Gultekin, A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory, JOF.
- Giles and LeRoy, 1991, On the Arbitrage Pricing Theory, Econometric Theory (see also Bray article on same topic).
- Huberman, 1982, A Simple Approach to Arbitrage Pricing Theory, JET
- Lehmann and Modest, 1988, The Empirical Foundations of the Arbitrage Pricing Theory, JFE.
- Reinganum, 1981, Empirical Tests of Multi-Factor Pricing Models: The Arbitrage Pricing Theory: Some Empirical Results, JOF.
- Roll and Ross, 1980. An Empirical Investigation of the Arbitrage Pricing Theory, JOF.
- Ross, 1976, The Arbitrage Theory of Capital Asset Pricing, JET (2 copies).
- Titman and Warga, 1986, Risk and the Performance of Real Estate Investment Trusts (REITs): A Multiple Index Approach, American Real Estate and Urban Economics Association Journal, Vol 14 No 3, pp414-431.
- Shukla and Trzcinka, 1990, Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors, JOF.
ARCH/GARCH ETC
- Akgiray, 1989, Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts, JB.
- Akgiray and Booth and Hatem and Mustafa, 1991, Conditional Dependence in Precious Metal Prices, The Financial Review.
- Bera and Bubnys and Park, 1988, Conditional Heteroscedasticity in the Market Model and Efficient Estimates of Betas, The Financial Review.
- Bera and Higgins, 1992, A Test for Conditional Heteroskedasticity in Time Series Models, Journal of Time Series.
- **Bera and Higgins, 1993, ARCH Models: Properties, Estimation and Testing, J of Economic Surveys (Vol. 7 No. 4 pp305-362). This is the best ARCH Review Paper I have seen. It is much clearer and more intuitive than Bollerslev et al 1992, or Bollerslev et al 1994.
- Bera and Higgins, 1996, ARCH and Bilinearity as Competing Models for Nonlinear Dependence, Forthcoming J of Business and Economic Statistics.
- Bera and Higgins and Lee, 1992, Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach, J of Business and Economic Statistics.
- Blair B, P Ser-Huang, and SJ Taylor, 1999, Forecasting S&P 100 Volatility The Incremental Information Content of Implied Volatilities and High Frequency Index Returns, WP, Lancaster University Department of Accounting and Finance, (Sep 16)
- Bodurtha and Mark, 1991, Testing the CAPM with Time-Varying Risks and Returns, JOF, 46(4), September, pp1485-1505..
- Bollerslev, 1986, Generalized Autoregressive Conditional Heteroskedasticity, J of Econometrics.
- Bollerslev, 1987, A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, RES.
- Bollerslev, 1990, Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model, Review of Economics and Statistics.
- Bollerslev and Chou and Kroner, 1992, ARCH Modeling in Finance, J of Econometrics.
- Bollerslev and Engle and Nelson, 1994, ARCH Models, Chapter 49 of the Handbook of Econometrics.
- Braun, Nelson, Sunier, 1995, Good News, Bad News, Volatility, and Betas, JF 50(5), (Dec), 1575-1603.
- Diebold, 1986, Testing for Serial Correlation in the Presence of ARCH, Proceedings of the Business and Economic Statistics Section ASA.
- Diebold and Im and Lee, 1993, A Note on Conditional Heteroskedasticity in the Market Model, J of Accounting, Auditing and Finance.
- Diebold and Nerlove, 1989, The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, J of Applied Econometrics.
- Duan, 1995, The GARCH Option Pricing Model (incl. ARCH and Options), Mathematical Finance.
- Engle, 1982, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica.
- Engle, 1991, Volatility: Statistical Models for Financial Data, WP Notes UCSD.
- Engle, 1993, Statistical Models for Financial Volatility [low tech summary of types of ARCH models], FAJ, 49(1), pp72-78 (2 copies).
- Engle and Bollerslev, 1986, Modelling the Persistence of Conditional Variances, Econometric Reviews (incl. Comments from Diebold, Geweke, Pantula, Zin, and Hendry's "An Excursion into Conditional Varianceland").
- Engle and Gonzalez-Rivera, 1991, Semiparametric ARCH Models, J of Business and Economic Statistics (2 copies).
- Engle and Hendry and Trumble, 1985, Small Sample Properties of ARCH Estimators and Tests, Canadian Journal of Economics.
- Engle and Ito and Lin, 1990, Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market, Econometrica.
- Engle and Lilien and Robins, 1987, Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica.
- Engle and Mustafa, 1992, Implied ARCH Models from Option Prices (incl. ARCH and Options), JET (2 copies).
- Engle and Ng, 1991, Measuring and Testing the Impact of News on Volatility, WP UCSD.
- Engle and Rothschild, 1992, Editors Introduction to Statistical Models for Financial Volatility, J of Econometrics.
- Fornari and Mele, 1994, Asymmetries and Nonlinearities in Economic Activity (incl. GARCH and business cycle), Bank of Italy Research Report.
- Higgins and Bera, 1992, A Class of Nonlinear ARCH Models, IER.
- (IB) Laux and Ng, 1993, The Sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks, Journal of International Money and Finance, Vol 12 No 5, (October), pp543-560.
- Morgan and Morgan, 1987, Measurement of Abnormal Returns from Small Firms, Journal of Business and Economic Statistics.
- Nelson DB, 1990, Stationarity and Persistence in the Garch (1,1) Model, Econometric Theory 6, p318.
- Nelson, 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica.
- Nelson, 1992, Filtering and Forecasting with Misspecified ARCH Models I, J of Econometrics.
- Nelson and Cao, 1992, Inequality Constraints in the Univariate GARCH Model, J of Business and Economic Statistics.
- Nelson and Foster, 1994, Asymptotic Filtering Theory for Univariate ARCH Models, Econometrica.
- Nelson and Foster, 1995, Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model, JFE.
- Rich and Raymond and Butler, 1992, The Relationship Between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data - ARCH Model, J of Applied Econometrics.
- Schwert and Seguin, 1990, Heteroskedasticity in Stock Prices, JOF.
- Song, 1990, A Two Factor ARCH Model for Deposit Institution Stock Returns, WP Ohio State U (plus 1994 version in J of Money, Credit and Banking).
- Taylor, 1994, Modeling Stochastic Volatility: A Review and Comparative Study.
- Taylor, 1994, Predicting the Volatility of Stock Prices Using ARCH Models (incl. ARCH and Options), with UK Examples, Managerial Finance.
- Tong H and KS Lim, 1980, Threshold Autoregression Limit Cycles and Cyclical Data, Journal of the Royal Statistical Society 42(3), p245.
- Weiss, 1984, ARMA Models with ARCH Errors, Journal of Time Series Analysis.
- Xu and Taylor, 1995, Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market (incl. ARCH and Options), Journal of Banking and Finance, Vol 19, pp803-821.
- Zakoian, 1994, Threshold Heteroskedastic Models, J of Economic Dynamics and Control.
AUTOCORRELATION
- Bessembinder and Hertzel, 1993, Return Autocorrelations around Nontrading Days, RFS, Vol 6 No 1, pp155-189.
- Boudoukh and Richardson and Whitelaw, 1994, A Tale of Three Schools: Insights on Autocorrelation of Short-Forizon Stock Returns, Vol 7 No 3, pp539-573.
- Cohen and Maier and Schwartz and Whitcomb, 1977, On the Existence of Serial Correlation in an Efficient Securities Market, (February), WP 109, Salomon Brothers Center for the Study of Financial Markets, Graduate School of Business, New York University (NYU).
- Corrado and Lee, 1992, Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Returns, JFR, Vol 15 No 4, (Winter), pp369-387.
- Diebold, Francis, 1988, Serial Correlation and the Combination of Forecasts, Journal of Business and Economic Statistics, Vol 6 No 1, (January), pp105- 111.
- Dufour, 1981, Rank Tests for Serial Dependence, Journal of Time Series Analysis, Vol 2 No 3, pp117-128.
- Dufour and Roy, 1985, Some Robust Exact Reuslts on Sample Autocorrelations and Tests of Randomness, Journal of Econometrics, Vol 29, pp257-273.
- Kritzman, Mark, 1994, What practitioners need to know about... serial dependence, FAJ, Mar/Apr, p19-22.
- LeBaron, 1990, Some Relations Between Volatility and Serial Correlation in Stock Market Returns, WP, SSRI Wisconsin-Madison, FEB.
- LeBaron, Blake, 1992, Some Relations Between Volatility and Serial Correlations in Stock Market Returns, Journal of Business, Vol 52 No 2, pp199-219.
- Mizon, 1995, A Simple Message for Autocorrelation Correctors: Don't, Journal of Econometrics, Vol 69 No 1, (September), pp267-288.
- Schwartz and Whitcomb, 1977, Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals, JFQA, 12(2).
B
BAIRAM'S PAPERS
- Bairam, 1987, Returns to Scale, Technical Progress and Output Growth in Branches of Industry: The Case of the Soviet Republics, 1962-74, Scottish Journal of Political Economy (2 copies).
- Bairam, 1988, The Variability of Inflation, Economics Letters.
- Bairam, 1988, Technical Progress, Elasticity of Substitution and Returns to Scale in New Branches of Soviet Industry: Some New Empirical Evidence Using Soviet Republic Data, 1961-1974, The Manchester School (2 copies).
- Bairam, 1988, Balance of Payments, the Harrod Foreign Trade Multiplier and Economic Growth: The European and North American Experience, 1970-1985, Applied Economics.
- Bairam, 1989, Returns to Scale in Branches of New Zealand Manufacturing Industry: A Cross Section Production Function Study, 1983/1984, Keio Economic Studies.
- Bairam, 1990?, Functional Form and The Elasticity of Substitution: A New CES Production Function, WP 8822 Otago.
- Bairam, 1991, Advanced Econometric Reading List, Course ECON453 Otago.
- Bairam and Howells and Turner, 1990, Production Functions in Cricket: The Australian and New Zealand Experience, Applied Economics.
BANKING AND THE ECONOMY
- Black, Fischer, 1970, Banking and Interest Rates in a World Without Money, Journal of Bank Research, Vol 1 (Autumn), pp3-4, 8-20.
- Diamond and Dybvig, 1985, Bank Runs, Deposit Insurance, and Liquidity, JPE.
- Gorton and Pennacchi, 1990, Financial Innovation and the Provision of Liquidity Services, WP Wharton.
- Merton, 1990, The Financial System and Economic Performance, J of Financial Services Research.
- Merton, 1990, Financial Innovation and Economic Performance, J of Applied Corporate Finance.
BETA AND "DRAWDOWN"
- Black, 1993, Beta and Return, JPM (2 copies).
- Blume, 1973, Betas and their Regression Tendencies, JOF.
- Chan and Lakonishok, 1992, Are the Reports of Beta's Death Premature?, WP U of Illinois at Urbana-Champaign.
- Cohen and Hawawini and Maier and Schwartz and Whitcomb, 1983, Friction in the Trading Process and the Estimation of Systematic Risk, JFE.
- Garcia and Gould, 1987, A Note on the Measurement of Risk in a Portfolio (incl. drawdown as a concept of risk), FAJ.
- Handa and Kothari and Wasley, 1989, The Relationship Between The Return Interval and Betas: Implications for the Size Effect, JFE.
- Rosenberg and Guy, 1976, Prediction of Beta from Investment Fundamentals, FAJ.
- Rosenberg and Rudd, ?, The Corporate Uses of Beta, ?.
- Anise Wallace, 1980, Is Beta Dead?, Institutional Investor.
BOOTSTRAPPING
- Datt, 1988, Estimating Engel Elasticities with Bootstrap Standard Errors, Oxford Bulletin of Economics and Statistics.
- Davidson and Mackinnon, 1993, "The Bootstrap and Related Methods, Book Extract (Estimation and Inference in Econometrics), Section 21.8.
- Efron, 1977, Bootstrap Methods: Another Look at the Jackknife, Annals of Statistics.
- Efron and Gong, 1983, A leasurly Look at The Bootstrap, the Jackknife, and Cross Validation, The American Statistician.
- Miller, 1974, The Jackknife - a Review, Biometrika.
- Veall, 1987, Bootstrapping the Probability Distribution of Peak Electricity Demand, IER.
- Vinod, 1993, Bootstrap Methods: Applications in econometrics, Chp 23 of Handbook of statistics, Vol 11, Ed by Maddala, Rao and Vinod.
C
CAPITAL ASSET PRICING MODEL (CAPM), MARKET MODEL, AND TESTS OF ASSET PRICING MODELS
- Biger, 1975, The Assessment of Inflation and Portfolio Selection (incl. inflation adjusted optimal investment), JOF.
- Black, 1972, Capital Market Equilibrium with Restricted Borrowing, JB (V.45 #3 July).
- Black, Jensen and Scholes, 1972, The capital asset pricing model: some empirical tests, pp79-121 (in Studies in the Theory of Capital Markets, Micheal Jensen Ed., Prauger publishers).
- Bollerslev and Engle and Wooldridge, 1988, A Capital Asset Pricing Model with Time Varying Covariances, JPE (3 copies).
- Boyle, 1991, Corporate Finance Applications of the CAPM, Glenn Boyle's Class Notes.
- Chang and Pinegar, 1988, A Fundamental Study of the Seasonal Risk Return Relationship: A Note, JOF.
- Connor, 1984, A Unified Beta Pricing Theory, JET.
- Dybvig and Ingersoll, 1982, Mean Variance Theory in Complete Markets, Journal of Business.
- Fama, 1968, Risk, Return and Equilibrium: Some Clarifying Comments, JOF.
- Fama and French, 1992, Common Risk Factors in the Returns on Bonds and Stocks, WP Chicago (plus NY Times article).
- Fama EF and KR French, 1992, The Cross-Section of Expected Stock Returns, JF 47(2), (Jun), p427.
- Fama and French, 1993, Common risk factors in the returns on stocks and bonds, JFE, Vol 33, pp3-56.
- Fama EF and KR French, 1996, The CAPM is Wanted Dead or Alive, JF 51(5), (Dec), p1947.
- Fama and MacBeth, 1973, Risk, Return, and Equilibrium, JPE (2 copies) (see also Tinic and West).
- Ferguson MF and RL Shockley, 1997, Proxy Portfolios in Tests of Mean-Variance Efficiency Why Equity-Only Portfolios are Particularly Problematic, WP, Indiana University, (Nov 24).
- French and Schwert and Stambaugh, 1987, Expected Stock Returns and Volatility, JFE.
- Gibbons and Ferson, 1985, Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio, JFE.
- Hagerman and Kim, 1976, Capital Asset Pricing with Price Level Changes, JFQA.
- Harrington, 1983, Tests of the CAPM, Extract from Book.
- Haugen, 1986, Empirical Tests of the CAPM, Book Extract.
- Huang and Litzenberger, 1988, Econometric Issues in Testing the CAPM, Book Extract.
- Leland HE, 1999, Beyond Mean-Variance Performance Measurement in a Nonsymmetrical World, FAJ, (Jan/Feb), p27.
- Levy, 1980, The CAPM. Inflation, and the Investment Horizon: The Israeli Experience, JFQA.
- Levy and Sarnat, 1984, Testing the Equilibrium Models, Extract from Book (Portfolio and Investment Selection).
- Lintner, 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, RES.
- Lintner, 1965, Security Prices, Risk, and Maximal Gains from Diversification, JOF.
- Lo and MacKinlay, 1990, Data Snooping Biases in Tests of Financial Asset Pricing Models, RFS.
- Mayers and Rice, 1979, Measuring Portfolio Performance and the Empirical Content of Asset Pricing Models (incl. Roll's Critique), JFE.
- MacKinlay, 1987, On Multivariate Tests of the CAPM, JFE.
- MacKinlay, 1993, Distinguishing Among Asset Pricing Theories: An Ex Ante Analysis, WP Wharton (2 copies).
- Markowitz, Harry, 1952, Portfolio Selection, JOF, 7(1), (March), pp77-91.
- Miller and Scholes, 1972, Rates of return in relation to risk: A re-examination of Some recent findings, pp47-78 (in Studies in the Theory of Capital Markets, Micheal Jensen Ed., Prauger publishers).
- Merton, Robert C., 1973, An intertemporal capital asset pricing model (capm), Econometrica 41(5) September, pp867-887.
- Mossin, 1966, Equilibrium in a capital asset market, Econometrica, 34(4), October, 768-783.
- Mullins, 1982, Does the Capital Asset Pricing Model Work?, Harvard Business Review (2 copies).
- Pogue and Solnik, 1974, The Market Model Applied to European Common Stocks: Some Empirical Results, JFQA.
- Roll, 1977, A Critique of the Asset Pricing Theory's Tests, JFE.
- Roll, Richard, 1978, ambiguity when performance is measured by the securities market line (SML), JOF, 33(4), Sept, 1051-1069.
- Shanken, 1987, Multivariate Proxies and Asset Pricing Relations: Living with the Roll Critique, JFE.
- Shanken, 1992, On the Estimation of Beta-Pricing Models, RFS.
- Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, JOF, 19(3), pp425-442.
- Stapleton and Subrahmanyam, 1983, The Market Model and Capital Asset Pricing Theory: A Note, JOF.
- Tinic and West, 1986, Risk, Return, and Equilibrium: A Revisit, JPE.
- Tobin, 1958, Liquidity Preference as Behavior Towards Risk, RES (plus updated copy from book).
- Treynor, Jack L. (Jack Treynor, Jack L. Treynor), "Implications for the Theory of Finance," Unpublished Memorandum, and "Toward a Theory of Market Value of Risky Assets," Unpublished Memorandum, both 1961.
