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Details about Sanford Jay Grossman

Homepage:http://www.qfsfunds.com
Workplace:Quantitative Financial Strategies

Access statistics for papers by Sanford Jay Grossman.

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

Short-id: pgr108


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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 Downloads View citations (25)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) Downloads View citations (6)

    See also Journal Article in Econometrica (1990)

2001

  1. An Analysis of the Principal-Agent Problem
    Levine's Working Paper Archive, David K. Levine Downloads 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 (1)

    See also Journal Article in Econometrica (1983)

1997

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

1993

  1. Trading Volume and Serial Correlation in Stock Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (412)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) Downloads View citations (7)

    See also Journal Article in The Quarterly Journal of Economics (1993)

1990

  1. 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 The Journal of Business (1992)

1988

  1. LIQUIDITY AND MARKET STRUCTURE
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations (341)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (162)
  2. OPTIMAL DYNAMIC HEDGING
    Working Papers, Princeton, Department of Economics - Financial Research Center
  3. PORTFOLIO INSURANCE IN COMPLETE MARKETS: A NOTE
    Working Papers, Princeton, Department of Economics - Financial Research Center
    See also Journal Article in The Journal of Business (1989)

1987

  1. 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 Downloads View citations (2)
    See also Journal Article in The Journal of Business (1988)
  2. One Share/One Vote and The Market for Corporate Control
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (55)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) Downloads View citations (2)

    See also Journal Article in Journal of Financial Economics (1988)

1986

  1. Sequential Bargaining Under Asymmetric Information
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (57)
    See also Journal Article in Journal of Economic Theory (1986)
  2. The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (2075)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Department of Economics (1985) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1985) Downloads View citations (2)

    See also Journal Article in Journal of Political Economy (1986)

1985

  1. Estimating the Continuous Time Consumption Based Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (1987)
  2. Monetary Dynamics with Proportional Transaction Costs and Fixed Payment Periods
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

1984

  1. 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

  1. Unemployment with Observable Aggregate Shocks
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1982) Downloads

    See also Journal Article in Journal of Political Economy (1983)

1982

  1. A Transactions Based Model of the Monetary Transmission Mechanism: Part 1
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. A Transactions Based Model of the Monetary Transmission Mechanism: Part 2
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

1981

  1. Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    See also Journal Article in Journal of Financial Economics (1982)

1980

  1. Heterogeneous Information and the Theory of the Business Cycle
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads 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 in Journal of Political Economy (1982)
  2. The Determinants of the Variability of Stock Market Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (163)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (11)

    See also Journal Article in American Economic Review (1981)

1978

  1. 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 in Econometrica (1979)
  2. 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 (32)
    See also Journal Article in Journal of Economic Theory (1978)
  3. 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

  1. 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 (10)
  2. 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 (1982)
  3. 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 in Journal of Finance (1980)
  4. 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 in Journal of Financial and Quantitative Analysis (1992)
  5. 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
  6. 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 (5)
    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 Finance (1981)
  7. 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 Downloads View citations (36)

1996

  1. Equilibrium Analysis of Portfolio Insurance
    Journal of Finance, 1996, 51, (4), 1379-1403 Downloads View citations (98)

1995

  1. Dynamic Asset Allocation and the Informational Efficiency of Markets
    Journal of Finance, 1995, 50, (3), 773-87 Downloads View citations (24)

1993

  1. OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
    Mathematical Finance, 1993, 3, (3), 241-276 Downloads View citations (82)
  2. Trading Volume and Serial Correlation in Stock Returns
    The Quarterly Journal of Economics, 1993, 108, (4), 905-939 Downloads View citations (413)
    See also Working Paper (1993)

1992

  1. Optimal Dynamic Trading with Leverage Constraints
    Journal of Financial and Quantitative Analysis, 1992, 27, (02), 151-168 Downloads View citations (57)
    See also Working Paper
  2. The Informational Role of Upstairs and Downstairs Trading
    The Journal of Business, 1992, 65, (4), 509-28 Downloads View citations (39)
    See also Working Paper (1990)

1990

  1. Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
    Econometrica, 1990, 58, (1), 25-51 Downloads View citations (236)
    See also Working Paper (2003)

1989

  1. Portfolio Insurance in Complete Markets: A Note
    The Journal of Business, 1989, 62, (4), 473-76 Downloads View citations (37)
    See also Working Paper (1988)

1988

  1. 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 Downloads View citations (103)
    See also Working Paper (1987)
  2. One share-one vote and the market for corporate control
    Journal of Financial Economics, 1988, 20, (1-2), 175-202 Downloads View citations (319)
    See also Working Paper (1987)
  3. Program trading and stock and futures price volatility
    Journal of Futures Markets, 1988, 8, (4), 413-419 Downloads View citations (1)

1987

  1. Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
    Journal of Business & Economic Statistics, 1987, 5, (3), 315-27 View citations (50)
    See also Working Paper (1985)

