The Rodney L. White Center for Financial Research - Working Paper Abstracts Welcome to the Rodney L. White Center for Financial Research, an independently managed site at the Wharton School of the University of Pennsylvania . Listed below are the abstracts for all of the working papers for this year. This paper develops and tests two propositions. We also argue that the resulting underpricing equilibrium is enforced by investment bankers, who have reputation capital at stake.
Empirical evidence supports our propositions.
Our paper examines the daily stock market returns for four foreign countries. In addition, the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday. The remainder of the paper answers four questions. A new methodology for statistically testing contingent claims asset-pricing models based on asymptotic statistical theory is proposed. It is introduced in the context of the Black-Scholes option pricing model, for which some promising estimation, inference, and simulation results are also presented.