  Read Black and Scholes 1973, Black 1989 (How We Came Up With the Option Formula, JPM), and Sharpe, 1964, (Capital asset prices: A theory of market equilibrium under conditions of risk, JOF, 19(3), pp425-442) to see why these two papers are very important. In fact, I do not have the originals, but a combined version titled "Corporate Investment decisions" published by Treynor and Black in a book Modern Developments in Financial Management, edited by Stewart C. Myers, Praeger Publishers, New York, 1976 (sent to me by Jack Treynor from Treynor Capital Management, California). Yes, I am happy to send you a copy. You should also take a look at Treynor and Black's 1973 JB paper introducing the "appraisal ratio."
CAPITAL BUDGETING
- Hastie, 1974, One Businessman's View of Capital Budgeting, Financial Management.
- Hodder and Riggs, 1985, Pitfalls in Evaluating Risky Projects, Harvard Business Review.
- Myers, 1984, Finance Theory and Finance Strategy, Interfaces (Institute of Management Science).
- Merton, 1992, A Capital Budgeting Model for Credit Sensitive Financial Intermediaries, WP Harvard (plus seminar handout).
- Patterson, 1989, Investment Decision Criteria used by Listed New Zealand Companies, Accounting and Finance.
CAPITAL STRUCTURE
- Asquith and Gertner and Scharfstein, 1992, Anatomy of Financial Distress: An Examination of Junk Bond Issuers, WP MIT.
- Bolton and Scharfstein, 1992, Optimal Debt Structure with Multiple Creditors, WP MIT.
- Bradley and Jarrell and Kim, 1984, On the Existence of an Optimal Capital Structure: Theory and Evidence, JOF.
- Brander and Lewis, 1986, Oligopoly and Financial Structure: The Limited Liability Effect, AER.
- Chevalier, 1992, Debt and Product Market Competition: Local Market Entry, Exit, and Expansion Decisions of Supermarket Chains, WP MIT.
- Dewatripont, 1992, A Theory of Debt and Equity: Diversity of Securities and Manager-Shareholder Congruence, WP U of Brussels.
- Gertner and Scharfstein, 1991, A Theory of Workouts and the Effects of Reorganization Law, JOF.
- Gilson and John and Lang, 1990, Troubled Debt Restructurings: An Empirical Study of Private Reorganization of Firms in Default, JFE.
- Grossman and Hart, 1982, Corporate Financial Structure and Managerial Incentives, Book Extract (The Economics of Information and Uncertainty).
- Hart, 1991, Theories of Optimal Capital Structure: A Principal Agent Perspective, WP 91-2 MIT.
- Hoshi and Kashyap and Scharfstein, 1990, The Role of Banks in Reducing the Costs of Financial Distress in Japan, JFE.
- Hoshi and Kashyap and Scharfstein, 1991, Corporate Structure, Liquidity, and Investment: Evidence from Japanese Industrial Groups, QJE.
- Hoshi and Kashyap and Scharfstein, 1992, The Choice Between Public and Private Debt: An Analysis of Post-Deregulation Corporate Financing in Japan, WP MIT.
- Howe and Shilling, 1988, Capital Structure Theory and REIT Security Offerings, JOF.
- Jaffe, 1991, Taxes and the Capital Structure of Partnerships, REITS and Related Entities, JOF.
- Jensen and Meckling, 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, JFE.
- Kaplan and Stein, 1991, The Evolution of Buyout Pricing and Financial Structure, WP NBER.
- Kregel, 1994, Some Reflections on Technical Progress in Financing Small Firms, Review of Political Economy (6.4), pp421-429.
- Leland and Pyle, 1977, Informational Asymmetries, Financial Structure, and Financial Intermediation, JOF.
- MacKie-Mason, 1988, Do Firms Care Who Provides Their Financing?, Book Extract (MIT).
- MacKie-Mason, 1990, Do Taxes Affect Corporate Financing Decisions?, JOF.
- Miller, 1977, Debt and Taxes, JOF.
- Myers, 1977, Determinants of Corporate Borrowing, JFE.
- Myers, 1983, The Search for Optimal Capital Structure, Midland Corporate Finance Journal (Vol 1 No 1 Spring), pp91-99.
- Myers, 1984, The Capital Structure Puzzle, JOF (2 copies).
- Myers and Majluf, 1984, Corporate Financing and Investment Decisions when Firms have Information that Investors Do Not Have, JFE.
- Ross, 1977, The Determination of Financial Structure: The Incentive-Signalling Approach, Bell Journal of Economics.
- Shleifer and Vishny, 1992, Liquidation Values and Debt Capacity: A Market Equilibrium Approach, JOF.
- Shyam-Sunder and Myers, 1992, Testing Static Trade Off Against Pecking Order Models of Capital Structure, WP MIT.
- Titman and Wessels, 1988, The Determinants of Capital Structure Choice, JOF.
CHAOS
- Allan, Andrew, "Some Preliminary Evidence Regarding the Presence of Chaos in the New Zealand Sharemarket", Working Paper, Victoria University, 1991.
- Anderson, P., K Arrow and D Pines, (eds), The Economy as an Evolving Complex System, Sante Fe Institute for Studies in the Sciences of Complexity, Vol. V, Redwood City, California: Addison-Wesley, (1988).
- Ashley, Richard A. and Douglas M. Patterson, "Linear versus Nonlinear Macroeconomics: A Statistical Test", International Economic Review, Vol. 30, No. 3 (August 1989), pp685-704.
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COMMODITY AND GOLD PRICES
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COMPUTING
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CONSUMPTION
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CORPORATE TOPICS
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- Hotchkiss, 1993, The Post-Bankruptcy Performance of Firms Emerging From Chapter 11, WP NYU (plus seminar handout).
- Kashyap and Lamont and Stein, 1992, Credit Conditions and the Cyclical Behavior of Inventories: A Case Study of the 1981-1982 Recession, WP MIT.
- Petersen and Rajan, 1992, The Benefits of Firm Creditor Relationships: A Study of Small Business Financing, WP U of Chicago.
- Rosenstein and Wyatt, 1990, Outside Directors, Board Independence, and Shareholder Wealth, JFE.
- Scharfstein and Stein, 1990, Herd Behavior and Investment, AER.
- Smith, 1995, Markets for Corporate Debt Securities, WP IMF.
- Worrell and Davidson and Sharma, 1991, Layoff Announcements and Shareholder Wealth, Acadamy of Management Journal.
CRYPTOGRAPHY
- Ahituv and Lapid and Neumann, 1987, Processing Encrypted Data, Communications of the ACM.
- Chaum, 1981, Untraceable Electronic Mail, Return Addresses, and Digital Pseudonyms, Communications of the ACM.
- Denning, 1984, Digital Signatures with RSA and Other Public-Key Cryptosystems, Communications of the ACM.
- Diffie and Hellman, 1976, New Directions in Cryptography, IEEE Transactions on Information Theory.
- Even and Goldreich and Lempel, 1985, A Randomized Protocol for Signing Contracts, Communications of the ACM.
- Joyce and Gupta, 1990, Identity Authentication Based on Keystroke Latencies, Communications of the ACM.
- Lamport, 1981, Password Authentication with Insecure Communications, Communications of the ACM.
- Merkle, 1981, On the Security of Multiple Encryption, Communications of the ACM.
- Richards, 1982m The Invisible Prime Factor, American Scientist.
- Rivest and Shamir, 1984, How to Expose and Eavesdropper, Communications of the ACM.
- Rivest and Shamir and Adleman (RSA), 1983, A Method for Obtaining Digital Signatures and Public-Key Cryptosystems, Communications of the ACM.
PAUL COOTNER'S BOOK (THE RANDOM CHARACTER OF STOCK PRICES, MIT 1964)
- Cootner, 1964, Preface plus Table of Contents from his book.
- Roberts, 1959, Stock Market "Patterns" and Financial Analysis: Methodological Suggestions, (JOF), Chapter 1.
- Bachelier, 1900, Theory of Speculation, (Sorbonne Thesis - English Translation by A. James Boness), Chapter 2 (original French version is filed below).
- Osborne, 1959, Brownian Motion in the Stock Market (Operations Research March/April), Chapter 4.
- Alexander, Sidney S., 1961, Price Movements in Speculative Markets: Trends or Random Walks, (Industrial Management Review), Chapter 9 (see also the sequel in IMR in 1964 quoted below).
- Osborne, 1962, Periodic Structure in the Brownian Motion of Stock Prices, (Operations Research Vol. 10), Chapter 13.
- Fama, 1963, Mandelbrot and the Stable Paratian Hypothesis, (JB), Chapter 14.
- Mandelbrot, 1963, The Variation of Certain Speculative Prices, (JB), Chapter 15.
- Cootner, 1964, Comments on the Variation of Certain Speculative Prices, pp333-337 of the book.
THE CRASH OF 1987
- Bernanke BS, 1990, Clearing and Settlement During the Crash, RFS 3(1), p133
- Blume and MacKinlay and Terker, 1989, Order Imbalances and Stock Price Movements on October 19 and 20, 1987, JOF.
- Report of the Presidential Task Force on Market Mechanisms (The "Brady Report"), 1988, up to but not including the appendices.
- Schulman, 1986, A Parable of Tulips, JPM.
- Schwert GW, 1990, Stock Market Volatility and the Crash of 1987, The Review of Financial Studies (RFS) 3(1), p77.
D
DIVIDEND POLICY
- Asquith and Mullins, 1983, The Impact of Initiating Dividend Payments on Shareholders' Wealth, JB.
- Baker, 1989, Why Firms Pay No Dividends, Akron Business and Economic Review.
- Barker CA, 1958, Evaluation of Stock Dividends, Harvard Business Review 36(4), (Jul/Aug), p99. (2 copies).
- Bhattacharya, 1977?, Imperfect Information, Dividend Policy, and "The Bird in The Hand" Fallacy, The Bell J of Economics (p259-270).
- Black, 1976, The Dividend Puzzle, JPM.
- Brealey, 198?, Does Dividend Policy Matter?, Book Extract.
- Christie, 1990, Dividend Yield and Expected Returns, JFE.
- Crawford and Turner, 1987?, The Impact of Firm Performance and Structure on Dividend Policy, The Oklahoma Business Bulletin (2 copies).
- DeAngelo and DeAngelo, 1990, Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms, JOF.
- Farrelly and Baker, 1989, Corporate Dividends: Views of Institutional Investors, Akron Business and Economic Review.
- Firth and Keane (eds.), 1986?, Dividend Policy, Book Chapter 6 from "Issues in Finance.
- Healy and Palepu, 1988, Earnings Information Conveyed by Dividend Initiations and Omissions, JFE.
- Jeong, 1990, Dividend Smoothing: An Investigation of the Firm's Dividend Payout Policy, WP Georgia State U.
- Lintner, 1956, Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes, AER (2 copies).
- Loomis, 1960's, A Case for Dropping Dividends, Fortune Magazine.
- Michaely and Thaler and Womack, 1994, Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?, WP Cornell and Tuck.
- Miller, 1981, Can Management Use Dividends to Influence the Value of the Firm?, Book Extract.
- Miller and Scholes, 1978, Dividends and Taxes, JFE.
- Miller and Modigliani, 1961, Dividend Policy, Growth and the Valuation of Shares, JB.
- Miller and Rock, 1985, Dividend Policy under Asymmetric Information, JOF.
- Papasyriopoulos, 1990, The Ex-Dividend Price Behavior of Dually Listed International Shares, WP U of Nevada.
- Watts, 1973, The Information Content of Dividends, JB.
DURATION AND IMMUNISATION
- Bierwag and Kaufman, 1977, Coping with the Risk of Interest Rate Fluctuations: A Note, JB.
- Bierwag GO, GG Kaufman, and CM Latta, 1987, Bond Portfolio Immunization Tests of Maturity One and Two Factor Duration Matching Strategies, The Financial Review 22(2), (May), p203
- Bierwag GO, GG Kaufman, and CM Latta, 1988, Duration Models A Taxonomy, JPM, (Fall), p50
- Breeden DT, 1994, Complexities of Hedging Mortgages, J Fixed Income (JFI), (Dec), p6
- N Carcano and Foresi S, 1997, Hedging Against Interest Rate Risk Reconsidering Volatility-Adjusted Immunization, JBF 21(2), (Feb), p127
- Chambers DR, WT Carleton, and RW McEnally, 1988, Immunizing Default-Free Bond Portfolios with a Duration Vector, JFQA 23(1), (Mar), p89
- Chambers DR, WT Carleton, and DW Waldman, 1984, A New Approach to Estimation of the Term Structure of Interest Rates, JFQA 19(3), (Sep), p233
- Christensen PO and BG Sorensen, 1994, Duration Convexity and Time Value, JPM 20(2), (Winter), p51
- Cole CS and PJ Young, 1995, Modified Duration and Convexity With Semiannual Compounding, J Economics and Finance 19(1), (Spring), p1
- Cooper, I.A., 1977, Asset values, interest rate changes, and duration, JFQA, Dec, 701-723.
- Cox and Ingersoll and Ross, 1979, Duration and the Measurement of Basis Risk, JB.
- Dattatreya RE and FJ Fabozzi, 1989, A Simplified Model for Valuing Debt Options, JPM, (Spring), p64
- Fisher and Weil, 1971, Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies, JB (see also Bierwag and Kaufman).
- Fong HG and OA Vasicek, 1984, A Risk Minimizing Strategy for Portfolio Immunization, JF 39(5), (Dec), p1541
- Jamshidian F and Y Zhu, 1997, Scenario Simulation Theory and Methodology, Finance and Stochastics, Vol 1, 43-67.
- Johnson LD, 1990, Convexity for Equity Securities Does Curvature Matter?, Financial Analysts Journal, (Sep/Oct), p70
- Jones FJ, 1991, Yield Curve Strategies, JFI 1(2), (Sep), p43 Finance and Stochastics 1, p43
- Kahn RN and R Lochoff, 1990, Convexity and Exceptional Return, JPM 16(2), (Winter), p43
- Kritzman M, 1992, What Practitioners Need to Know About Duration and Convexity, FAJ 48(6), (Nov/Dec), p17
- Lacey NJ and SK Nawalkha, 1990, Closed-Form Duration Measures and Strategy Applications, from The Research Foundation of The Institute of Chartered Financial Analysts
- Lacey NJ and SK Nawalkha, 1993, Convexity Risk and Returns, JFI 3(3), (Dec), p72
- Litterman R and J Scheinkman, 1991, Common Factors Affecting Bond Returns, JFI 1(1), (Jun), p54
- Macaulay, Frederick Robertson, 1938, Some theoretical problems suggested by the movements of interest rates, bond yields and stock prices in the united states since 1856, NBER Book extract (chapter 3).
- Mann SV and P Ramanlal, 1997, The Relative Performance of Yield Curve Strategies, J Portfolio Management (JPM) 23(4), (Summer), p64
- Nawalkha SK, 1995, Arbitrage and Equilibrium Foundations of the Duration Risk Measure, WP, Indiana University Department of Finance, (Aug)
- Nawalkha SK, 1995, The Duration Vector A Continuous-Time Extension to Default-Free Interest Rate Contingent Claims, JBF 19, p1359 - 2 copies.
- Nawalkha SK, 1996, A Contingent Claims Analysis of the Interest Rate Risk Characteristics of Corporate Liabilities, JBF 20, p227 - 2 copies
- Nawalkha SK, 1997, Hedging Bonds Subject to Credit Risk, BE from "A Handbook of Duration Frontiers of Interest Rate Risk Management" by SK Nawalkha
- Nawalkha SK, 1997, A Multibeta Representation Theorem for Linear Asset Pricing Theories, WP, Indiana University Kelley School of Business Finance Department, (Sep), Forthcoming in JFE.
- Nawalkha SK and DR Chambers, 1997, The M-Vector Model Derivation and Testing of Extensions to M-Square, JPM 23(2), (Winter), p92
- Nawalkha and Chambers, 1998?, A Handbook of Duration, Table of Contents.
- Prisman EZ and MR Shores, 1988, Duration Measures for Specific Term Structure Estimations and Applications to Bond Portfolio Immunization, J Banking and Finance (JBF) 12, p493
- Redington, F.M., 1952, "Review of the principals of life office valuations," (incl. immunisation) Journal of the Institute of Actuaries, vol 78, 286-341.
- Reitano RR, 1992, Non-Parallel Yield Curve Shifts and Immunization, JPM 18(3), (Spring), p36
- Wei JZ, A Simple Approach to Bond Option Pricing, J Futures Markets 17(2), (Apr), p131
- Willner R, 1996, A New Tool for Portfolio Managers Level Slope and Curvature Durations, JFI 6(1), (June), p48
E
ECONOMETRICS AND STATISTICS (MIT)
- Aitken, 1934, On Least Squares and Linear Combinations of Observations (GLS), Proceedings of the Royal Society of Edinburgh.
- Andrews, Donald W. K., 1991, heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica 59(3), May, 817-858. (an alternative to newey west).
- Anon, ?, Some Large Sample Theory, Extract from Book (Otago).
- Anon, ?, Qualitative and Limited Dependent Variables (Ordered Probit, Censored Sample, Truncated Sample, Probit, Logit), Extract from Book (MIT).
- Anon, ?, Tests for Distribution Functions (Goodness of Fit) (incl. Kolmogorov Smirnov and Chi Square, Book Extract (Otago).
