Details about Sanford Jay Grossman

Access statistics for papers by Sanford Jay Grossman.

Last updated 2005-08-08. Update your information in the RePEc Author Service.

Short-id: pgr108

Working Papers

2003

1. Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
   Levine's Working Paper Archive, David K. Levine View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations
   See also Journal Article in Econometrica (1990)

1992

2. Trading Volume and Serial Correlation in Stock Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in The Quarterly Journal of Economics (1993)

1990

3. THE INFORMATION ROLE OF UPSTAIRS AND DOWNSTAIRS TRADING
   Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   See also Journal Article in Journal of Business (1992)

1989

4. An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Journal of Business (1988)
5. Liquidity and Market Structure
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Working Papers, Princeton, Department of Economics - Financial Research Center (1988) View citations
6. Monetary Dynamics with Proportional Transaction Costs and Fixed Payment Periods
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

1988

7. OPTIMAL DYNAMIC HEDGING
   Working Papers, Princeton, Department of Economics - Financial Research Center
8. PORTFOLIO INSURANCE IN COMPLETE MARKETS: A NOTE
   Working Papers, Princeton, Department of Economics - Financial Research Center
   See also Journal Article in Journal of Business (1989)

1987

9. One Share/One Vote and The Market for Corporate Control
   Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations

1986

10. Sequential Bargaining Under Asymmetric Information
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations

1985

11. Estimating the Continuous Time Consumption Based Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Business & Economic Statistics (1987)
12. The Cost and Benefits of Ownership: A Theory of Vertical and Lateral Integration
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1985)
    See also Journal Article in Journal of Political Economy (1986)

1984

13. A Transactions Based Model of the Monetary Transmission Mechanism: Part 1
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1982)
14. The Costs and Benefits of Ownership: A Theory of Vertical Integration (Now published in Journal of Political Economy (August 1986))
    STICERD - Theoretical Economics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1982

15. Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
16. Unemployment with Observable Aggregate Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Political Economy (1983)

1981

17. The Determinants of the Variability of Stock Market Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
    See also Journal Article in American Economic Review (1981)

1980

18. Heterogeneous Information and the Theory of the Business Cycle
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
    See also Journal Article in Journal of Political Economy (1982)

1978

19. A theory of competitive equilibrium in stock market economies
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Econometrica (1979)
20. Further results on the informational efficiency of competitive stock markets
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
21. The public good is a public good: a theory of corporations
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)

Undated

22. An Analysis of the Principal-Agent Problem
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in Econometrica (1983)
23. An Economic Analysis of Dual Trading
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
24. Corporate Financial Structure and Managerial Incentives
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
25. Disclosure Laws and Takeover Bids
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
26. Optimal Dynamic Trading with Leverage Constraints
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
27. Rational Expectations and the Allocation of Resources Under Asymmetric Information: A Survey
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
28. The Allocational Role of Takeover Bids in Situations of Asymmetric Information
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
29. Trading Technology and Financial Market Stability
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Journal Articles

1997

1. Clustering and Competition in Asset Markets
   Journal of Law & Economics, 1997, 40, (1), 23-60 View citations

1993

2. Trading Volume and Serial Correlation in Stock Returns
   The Quarterly Journal of Economics, 1993, 108, (4), 905-39 View citations
   See also Working Paper (1992)

1992

3. The Informational Role of Upstairs and Downstairs Trading
   Journal of Business, 1992, 65, (4), 509-28 View citations
   See also Working Paper (1990)

1990

4. Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
   Econometrica, 1990, 58, (1), 25-51 View citations
   See also Working Paper (2003)

1989

5. Portfolio Insurance in Complete Markets: A Note
   Journal of Business, 1989, 62, (4), 473-76 View citations
   See also Working Paper (1988)

1988

6. An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
   Journal of Business, 1988, 61, (3), 275-98 View citations
   See also Working Paper (1989)

1987

7. Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
   Journal of Business & Economic Statistics, 1987, 5, (3), 315-27 View citations
   See also Working Paper (1985)

1986

8. An Analysis of the Role of "Insider Trading" on Futures Markets
   Journal of Business, 1986, 59, (2), S129-46 View citations
9. The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration
   Journal of Political Economy, 1986, 94, (4), 691-719 View citations
   See also Working Paper (1985)

1983

10. A Transactions-Based Model of the Monetary Transmission Mechanism
    American Economic Review, 1983, 73, (5), 871-80 View citations
11. An Analysis of the Principal-Agent Problem
    Econometrica, 1983, 51, (1), 7-45 View citations
    See also Working Paper
12. Implicit Contracts under Asymmetric Information
    The Quarterly Journal of Economics, 1983, 98, (3), 123-56 View citations
13. Unemployment with Observable Aggregate Shocks
    Journal of Political Economy, 1983, 91, (6), 907-28 View citations
    See also Working Paper (1982)

1982

14. Heterogeneous Information and the Theory of the Business Cycle
    Journal of Political Economy, 1982, 90, (4), 699-727 View citations
    See also Working Paper (1980)
15. On the Impossibility of Informationally Efficient Markets: Reply
    American Economic Review, 1982, 72, (4), 875

1981

16. An Introduction to the Theory of Rational Expectations under Asymmetric Information
    Review of Economic Studies, 1981, 48, (4), 541-59 View citations
17. Implicit Contracts, Moral Hazard, and Unemployment
    American Economic Review, 1981, 71, (2), 301-07 View citations
18. Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs
    Econometrica, 1981, 49, (5), 1149-72 View citations
19. The Determinants of the Variability of Stock Market Prices
    American Economic Review, 1981, 71, (2), 222-27 View citations
    See also Working Paper (1981)
20. The Informational Role of Warranties and Private Disclosure about Product Quality
    Journal of Law & Economics, 1981, 24, (3), 461-83 View citations

1980

21. On the Impossibility of Informationally Efficient Markets
    American Economic Review, 1980, 70, (3), 393-408 View citations
22. Stockholder Unanimity in Making Production and Financial Decisions
    The Quarterly Journal of Economics, 1980, 94, (3), 543-66 View citations
23. Takeover Bids, the Free-Rider Problem, and the Theory of the Corporation
    Bell Journal of Economics, 1980, 11, (1), 42-64 View citations

1979

24. A Theory of Competitive Equilibrium in Stock Market Economies
    Econometrica, 1979, 47, (2), 293-329 View citations
    See also Working Paper (1978)

1977

25. A Bayesian Approach to the Production of Information and Learning by Doing
    Review of Economic Studies, 1977, 44, (3), 533-47 View citations
26. The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
    Review of Economic Studies, 1977, 44, (3), 431-49 View citations

1976

27. Information and Competitive Price Systems
    American Economic Review, 1976, 66, (2), 246-53 View citations