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The Price Elasticity of Demand for Whole Life Insurance

Published Articles

Author(s): DAVID F. BABBEL

ABSTRACT In this study a real price index is created for whole life insurance sold in the United States from 1953 to 1979. New...

Volume 40 Issue 1 (March 1985)

The Effect of Voluntary Sell‐off Announcements on Shareholder Wealth

Published Articles

Author(s): PREM C. JAIN

ABSTRACT Sell‐off activities arise when a firm sells part of its assets (e.g., a segment, a division, etc.) but continues to...

Volume 40 Issue 1 (March 1985)

Divergence of Opinion in Complete Markets: A Note

Published Articles

Author(s): HAL R. VARIAN

ABSTRACT We consider an Arrow‐Debreu model with agents who have different subjective probabilities. In general, asset prices...

Volume 40 Issue 1 (March 1985)

Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory

Published Articles

Author(s): N. BULENT GULTEKIN, RICHARD J. ROGALSKI

ABSTRACT Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during...

Volume 40 Issue 1 (March 1985)

An Analysis of Mortgage Contracting: Prepayment Penalties and the Due‐on‐Sale Clause

Published Articles

Author(s): KENNETH B. DUNN, CHESTER S. SPATT

ABSTRACT The due‐on‐sale clause contained in most conventional home mortgage contracts is equivalent to a prepayment penalty...

Volume 40 Issue 1 (March 1985)

ASSOCIATION MEETINGS

Published Articles

Author(s):

Volume 40 Issue 1 (March 1985)

Implications of the Discreteness of Observed Stock Prices

Published Articles

Author(s): GARY GOTTLIEB, AVNER KALAY

ABSTRACT Stock prices on the organized exchanges are restricted to be divisible by ⅛. Therefore, the “true” price usually...

Volume 40 Issue 1 (March 1985)

The Trading Decision and Market Clearing under Transaction Price Uncertainty

Published Articles

Author(s): THOMAS S. Y. HO, ROBERT A. SCHWARTZ, DAVID K. WHITCOMB

ABSTRACT This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2)...

Volume 40 Issue 1 (March 1985)

More on Estimation Risk and Simple Rules for Optimal Portfolio Selection

Published Articles

Author(s): GORDON J. ALEXANDER, BRUCE G. RESNICK

ABSTRACT For the risk‐averse investor, consideration of estimation risk is important in selecting an expected‐utility‐maximizing...

Volume 40 Issue 1 (March 1985)

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

Published Articles

Author(s): CLIFFORD A. BALL, WALTER N. TOROUS

ABSTRACT The Black‐Scholes call option pricing model exhibits systematic empirical biases. The Merton call option pricing model,...

Volume 40 Issue 1 (March 1985)