- Anon, ?, Analysis of Variance (ANOVA), Book Extract - nice treatment.
- Artels, 1982, the Rank Version of Von Neumans Ratio Test for Randomness, JASA.
- Bartlett, 1937, Properties of Sufficiency and Statistical Tests, Proceedings of the Royal Society.
- Basmann, 1956?, A Generalised Classical Method of Linear Estimation of Coefficients in a Structural Relationship, ?.
- Baumol, 1965+, Kuhn-Tucker Analysis, Extract from Economic Theory and Operational Analysis (3rd Ed?).
- Bera and Jarque, 1982, Model Specification Tests: A Simultaneous Approach, J of Econometrics.
- Bernard, 1987, Cross Sectional Dependence and Problems in Inference in Market Based Accounting Research, JAR.
- Bernoulli, Daniel, 1954, Exposition of a new theory on the measurement of risk, Econometrica, 22(1), January, pp23-36 (available at JSTOR).
- Berndt, 1991, Statistical Inference and the Measurement of Fit in Equation Systems (incl. Wald, LR, and LM tests), Extract from The Practice of Econometrics.
- Berndt and Hall and Hall and Hausman (BHHH method), 1974, Estimation and Inference in Nonlinear Structural Models, Annals of Economic and Social Measurement.
- Black, 1982, The Trouble with Econometric Models, FAJ.
- Boneau, 1960, The Effects of Violations of Assumptions Underlying the t Test, Psychological Bulletin.
- Box and Cox, 1964, An Analysis of Transformations, J of the Royal Statistical Society (Series B, Vol 26, No 2, p211-252).
- Breusch and Pagan, 1979, A Simple Test for Heteroscedasticity and Random Coefficient Variation, Econometrica.
- Breusch and Pagan, 1980, The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics, RES.
- Brown and Durbin and Evans, 1975, Techniques for Testing the Constancy of Regression Relationships over Time, J of the Royal Statistical Society.
- Chernoff and Zacks, 1964, Estimating the Current Mean of a Normal Distribution Which is Subjected to Changes in Time, Annals of Mathematical Statistics.
- Christensen and Utts, 1992, Bayesian Resolution of the Exchange Paradox, The American Statistician.
- Chow, 1960, Tests of Equality Between Sets of Coefficients in Two Linear Regressions, Econometrica.
- Conway and Roberts, 1983, Reverse Regression, Fairness, and Employment Discrimination, J of Business and Economic Statistics.
- Cox, 1990, Role of Models in Statistical Analysis, Statistical Science.
- Cox and Snell, 1968, A General Definition of Residuals, J of the Royal Statistical Society.
- Timothy Crack, 1994, Progress Report for NYSE (incl. 2SLS and 3SLS discussions), NYSE Consulting Report.
- Cramer, 1987, Mean and Variance of R Squared in Small and Moderate Samples, J of Econometrics.
- Dagenais, Marcel G., 1994, Parameter Estimation in Regression Models with Errors in the Variables and Autocorrelated Disturbances, Journal of Econometrics, Vol 64 No 1-2, (September-October), pp145-163.
- David and Hartley and Pearson, 1954, The Distribution of the Ratio, in a Single Normal Sample, of Range to Standard Deviation (incl. the "studentized range"), Biometrika.
- De Finetti, 1972, Exchangeable Variables, Excerpt from Probability, Induction and Statistics - The Art of Guessing (see also Feller and also Heath).
- Dempster and Laird and Rubin, 1977, Maximum Likelihood from Incomplete Data via the EM Algorithm, J of the Royal Statistical Society.
- Dickey and Fuller, 1981, Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica.
- Durand, Jacque, 1961, L'Attraction des Nombres Ronds et ses Consequences Economiques (incl. Rounding), Revue Francaise de Sociologie (see also Preece and Yule).
- Durbin J, 1970, Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Independent Variables, Econometrica 56(5), (May), p410.
- Durbin J and GS Watson, Testing for Serial Correlation in Least Squares Regression I, Biometrika, 1950, 37, 409-428.
- Durbin J and GS Watson, Testing for Serial Correlation in Least Squares Regression II, Biometrika, 1951, 38, 159-178.
- Durbin J and GS Watson, Testing for Serial Correlation in Least Squares Regression III, Biometrika, 1971,58, 1-42.
- Engle, 1974, Band Spectrum Regression, IER.
- Feller, 1966, De Finetti and Exchangeable Variables, Excerpt from Intro to Prob Theory (see also Heath, and also De Finetti).
- Fisher, 1970, Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note, Econometrica.
- Francis Galton, 1886, Regression Toward the Mean in Hereditary Stature, Journal of the Anthropological Institute of Great Britain and Ireland, Vol 15, pp246-263. Plus some very strange items from the same journal that discuss the "Jewish Type" with reference to Galton. Peter Bernstein's book "Against the Gods" 1996, makes reference to this.
- Garman and Klass, 1980, On the Estimation of Security Price Volatilities from Historical Data (incl. High Low), JB.
- Geiger D and D Heckerman, 1995, A Characterization of the Bivariate Normal-Wishart Distribution, WP, Microsoft Research Advanced Technology Division, (Nov)
- Murat Genc, 1991, Concavity of Functions, Econ 371 Handout (Otago) (2 copies).
- Girsanov, 1960, On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures, Theory of Probability and its Applications.
- Godfrey, 1978, Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables, Econometrica.
- Godfrey, 1978, Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables, Econometrica.
- Godfrey, 1978, Testing for Multiplicative Heteroskedasticity, J of Econometrics (2 copies).
- Goldfeld and Quandt, 1965, Some Tests for Homoscedasticity, JASA.
- Gordon, 1981, Errors in Computer Packages. Least Squares Regression Through the Origin, The Statistician.
- Gourieroux and Monfort and Trognon, 1984, Pseudo Maximum Likelihood Methods: Theory, Econometrica.
- Granger, ?, Spectral Analysis, Book Extract (New Palgrave Series?), pp263- 267.
- Granger, 1969, Investigating Causal Relations by Econometric Models and Cross Spectral Methods, Econometrica.
- Granger, 1979, Nearer Normality and Some Econometric Models, Econometrica.
- Granger and Newbold, 1974, Spurious Regressions in Econometrics, J of Econometrics.
- Griliches, 1977, Estimating the Returns to Schooling: Some Econometric Problems, Econometrica.
- Griliches and Hausman, 1986, Errors in Variables in Panel Data, J of Econometrics.
- Hamilton, 1994, State Space Models (incl. Kalman Filters), Chapter 50 of Handbook of Econometrics IV (plus Handbook Table of Contents).
- Hanson and Singleton, 1982, Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica (3 copies plus Errata).
- Harvey, 1976, Estimating Regression Models with Multiplicative Heteroscedasticity, Econometrica.
- Hausman, 1978, Specification Tests in Econometrics, Econometrica.
- Hausman, 1983, Specification and Estimation of Simultaneous Equation Models, Book Extract (from Handbook of Econometrics, 1983, Ch7)
- Hausman, 1992, Errors in Variables and Stock Market Returns, Handout for Talk at Harvard.
- Hausman and Hall and Griliches, 1984, Econometric Models for Count Data with an Application to the Patent-R&D Relationship.
- Hausman and Lo and MacKinlay, 1992, An Ordered Probit Analysis of Transaction Stock Prices, JFE.
- Hausman and Taylor, 1981, Panel Data and Unobservable Individual Effects, Econometrica.
- Heath and Sudderth, 1976, De Finetti's Theorem on Exchangeable Variables, The American Statistician (see also Feller and De Finetti).
- Heckman, 1978, Sample Selection Bias as A Specification Error, ?.
- Hotelling, 1940, The Selection of Variates for Use in Prediction with Some Comments on the General Problem of Nuisance Parameters, Annals of Mathematical Statistics.
- Hsieh, 1983, A Heteroscedasticity-Consistent Covariance Matrix Estimator for Time Series Regressions, J of Econometrics.
- Ibragimov, I.A., and Yu. V. Linnik, 1971, Independent and stationary sequneces of random variables, edited by J.F.C Kingman, Wolters-Nordfohh Publishing Groningen, book extract, pp301-314 (chp. 17).
- Izenman, 1991, Recent Developments in Nonparametric Density Estimation, JASA.
- Jacquier and Polson, 1992, Bayesian Analysis of Stochastic Volatility Models, WP U. Chicago.
- Jarque and Bera, 1980, Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals, Economics Letters.
- Kabak and Simonoff, 1983, A Look at Daily Lotteries, The American Statistician.
- Kendall, 1945, On the Analysis of Oscillatory Time-Series, J of the Royal Statistical Society.
- Kendall, 1954, Note on bias in the estimation of autocorrelation, Biometrika, Vol. 41, pp403-404.
- Koenker, 1981, A Note on Studentizing a Test for Heteroscedasticity, J of Econometrics.
- Koenker and Bassett, 1982, Robust Tests for Heteroscedasticity based on Regression Quantiles, Econometrica.
- Lee and Trost, 1978, Estimation of Some Limited Dependent Variable Models with Application to Housing Demand, J of Econometrics.
- Ledoit, 1994, The Covariance Matrix of the Stock Market, WP MIT.
- Olivier Ledoit and Pedro Santa-Clara, 1996, Estimating Conditional Covariance Matrices with an Application to Risk Management, WP Anderson School UCLA, (November).
- Lindley, D.V., 1957, "A Statistical Paradox," Biometrika, 44 (June), pp187-192(2 copies).
- Lo, 1988, Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data, Econometric Theory (2 copies).
- Lo, 1993, An Introduction to Neural Networks and Other Nonparametric Techniques in Economics and Finance, Presentation to Society of Quantitative Analysts Seminar New York (Nov 18 1993).
- Lo, 1994, Neural Networks and Other Nonparametric Techniques in Economics and Finance, Extract from Blending Quantitative and Traditional Equity Analysis (see also Baum in Chaos section).
- Lo, 1994, Data Snooping Biases in Financial Analysis, Extract from Blending Quantitative and Traditional Equity Analysis.
- Magnus, 1978, Maximum Likelihood Estimation of the GLS Model with Unknown Parameters int he Disturbance Covariance Matrix (2 copies).
- McCabe, 1989, Misspecification Tests in Econometrics Based on Ranks, J of Econometrics.
- McFadden, 1988, Introduction to Statistical Analysis in Large Samples, MIT Class Notes.
- Nerlove M and KF Wallis, 1966, Use of the Durbin-Watson Statistic in Inappropriate Situations, Econometrica 34(1), (Jan), p235
- Neudecker, H., 1969, Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products, JASA, Vol 64, p953-963.
- Newey and West, 1987, Hypothesis Testing With Efficient Method of Moments Estimation, IER.
- Newey and West, 1987, A Simple Positive Semi Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica.
- Oberhofer and Kmenta, 1974, A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models, Econometrica.
- Pagan and Wickens, 1989, A Survey of Some Recent Econometric Methods, The Economic Journal.
- Park, 1966, Estimation with Heteroscedastic Error Terms, Econometrica.
- Plosser and Schwert and White, 1982, Differencing as a Test of Specification, IER.
- Preece, 1981, Distributions of Final Digits in Data, The Statistician (see also Durand and Yule).
- Ramsey, 1969, Tests for Specification Errors in Classical Linear Least Squares Regression Analysis, J of the Royal Society.
- Randles, 1984, On Tests Applied to Residuals, JASA.
- Ritchey, 1986, An Application of the Chi Squared Goodness of Fit Test to Discrete Common Stock Returns, J of Business And Economic Statistics.
- Roll, Richard, "R Squared," Journal of Finance, 43(2), July, pp541-566(see also Cramer).
- Rosenblatt, 1956, A Central Limit Theorem and A Strong Mixing Condition, Proc. of the National Acad. of Sciences.
- Rosenblatt, 1972, Uniform Ergodicity and Strong Mixing, Zeitschrift fur Wahrscheinlichkeitstheorie und verwandte Gebiete (Journal of Probability and Related Fields).
- Rosenblatt M, 1978, Dependence and Asymptotic Independence for Random Processes, Book Extract from "Volume 18, Studies in Probability Theory" by Rosenblatt M, M Kac, J Kiefer, MR Leadbetter, DS Ornstein, GC Papanicolaou, published by The Mathematical Association of America
- Ruppert, David, 1987, What is kurtosis? An influence function approach, The American Statistician, 41(1) (February), pp1-5.
- Savin and White, 1978, Testing for Autocorrelation with Missing Observations, Econometrica.
- Silvey, 1975, Introduction to Estimation, Book Excerpt.
- Spiegel MR, 1975, Tests of Hypothesis and Significance, Book Extract from "Probability of Statistics" by Spiegel
- Theil, 1971, Principles of Econometrics, Book Extract (OLS...).
- Tukey, 1961, The Future of Data Analysis, Annals of Mathematical Statistics (intro. of paper only.).
- Urbach, 1987, Clinical Trial and Random Error (incl. Classical vs Bayesian Statistics), New Scientist.
- Weiss, 1971, Asymptotic Properties of Maximum Likelihood Estimators in Some Nonstandard Cases, JASA.
- White, 1980, A Heteroskedasticity Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity, Econometrica.
- White, 1982, Maximum Likelihood Estimation of Misspecified Models, Econometrica (2 copies).
- White, 1984, Asymptotic Theory for Econometricians, 3 Book Excerpts.
- White, 1978, A General Computer Program for Econometric Methods - Shazam, Econometrica.
- Yule, 1927, On Reading a Scale, J of the Royal Statistical Society (see also Preece and Durand).
- Zellner, 1962, An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias, JASA.
- Zellner and Theil, 1962, Three Stage Least Squares (3SLS): Simultaneous Estimation of Simultaneous Equations.
ECONOMETRICS CONNING AND COBB-DOUGLAS
- Douglas, 1948, Are There Laws of Production?, AER.
- Hendry, 1980, Econometrics - Alchemy or Science?, Economica.
- Hendry, 1983, Econometric Modelling: The Consumption Function in Retrospect, Scottish Journal of Political Economy.
- Leamer, 1983, Let's Take the Con Out of Econometrics, AER (2 copies).
- McAleer and Pagan and Volker, 1985, What Will Take the Con out of Econometrics?, AER.
EFFICIENT MARKETS (EMH)
- Aggarwal and Soenen, 1988, The Nature and Efficiency of the Gold Market, JPM.
- Ball, 1978, Anomalies in Relationships Between Securities Yields and Yield Surrogates, JFE (abstract and conclusion only).
- Ball, 1989, What do we Know About Stock Market "Efficiency"?, WP Rochester.
- Ball, 1991, What do we Know About Market Efficiency?, WP Simon School Rochester.
- Bhattacharya M, 1982, Transactions Data Tests of Efficiency of the Chicago Board Options Exchange, JFE 12(2), (Aug).
- Black, Fischer, 1971, Toward a fully automated stock exchange, FAJ, July-August, 29-44.
- Brown DP and Jennings RH, 1989, On Technical Analysis, The Review of Financial Studies 2(4), p527
- Brush, 1986, Eight Relative Strength Models Compared, JPM.
- Donnelly, 1980, Why Relative Cost is a Better Basis for Investment Decisions that the "Efficient Market" Fallacy, The Chartered Accountant in Australia.
- Fama, 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, JOF.
- Fama EF, 1991, Efficient Capital Markets II, JF 46(5), (Dec), p1575
- Fama EF, 1998, Efficiency Survives the Attack of the Anomalies, GSB U Chicago, (Winter), p14
- Finnerty, 1978, The Chicago Board Options Exchange and Market Efficiency, JFQA.
- Ferguson, 1983, An Efficient Stock Market? Ridiculous!, JPM.
- Grubel, 1979, The Peter Principal and the Efficient Market Hypothesis, FAJ.
- Harrison and Kreps, 1979, Martingales and Arbitrage in Multiperiod Securities Markets, JET.
- Joy and Jones, 1986, Should We Believe the Tests of Market Efficiency?, JPM.
- Keane, 1983, The Evidence I, Chapter 4 from Stock Market Efficiency: Theory, Evidence, Implications, Philip Allan (2 copies plus critique by me).
- Keane, 1983, The Evidence II (Some Problems), Chapter 5 from Stock Market Efficiency: Theory, Evidence, Implications, Philip Allan (2 copies).
- Krasker WS, The Peso Problem in Testing the Efficiency of Forward Exchange Markets, J Monetary Economics 6, p269.
- Lehmann, 1990, Fads, Martingales, and Market Efficiency, QJE.
- LeRoy, 1976, Efficient Capital Markets: Comment, JOF.
- LeRoy, 1989, Efficient Capital Markets and Martingales, J of Economic Literature.
- Martin, 1985, Uncertain? How do you Spell Relief?, JPM.
- Myers, 1988, Fuzzy Efficiency, Institutional Investor.
- Phillips SM and CW Smith, 1980, Trading Costs for Listed Options, JFE 8, p179.
- Pruit and White, 1988, The CRISMA Trading System: Who Says Technical Analysts Can't Beat the Market, JPM.
- Samuelson, 1965, Proof the Properly Anticipated Prices Fluctuate Randomly, Industrial Management Review.
- Seyhun, 1986, Insiders' Profits, Costs of Trading, and Market Efficiency, JFE.
- Solt and Swanson, 1981, On the Efficiency of the Markets for Gold and Silver, JB.
- Stein, 1989, Efficient Capital Markets, Inefficient Firms: A Model of Myopic Corporate Behavior, QJE.
