Details about Stephen F. LeRoy

Homepage:	http://www.econ.ucsb.edu/~sleroy/webpage/
Phone:	8056892344
Workplace:	Department of Economics, University of California-Santa Barbara (UCSB), (more information at EDIRC)

Access statistics for papers by Stephen F. LeRoy.

Last updated 2022-07-18. Update your information in the RePEc Author Service.

Short-id: ple714

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Working Papers

2022

1. Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (3)
   See also Journal Article Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?, Journal of Economic Behavior & Organization, Elsevier (2022) View citations (3) (2022)

2019

2. Bubbles as Payoffs at Infinity
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996)
   See also Journal Article Bubbles as payoffs at infinity (*), Economic Theory, Springer (1997) View citations (5) (1997)
3. Causal Inference
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2010

4. Risk aversion and stock price volatility
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)

2009

5. Mortgage default and mortgage valuation
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)
6. Subprime Mortgages
   2009 Meeting Papers, Society for Economic Dynamics

2001

7. Infinite Portfolios
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
8. Liquidity and Liquidation
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
   See also Journal Article Liquidity and Liquidation, Economic Theory, Springer (2007) View citations (3) (2007)

1997

9. Returns on illiquid assets: are they fair games?
   Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco

1993

10. Stochastic bubbles in Markov economies
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

1992

11. Bublles and Charges
    Carleton Economic Papers, Carleton University, Department of Economics
    See also Journal Article Bubbles and Charges, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1992) View citations (44) (1992)

1991

12. Econometric Aspects of the Variance-Bound Tests: A Survey
    Carleton Economic Papers, Carleton University, Department of Economics View citations (14)
    See also Journal Article Econometric Aspects of the Variance-Bounds Tests: A Survey, The Review of Financial Studies, Society for Financial Studies (1991) View citations (30) (1991)
13. On the Arbitrage Pricing Theory
    Carleton Economic Papers, Carleton University, Department of Economics View citations (12)
    See also Journal Article On the Arbitrage Pricing Theory, Economic Theory, Springer (1991) View citations (12) (1991)
14. Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components
    Working Papers, Rochester, Business - General View citations (1)

1990

15. The Arbitrage Pricing Theory: A Geometric Interpretation
    Carleton Economic Papers, Carleton University, Department of Economics View citations (1)

1978

16. Determining the monetary instrument: a diagrammatic exposition
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article Determining the Monetary Instrument: A Diagrammatic Exposition, American Economic Review, American Economic Association (1978) View citations (3) (1978)

1975

17. Efficient use of current information in short-run monetary control
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
18. Observability, measurement error, and the optimal use of information for monetary policy
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2022

1. Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?
   Journal of Economic Behavior & Organization, 2022, 197, (C), 50-72 View citations (3)
   See also Working Paper Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?, Working Paper Series (2022) View citations (3) (2022)
2. Size and power in tests of return predictability
   Quantitative Finance, 2022, 22, (6), 1153-1167

2020

3. Deposit insurance and the coexistence of commercial and shadow banks
   Annals of Finance, 2020, 16, (2), 159-194 View citations (1)

2018

4. IMPLEMENTATION NEUTRALITY AND TREATMENT EVALUATION
   Economics and Philosophy, 2018, 34, (1), 45-52 View citations (1)
5. Implementation-Neutral Causation in Structural Models
   Contemporary Economics, 2018, 12, (3)

2016

6. IMPLEMENTATION-NEUTRAL CAUSATION
   Economics and Philosophy, 2016, 32, (1), 121-142 View citations (1)

2014

7. Risk aversion, investor information and stock market volatility
   European Economic Review, 2014, 70, (C), 88-107 View citations (14)

2013

8. Can risk aversion explain stock price volatility?
   FRBSF Economic Letter, 2013, (apr8) View citations (1)

2012

9. Infinite Portfolio Strategies
   Contemporary Economics, 2012, 6, (4)

2010

10. Convex payoffs: implications for risk-taking and financial reform
    FRBSF Economic Letter, 2010, (oct4)
11. Is the “invisible hand” still relevant?
    FRBSF Economic Letter, 2010, (may3)
12. Risky mortgages and mortgage default premiums
    FRBSF Economic Letter, 2010, (dec20) View citations (2)
13. Underwater mortgages
    FRBSF Economic Letter, 2010, (oct18) View citations (1)

2007

14. Liquidity and Liquidation
    Economic Theory, 2007, 31, (3), 553-572 View citations (3)
    See also Working Paper Liquidity and Liquidation, University of California at Santa Barbara, Economics Working Paper Series (2001) (2001)

2005

15. Liquidity and fire sales
    Proceedings, 2005, 249-270 View citations (2)
16. Positivity and bubbles in overlapping generations models
    Economics Bulletin, 2005, 7, (4), 1-4 View citations (1)

2004

17. Bubbles and the Intertemporal Government Budget Constraint
    Economics Bulletin, 2004, 5, (18), 1-6 View citations (1)

2003

18. Expected utility: a defense
    Economics Bulletin, 2003, 7, (7), 1-3
19. Review of Peter Bossaerts, The Paradox of Asset Pricing
    International Journal of the Economics of Business, 2003, 10, (1), 117-126

2001

20. Equilibrium valuation of illiquid assets
    Economic Theory, 2002, 19, (2), 223-242 View citations (7)

1998

21. Arbitrage, martingales and bubbles
    Economics Letters, 1998, 60, (3), 357-362

1997

22. Bubbles as payoffs at infinity (*)
    Economic Theory, 1997, 9, (2), 261-281 View citations (5)
    See also Working Paper Bubbles as Payoffs at Infinity, Finance and Economics Discussion Series (2019) (2019)