1986

  1. An Analysis of the Role of "Insider Trading" on Futures Markets
    The Journal of Business, 1986, 59, (2), S129-46 Downloads View citations (10)
  2. Economic costs and benefits of the proposed one—minute time bracketing regulation
    Journal of Futures Markets, 1986, 6, (1), 141-166 Downloads View citations (4)
  3. Perfect sequential equilibrium
    Journal of Economic Theory, 1986, 39, (1), 97-119 Downloads View citations (126)
  4. Sequential bargaining under asymmetric information
    Journal of Economic Theory, 1986, 39, (1), 120-154 Downloads View citations (47)
    See also Working Paper (1986)
  5. The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration
    Journal of Political Economy, 1986, 94, (4), 691-719 Downloads View citations (2166)
    See also Working Paper (1986)

1984

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

1983

  1. A Transactions-Based Model of the Monetary Transmission Mechanism
    American Economic Review, 1983, 73, (5), 871-80 Downloads View citations (126)
  2. An Analysis of the Principal-Agent Problem
    Econometrica, 1983, 51, (1), 7-45 Downloads View citations (616)
    See also Working Paper (2001)
  3. Unemployment with Observable Aggregate Shocks
    Journal of Political Economy, 1983, 91, (6), 907-28 Downloads View citations (14)
    See also Working Paper (1983)

1982

  1. Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information
    Journal of Financial Economics, 1982, 10, (2), 195-210 Downloads View citations (55)
    See also Working Paper (1981)
  2. Heterogeneous Information and the Theory of the Business Cycle
    Journal of Political Economy, 1982, 90, (4), 699-727 Downloads View citations (8)
    See also Working Paper (1980)
  3. On the Impossibility of Informationally Efficient Markets: Reply
    American Economic Review, 1982, 72, (4), 875 View citations (1)

1981

  1. An Introduction to the Theory of Rational Expectations Under Asymmetric Information
    Review of Economic Studies, 1981, 48, (4), 541-559 Downloads View citations (84)
  2. Implicit Contracts, Moral Hazard, and Unemployment
    American Economic Review, 1981, 71, (2), 301-07 Downloads View citations (55)
  3. Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs
    Econometrica, 1981, 49, (5), 1149-72 Downloads View citations (64)
  4. The Allocational Role of Takeover Bids in Situations of Asymmetric Information
    Journal of Finance, 1981, 36, (2), 253-70 Downloads View citations (27)
    See also Working Paper
  5. The Determinants of the Variability of Stock Market Prices
    American Economic Review, 1981, 71, (2), 222-27 Downloads View citations (234)
    See also Working Paper (1980)
  6. The Informational Role of Warranties and Private Disclosure about Product Quality
    Journal of Law and Economics, 1981, 24, (3), 461-83 Downloads View citations (550)

1980

  1. Disclosure Laws and Takeover Bids
    Journal of Finance, 1980, 35, (2), 323-34 Downloads View citations (180)
    See also Working Paper
  2. On the Impossibility of Informationally Efficient Markets
    American Economic Review, 1980, 70, (3), 393-408 View citations (1342)
    See also Working Paper (1997)
  3. Stockholder Unanimity in Making Production and Financial Decisions
    The Quarterly Journal of Economics, 1980, 94, (3), 543-566 Downloads View citations (16)
  4. Takeover Bids, the Free-Rider Problem, and the Theory of the Corporation
    Bell Journal of Economics, 1980, 11, (1), 42-64 Downloads View citations (529)

1979

  1. A Theory of Competitive Equilibrium in Stock Market Economies
    Econometrica, 1979, 47, (2), 293-329 Downloads View citations (93)
    See also Working Paper (1978)

1978

  1. Further results on the informational efficiency of competitive stock markets
    Journal of Economic Theory, 1978, 18, (1), 81-101 Downloads View citations (39)
    See also Working Paper (1978)

1977

  1. A Bayesian Approach to the Production of Information and Learning By Doing
    Review of Economic Studies, 1977, 44, (3), 533-547 Downloads View citations (86)
  2. A characterization of the optimality of equilibrium in incomplete markets
    Journal of Economic Theory, 1977, 15, (1), 1-15 Downloads View citations (33)
  3. On Value Maximization and Alternative Objectives of the Firm
    Journal of Finance, 1977, 32, (2), 389-402 Downloads View citations (15)
  4. The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
    Review of Economic Studies, 1977, 44, (3), 431-449 Downloads View citations (58)

1976

  1. Information and Competitive Price Systems
    American Economic Review, 1976, 66, (2), 246-53 View citations (189)
  2. On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information
    Journal of Finance, 1976, 31, (2), 573-85 Downloads View citations (159)

1975

  1. Rational expectations and the econometric modeling of markets subject to uncertainty: A Bayesian approach
    Journal of Econometrics, 1975, 3, (3), 255-272 Downloads View citations (7)

Books

1990

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

1989

  1. The Informational Role of Prices, vol 1
    MIT Press Books, The MIT Press View citations (42)

Chapters

1982

  1. Corporate Financial Structure and Managerial Incentives
    A chapter in The Economics of Information and Uncertainty, 1982, pp 107-140 Downloads View citations (203)
    See also Working Paper
 
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