- Sweeney RJ, 1988, Some New Filter Rule Tests Methods and Results, JFQA 23(3), (Sep).
- Sweeney RJ, 1990, Evidence on Short-Term Trading Strategies, JPM, (Fall), p20
- Treynor, 1987, Market Efficiency and the Bean Jar Experiment, FAJ.
- Tschoegl, 1980, Efficiency in the Gold Market - A Note, J of Banking and Finance.
- Watts, 1978, Systematic Abnormal Returns After Quarterly Earnings Announcements, JFE (abstract and conclusion only).
EINSTEIN
- Einstein, 1905, Uber die von der molekularkinetischen Theorie der Warme gefordte Bewegung von in ruhenden Flussigkeiten suspendierten Teilchen, Annalen Der Physik.
- Einstein, 1905, Uber einen die Erzeungung und Verwandlung des Lichtes betreffenden heuristichen Gesichtspunkt, Annalen Der Physik.
- Einstein, 1905, Zur Elektrodynamic bewgter Korper, Annalen der Physik.
EIV
- Garber and Klepper, 1980, Extending the Classical Normal Errors in Variables Model, Econometrica.
- Greene, 1990, Measurement Error and Proxy Variables, Extract from Greene's 1990 Book (Econometric Analysis).
- Grether DM and GS Maddala, 1973, Errors in Variables and Serially Correlated Disturbances in Distributed Lag Models, Econometrica 41(2), (Mar), p255-262.
- Karni and Weissman, 1974, A Consistent Estimator of the Slope in a Regression Model with Errors in the Variables, JASA (V. 69, No. 345, p211) (2 copies).
- Klepper and Leamer, 1984, Consistent Sets of Estimates for Regressions with Errors in All Variables, Econometrica.
- Levi, 1973, Errors in the Variables Bias in the Presence of Correctly Measured Variables, Econometrica.
EVENT STUDIES AND STOCK SPLITS
- Ashley, 1962, Stock Prices and Changes in Earnings and Dividends: Some Empirical Results, JPE.
- Asquith and Mullins, 1986, Equity Issues and Offering Dilution, JFE, Vol. 15, pp61-89.
- Ball and Brown, 1968, An Empirical Evaluation of Accounting Income Numbers, JAR.
- Ball and Torous, 1988, Investigating Security Price Performance in the Presence of Event Date Uncertainty, JFE.
- Barclay and Litzenberger, 1988, Announcement Effects of New Equity Issues and the Use of Intraday Price Data, Journal of Financial Economics, Vol. 21, pp71-100.
- Beaver, 1968, The Information Content of Annual Earnings Announcements, Empirical Research in Accounting: Selected Studies 1968.
- Beneish, Messod D, and Robert E. Whaley, 1996, An anatomy of the S&P game: The effects of changing the rules, JOF, 1909-1930.
- Bernard, Victor L. and Jacob K. Thomas, 1989, Post Earnings Announcement Drift: Delayed Price Response or Risk Premium?, JAR, Vol 27 Supplement, pp1-48 (including discussion by M.L. Marais).
- Bernard and Thomas, 1990, Evidence that Stock Prices do Not Fully Reflect the Implications of Current Earnings for Future Earnings, J of Accounting and Economics.
- Binder, 1985, Measuring the Effects of Regulation with Stock Price Data, Rand Journal of Economics.
- Boehmer and Musumeci and Poulsen, 1991, Event Study Methodology Under Conditions of Event Induced Variance, JFE.
- Bowman, 1983, Understanding and Conducting Event Studies, J of Business Finance and Accounting.
- Brennan and Copeland, 1988, Stock Splits, Stock Prices, and Transaction Costs, JFE.
- Brown and Warner, 1980, Measuring Security Price Performance, JFE (2 copies).
- Brown and Warner, 1985, Using Daily Stock Returns, JFE.
- Campbell and Lo and MacKinlay, 1995, Event Study Analysis, Chapter 4 from The Econometrics of Financial Markets.
- Chandra and Moriarity and Willinger, 1990, A Reexamination of the Power of Alternative Return-Generating Models and the Effect of Accounting for Cross Sectional Dependencies in Event Studies, JAR.
- Copeland, 1979, Liquidity Changes Following Stock Splits, JOF.
- Dann, 1981, Common Stock Repurchases, JFE.
- De Jong and Kemna and Kloek, 1992, A Contribution to Event Study Methodology with an Application to the Dutch Stock Market, J Banking and Finance.
- Dravid, 1987, A Note on the Behavior of Stock Returns Around Ex-Dates of Stock Distributions, JOF.
- Easley and O'Hara, 1992, "Time and the Process of Security Price Adjustment," Journal of Finance, Vol. 47, pp577-605.
- Fama and Fisher and Jensen and Roll, 1969, The Adjustment of Stock Prices to New Information, IER.
- Grinblatt and Masulis and Titman, 1984, The Valuation Effects of Stock Splits and Stock Dividends, JFE.
- Han, 1995, The Effect of Reverse Splits on the Liquidity of the Stock, JFQA.
- Healy and Palepu, 1990, Earnings and Risk Changes Surrounding Primary Stock Offers, JAR (2 copies).
- Jennings and Starks, 1986, Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets, JOF.
- Jennifer Lynch Koski, 1995, Measurement Effects and the Variance of Returns After Stock Splits and Stock Dividends, WP U Washington in Seattle.
- Lakonishok and Lev, 1987, Stock Splits and Stock Dividends: Why, Who, and When, Journal of Finance, 42(4), pp913-932.
- Lamoureux and Poon, 1987, The Market Reaction to Stock Splits, JOF.
- Lynch Anthony W., and Richard R. Medenhall, 1997, New evidence on stock price effects associated with changes in the S&P500 index, JB, 70(3), pp351-383.
- McNichols and Dravid, 1990, Stock Dividends, Stock Splits, and Signalling, JOF.
- Muscarella and Vetsuypens, 1994, Stock Splits: Signalling or Liquidity?: The Case of ADR Solo Splits, WP Smeal College of Business Penn State U.
- Ohlson and Penman, 1985, Volatility Increases Subsequent to Stock Splits, JFE.
- Pearce and Roley, 1985, Stock Prices and Economic News, JB.
- Poon, 1989, Time Deformation Market Model and Event Studies: The Case of Stock Splits, Ch III of his PhD Thesis at LSU.
- Schweitzer, 1989, How do Stock Returns React to Special Events?, Fed Res. Bank of Philadelphia.
F
FINANCE HISTORY/OVERVIEW/THE FUTURE
- Cooley and Copeland, 1975, Contrasting Roles of Financial Theory and Practice, Business Horizons.
- Featherston, 1975, Historic Influences on the Development of the Theory of Value, Appraisal Journal.
- Findlay and Williams, 1980, A Positivist Evaluation of the New Finance, Financial Management.
- Friend, 1973, Mythodology in Finance, JOF.
- Horrigan, 1987, The Ethics of the New Finance, J of Business Ethics.
- Jensen and Smith, 198?, The Theory of Corporate Finance: A historical Overview, Book Extract.
- Lichtenstein, 198?, The Post Keynsian Marxian Alternatives, Chp 2 in An Introduction to Post-Keynesian and Marxian Theories of Value and Price.
- Miller, 1986, Financial Innovation: The Last Twenty Years and The Next, JFQA.
- Miller, 1992, Financial Innovation: Achievements and Prospects, J of Applied Corporate Finance.
- Pogue and Lall, 1974, Corporate Finance: An Overview (incl. nice review of MM), Sloan Management Review (Spring), pp19-38 (2 copies).
- Sharpe, 1979, Evolution of Modern Portfolio Theory, Wells Fargo Talk.
- Smith, 198?, The Theory of Corporate Finance: A Historical Overview, Book Extract.
- Summers, 1985, On Economics and Finance, JOF.
- Weston, 1973, New Themes in Finance, JOF.
- Weston, 1981, Developments in Finance Theory, Financial Management.
FUNDAMENTAL FINANCE ISSUES
- Arrow, 1964, The Role of Securities in the Optimal Allocation of Risk-Bearing, RES.
- Debreu and Scarf, 1963, A Limit Theorem on the Core of An Economy, IER.
- Engle RF, DF Hendry, and JF Richard, Exogeneity, Econometrica 51(2), (Mar), p277.
- Hamada, 1969, Portfolio Analysis, Market Equilibrium and Corporate Finance, JOF.
- Lucas, 1978, Asset Prices in an Exchange Economy, Econometrica (2 copies plus 12 page Glenn Boyle handout discussing paper).
- Pratt, 1964, Risk Aversion in the Small and the Large, Econometrica.
- Rothschild and Stiglitz, 1970, Increasing Risk: 1. A Definition, JET.
- Rothschild and Stiglitz, 1971, Increasing Risk: 2. Its Economic Consequences, JET.
- Rubinstein, 1974, An Aggregation Theorem for Securities Markets, JFE.
G
GENERALISED METHOD OF MOMENTS (GMM)
- Bodurtha and Mark, 1991, Testing the CAPM with Time Varying Risks and Returns, JOF.
- Brown and Newey, 1992, Bootstrapping for GMM, WP Rice and MIT.
- Hall, Alastair, 1993, Some aspects of generalized method of moments estimation, Ch 15 in Handbook of Statistics, Vol 11, Ed. Maddala, Rao and Vinod.
- Hamilton, 1997, GMM, chapter 14 of Hamilton's "Time Series Analysis" book.
- Hansen, 1982, Large Sample Properties of GMM Estimators, Econometrica.
- Lo, 1994, Estimating Moments Via GMM, 15.422 Class Notes.
- MacKinlay and Richardson, 1991, Using GMM to Test Mean-Variance Efficiency, JOF.
- Ogaki, 1992, An Introduction to Generalised Method of Moments, WP Rochester (2 copies).
- Ogaki, Masao, 1993, Generalized method of moments: Econometric applications, Ch 17 in Handbook of Statistics, Vol 11, Ed. Maddala, Rao and Vinod.
H

I
INDEXES/INDICES
- Fisher, 1966, Some New Stock Market Indexes, JB, Vol 39 No 1 Part 2, pp191-225 (2 copies).
- Hawkins, 1983, What's In an Index, Management.
INTERACTION OF INVESTMENT AND FINANCING DECISIONS
- Ashton and Atkins, 1978, Interactions in Corporate Financing and Investment Decisions - Implications for Capital Budgeting: A Further Comment, JOF.
- Bar-Yosef, 1977, Interactions of Corporate Financing and Investment Decisions - Implications for Capital Budgeting: Comment, JOF.
- Myers, 1974, Interactions of Corporate Financing and Investment Decisions - Implications for Capital Budgeting, JOF.
- Ravid, 1988, On Interactions of Production and Financial Decisions, Financial Management.
INTERNATIONAL (AND NATIONAL) DIVERSIFICATION
- Adler and Dumas, 1983, International Portfolio Choice and Corporation Finance: A Synthesis, JOF.
- Adler and Horesh, 1974, The Relationship Among Equity Markets: Comment, JOF (see also Agmon's Reply).
- Agmon, 1974, Reply, JOF.
- Agmon, 1972, The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United Kingdom, Germany and Japan, JOF.
- Agmon and Lessard, 1977, Investor Recognition of Corporate International Diversification, JOF.
- Brewer, 1981, Investor Benefits from Corporate International Diversification, JFQA.
- Defusco and Philippatos and Choi, 1988, Risk, Return and International Investment by US Corporations, Applied Economics.
- Elton and Gruber, 198?, Risk Reduction and Portfolio Size: An Analytical Solution, JB.
- Evans and Archer, 1968, Diversification and the Reduction of Dispersion: An Empirical Analysis, JOF.
- Grubel, 1958, Internationally Diversified Portfolios: Welfare Gains and Capital Flows, AER.
- Grubel and Fadner, 1971, The Interdependence of International Equity Markets, JOF (1 and one half copies).
- Hyndman and Pogue, 1984, Portfolio Theory Unscrambled, Management Accounting.
- Jorion, 1985, International Portfolio Diversification with Estimation Risk, JB.
- Latane and Young, 1969, Test of Portfolio Building Rules, JOF.
- Lessard, 1974, World, National and Industry Factors in Equity Returns, JOF.
- Lessard, 1976, World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction Through International Diversification, FAJ (2 copies).
- Levy and Sarnat, 1970, International Diversification of Investment Portfolios, AER (2 copies).
- Mitchell and Wapnah and Izan, 198?, International Diversification: An Australian Perspective, WP U of Western Australia.
- Solnik, 1974, The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure, JOF.
- Solnik, 1974, An Equilibrium Model of the International Capital Market, JET.
- Solnik, 1977, Testing International Asset Pricing: Some Pessimistic Views, JOF.
- Solnik and Noetzlin, 1982, Optimal International Asset Allocation: Lessons from the Past, JPM.
- Statman, 1987, How Many Stocks Make a Diversified Portfolio?, JFQA.
- Stulz, 1981, On the Effects of Barriers to International Investment, JOF.
- Tole, 1982, You Can't Diversify Without Diversifying, JPM.
INTERNAL RATE OF RETURN (IRR) AND ZEROES OF POLYNOMIALS
- Dorfman, 1981, The Meaning of Internal Rates of Return, JOF.
- Flemming and Wright, 1971, Uniqueness of the Internal Rate of Return: A Generalisation, The Economic Journal (J of the Royal Economic Society).
- Jean, 1968, On Multiple Rates of Return, JOF.
- Keane, 1974, Let's Scrap IRR Once [and] For All, Accountancy (2 copies).
- Keane, 197?, The Internal Rate of Return and the Reinvestment Fallacy, ABACUS.
- Longbottom and Wiper, 1978, Necessary Conditions for the Existence of Multiple Rates int he Use of the Internal Rate of Return, J of Business Finance and Accounting.
- Pratt, 1979, Finding How Many Roots a Polynomial Has in (0,1) or (0, Infintiy), The American Mathematical Monthly (V.86 #8, October) (2 copies).
- Wilkes, 1980, On Multiple Rates of Return, J of Business Finance and Accounting.
- Wright, 1986, On Investment Criteria Based on the Internal Rate of Return: A Response, Oxford Economic Papers.
INVESTMENT AND INVESTMENT PERFORMANCE MEASUREMENT
- Bernstein, 1987, Asset Allocation: Things are Not What they Seem, FAJ.
- DeMarco, 1994, Asset Allocation Method for GTE Pension Fund Domestic Equity, MIT Course 15.962 Project prepared for DeMarco from GTE.
- DuBois, 1992?, Tactical Asset Allocation: A Review of Current Techniques, Book Extract.
- First Quadrant, 1991?, Style Management: The Missing Element in Equity Portfolios, First Quadrant Research Report.
- Friend and Blume, 1970, Measurement of Portfolio Performance Under Uncertainty, AER.
- Jacobs and Levy, 1993, Long Short Equity Investing, JPM.
- Jagannathan and Korajczyk, 1986, Assessing the Market Timing Performance of Managed Portfolios, JB.
- Jayaramann and Shastri and Tandon, 1993, The Impact of International Cross Listings on Risk and Return: The Evidence from American Depository Receipts (ADR's), J of Banking and Finance.
- Jensen, 1968, Problems in Selection of Security Portfolios: The Performance of Mutual Funds in the Period 1945-1964, JOF.
- Jobson and Korkie, 1981, Performance Hypothesis Testing with the Sharpe and Treynor Measures, JOF.
- Levy and Sarnat, 1984, The Return of Foreign Investments, Extract from Book (Portfolio and Investment Selection).
- Officer and Hoffmeister, 1987, ADRs: A Substitute for the Real Thing?, JPM.
- Reinganum, 1986, Is Time Travel Impossible? A Financial Proof, JPM (plus Comment by Friedman and comment by Morris).
- Salomon Brothers, 1992, Segregating Growth from Value: It's Not Always Either/Or, Salomon Brothers Derivatives Research Report.
- Salomon Brothers, 1992, The Growth/Value Contest: A Growing American Tradition, Salomon Brothers Derivatives Research Report.
- Salomon Brothers, 1993, Equity Style Management - Implementing Salomon Brothers's Growth/Value: Part 1, Salomon Brothers Derivatives Research Report.
- Salomon Brothers, 1994, Profiting in the Near, Medium and Long Term with Growth and Value Style Forecasts, Salomon Brothers Derivatives Research Report.
- Samuelson, 1990, Asset Allocation Could Be Dangerous to Your Health, JPM.
- Sharpe, 1966, Mutual Fund Performance, JB.
- Siegel, 1992, The Equity Premium: Stock and Bond Returns Since 1802, FAJ.
- Sinquefield, 1991, Are Small Stock Returns Achievable, FAJ.
- Treynor, 1965, How To Rate Management of Investment Funds, Harvard Business Review.
- Treynor and Black, 1973, How to use security analysis to improve portfolio selection, JB, 46(1), (January), pp66-86. See above Treynor link.
- Weigel, 1991, The Performance of Tactical Asset Allocation, FAJ.
IPO'S, MERGERS, AND ACQUISITIONS
- Bhagat and Shleifer and Vishny, 1990, Hostile Takeovers in the 1980's: The Return to Corporate Specialization, Brookings Papers: Microeconomics.
- Dodd and Ruback, 1977, Tender Offers and Stockholder Returns: An Empirical Analysis, JFE.
- Jog and Riding, 1987, Underpricing in Canadian IPO's, FAJ.
- Jog and Riding, 1988?, On the Valuation and Performance of IPO's on Toronto and Montreal Equity Markets, WP Carleton U (Ottawa).