1996

23. Mortgage Valuation under Optimal Prepayment
    The Review of Financial Studies, 1996, 9, (3), 817-44 View citations (35)

1992

24. Bubbles and Charges
    International Economic Review, 1992, 33, (2), 323-39 View citations (44)
    See also Working Paper Bublles and Charges, Carleton Economic Papers (1992) (1992)
25. Stock Price Volatility: Tests Based on the Geometric Random Walk
    American Economic Review, 1992, 82, (4), 981-92 View citations (20)

1991

26. Econometric Aspects of the Variance-Bounds Tests: A Survey
    The Review of Financial Studies, 1991, 4, (4), 753-91 View citations (30)
    See also Working Paper Econometric Aspects of the Variance-Bound Tests: A Survey, Carleton Economic Papers (1991) View citations (14) (1991)
27. On the Arbitrage Pricing Theory
    Economic Theory, 1991, 1, (3), 213-29 View citations (12)
    See also Working Paper On the Arbitrage Pricing Theory, Carleton Economic Papers (1991) View citations (12) (1991)

1990

28. Capital market efficiency: an update
    Economic Review, 1990, (Spr), 29-40 View citations (1)
29. Mutual deposit insurance
    FRBSF Economic Letter, 1990, (jun8) View citations (6)

1989

30. Efficient Capital Markets and Martingales
    Journal of Economic Literature, 1989, 27, (4), 1583-1621 View citations (147)

1988

31. Stock price volatility: an inequality test based on the geometric random walk
    Proceedings, 1988 View citations (2)

1987

32. A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum
    Journal of Finance, 1987, 42, (2), 473
33. A monetarist model of inflation
    Journal of Economic Theory, 1987, 42, (2), 275-310
34. Knight on Risk and Uncertainty
    Journal of Political Economy, 1987, 95, (2), 394-406 View citations (59)

1986

35. A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition
    Journal of Finance, 1986, 41, (4), 975-79 View citations (13)
36. What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand
    American Economic Review, 1986, 76, (3), 504-07 View citations (2)

1985

37. Atheoretical macroeconometrics: A critique
    Journal of Monetary Economics, 1985, 16, (3), 283-308 View citations (241)
38. Contemporary macroeconomic modelling: edited by Pierre Malgrange and Pierre-Alain Muet (Blackwell, Oxford, 1984) pp. x + 319, $37.95
    Journal of Monetary Economics, 1985, 16, (1), 135-137

1984

39. Econometric Policy Evaluation: Note
    American Economic Review, 1984, 74, (3), 467-70 View citations (47)
40. Efficiency and the Variability of Asset Prices
    American Economic Review, 1984, 74, (2), 183-87 View citations (12)
41. Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks
    The Journal of Business, 1984, 57, (2), 197-213 View citations (20)
42. Nominal Prices and Interest Rates in General Equilibrium: Money Shocks
    The Journal of Business, 1984, 57, (2), 177-95 View citations (21)

1983

43. Keynes's theory of investment
    History of Political Economy, 1983, 15, (3), 397-421 View citations (4)
44. Paradise lost and regained: Transportation innovation, income, and residential location
    Journal of Urban Economics, 1983, 13, (1), 67-89 View citations (194)
45. Risk-aversion and the term structure of real interest rates correction
    Economics Letters, 1983, 12, (3-4), 339-340 View citations (1)

1982

46. Expectations Models of Asset Prices: A Survey of Theory
    Journal of Finance, 1982, 37, (1), 185-217 View citations (16)
47. Risk-aversion and the term structure of real interest rates
    Economics Letters, 1982, 10, (3-4), 355-361 View citations (3)

1981

48. Identification and Estimation of Money Demand
    American Economic Review, 1981, 71, (5), 825-44 View citations (80)
49. Risk Aversion and the Dispersion of Asset Prices
    The Journal of Business, 1981, 54, (4), 535-47 View citations (18)
50. The Present-Value Relation: Tests Based on Implied Variance Bounds
    Econometrica, 1981, 49, (3), 555-74 View citations (562)

1980

51. Entry and equilibrium under adjustment costs
    Journal of Economic Theory, 1980, 23, (3), 348-360 View citations (1)

1978

52. Determining the Monetary Instrument: A Diagrammatic Exposition
    American Economic Review, 1978, 68, (5), 929-34 View citations (3)
    See also Working Paper Determining the monetary instrument: a diagrammatic exposition, Special Studies Papers (1978) View citations (3) (1978)

1977

53. Applications of the Kalman Filter in Short-Run Monetary Control
    International Economic Review, 1977, 18, (1), 195-207 View citations (23)

1976

54. Efficient Capital Markets: Comment
    Journal of Finance, 1976, 31, (1), 139-41 View citations (26)
55. Stock Market Optimality: Comment
    The Quarterly Journal of Economics, 1976, 90, (1), 150-155
56. Urban land rent and the incidence of property taxes
    Journal of Urban Economics, 1976, 3, (2), 167-179 View citations (4)

1973

57. Risk Aversion and the Martingale Property of Stock Prices
    International Economic Review, 1973, 14, (2), 436-46 View citations (81)

Books

2014

1. Principles of Financial Economics
   Cambridge Books, Cambridge University Press View citations (27)
   Also in Cambridge Books, Cambridge University Press (2014) View citations (27)