Details about Sanford Jay Grossman

Access statistics for papers by Sanford Jay Grossman.

Last updated 2023-03-09. 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 (26)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (8)
   See also Journal Article Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods, Econometrica, Econometric Society (1990) View citations (341) (1990)

2001

2. An Analysis of the Principal-Agent Problem
   Levine's Working Paper Archive, David K. Levine View citations (38)
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
   See also Journal Article An Analysis of the Principal-Agent Problem, Econometrica, Econometric Society (1983) View citations (945) (1983)

1997

3. On the Impossibility of Informationally Efficient Markets
   Levine's Working Paper Archive, David K. Levine View citations (88)
   See also Journal Article On the Impossibility of Informationally Efficient Markets, American Economic Review, American Economic Association (1980) View citations (2214) (1980)

1993

4. Trading Volume and Serial Correlation in Stock Returns
   Scholarly Articles, Harvard University Department of Economics View citations (616)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (14)
   See also Journal Article Trading Volume and Serial Correlation in Stock Returns, The Quarterly Journal of Economics, President and Fellows of Harvard College (1993) View citations (629) (1993)

1990

5. 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 The Informational Role of Upstairs and Downstairs Trading, The Journal of Business, University of Chicago Press (1992) View citations (54) (1992)

1988

6. LIQUIDITY AND MARKET STRUCTURE
   Working Papers, Princeton, Department of Economics - Financial Research Center View citations (521)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (546)
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 Portfolio Insurance in Complete Markets: A Note, The Journal of Business, University of Chicago Press (1989) View citations (40) (1989)

1987

9. 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 (7)
   See also Journal Article An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies, The Journal of Business, University of Chicago Press (1988) View citations (147) (1988)
10. One Share/One Vote and The Market for Corporate Control
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (57)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (4)
    See also Journal Article One share-one vote and the market for corporate control, Journal of Financial Economics, Elsevier (1988) View citations (452) (1988)

1986

11. Sequential Bargaining Under Asymmetric Information
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (70)
    See also Journal Article Sequential bargaining under asymmetric information, Journal of Economic Theory, Elsevier (1986) View citations (60) (1986)
12. The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration
    Scholarly Articles, Harvard University Department of Economics View citations (3433)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1985) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1985) View citations (4)
    See also Journal Article The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration, Journal of Political Economy, University of Chicago Press (1986) View citations (3483) (1986)

1985

13. Estimating the Continuous Time Consumption Based Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    See also Journal Article Estimating the Continuous-Time Consumption-Based Asset-Pricing Model, Journal of Business & Economic Statistics, American Statistical Association (1987) View citations (62) (1987)
14. Monetary Dynamics with Proportional Transaction Costs and Fixed Payment Periods
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

1984

15. 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

1983

16. Unemployment with Observable Aggregate Shocks
    Scholarly Articles, Harvard University Department of Economics View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1982)
    See also Journal Article Unemployment with Observable Aggregate Shocks, Journal of Political Economy, University of Chicago Press (1983) View citations (16) (1983)

1982

17. A Transactions Based Model of the Monetary Transmission Mechanism: Part 1
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
18. A Transactions Based Model of the Monetary Transmission Mechanism: Part 2
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

1981

19. 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 (26)
    See also Journal Article Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information, Journal of Financial Economics, Elsevier (1982) View citations (75) (1982)

1980

20. Heterogeneous Information and the Theory of the Business Cycle
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    See also Journal Article Heterogeneous Information and the Theory of the Business Cycle, Journal of Political Economy, University of Chicago Press (1982) View citations (8) (1982)
21. The Determinants of the Variability of Stock Market Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (166)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (13)
    See also Journal Article The Determinants of the Variability of Stock Market Prices, American Economic Review, American Economic Association (1981) View citations (285) (1981)

1978

22. A theory of competitive equilibrium in stock market economies
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article A Theory of Competitive Equilibrium in Stock Market Economies, Econometrica, Econometric Society (1979) View citations (123) (1979)
23. 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 (54)
    See also Journal Article Further results on the informational efficiency of competitive stock markets, Journal of Economic Theory, Elsevier (1978) View citations (60) (1978)
24. 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

25. 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 (12)
26. Corporate Financial Structure and Managerial Incentives
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Chapter Corporate Financial Structure and Managerial Incentives, NBER Chapters, National Bureau of Economic Research, Inc (1982) View citations (414) (1982)
27. 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 (14)
    See also Journal Article Disclosure Laws and Takeover Bids, Journal of Finance, American Finance Association (1980) View citations (318) (1980)
28. 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 (7)
    See also Journal Article Optimal Dynamic Trading with Leverage Constraints, Journal of Financial and Quantitative Analysis, Cambridge University Press (1992) View citations (85) (1992)
29. 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
30. 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
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (5)
    See also Journal Article The Allocational Role of Takeover Bids in Situations of Asymmetric Information, Journal of Finance, American Finance Association (1981) View citations (36) (1981)
31. 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 and Economics, 1997, 40, (1), 23-60 View citations (52)