- Lev, 1983, Observations on the Merger Phenomenon and a Review of the Evidence, Midland J of Corporate Finance.
- Malatesta, 1983, The Wealth Effect of Merger Activity and the Objective Functions of Merging Firms, JFE.
- Parkinson and Dobbins, 1993, Returns to Shareholders in Successfully Defended Takeover Bids: UK Evidence 1975-1984, J of Business Finance and Accounting.
- Parkinson and Shaw, 1991, The Pre-Bid Share Price Performance of Target Companies Involved in the Successful and Unsuccessful Defence of a Hostile Takeover Bid: A Pilot Study, Managerial Finance.
- Pound, 1988, The Information Effects of Takeover Bids and Resistance, JFE.
- Ritter, Jay, 1987, The Costs of Going Public, JFE 19, 269-281.
- Ritter, 1991, The Long Run Performance of Initial Public Offerings, JOF.
- Ritter JR, 1998, Initial Public Offerings, WP, U Florida Finance Department, (Jan)
- Rock, 1986, Why New Issues are Underpriced, JFE.
- Shivdasani, 1993, Board Composition, Ownership Structure, and Hostile Takeovers, J of Accounting and Economics.
- Weisbach, 1993, Corporate Governance and Hostile Takeovers, J of Accounting and Economics.
- Zissu and Stone, 1989, A Causality Effect Between Bid Premium and the Outcome of Tender Offer (sic), Economics Letters.
J

K

L

M
MACROECONOMICS TOPICS
- Anon, ?, Introductory Macro (IS/LM ...), Otago Book.
- Anon, 1977, Understanding Business Cycles, Book Extract (MIT).
- Arrow and Chenery and Minhas and Solow, 1961, Capital Labor Substitution and Economic Efficiency, Review of Economics and Statistics.
- Baglioni A and L Mezzomo, 1996, The Transition to EMU Survey of the Issues for the Financial System, WP, Universita Statale Milan, (Apr).
- Barro, 1977, Unanticipated Money Growth and Unemployment in the United States, AER.
- Baumol, ?, Speculation, Profitability, and Stability (incl. flexible exchange rates), Review of Economics and Statistics.
- Bergstrom and Nowman and Wandasiewicz, 1992, Monetary and Fiscal Policy in a Second Order Continuous Time Macroeconomic Model of The United Kingdom, WP U of Essex.
- Bernanke, 1983, Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression, AER.
- Blanchard, 1981, Output, the Stock Market, and Interest Rates, AER.
- Blinder and Solow, 1973, Does Fiscal Policy Matter?, J of Public Economics.
- Boyle, 1990, Money Demand and the Stock Market in a General Equilibrium Model with Variable Velocity, JPE (2 copies).
- Boyle and Peterson, 1989, Money, Monetary Policy, and Aggregate Stock Market Returns, WP LSU.
- Boyle and Young, 1990, More on Risk Aversion and Stock Price Volatility, WP UT Austin.
- Boyle and Young, 1988, Asset Price, Commodity Prices, and Money: A General Equilibrium, Rational Expectations Model, AER.
- Carlson, Valdemar, 1947, Democratizing Money, JOF, 2(2), Oct, 68-71.
- Friedman, 1968, The Role of Monetary Policy, AER.
- Hall, 1978, Stochastic Implications of the Life Cycle Permanent Income Hypothesis: Theory and Evidence, JPE.
- Hamburger, 1966, The Demand for Money by Households, Money Substitutes, and Monetary Policy, JPE.
- Heckman, 1974, Shadow Prices, Market Wages, and Labor Supply, Econometrica.
- Hoffman and Schlagenhauf, 1982, An Econometric Investigation of the Monetary Neutrality and Rationality Propositions From an International Perspective, RES.
- Just and Pope, 1978, Stochastic Specification of Production Functions and Economic Implications, J of Econometrics.
- Kashyap and Stein, 1993, Monetary Policy and Bank Lending, NBER WP.
- Koppl R and LB Yeager, 1996, Big Players and Herding in Asset Markets The Chase of the Russian Ruble, Explorations in Economic History 33 (3), (Jul), p367.
- Kmenta, 1967, On Estimation of the CES Production Function, IER.
- Kydland and Prescott, 1982, Time to Build and Aggregate Fluctuations, Econometrica.
- Mankiw, 1990, A Quick Refresher Course in Macroeconomics, J of Economic Literature.
- McAfee RP, 1983, American Economic Growth and the Voyage of Columbus, The American Economic Review, (Sep), p735
- Merton, 1987, On the Current State of the Stock Market Rationality Hypothesis, Extract from Macroeconomics and Finance - Essays in Honor of Franco Modigliani (2 copies).
- Mroz, 1987, The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions, Econometrica.
- Muellbauer and Portes, 1978, Macroeconomic Models with Quantity Rationing, The Economic Journal.
- Nerlove, 1972, Lags in Economic Behavior, Econometrica.
- Rogalski and Vinso, 1977, Stock Returns, Money Supply and the Direction of Causality, JOF.
- Rose, 1987, Labor Rent Sharing and Regulation: Evidence from the Trucking Industry, JPE (plus seminar handouts for paper).
- Salyer, 1988, The Characterization of Savings Under Uncertainty: The Case of Serially Correlated Returns (incl autocorrelation), Economics Letters.
- Sargent and Wallace, 1976, Rational Expectations and the Theory of Economic Policy, J of Monetary Economics.
- Shapiro, 1992, The Balance of Payments and International Economic Linkages, Extract from Shapiro's Multinational Financial Management Book.
- Sims, 1972, Money, Income, and Causality, AER.
MARKET STRUCTURE AND MARKET MICROSTRUCTURE
- AFA, 1995, Agenda, JOF.
- Ahn HJ, CQ Cao, and H Choe, 1996, Tick Size Spread and Volume, J Financial Intermediation 5(1), p2-22.
- Amihud and Mendelson, 1980, Dealership Market: Market Making with Inventory, JFE 8, p31
- Anshuman and Kalay, 1994, Market Making Rents Under Discrete Prices: Theory and Evidence, WP BC and Tel Aviv.
- Arnold T, P Hersch, JH Mulherin, and J Netter, 1998, Merging Markets, WP, Indiana U, Wichita State U, Penn State U, and U Georgia, (Jul).
- Bacidore JM, 1997, The Impact of Decimalization on Market Quality An Empirical Investigation of the Toronto Stock Exchange, WP, Indiana University Finance Department, (Feb).
- Ball, 1988, Estimation Bias Induced by Discrete Security Prices, JOF (2 copies).
- Ball and Torous and Tschoegl, 1985, The Degree of Price Resolution: The Case of the Gold Market, The Journal of Futures Markets.
- Barnea, 1974, Performance Evaluation of New York Stock Exchange Specialists, JFQA, Vol 9 No 4, (September), pp511-535 (see also Schwartz and Whitcomb's comment, and Barnea's reply - both JFQA December 1976).
- Barnea, 1976, Reply: Specialists' Performance and Serial Dependence of Stock Price Changes, JFQA, December, pp909-911.
- Bensten and Hagerman, 1974, Determinants of Bid Asked Spreads in the Over the Counter Market, JFE.
- Bernhardt D and E Hughson, 1996, Discrete Pricing and the Design of Dealership Markets, J Economic Theory 71, p148
- Bertsimas and Lo, 1996, Optimal Control of Execution Costs, WP MIT.
- Bessembinder, 1994, Bid Ask Spreads in the Interbank Foreign Exchange Markets, JFE.
- Biais, 1993, Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets, 48(1), (Mar), pp157-185.
- Biais and Hillion and Spatt, 1992, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, WP HEC and INSEAD.
- Black, 1992, Equilibrium Exchanges, WP Goldman Sachs.
- Blume and Stambaugh, 1983, Biases in Computed Returns: An Application of the Size Effect, JFE.
- Bollerslev and Melvin, 1994, Bid Ask Spreads and Volatility in the Foreign Exchange Market, J of International Economics.
- Branch and Freed, 1977, Bid Asked Spreads on the AMEX and the Big Board, JOF.
- Brealey and Myers, 1996, Chapter 13 – Corporate Financing and the Six Lessons of Market Efficiency, Book Extract from "Principles of Corporate Finance" by Brealey and Myers.
- Brown, 1988, Market Microstructure: Implications for Intraday Share Price Behaviour, WP U of Western Australia.
- Campbell and Lo and MacKinlay, 1993, Econometrics of Financial Markets: Chapter 3: Aspects of Market Microstructure (3 copies).
- Chen AS, 1997, The Square Compass Rose The Evidence from Taiwan, J Multinational Financial Management 7, p127.
- Cheng and Madhaven, 1994, In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets, WP 94-02 NYSE.
- Cho and Frees, 1988, Estimating the Volatility of Discrete Stock Prices, JOF.
- Chordia T and A Subrahmanyam, 1995, Market Making the Tick Size and Payment-for-Order Flow Theory and Evidence, JB 68(4), (Oct), p543.
- Christie and Schultz, 1994, Why Do NASDAQ Market Makers Avoid Odd Eighth Quotes?, JOF (plus WSJ and Boston Globe Clippings).
- Christie and Harris and Schultz, 1994, Why Did NASDAQ Market Makers Stop Avoiding Odd Eighth Quotes?, JOF.
- Cochrane and Shapiro and Tobin, 1995, Breaking Down the Barriers Separating Supply and Demand, NYSE WP 95-04.
- Cohen and Hawawini and Maier and Schwartz and Whitcomb, 1980, Implications of Microstructure Theory for Empirical Research on Stock Price Behavior, JOF.
- Copeland and Galai, 1983, Information Effects on the Bid Ask Spread, JOF.
- Crack, TF, 1997, Tinkering with Ticks: Choosing Minimum Price Variation for US, Equity Markets, WP MIT/IU (Feb), (2 copies).
- Crack TF, 1997, Autocorrelation and Predictability in Daily Individual Stock Returns, WP, Indiana University, (Jul)
- Crack and Ledoit, 1996, Robust Structure Without Predictability: The "Compass Rose" Pattern of the Stock Market, JOF. 2 copies.
- Demsetz, 1968, The Cost of Transacting, QJE.
- Easley D, NM Kiefer, M O'Hara, and JB Paperman, 1996, Liquidity Information and Infrequently Traded Stocks, JF 51(4), (Sep), p1405
- Easley and O'Hara, 1987, Price, Trade Size and Information in Securities Markets, JFE.
- Economist, 1993, Frontiers of Finance on the Edge, The Economist, (Oct 9)
- Eikeboom, 1992, The Dynamics of the Bid Ask Spread, WP MIT.
- Foster and Viswanathan, 1993, Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models, JOF.
- Garbade, 1982, Types of Market Structures, Excerpt from Book "Securities Markets."
- Garbade and Sekaran, 1981, Opening Prices on the New York Stock Exchange, J of Banking and Finance.
- Garman Mark B., 1976, Market Microstructure, JFE 3, p257
- Glosten, 1987, Components of the Bid Ask Spread and the Statistical Properties of Transactions Prices, JOF.
- Glosten and Harris, 1988, Estimating the Components of the Bid Ask Spread, JFE.
- Glosten and Milgrom, 1985, Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, JFE.
- Gottlieb and Kalay, 1985, Implications of the Discreteness of Observed Stock Prices, JOF (2 copies).
- Grossman and Miller, 1988, Liquidity and Market Structure, JOF.
- Hansch and Naik and Viswanathan, 1993, Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange, WP LBS and Duke.
- Hansch, Oliver, July 1997, Cross-Listing Effects: Evidence from the Time Series Behaviour of Dealer Inventories, WP Economics Dept University of London (ohansch@econ.bbk.ac.uk).
- Harris, 1986, How To Profit from Intraday Stock Returns, JPM.
- Harris, 1986, A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns, JFE.
- Harris, 1990, Estimation of Stock Price Variances and Serial Covariances from Discrete Observations, JFQA.
- Harris, 1990, Liquidity, Trading Rules and Electronic Trading Systems, NYU Monograph 1990-4.
- Harris, 1991, Stock Price Clustering and Discreteness, RFS (2 copies).
- Harris, 1991, Minimum Price Variations, Discrete Bid Ask Spreads and Quotation Sizes, WP USC.
- Harris LE, 1994, Minimum Price Variations Discrete Bid-Ask Spreads and Quotation Sizes, The Review of Financial Studies 7(1), p149 (2 copies).
- Harris L, 1996, Does a Large Minimum Price Variation Encourage Order Exposure?, WP, USC Department of Finance, (Oct 24).
- Harris L, 1997, Decimalization A Review of the Arguments and Evidence, WP, UCLA Department of Finance, (Apr 3).
- Hart, 1993, Decimal Stock Pricing: Dragging the Securities Industry into the Twenty First Century, Loyola of Los Angeles Law Review.
- Hasbrouck J and TSY Ho, 1987, Order Arrival Quote Behavior and the Return-Generating Process, JF 42(4), (Sep), p1035.
- Hasbrouck J and G Sofianos, 1993, The Trades of Market Makers An Empirical Analysis of NYSE Specialists, JF 48(5), (Dec), p1565
- Hausman and Lo and MacKinlay, 1991, An Ordered Probit Analysis of Transactions Prices, WP MIT.
- Hausman and Lo and MacKinlay, 1992, An Ordered Probit Analysis of Transactions Prices, JFE.
- Ho and Stoll, 1981, Optimal Dealer Pricing Under Transactions and Return Uncertainty, JFE.
- Ho and Stoll, 1983, The Dynamics of Dealership Markets Under Competition, JF 38(4), (Sep), p1053-1074.
- Holden, 1997, Indiana University, Market Microstructure Conference Papers.
  1. S Gopinath, 1997, Transactions Information and Volatility An Empirical Investigation Using High Frequency Data of NYSE and NASDAQ, WP, Indiana University Finance Department, (Mar 25)
  2. 1997, Discounts and Premiums in Closed-End Funds, WP, Indiana University Finance Department, (Mar 25)
  3. 1997, The Diversion of Order Flow on French Shares from CAC to SEAQ International A Field Study, WP, Indiana University Finance Department, (Mar 25)
  4. 1997, Implementing 'Zero-Investment' Strategies in the Presence of Short Selling Constraints, WP, Indiana University Finance Department, (Mar 25)
  5. 1997, Optimal Trading Strategy in Financial Markets under Stochastic Price Models, WP, Indiana University Finance Department, (Mar 25)
  6. 1997, Why Doesn't Decimal Trading Eliminate Payment for Order Flow and Internalization?, WP, Indiana University Finance Department, (Mar 25)
- Hong H and JC Stein, 1997, A Unified Theory of Underreaction Momentum Trading and Overreaction in Asset Markets, WP, MIT Economics and Management, (May)
- Hsia and Fuller and Kao, 1994, A Modified Method for Inferring the Effective Bid Ask Spread from Securities Returns, J of Business Finance and Accounting.
- Huang and Stoll, 1991, Major World Equity Markets: Current Structure and Prospects for Change, NYU Monograph 1991-3.
- Huang and Stoll, 1993, Market Microstructure and Stock Return Predictions, WP 91-26 Vanderbilt.
- Huang and Stoll, 1994, Market Microstructure and Stock Return Predictions, RFS.
- Ingram and Stone and Dugan, 1994, The Effect of Trading in Eighths on Security Return Behavior, J of Business Finance and Accounting.
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- Kadlec and McConnell, 1994, The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings, JF.
- Karpoff, 1987, The Relation Between Price Changes and Trading Volume: A Survey, JFQA.
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- Kramer, 1994, Noise Trading, Transactions Costs, and the Relationship of Stock Returns and Trading Volume, IMF WP/94/126.
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- Lease and Masulis and Page, 1991, "An Investigation of Market Microstructure Impacts on Event Study Returns," Journal of Finance, 46(4), September, pp1523-1536.
- Lee. 1993, Market Integration and Price Execution for NYSE Listed Securities, JOF.
- Lee and Mucklow and Ready, 1993, Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis, RFS.
- Lee and Ready, 1991, Inferring Trade Direction from Intraday Data, JOF.
- Lindsay, 1994, Market Making and Directed Order Flow, WP Yale.
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- Madhaven and Sofianos, 1994, Auction and Dealer Markets: An Empirical Analysis of NYSE Specialist Tradin, WP 94-01 NYSE.
- Manaster and Mann, 1996, Life in the Pits: Competitive Market Making and Inventory Control, Review of Financial Studies, Vol 9 No 3, (Fall), pp953-975.
- Marsh and Rosenfeld, 1986, Non-Trading, Market Making, and Estimates of Stock Price Volatility, JFE.
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- Morse D, 1980, Asymmetrical Information in Securities Markets and Trading Volume, JFQA 15(5), (Dec), p1129
- Muscarella CJ and MR Vetsuypens, 1996, Stock Splits Signaling or Liquidity? The Case of ADR Solo-Splits, JFE 42, p3
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- Seligman, 1984, The Future of the National Market System, The Journal of Corporation Law.
- Sofianos, 1995, Specialist Gross Trading Revenues at the New York Stock Exchange, WP 95-01.
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- Szpiro, George G., 1998, Tick Size the Compass Rose and Market Nanostructure, JBF, 22, 1559-1569.
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- Stoll, 1985, The Stock Exchange Specialist System: An Economic Analysis, NYU Monograph Series 1985-2.
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MARKOWITZ EFFICIENCY AND PORTFOLIO ANALYSIS
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MOON
- Alonso Y, 1993, Geophysical Variables and Behavior LXXII Barometric Pressure Lunar Cycle and Traffic Accidents, Perceptual and Motor Skills 77(2), (Oct), p371
- Cass D and K Shell, 1983, Do Sunspots Matter?, J Political Economy 91(2), p193
- Chapman LJ, 1961, A Search for Lunacy, J Nervous and Mental Disease 132(2), (Feb), p171
- Cyr JJ and RA Kaplin, 1987, Geophysical Variables and Behavior: XLVI. The Lunar-Lunacy Relationship A Poorly Evaluated Hypothesis, Psychological Reports (PR) 61(2), (Oct), p391
- DeCastro JM and SM Pearcey, 1995, Lunar Rhythms of the Meal and Alcohol Intake of Humans, Physiology and Behavior 57(3), p439
- Gutierrez-Garcia JM and F Tusell, 1997, Suicides and the Lunar Cycle, PR 80, (Feb), p243
- Kelley, IW, and J Rotton, 1983, Geophysical Variables and Behavior XIII Comment on "Lunar Phase and Accident Injuries" The Dark Side of the Moon and Lunar Research, Perceptual and Motor Skills 57(1), (Dec), p919
- Rotton J, IW Kelly, and R Culver, The Moon was Full and Nothing Happened, BE from "The Outer Edge Classic Investigations of the Paranormal" by Nickell J, B Karr, and T Genoni
- Rotton J and IW Kelly, 1985, Much Ado About the Full Moon A Meta-Analysis of Lunar-Lunacy Research, Psychological Bulletin 97(2), (Mar), p286
- Rotton J and IW Kelley, 1985, A Scale for Assessing Belief in Lunar Effects Reliability and Concurrent Validity, PR 57(1), (Aug), p239
- Rotton J, Kelly IW, and Elortegui P, 1986, Assessing Belief in Lunar Effects Known-Groups Validation, PR 59(1), (Aug), p171
- Rotton J and M. Rosenberg, 1985, Astrological Forecasts and the Commodity Market Random Walks As a Source of Illusory Correlation, contact Rotton at Florida International University.
- Templer DI and Veleber DM, 1980, The Moon and Madness A Comprehensive Perspective, J Clinical Psychology 36(4), (Oct), p865.
- Templer DI, DM Veleber, and RK Brooner, 1982, Geophysical Variables and Behavior VI Lunar Phase and Accident Injuries A Difference Between Night and Day, Perceptual and Motor Skills 55(1), (Aug), p280
- Templer DI, RK Brooner, and MD Corgiat, 1983, Geophysical Variables and Behavior XIV Lunar Phase and Crime Fact or Artifact, Perceptual and Motor Skills 57(1), (Dec), p993
- Vance DE, 1995, Belief in Lunar Effects on Human Behavior, PR 76, (Feb), p32
- Wilson JE and JJ Tobacyk, 1990, Lunar Phases and Crisis Center Telephone Calls, The J Social Psychology 130 (1), (Feb), p47
N
NOISE AND INFORMATION
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- Black, 1986, Noise, JOF.
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O
OPTIONS, DERIVATIVES, HEDGING AND FINANCIAL ENGINEERING
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- Louis Bachelier, 1937, Les Lois Des Grands Nmbres Du Calcul Des Probabilities, Paris, Gauthier-Villars, 7pp preface+36pp. Yes I have the original paper in French and I am happy to let you have a copy.
- Louis Bachelier, 1938, La Speculation Et Le Calcul Des Probabilities, Paris, Gauthier-Villars, 7pp preface+49pp. Yes I have the original paper in French and I am happy to let you have a copy.
- Louis Bachelier, 1939, Les Nouvelles Methodes Du Calcul Des Probabilities, Paris, Gauthier-Villars, 8pp preface+69pp. Yes I have the original paper in French and I am happy to let you have a copy.
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- Black and Cox, 1976, Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, JOF.
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- Brennan and Schwartz, 1980, Analyzing Convertible Bonds, JFQA.
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- Cortazar and Schwartz, 1992, Real Assets as Compound Options, WP UCLA.
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- Cox and Ross and Rubinstein, 1979, Option Pricing: A Simplified Approach, JFE.
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- Crack TF, 1998, First Passage Time for Log Normal for Marc Rakoto at IndoSuez Bank, Handwritten Notes, (Apr).
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- De La Vega, 1688, Confusion de Confusiones, Book Extract from Merton's HBS Course.
- Derman and Ergener and Kani, 1994, Static Options Replication, Goldman Sachs Quantitative Research Notes.
- Derman and Kani, 1993, The Ins and Outs of Barrier Options, Goldman Sachs Quantitative Research Notes.
- Derman and Kani, 1994, The Volatility Smile and its Implied Tree, Goldman Sachs Quantitative Research Notes.
- Dixit and Pindyck, 1995, The Options Approach to Capital Investment, Harvard Business Review.
- Duffie D and J Pan, 1997, An Overview of Value at Risk, J of Derivatives, (Spring), p7.
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- Fama and Schwert, 1977, Asset Returns and Inflation, JFE.
- Finnerty, 1988, Financial Engineering in Corporate Finance: An Overview, Financial Management (2 copies) (see also next Finnerty paper that updates and revises this one).
- Finnerty, 1988+, An Overview of Corporate Securities Innovation (incl. Inverse Floaters and CMO's), J of Applied Corporate Finance.
- Fischer, 1978, Call Option Pricing When the Exercise Price is Uncertain, and the Valuation of Index Bonds (incl. exchange options cf Margrabe), JOF.
- Fraser, 1993, What it Takes to Excel in Exotics, Global Finance Vol 7 No 3 (March), pp44-49.
- French and Martin, 1988, The Measurement of Option Mispricing, J of Banking and Finance.
- Galai and Masulis, 1976, The Option Pricing Model and the Risk Factor of Stock, JFE.
- Garman and Kohlhagen, 1983, Foreign Currency Option Values, Journal of International Money and Finance (see also Grabbe on same topic).
- Gerber HU and ESW Shiu, 1988, Non-uniqueness of Option Prices, Insurance: Mathematics and Economics 7, p67
- Gerber HU and ESW Shiu, 1994, From Perpetual Strangles to Russian Options, Insurance Mathematics and Economics 15, (Dec), p121
- Geske, 1977, The Valuation of Corporate Liabilities as Compound Options, JFQA.
- Geske, 1978, The pricing of options with stochastic dividend yield, JF, 33(2), 617-625.
- Geske, 1979, The Valuation of Compound Options, JFE.
- Geske, 1979, A Note on An Analytical Valuation Formula for Unprotected Call Options on Stocks with Known Dividends, JFE,
- Geske, 1981, Comment's on Whaley's Note, JFE.
- Goldman and Sosin and Gato, 1979, Path Dependent Options: "Buy at the Low, Sell at the High," JOF.
- Goldman and Sosin and Shepp, 1979, On Contingent Claims that Insure Ex- post Optimal Stock Market Timing, JOF.
- Goldstein, 1982, Foreign Currency Futures: Some Further Aspects, Economic Perspectives (Fed. Res. Board of Chicago).
- Grabbe, 1983, The Pricing of Call and Put Options on Foreign Exchange, Journal of International Money and Finance (see also Garman and Kohlhagen on same topic).
- Grossman and Van Huyck, 1988, Sovereign Debt as a Contingent Claim: Excusable Default, Repudiation, and Reputation, AER.
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- Hart and Ross, 1994, Striking Continuity (incl. soft barrier knock ins and knock outs, and hedging near maturity), RISK.
- (IB) Harvey and Whaley, 1991, S&P 100 Index Option Volatility, JOF, Vol 46 No 4, (September), pp1551-1561.
- Hietala and Jokivuolle and Koskinen, 1994, Short Selling Restrictions, Strategic Stock Holdings and Index Futures Markets in Finland.
- Heynen and Kat, 1994, Crossing Barriers (incl. outside barrier options, i.e. linked to barriers on the price of an asset other than the underlying), RISK (2 copies).
- Hong H, 1997, A Model of Returns and Trading In Futures Markets, WP, MIT Economics Department, (Jul 9)
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- Hull and White, 1990, Valuing Derivative Securities Using the Explicit Finite Difference Method, JFQA (V 25, #1, March), p87.
- **Hull and White, 1993, Efficient Procedures for Valuing European and American Path Dependent Options, J of Derivatives.
- Hunter and Stowe, 1992, FYI Path Dependent Options: Valuation and Applications (incl. simple review of Monte Carlo), Economic Review (Fed. Res. Bank of Atlanta) (2 copies).
- Ingersoll, 1976, A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent Claims Analysis, JFE.
- Ingersoll, 1977, A Contingent Claims Valuation of Convertible Securities, JFE (see also Asquith).
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- Jarrow and O'Hara, 1989, Primes and Scores: An Essay on Market Imperfections, JOF (plus CRSP FAX on Americus Trust Primes and Scores).
- Jarrow R and A Rudd, 1982, Approximate Option Valuation for Arbitrary Stochastic Processes, JFE 10(3), (Nov), p347.
- Jarrow R and A Rudd, 1983, Tests of an Approximate Option-Valuation Formula, BE from "Option Pricing" by Jarrow and Rudd
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- Jones and Mason, 1980, Valuation of Loan Guarantees, J of Banking and Finance.
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- Jones and Mason and Rosenfeld, 198?, Contingent Claims Valuation of Corporate Liabilities: Theory and Empirical Tests, Book Extract.
- Kabala and Langetieg and Rasakhoo and Weinstein, 1984, Estimation of Implicit Bankruptcy Costs, JOF.
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- Kritzman, 1991, What Practitioners Need to Know About Estimating Volatility: Part 1, FAJ.
- Kritzman, 1991, What Practitioners Need to Know About Estimating Volatility: Part 2 (incl. ARCH), FAJ.
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- Lo, 1987, Semi-Parametric Upper Bounds for Option Prices and Expected Payoffs, JFE.
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- Mandelbrot, Benoit, 1989, Louis Bachelier (3p biography), Appearing in The New Palgrave: A Dictionary of Economics, MacMillan Press, London.
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- Mehran and Homaifar, 1993, Analytics of Duration and Convexity for Bonds with Embedded Options: The Case of Convertibles, J of Business Finance and Accounting.
- Melino A and SM Turnbull, 1990, Pricing Foreign Currency Options with Stochastic Volatility, J Econometrics 45, p239
- Merton, 1966, The "Motionless" Motion of Swift's Flying Island (Robert Merton's First Publication - Not Finance), Journal of the History of Ideas.
- Merton, 1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model, JET.
- Merton, 1973, Theory of Rational Option Pricing, Bell J of Economics and Management Science.
- Merton, 1974, On The Pricing of Corporate Debt: The Risk Structure of Interest Rates, JOF.
- Merton, 1975, Theory of Finance from the Perspective of Continuous Time, JFQA.
- Merton, 1976, The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns, JOF.
- Merton, 1977, On the Pricing of Contingent Claims and the Modigliani Miller Theorem, JFE.
- Merton, 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory, J of Banking and Finance.
- Merton, 1981, On Market Timing and Investment Performance 1. An Equilibrium Theory for Market Forecasts (see also Cumby and Modest).
- Murphy, 1994, When Options Price Theory Meets the Volatility Smile, Euromoney (March).
- Myers, 1977, Determinants of Corporate Borrowing, JFE.
- Nandi S, 1998, How Important is the Correlation Between Returns and Volatility in a Stochastic Volatility Model? Empirical Evidence from Pricing and Hedging in the S&P 500 Index Options Market, JBF 22, p589.
- Neuberger, 1991, Option Replication with Transaction Costs - An Exact Solution for the Pure Jump Process, WP LBS.
- O'Brien and Selby, 1986, Option Pricing Theory and Asset Expectations: A Review and Discussion in Tribute to James Boness, The Financial Review, Vol 21 No. 4, (November), pp399-418.
- Ogden, 1987, Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent Claims Model, J of Financial Research.
- Ogden, 1988, A Rationale for the Sinking Fund Provision in a Quasicompetitive Corporate Bond Market, J of Business Research.
- Omberg, 1988, Efficient Discrete Time Jump Process Models in Option Pricing, JFQA.
- Page and Sanders, 1986, A General Derivation of the Jump Process Option Pricing Formula, JFQA.
- Parkinson, 1977, Option Pricing: The American Put, JB.
- Parkinson, 1980, The Extreme Value Method for Estimating the Variance of the Rate of Return, JB.
- Patell and Wolfson, 1979, Anticipated Information Releases Reflected in Call Option Prices, J of Accounting and Economics.
- Potters M, R Cont, and JP Bouchaud, 1998, Financial Markets as Adaptive Systems, Geophysics Letters 41(3), (Feb), p239.
- Pozdena and Iben, 1983, Pricing Debt Instruments: The Options Approach, Federal Res. Bank of San Francisco (Summer 1983, No. 3)
- Ramaswamy and Sundaresan, 1986, The Valuation of Floating Rate Instruments: Theory and Evidence, JFE.
- Reback, 1975, Risk and Return in CBOE and AMEX Option Trading, FAJ.
- Rendleman and Bartter, 1979, Two State Option Pricing (incl. Binomial Option Pricing), JOF.
- Rendleman and O'Brian, 1990, The Effects of Volatility Misestimation on Option Replication Portfolio Insurance, FAJ.
- Reiter, 1992, Economic Measures of Unfunded Pension Obligations, Quarterly Review of Economics and Finance.
- Richmond, Peter, 1997, The Torment of Joseph Jett, GQ, July, pp158-169.
- Rindell and Sandas, 1991, An Empirical Examination of the Pricing of European Bond Options, J of Banking and Finance (HJM,GMM,BS).
- Ritchken and Kuo, 1988, Option Bounds with Finite Revision Probabilities, JOF.
- Ritchken and Sankarasubramanian and Vijh, 1993, The Valuation of Path Dependent Contracts on the Average, Management Science.
- Robins and Schacter, 1994, An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta Based Techniques, Management Science.
- Roll, 1977, An Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends, JFE.
- Romano M and T Nizar, 1997, Contingent Claims and Market Completeness in a Stochastic Volatility Model, Mathematical Finance 7(4), (Oct), p399.
- Ronn and Bliss, 1994, A Nonstationary Trinomial Model for the Valuation of Options on Treasury Bond Futures Contracts, J of Futures Markets.
- Ross, 1976, Options and Efficiency, QJE.
- Rubinstein, 1976, The Valuation of Uncertain Income Streams and the Pricing of Options, Bell Journal of Economics.
- Rubinstein, 1991, Asian Options, Book Extract.
- Rubinstein, 1994, Implied Binomial Trees, WP UC Berkeley.
- Samuelson, 1963, Risk and Uncertainty: A Fallacy of Large Numbers, Scientia (98, pp108-113).
- Samuelson, 1965, Rational Theory of Warrant Pricing, Industrial Management Review.
- Samuelson and Merton, 1969, A Complete Model of Warrant Pricing that Maximises Utility, Industrial Management Review (Vol 10 #2).
- Samuelson, 1973, Mathematics of Speculative Price, SIAM Review.
- Schlesinger, Donald, "Options Alphabet Soup: Is it all Greek to You," Morgan Stanley Quant report.
- Schwartz, 1977, The Valuation of Warrants: Implementing a New Approach, JFE.
- Schwartz and Torous, 1988, Prepayment and the Valuation of Mortgage Backed Securities, WP UCLA.
- Schwartz and Van Order, 1987, Valuing the Implicit Guarantee of the Federal National Mortgage Association (incl. Fannie Mae), WP UCLA.
- Scott LO, 1987, Option Pricing when the Variance Changes Randomly Theory Estimation and an Application, JFQA 22(4), (Dec).
- Scott LO, 1997, Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates Applications of Fourier Inversion Methods, Mathematical Finance 7(4), (Oct), p413.
- Selby and Franks and Karki, 1988, Loan Guarantees, Wealth Transfers and Incentives to Invest, J of Industrial Economics.
- Selby and Hodges, 1987, On the Evaluation of Compound Options, Management Science.
- Sharpe, 1972, Comment on Black and Schole's 1972 Paper, JOF.
- Sharpe, 1978, Warrants, Options and Convertible Securities (incl. Binomial Option Pricing and the Option Pricing Nomogram), (Chp 14 of his 1978 Text "Investments").
- Sharpe, 1993, Nuclear Financial Economics, WP 1275 Stanford.
- Sick, 1994, Real Options, WP F45 Yale.
- Smith, 1976, Option Pricing: A Review (incl. Bachelier), JFE.
- Smith and Smithson and Wakeman, 1988, The Market for Interest Rate Swaps, Financial Management.
- Snyder, 1969, Alternative Forms of Options (incl Barrier Options and Knock Outs), FAJ.
- Standard and Poors, 1995, SPDRS: Description, Discussion and Trading Specifications, S&P Book Extract.
- Spiders, SPDRS, AMEX and WSJ and WEB infor on SPDRS.
- Stein J, 1989, Overreactions in the Options Market, JF 44(4), (Sep), p1011 - 2 copies.
- Stutzer M, 1995, A Bayesian Approach to Diagnosis of Asset Pricing Models, JE 68, p367.
- Stutzer M, 1996, A Simple Nonparametric Approach to Derivative Security Valuation, JF 51(5), (Dec), p1633.
- Sullivan and Weithers, 1991, Louis Bachelier: The Father of Modern Option Pricing Theory, J of Economic Education.