1996

2. Equilibrium Analysis of Portfolio Insurance
   Journal of Finance, 1996, 51, (4), 1379-1403 View citations (120)

1995

3. Dynamic Asset Allocation and the Informational Efficiency of Markets
   Journal of Finance, 1995, 50, (3), 773-87 View citations (39)

1993

4. OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
   Mathematical Finance, 1993, 3, (3), 241-276 View citations (124)
5. Trading Volume and Serial Correlation in Stock Returns
   The Quarterly Journal of Economics, 1993, 108, (4), 905-939 View citations (629)
   See also Working Paper Trading Volume and Serial Correlation in Stock Returns, Scholarly Articles (1993) View citations (616) (1993)

1992

6. Optimal Dynamic Trading with Leverage Constraints
   Journal of Financial and Quantitative Analysis, 1992, 27, (2), 151-168 View citations (85)
   See also Working Paper Optimal Dynamic Trading with Leverage Constraints, Rodney L. White Center for Financial Research Working Papers View citations (7)
7. The Informational Role of Upstairs and Downstairs Trading
   The Journal of Business, 1992, 65, (4), 509-28 View citations (54)
   See also Working Paper THE INFORMATION ROLE OF UPSTAIRS AND DOWNSTAIRS TRADING, Weiss Center Working Papers (1990) (1990)

1990

8. Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
   Econometrica, 1990, 58, (1), 25-51 View citations (341)
   See also Working Paper Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods, Levine's Working Paper Archive (2003) View citations (26) (2003)

1989

9. Portfolio Insurance in Complete Markets: A Note
   The Journal of Business, 1989, 62, (4), 473-76 View citations (40)
   See also Working Paper PORTFOLIO INSURANCE IN COMPLETE MARKETS: A NOTE, Working Papers (1988) (1988)

1988

10. An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
    The Journal of Business, 1988, 61, (3), 275-98 View citations (147)
    See also Working Paper An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies, NBER Working Papers (1987) View citations (7) (1987)
11. One share-one vote and the market for corporate control
    Journal of Financial Economics, 1988, 20, (1-2), 175-202 View citations (452)
    See also Working Paper One Share/One Vote and The Market for Corporate Control, Working papers (1987) View citations (57) (1987)
12. Program trading and stock and futures price volatility
    Journal of Futures Markets, 1988, 8, (4), 413-419 View citations (8)

1987

13. Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
    Journal of Business & Economic Statistics, 1987, 5, (3), 315-27 View citations (62)
    See also Working Paper Estimating the Continuous Time Consumption Based Asset Pricing Model, NBER Working Papers (1985) View citations (10) (1985)

1986

14. An Analysis of the Role of "Insider Trading" on Futures Markets
    The Journal of Business, 1986, 59, (2), S129-46 View citations (12)
15. Economic costs and benefits of the proposed one—minute time bracketing regulation
    Journal of Futures Markets, 1986, 6, (1), 141-166 View citations (5)
16. Perfect sequential equilibrium
    Journal of Economic Theory, 1986, 39, (1), 97-119 View citations (154)
17. Sequential bargaining under asymmetric information
    Journal of Economic Theory, 1986, 39, (1), 120-154 View citations (60)
    See also Working Paper Sequential Bargaining Under Asymmetric Information, NBER Technical Working Papers (1986) View citations (70) (1986)
18. The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration
    Journal of Political Economy, 1986, 94, (4), 691-719 View citations (3483)
    See also Working Paper The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration, Scholarly Articles (1986) View citations (3433) (1986)

1984

19. Customer protection in futures and securities markets
    Journal of Futures Markets, 1984, 4, (3), 273-295 View citations (5)

1983

20. A Transactions-Based Model of the Monetary Transmission Mechanism
    American Economic Review, 1983, 73, (5), 871-80 View citations (163)
21. An Analysis of the Principal-Agent Problem
    Econometrica, 1983, 51, (1), 7-45 View citations (945)
    See also Working Paper An Analysis of the Principal-Agent Problem, Levine's Working Paper Archive (2001) View citations (38) (2001)
22. Unemployment with Observable Aggregate Shocks
    Journal of Political Economy, 1983, 91, (6), 907-28 View citations (16)
    See also Working Paper Unemployment with Observable Aggregate Shocks, Scholarly Articles (1983) View citations (15) (1983)