- Taylor, Stephen J., 1999, Markov Processes and the Distribution of volatility: A comparison of discrete and continuous specifications, WP Dept of Acct and Fin Univ Lancaster. S.Taylor@lancaster.ac.uk
- Thorp E, 1973, Extensions of the Black-Scholes Options Model, Proceeding of the 39th Session of the International Statistical Institute 45(Book 2), p522. (incl. restrictions on short sales proceeds, effect of a lump sum dividend, and conditions for early exercise of American calls), Proceedings of the 39th Session of the International Statistical Institute (appearing in the Bulletin of the International Statistical Institute), Volume XLV Book 2, pp522-529.
- Tian, 1993, A Modified Lattice Approach to Option Pricing, The Journal of Futures Markets.
- Titman and Torous, 1989, Valuing Commercial Mortgages: An Empirical Investigation of the Contingent Claims Approach to Pricing Risky Debt, JOF.
- Trippi and Brill and Harriff, 1992, Pricing Options on an Asset with Bernouilli Jump Diffusion Returns, The Financial Review.
- Tucker, 1991, Comparing Present Value Cost Differentials Between Fixed and Adjustable Rate Loans: A Mortgage Simulation, The Financial Review.
- Van Horne, 1969, Warrant Valuation in Relation to Volatility and Opportunity Costs, The Industrial Management Review.
- Webb, 1983, Contingent Claims, Personal Loans and the Irrelevance of Corporate Financial Structure, The Economic Journal.
- Whaley, 1981, On the Valuation of American Call Options on Stocks with Known Dividends, JFE.
- Wiggins JB, 1987, Option Values under Stochastic Volatility Theory and Empirical Estimates, JFE 19(2), (Dec), p351.
- Wolf and Castelino and Francis, 1987, Hedging Mispriced Options, The Journal of Futures Markets.
P
PREDICTION
- Ali and Klein and Rosenfeld, 1992, Analysts' Use of Information About Permanent and Transitory Earnings Components in Forecasting Annual EPS, The Accounting Review.
- Arnott, ?, Forecasting Factor Returns: An Intriguing Possibility, Barra?
- Cumby and Modest, 1987, Testing for Market Timing Ability: A Framework for Forecast Evaluation, JFE.
- DeBondt, 1991, What do Economists Know About the Stock Market?, JPM.
- Ferson and Harvey, 1991, Sources of Predictability in Portfolio Returns, FAJ.
- Jones, 1993, Another Look at Time Varying Risk and Return in a Long Horizon Contrarian Strategy, JFE, Vol 33 No 1, (February), pp119-144.
- Kaen FR and RE Rosenman, 1986, Predictable Behavior in Financial Markets Some Evidence in Support of Heiners Hypothesis, AER, 76(1), 212-220.
- Kandel S and RF Stambaugh, 1996, On the Predictability of Stock Returns An Asset-Allocation Perspective, JF 51(2), (Jun), p385
- Kaplan and Urwitz, 1979, Statistical Models of Bond Ratings: A Methodological Inquiry, JB.
- Lakonishok and Shleifer and Vishny, 1993, Contrarian Investment, Extrapolation, and Risk, WP UIUC.
- Lo and MacKinlay, 1992, Maximizing Predictability in the Stock and Bond Markets, WP MIT.
- Roll, 1984, Orange Juice and the Weather, AER.
- White, 1989, Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models, JASA.
PRESENTED PAPERS (ASSORTED)
PSYCHOLOGY OF FINANCE
- Kahneman and Tversky, 1982, The Psychology of Preferences, Scientific American 246, 160-173 (2 copies).
- Odean T, 1997, Are Investors Reluctant to Realize their Losses?, WP, UC-Davis, (Dec).
- Tversky and Kahneman, 1974, Judgement under Uncertainty: Heuristics and Biases, Science (vol 185, p1124-1131).
- Tversky and Kahneman, 1981, The Framing of Decisions and the Psychology of Choice, Science (vol 211, p453-458).
Q

R
RESEARCH METHODS AND DIRECTIONS IN ACCOUNTING AND FINANCE
- Anon, ?, Basic Concepts and Empirical Verification, Extracts from Book (Otago).
- Baumol, 1991, Toward a Newer Economics: The Future Still Lies Ahead!, The Economic Journal.
- Beaver, ?, The Behavior of Security Prices and Its Implications for Accounting Research Methods, Extract from Book (Otago).
- Bem, 1980's, Writing the Empirical Journal Article, Book Extract (The Compleat Academic?), pp171-201.
- Beranek, 1981, Research Directions in Finance, Quarterly Review of Economics and Business.
- Burke, John L., 1990, The Research Report, Research Methods Class Notes FINC456.
- Crack, 1990, Research Methods Proposal (Daily Returns Anomalies), FINC456 Research Methods Course Proposal.
- Kuhn, 1957, The Copernican Revolution: Planetary Astronomy in the Development of Western Thought, Book (Harvard U. Press).
- Long, 1960, Problem Defining - A Prelude to Problem Solving, Chartered Property and Casualty Underwriters Journal, 13(2), pp97-115.
- McCloskey, ?, Economical Writing, Extract from Book (Otago).
- Poterba, 1992, Getting Started on Research About the Stock Market, IAP Class notes.
- Remenyi, 1979, Core Demi-Core Interaction: Toward a General Theory of Disciplinary and Subdisciplinary Growth, History of Political Economy.
- Rosenberg, 1982, The Current State and Future of Investment Research, FAJ.
- Sterling, ?, Research Methods, Extract from Book (Otago).
- Sterling, 1988, The Subject Matters of Accounting, WP U of Utah.
- Volkema, 1983, Problem Formulation in Planning and Design, Management Science.
- Wills, Gordon, 1973, The Doctoral Thesis: A Guide, Cranfield School of Management (2 copies).
S
SHORT SELLING
- Aitken MJ, A Frino, MS AcCorry, and PL Swain, Short Sales Are Almost Instantaneously Bad News Evidence from the Australian Stock Exchange, JF 53(6), (Dec), p2205
- Alexander, 1991, Short Selling and Efficient Sets, WP U of Minnesota.
- Alexander GJ, 1993, Short Selling and Efficient Sets, JF 48(4), (Sep)
- Alexander GJ, and Mark Peterson, 1999, Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule, J Financial Intermediation (JFI) 8, (Jan/Apr), p90
- Angel JJ, 1997, Short Selling on the NYSE, WP, Georgetown University, (Oct 27)
- Asquith and Meulbroek, 1993, Short Sales: The Long of It or An Empirical, Investigation of Short Interest, WP MIT.
- Asquith P and LK Meulbroek, 1995, An Empirical Investigation of Short Interest, WP, MIT and Harvard University, Finance Department, (Sep 10), plus two newspaper clipping.
- Brent A, D Morris, and EK Stice, 1990, Short Interest Explanations and Tests, J Financial and Quantitative Analysis (JFQA) 25(2), (Jun)
- Dechow PM, AP Hutton, L Meulbroek, RG Sloan, 1999, Short-Sellers Fundamental Analysis and Stock Returns, WP, U Michigan and Harvard University, (May)
- Diamond DW and RE Verrecchia, 1987, Constraints on Short-Selling and Asset Price Adjustment to Private Information, J Financial Economics (JFE) 18(2), (Jun), p277
- Figlewski S, 1981, The Informational Effects of Restrictions on Short Sales Some Empirical Evidence, JFQA 16(4), (Nov)
- Figlewski S and GP Webb, 1993, Options Short Sales and Market Completeness, JF 48(2), (Jun), p761
- Graham JE, JC Hughen, and CG McDonald, 1999, The Determinants of Short Sales Activity, WP, UNC and U Missouri, Finance Departments, (Sep)
- Klein P, 1998, The Capital Gain Lock-in Effect with Short Sales Constraints, J Banking & Finance 22, (Jun), p1533 - 3 copies.
- Macaulay FR and D Durand, 1951, Short Selling on the NYSE, The Twentieth Century Fund.
- Raab and Schwager, 1993, Spanning with Short Selling Restrictions, JOF.
- Safieddine A and WJ Wilhelm Jr., 1996, An Empirical Investigation of Short Selling Activity Prior to Seasoned Equity Offerings, JF 51(2), (Jun), p729
- Senchak and Starks, Short-Sale Restrictions and Market Reaction to Short-Interest Announcements, WP March 1991.
- Senchack AJ and LT Starks, 1993, Short-Sale Restrictions and Market Reaction to Short-Interest Announcements, JFQA 28(2), (Jun), p177
- Tucker LE and MT Watson, 1999, Short Sales Against the Box After the TRA '97, The Tax Advisor, (Apr)
- Worley, David C., 1990, The regulation of short sales: The long and short of it, Brooklyn Law Review, 55(4), 1255-1299.
STOCK RETURNS: THE STATISTICAL DISTRIBUTION
- Alexander, Sidney S., 1964, Price Movements in Speculative Markets: Trends or Random Walks Number 2, Industrial Management Review, Vol 5 No 2 (Spring), pp25-46 (se also the IMR 1961 paper quoted above in Cootner's book).
- Ball and Kothari, 1989, Nonstationary Expected Returns, JFE, Vol 25 No 1, (November), pp51-74.
- Black, 1976, Studies of Stock Price Volatility Changes, American Statistical Association: Proceedings of the Business and Economic Statistics Section.
- Blattberg and Gonedes, 1974, A comparison of stable and studnt distributions as statistical models for stock prices, JB, 47(2), 244-280.
- Brock W, J Lakonishok, and B LeBaron, 1992, Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, JF 47(5), (Dec), p1731.
- Robert Brown, 1828, A Brief Account of Microscopical Observations Made in the Months of June, July, and August, 1827, on the Particles Contained in the Pollen of Plants; and on the General Existence of Active Molecules in Organic and Inorganic Bodies (incl. "Brownian Movement," now called "Brownian Motion"), The London and Edinburgh Philosophical Magazine and Annals of Philosophy, Vol 4 No 21, pp161-173 (incomplete without supplement following). Yes I have this paper and I am happy to let you have a copy.
- Robert Brown, 1829, Supplement of Additional Comments to the Article of 1828, this appeared along with the previous article in the Miscellaneous Botanical Works of Robert Brown, London, 1866, Volume 1, pp479-486 (here is a WP5.1 version of "Additional Remarks on Active Molecules").
- Cambell and Grossman and Wang, 1993, Trading Volume and Serial Correlation in Stock Returns, QJE, Vol 108 No 4, pp905-939.
- Christie, 1982, The Stochastic Behavior of Common Stock Variances, JFE.
- Clark, 1973, "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, 41(1), pp135-155.
- Cowles, 1960, "A Revision of Previous Conclusions Regarding Stock Price Behavior," Econometrica, 28(1), pp909-915.
- Crack, 1992, Literature Review on Statistical Properties of Stock Prices, 15.442 PS1.
- Cutler and Poterba and Summers, 1989, What Moves Stock Prices?, JPM.
- Fama, Eugene F., "The Behaviour of Stock Market Prices", Journal of Business, Vol. 38, (1965), pp34-105.
- Fama and Blume, 1966, Filter Rules and Stock Market Trading, JOB, Vol 39 No 1 Part 2, pp226-241 (see also summary in Fama's 1970 Efficient Markets paper).
- Fama and French, 1988, Permanent and Temporary Components of Stock Prices, JPE, Vol 96 No 2, (April), pp246-273.
- Fama and Roll, 1968, Some Properties of Symmetric Stable Distributions, JASA.
- Fama and Roll, 1971, Parameter Estimates for Symmetric Stable Distributions, JASA.
- Fielitz, 1971, Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes, JFQA.
- Fielitz and Rozelle, 1983, "Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns," JASA, 78(381), pp28-36.
- Fielitz and Smith, 1972, Asymmetric Stable Distributions of Stock Price Changes, JASA.
- French and Roll, 1986, Stock Return Variances, JFE 17, (2 copies).
- French and Schwert and Stambaugh, 1987, Expected Stock Returns and Volatility, JFE.
- Goldman and Beja, 1979, Market Prices versus Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist, JOF, Vol 34 No 3, (June), pp595-607.
- Harris L, 1987, Transaction Data Tests of the Mixture of Distributions Hypothesis, JFQA 22(2), (Jun), p127-141.
- Jegadeesh, 1990, Evidence of Predictable Behavior of Security Returns, JOF, Vol 45 No 3, (July), pp881-898.
- Kendall, 1953, An Analysis of Economic Time Series - Part 1: Prices, J or the Royal Statistical Society.
- LeRoy, 1973, Risk Aversion and the Martingale Property of Stock Prices, IER.
- Lo, 1991, Long Term Memory in Stock Market Prices, WP MIT.
- Lo, 1994, A Non-Random Walk Down Wall Street, Weiner Symposium Handout (2 copies).
- Lo AW and AC MacKinlay, 1988, Stock Market Prices Do Not Follow Random Walks Evidence from a Simple Specification Test, RFS 1(1), (Spring), p41.
- Madan and Seneta, 1990, The Variance Gamma (V.G.) Model for Share Market Returns, JB.
- Mandelbrot, 1960, The Pareto Levy Law and the Distribution of Income, IER.
- Mandelbrot, 1966, Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models, JOB, Vol 39 No 1 Part 2, pp242-255.
- Mandelbrot, 1973, Comments on Peter Clark's "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica.
- Mandelbrot and Taylor, 1967, On the Distribution of Stock Price Differences, Operations Research.
- Officer, 1972, The Distribution of Stock Returns, JASA, 67(340), pp807-812.
- Poterba and Summers, 1986, The Persistence of Volatility and Stock Market Fluctuations, AER.
- Poterba and Summers, 1988, Mean Reversion in Stock Prices: Evidence and Implications, JFE (2 copies).
- Praetz, 1972, The Distribution of Share Price Changes, Journal of Business, 45, pp49-55.
- Press, 1967, A Compound Events Model for Security Prices, Journal of Business, 40, pp317-335.
- Richardson and Stock, 1989, Drawing Inferences from Statistics Based on Multiyear Asset Returns, JFE.
- Schwert, 1990, Stock Market Volatility (incl. crash of 1987 and mini crash of 1989, and circuit breakers), FAJ.
- Stock, 1987, Measuring Business Cycle Time (incl. Time Deformation), JPE.
- Stock, 1988, Estimating Continuous Time Processes Subject to Time Deformation, JASA.
- Tauchen and Pitts, 1983, The Price Variability Volume Relationship on Speculative Markets, Econometrica.
- Teichmoeller, 1971, A Note on the Distribution of Stock Price Changes, JASA.
- Tucker, 1992, A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns, J of Bus and Economic Statistics.
- Turner and Weigel, 1992, Daily Stock Market Volatility: 1928-1989, Management Science.
- Westerfield, 1977, The Distribution of Common Stock Price Changes: An Application of Transaction Time and subordinated Stochastic Models, JFQA.
- Working, 1934, A Random-Difference Series for Use in the Analysis of Time Series.
- Working, 1960, Note on the Correlation of First Differences of Averages in a Random Chain, Econometrica.
- Zhou, Bin, 1996, High-Frequency Data and Volatility in Foreign-Exchange Rates, JBES, Vol 14 No 1, (January), pp45-52.
STOCK RETURNS: ANOMALIES AND REGULARITIES
- Ball R, SP Kothari, and CE Wasley, 1995, Can We Implement Research on Stock Trading Rules? The Case of Short Term Contrarian Strategies, JPM, (Winter), p54
- Banz, Rolf W., 1981, The relationship between return and market value of common stocks, JFE, Vol 9, pp3-18.
- Basu, 1977, Investment Performance of Common Stocks in Relation to their Price Earnings Ratios: A Test of the Efficient Market Hypothesis, JOF.
- Basu, 1983, The Relationship Between Earnings' Yield, Market Value and Return for NYSE Common Stocks, JFE.
- Board and Sutcliffe, 1988, The Weekend Effect in UK Stock Market Returns, J of Business Finance and Accounting.
- Bowman, 1988, The Importance of the Market Value to Book Value Ratio in Investment Analysis, WP U of Auckland.
- Chan KC, 1988, On the Contrarian Investment Strategy, J Business 61(2), (Apr), p147.
- Chang, 1988, A Monthly Effect in Commodity Price Changes: A Note, J of Futures Markets.
- Chang and Kim, 1988, Day of the Week Effects and Commodity Price Changes, J of Futures Markets.
- Condoyanni and O'Hanlon and Ward, 1987, Day of the Week Effects on Stock Returns: International Evidence, J of Business Finance and Accounting.
- Connolly, 1989, An Examination of the Robustness of the Weekend Effect, JFQA.
- Constantinides, 1990, Habit Formation: A Resolution of the Equity Premium Puzzle, JPE.
- Cook and Rozeff, 1984, Size and Earnings/Price Ratio Anomalies: One Effect or Two?, JFQA.
- Cornell, 1985, The Weekly Pattern in Stock Returns: Cash versus Futures: A Note, JOF.
- Cross, 1973, The Behavior of Stock Prices on Fridays and Mondays, FAJ.
- DeBondt, Werner F.M., and Richard Thaler, 1985, "Does the Stock Market Overreact?," JOF, Vol 40 No 3 (July), pp793-808.
- Dimson (ed.), 1988, Stock Market Anomalies, 2 Book Extracts plus JOF Book Review.
- Dyl and Martin, 1985, Weekend Effects on Stock Returns: A Comment, JOF.
- Eisemann and Timme, 1984, Intraweek Seasonality in the Federal Funds Market (incl. Fed Funds), J of Financial Research.
- Frankel and Lee, 1995, Accounting Valuation, Market Expectation, and the Book to Market Effect, WP 95-03 NYSE.
- French, 1984, The Weekend Effect on the Distribution of Stock Prices: Implications for Option Pricing, JFE.
- French, 1980, Stock Returns and the Weekend Effect, JFE.
- Gibbons and Hess, 1981, Day of the Week Effects and Asset Returns, JB.
- Gillan, 1991, An Investigation into CAPM Anomalies in New Zealand: The Small Firm and Price-Earnings Ratio Effects, WP Otago U.
- Goodman and Peavy, 1983, Industry Relative Price Earnings Ratios as Indicators of Investment Returns, FAJ.
- Gultekin and Gultekin, 1983, Stock Market Seasonality: International Evidence, JFE.
- Gultekin and Gultekin, 1987, Stock Return Anomalies and the Tests of the APT, JOF.
- Harris, 1989, A Day-End Transaction Price Anomaly, JFQA.
- Jaffe and Westerfield, 1985, The Weekend Effect in Common Stock Returns: The International Evidence, JOF (2 copies).
- Jaffe and Westerfield, 1985, Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects, JFQA.
- Jaffe and Westerfield and Ma, 1989, A Twist on the Monday Effect in Stock Prices: Evidence from the US and Foreign Stock Markets, J of Banking and Finance.
- Jegadeesh, Narasimhan and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, JOF, 48(1), March, pp65-91.
- Keim, 1983, Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence, JFE (2 copies).
- Keim, 1986, The CAPM and Equity Return Regularities, FAJ.
- Keim, 1987, Daily Returns and Size Related Premiums: One More Time, JPM.
- Keim DB and RF Stambaugh, 1984, A Further Investigation of the Weekend Effect in Stock Returns, JF 39(3), (Jul), p819.
- Kleidon, 1986, Anomalies in Financial Economics: Blueprint for Change?, JB.
- Kleidon, 1986, Bias in Small Sample Tests of Stock Market Rationality, JB.
- Kramer and Runde, 1997, Stocks and the weather: an exercise in data mining or yet another capital market anomaly?, Empirical Economics, 22, 637-641.
- Lakonishok and Levi, 1982, Weekend Effects on Stock Returns: A Note, JOF.
- Lakonishok and Levi, 1985, Weekend Effects on Stock Returns: A Reply, JOF.
- Lakonishok and Smidt, 1988, Are Seasonal Anomalies Real? A Ninety Year Perspective, RFS.
- Lo and MacKinlay, 1990, When are Contrarian Profits Due to Stock Market Overreaction?, RFS (2 copies).
- Maberly, 1988, The Other Friday Bull Effect: A Chance Occurrence or Another Harbinger of Yet Another Puzzling Anomaly? A Note!, J of Futures Markets.
- McInish and Wood, 1985, Intraday and Overnight Returns and Day of the Week Effects, J of Financial Research.
- Mehra and Prescott, 1985, The Equity Premium: A Puzzle, J of Monetary Economics.
- Mehra and Prescott, 1988, The Equity Premium: A Solution?, J of Monetary Economics.
- Miller, 1988, Why a Weekend Effect?, JPM.
- Oldfield and Rogalski, 1980, A Theory of Common stock Returns Over Trading and Non-Trading Periods, JOF.
- Reinganum, 1981, Misspecification of Capital asset Pricing: Empirical Anomalies Based on Earning Yields and Market Values, JFE (2 copies).
- Reinganum, Marc, 1983, The anomalous stock market behavior of small firms in january: Empirical tests for tax loss selling effects, JFE, Vol 12, pp89- 104.
- Rogalski, 1984, New Findings Regarding Day of the Week Returns over Trading and Non Trading Periods: A Note, JOF (plus discussion).
- Rozeff and Kinney, 1976, Capital Market Seasonality: The Case of Stock Returns, JFE.
- Roll, 1983, Vas Ist Das?: The Turn of the Year Effect and The Return Premia of Small Firms, JPM.
- Santesmases, 1986, An Investigation of the Spanish Stock Market Seasonalities, J of Business Finance and Accounting.
- Schneller, Meir, and Rosen Charles S, 1979, Time-Variance Relationship Evidence on Correlation in Common Stock Returns Comment, JF 34(5), (Dec), p1271 plus Schwartz RA and DK Whitcomb, 1979, On Time-Variance Reply, JF 34(1), (Dec), p1273 (See also Schwartz and Whitcomb original paper JOF 1977)
- Schwartz and Whitcomb, 1977, The Time Variance Relationship: Evidence on Autocorrelation in Common Stock Returns (incl. clear explanation of the Lawrence Fisher effect), JOF, Vol 32 No 1, (March), pp41-55.
- (IB) Schwartz and Whitcomb, 1979, On Time Variance Analysis: Reply, JOF, Vol 34 No 5, (December), pp1273-1275.
- Shiller, 1986, Comments on Miller and on Kleidon, JB.
- Smirlock and Starks, 1986, Day of the Week and Intraday Effects in Stock Returns, JFE.
- Summers, Lawrence H., 1986, "Does the stock market rationally reflect fundamental values?" JOF, 41(3) July, pp591-601. Plus comment by Robert Stambaugh, pp601-602.
- Theobald and Price, 1984, Seasonality Estimation in Thin Markets, JOF.
T
TERM STRUCTURE/YIELD CURVES
- Abhyankar A and D Basu, 1999, Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions?, WP, Warwick Business School, (Oct).
- Ait-Sahalia, 1995, Testing Continuous Time Models of the Spot Interest Rate, WP U Chicago 1995 (plus 1994 version).
- Baum and Thies, 1990?, On the Construction of Monthly Term Structures of U.S. Interest Rates, 1919-1930, WP Boston College.
- Brennan and Schwartz, 1979, A continuous time approach to the pricing of bonds, Journal of Banking and Finance, 3(1) April, 133-155.
- Campbell, 1987, Stock Returns and the Term Structure, JFE.
- Cecchetti, 1988, The Case of Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates During the Great Depression, JPE (sent to me by Fischer Black at Goldman Sachs, November 1993)
- Chen, 1995, A Two Factor Preference Free Model for Interest Rate Sensitive Claims, J of Futures Markets.
- Cox and Ingersoll and Ross, 1981, A Re-Examination of Traditional Hypotheses About the Term Structure of Interest Rates, JOF.
- Cox and Ingersoll and Ross, 1985, An Intertemporal General Equilibrium Model of Asset Prices, Econometrica.
- Cox and Ingersoll and Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica.
- Echols and Elliot, 1976, A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates, JFQA (see also Fogler and Ganapathy).
- Fogler and Ganapathy, 1980, Comment on: A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates, JFQA.
- Heath and Jarrow and Morton, 1990, Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation, JFQA.
- Heath and Jarrow and Morton, 1992, Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica (plus notes from discussion of HJM with John Cox February 1994).
- Ho and Lee, 1986, Term Structure Movements and Pricing Interest Rate Contingent Claims, JOF (2 copies).
- Kritzman, 1993, What Practitioners Need to Know About the Term Structure of Interest Rates, FAJ.
- Longstaff and Schwartz, 1992, Interest Rate Volatility and the Term Structure: A Two Factor General Equilibrium Model, JOF.
- Nowman, K B (Ben!), 1997, Gaussian estimation of single-factor continuous time models of the term structure of interest rates, WP First National Bank of Chicago, London.
- Rendelman, Richard and Brit Bartter, 1980, The pricing of options on debt securities, JFQA, 15(1) March, 11-24.
- Siegel and Nelson, 1988, Long Term Behavior of Yield Curves, JFQA.
- Vasicek, 1977, An Equilibrium Characterization of the Term Structure, JFE.
- Young, 1990, Money and the Term Structure of Interest Rates, WP UT Austin.
THIN TRADING
- Dimson, Elroy, 1979, Risk measurement when shares are subject to infrequent trading, JFE, Vol 7, pp197-226.
- Lo and MacKinlay, 1990, An Econometric Analysis of Nonsynchronous Trading, J of Econometrics.
- Scholes and Williams, 1977, Estimating betas from Nonsynchronous Data, JFE.
TRM
- Teichrow and Robichek and Montalbano, 1965, Mathematical Analysis o Rates of Return under Certainty, Management Science.
- Teichrow and Robichek and Montalbano, 1965, An Analysis of Criteria for Investment and Financing Decisions Under Certainty, Management Science.
- Mao, 1965, An Analysis of Criteria for Investment and Financing Decisions under Certainty: A Comment, Management Science.
U
UNCLASSIFIED
- Ait-Sahalia, 1994, Dynamic Disequilibrium in Financial Asset Markets, WP U Chicago.
- Barnes, 1993, The Deficit Millionaires (Lloyds of London Names), The New Yorker.
- Buser, 1986, LePlace Transforms as Present Value Rules: A Note, JOF.
- Campbell, 1986, Bond and Stock Returns in a Simple Exchange Economy, QJE.
- Chan and Ehsani, 1990, The Negative Covariation of the Risk Premium and the Change in Spot Exchange Rate, and Market Rationality, WP Wayne State U.
- Epps, 1978, Financial Risk and the St. Petersburg Paradox: Comment, JOF.
- Franklin Gideon / Morgan Stanley Dean Witter, 1997, UK and Europe Investment Research – "European Capital Goods and Engineering," gideon@ms.com
- Guesnerie and Laffont, 1988, Notes on Sunspot Equilibria in Finite Horizon Models, WP EHESS (Paris).
- Hansen and Jagannathan, 1991, Implications of Security Market Data for Models of Dynamic Economies, JPE.
- Hugan JH, 1971, Past and Future of the Euro-Money Market, FAJ, (Sep/Oct), p21
- Ledoit, 1995, Referee Report on JET Paper, Editor's plus Author's copies.
- Loeve, 1977, Measurable Functions and Integration, Book Extract.
- Lyons, 1994, Foreign Exchange Volume: Sound and Fury Signifying Nothing?, WP UC Berkeley.
- Paton, 1974, Fancies and Fallacies in Business Finance, Financial Executive.
- Schools Brief, 1990, Paradigm Lost (Hicks, Hansen, Samuelson, Tobin, Friedman, Phelps, Lucas and Sargent, IS/LM), Economist November 3.
- Schools Brief, 1990, Tales of the Expected (Sargent and Wallace 1975), Economist Nov 10.
- Schools Brief, 1990, Unlocking Corporate Finance (Modigliani and Miller - Cost of Capital 1958), Economist December 8.
- Schools Brief, 1991, Risk and Return (Sharpe 1964), Economist February 2.
- Schools Brief, 1991, Of Butterflies and Condors, Economist February 16.
- Strouck?, 1993, Convergence of Measures, Infinite Divisability, and Processes with Independent Increments, Ch III of his new book.
- Strotz, 197?, Myopia and Inconsistency in Dynamic Utility Maximization, RES.
V
VARIANCE BOUNDS, VOLATILITY AND VOODOO
- Kleidon, 1986, Variance Bounds Tests and Stock Price Valuation Models, JPE.
- LeRoy and Porter, 1981, The Present Value Relation: Tests Based on Implied Variance Bounds, Econometrica.
- LeRoy and Steigerwald, 1992, Volatility, WP Carlson School U Minnesota and UCSB.
- Marsh and Merton, 1986, Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices, AER.
- Parks, 1978, Inflation and Relative Price Variability, JPE.
- Shiller, 1981, Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?, AER.
- West, 1988, Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation, JOF.
- West, 1988, Dividend Innovations and Stock Price Volatility, Econometrica.
W
WEIGHTED AVERAGE COST OF CAPITAL (WACC)
- Elton and Gruber and Mei, 1994, Cost of Capital Using APT: A Case Study of Nine New York Utilities, Financial Markets, Institutions and Instruments (Vol 3, No 3, August).
- Henderson, 1980?, In Defense of the Weighted Average Cost of Capital, Book Extract (Otago).
- Miles and Ezzell, 1980, The Weighted Average Cost of Capital, Perfect Capital Markets, and Project Life: A Clarification, JFQA.
- Modigliani and Miller, 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, AER.
- Modigliani and Miller, 1959, The Cost of Capital, Corporation Finance and the Theory of Investment: Reply, AER.
- Nantell and Carlson, 1975, The Cost of Capital as a Weighted Average, JOF.
- Reilly and Wecker, 1973, On the Weighted Average Cost of Capital, JFQA.
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KEY TO ABBREVIATIONS
- AER = American Economic Review
- FAJ = Financial Analysts Journal
- HBR = Harvard Business Review
- IB = Indigo Bunting (a small blue bird seen in Indiana)
- IER = International Economic Review
- IMR = Industrial Management Review
- J = Journal
- JASA = Journal of the American Statistical Association
- JB = Journal of Business
- JBES = Journal of Business and Economic Statistics
- JET = Journal of Econometrics
- JFE = Journal of Financial Economics
- JFQA = Journal of Financial and Quantitative Analysis
- JFR = Journal of Financial Research
- JIR = Journal of Irreproducable Results
- JOF = Journal of Finance
- JPE = Journal of Political Economy
- JPM = Journal of Portfolio Management
- LSE = London School of Economics
- MIT = Massachusetts Institute of Technology
- QJBE = Quarterly Journal of Business and Economics
- QJE = Quarterly Journal of Economics
- RES = Review of Economic Studies
- RFS = Review of Financial Studies1
- SSRI = Social Sciences Research Institute
- U = University
- UCLA = University of California Los Angeles
- WP = Working Paper
LINKS
Other Links
- William Margrabe
- F421 Home Page
BOOKS ON MY SHELF
Entertaining Books
- Edwin Lefevre, 1901, Wall Street Stories, New York: McClure, Phillips and Co. A neat collection of short stories that appeared in McClure's Magazine. Some characters reappear in different stories, but the stories are all self- contained. This is the earliest work in which I have found the short-selling quote: " He who sells what isn't his'n, Must buy it back or go to pris'n (page 173)." If you want to feel the brass Ticky-ticky-ticky-tick of the ticker then read this book. Amazon.com says it was published in 2001 -- an example of the "year 2000" problem I guess. Lefevre lived 1871-1943.
- Edwin Lefevre, 1905, The Golden Flood, New York: McClure, Phillips and Co. This book drags you in like a black hole. It is a great story and a short read. I loved it.
- Edwin Lefevre, 1907, Sampson Rock of Wall Street: A Novel, New York: Harper and Brothers Publishers. Partly inspired by "The Lady and Her Bonds" story from Wall Street Stories. Subtitled "A Novel," because it is. It is longer and more slow-paced with "more story" than Reminiscences is. I think Sampson Rock and Sam Rock are inspired by JP Morgan and his son Jack, respectively. However, the characters here are much happier than were the Morgans. This is a good read!
- Edwin Lefevre, 1923, Reminiscences of a Stock Operator, Reprinted by Wiley. This is the classic. A must read
- Edwin Lefevre, 1913, The Plunderers. A good read. Not about Wall Street per say, but as good as any other LeFevre book. Four different stories, each self-contained, but overlapping very slightly. On p93 Lefevre mentions the previous collapse of Barings Brothers (yes, they collapsed once before about 100 years before Nick Leeson was born).
- Bouck White, 1910, The Book of Daniel Drew. A good read. This is where the expression "watered stock" comes from. The book is written from Drew's point of view - looking back over his life from age 80. Unlike Lefevre's characters, this guy is an unscrupulous arrogant bastard. However, he is a bastard with religion! A couple of annoying things: he writes the way uneducated people talk, rather than in correct English (eg "speckilation"); he uses quite objectional words to refer to dark skinned people (as was perhaps the custom in the 1850's or 1860's).
- Rollo Tape, 1910, Studies in Tape Reading. On my shelf waiting to be read.
- If you like Lefevre's books, then you might like to read the "Hughes Report of 1909." This is the "Report of the Governer's Committee on Speculation in Securities and Commodities." It has a nice discussion of Pyramiding, Short Selling, Price Manipulation, Wash Sales, Matched Orders, Corners, The Curb Market (now the AMEX), Bucket Shops, and so on. I think it resulted from the panic of 1907 (before your time I'll wager). It is only about 30 odd pages. Yes I am happy to supply a copy.
- Martin Schwartz, 1998, Pit Bull, Harper Business Books. Well, if you liked Market Wizards, you will more than like this. Schwartz was one of the traders profiled in Market Wizards.
- Frank Partnoy, 1997, FIASCO: Blood in the water on Wall Street, New York: Norton Books. If you like Liar's Poker, read this one for more of the same. Prepare to have your face torn off.
- Michael Lewis, 1990, Liar's Poker: Rising through the wreckage on Wall Street, New York: Penguin Books. It's a modern classic.
- Victor Neiderhoffer, 1997, The Education of a Speculator, New York: Wiley. I really liked it. Some people will not. Browse through it in the store before buying. It is a curious blend of personal life and business speculation.
- Sylvia Nasar, 1998, A Beautiful Mind: A Biography of John Forbes Nash, Jr.. Nash is the mathematician who got the 1994 Nobel Prize in Economics. The story is amazing - I read this book in two days flat. My only disappointment is that the book ended.
Educational Books
- My book! See advertisement at top of page.
- Peter Bernstein, 1996, Against the Gods: The Remarkable Story of Risk, New York: Wiley. A slow read but very enjoyable and enlightening.
- Sheldon Natenberg, 1994, Option Volatility and Pricing, Chicago: Irwin Professional Publishing. Options traders keep telling me that this is the book. If you agree, let me know: timcrack@alum.mit.edu.

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BOOKS ON MY SHELF