1982

23. Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information
    Journal of Financial Economics, 1982, 10, (2), 195-210 View citations (75)
    See also Working Paper Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information, NBER Working Papers (1981) View citations (26) (1981)
24. Heterogeneous Information and the Theory of the Business Cycle
    Journal of Political Economy, 1982, 90, (4), 699-727 View citations (8)
    See also Working Paper Heterogeneous Information and the Theory of the Business Cycle, Cowles Foundation Discussion Papers (1980) View citations (3) (1980)
25. On the Impossibility of Informationally Efficient Markets: Reply
    American Economic Review, 1982, 72, (4), 875 View citations (1)

1981

26. An Introduction to the Theory of Rational Expectations Under Asymmetric Information
    The Review of Economic Studies, 1981, 48, (4), 541-559 View citations (138)
27. Implicit Contracts, Moral Hazard, and Unemployment
    American Economic Review, 1981, 71, (2), 301-07 View citations (77)
28. Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs
    Econometrica, 1981, 49, (5), 1149-72 View citations (95)
29. The Allocational Role of Takeover Bids in Situations of Asymmetric Information
    Journal of Finance, 1981, 36, (2), 253-70 View citations (36)
    See also Working Paper The Allocational Role of Takeover Bids in Situations of Asymmetric Information, Rodney L. White Center for Financial Research Working Papers
30. The Determinants of the Variability of Stock Market Prices
    American Economic Review, 1981, 71, (2), 222-27 View citations (285)
    See also Working Paper The Determinants of the Variability of Stock Market Prices, NBER Working Papers (1980) View citations (166) (1980)
31. The Informational Role of Warranties and Private Disclosure about Product Quality
    Journal of Law and Economics, 1981, 24, (3), 461-83 View citations (983)

1980

32. Disclosure Laws and Takeover Bids
    Journal of Finance, 1980, 35, (2), 323-34 View citations (318)
    See also Working Paper Disclosure Laws and Takeover Bids, Rodney L. White Center for Financial Research Working Papers View citations (14)
33. On the Impossibility of Informationally Efficient Markets
    American Economic Review, 1980, 70, (3), 393-408 View citations (2214)
    See also Working Paper On the Impossibility of Informationally Efficient Markets, Levine's Working Paper Archive (1997) View citations (88) (1997)
34. Stockholder Unanimity in Making Production and Financial Decisions
    The Quarterly Journal of Economics, 1980, 94, (3), 543-566 View citations (26)
35. Takeover Bids, the Free-Rider Problem, and the Theory of the Corporation
    Bell Journal of Economics, 1980, 11, (1), 42-64 View citations (879)

1979

36. A Theory of Competitive Equilibrium in Stock Market Economies
    Econometrica, 1979, 47, (2), 293-329 View citations (123)
    See also Working Paper A theory of competitive equilibrium in stock market economies, Special Studies Papers (1978) View citations (3) (1978)

1978

37. Further results on the informational efficiency of competitive stock markets
    Journal of Economic Theory, 1978, 18, (1), 81-101 View citations (60)
    See also Working Paper Further results on the informational efficiency of competitive stock markets, Special Studies Papers (1978) View citations (54) (1978)

1977

38. A Bayesian Approach to the Production of Information and Learning By Doing
    The Review of Economic Studies, 1977, 44, (3), 533-547 View citations (122)
39. A characterization of the optimality of equilibrium in incomplete markets
    Journal of Economic Theory, 1977, 15, (1), 1-15 View citations (38)
40. On Value Maximization and Alternative Objectives of the Firm
    Journal of Finance, 1977, 32, (2), 389-402 View citations (25)
41. The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
    The Review of Economic Studies, 1977, 44, (3), 431-449 View citations (97)

1976

42. Information and Competitive Price Systems
    American Economic Review, 1976, 66, (2), 246-53 View citations (298)
43. On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information
    Journal of Finance, 1976, 31, (2), 573-85 View citations (308)

1975

44. Rational expectations and the econometric modeling of markets subject to uncertainty: A Bayesian approach
    Journal of Econometrics, 1975, 3, (3), 255-272 View citations (8)

Books

1990

1. Stock Market Volatility and the Crash
   NBER Books, National Bureau of Economic Research, Inc

1989

2. The Informational Role of Prices, vol 1
   MIT Press Books, The MIT Press View citations (73)

Chapters

1987

1. Vertical Integration and the Distribution of Property Rights
   Palgrave Macmillan View citations (5)

1982

2. Corporate Financial Structure and Managerial Incentives
   A chapter in The Economics of Information and Uncertainty, 1982, pp 107-140 View citations (414)
   See also Working Paper Corporate Financial Structure and Managerial Incentives, Wharton School Rodney L. White Center for Financial Research