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Details about Stephen F. LeRoy

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

Access statistics for papers by Stephen F. LeRoy.

Last updated 2019-07-18. Update your information in the RePEc Author Service.

Short-id: ple714


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Working Papers

2019

  1. Causal Inference
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads

2018

  1. Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads

2010

  1. Risk aversion and stock price volatility
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads

2009

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

2001

  1. Infinite Portfolios
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
  2. Liquidity and Liquidation
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
    See also Journal Article in Economic Theory (2007)

1997

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

1996

  1. Bubbles as payoffs at infinity
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) Downloads
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) Downloads

    See also Journal Article in Economic Theory (1997)

1993

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

1992

  1. Bublles and Charges
    Carleton Economic Papers, Carleton University, Department of Economics
    See also Journal Article in International Economic Review (1992)

1991

  1. Econometric Aspects of the Variance-Bound Tests: A Survey
    Carleton Economic Papers, Carleton University, Department of Economics View citations (11)
    See also Journal Article in Review of Financial Studies (1991)
  2. On the Arbitrage Pricing Theory
    Carleton Economic Papers, Carleton University, Department of Economics View citations (1)
    See also Journal Article in Economic Theory (1991)
  3. Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components
    Working Papers, Rochester, Business - General View citations (1)

1990

  1. The Arbitrage Pricing Theory: A Geometric Interpretation
    Carleton Economic Papers, Carleton University, Department of Economics

1978

  1. 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 in American Economic Review (1978)

1975

  1. 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 (1)
  2. 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

2018

  1. IMPLEMENTATION NEUTRALITY AND TREATMENT EVALUATION
    Economics and Philosophy, 2018, 34, (01), 45-52 Downloads View citations (1)
  2. Implementation-Neutral Causation in Structural Models
    Contemporary Economics, 2018, 12, (3) Downloads

2016

  1. IMPLEMENTATION-NEUTRAL CAUSATION
    Economics and Philosophy, 2016, 32, (01), 121-142 Downloads View citations (1)

2014

  1. Risk aversion, investor information and stock market volatility
    European Economic Review, 2014, 70, (C), 88-107 Downloads View citations (6)

2013

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

2012

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

2010

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

2007

  1. Liquidity and Liquidation
    Economic Theory, 2007, 31, (3), 553-572 Downloads View citations (3)
    See also Working Paper (2001)

2005

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

2004

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

2003

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

2001

  1. Equilibrium valuation of illiquid assets
    Economic Theory, 2002, 19, (2), 223-242 Downloads View citations (6)

1998

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

1997

  1. Bubbles as payoffs at infinity (*)
    Economic Theory, 1997, 9, (2), 261-281 View citations (4)
    See also Working Paper (1996)

1996

  1. Mortgage Valuation under Optimal Prepayment
    Review of Financial Studies, 1996, 9, (3), 817-44 Downloads View citations (29)

1992

  1. Bubbles and Charges
    International Economic Review, 1992, 33, (2), 323-39 Downloads View citations (31)
    See also Working Paper (1992)
  2. Stock Price Volatility: Tests Based on the Geometric Random Walk
    American Economic Review, 1992, 82, (4), 981-92 Downloads View citations (14)

1991

  1. Econometric Aspects of the Variance-Bounds Tests: A Survey
    Review of Financial Studies, 1991, 4, (4), 753-91 Downloads View citations (21)
    See also Working Paper (1991)
  2. On the Arbitrage Pricing Theory
    Economic Theory, 1991, 1, (3), 213-29 View citations (8)
    See also Working Paper (1991)

1990

  1. Capital market efficiency: an update
    Economic Review, 1990, (Spr), 29-40 Downloads View citations (1)
  2. Mutual deposit insurance
    FRBSF Economic Letter, 1990, (jun8) Downloads View citations (10)

1989

  1. Efficient Capital Markets and Martingales
    Journal of Economic Literature, 1989, 27, (4), 1583-1621 Downloads View citations (123)

1988

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

1987

  1. A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum
    Journal of Finance, 1987, 42, (2), 473
  2. A monetarist model of inflation
    Journal of Economic Theory, 1987, 42, (2), 275-310 Downloads
  3. Knight on Risk and Uncertainty
    Journal of Political Economy, 1987, 95, (2), 394-406 Downloads View citations (36)

1986

  1. A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition
    Journal of Finance, 1986, 41, (4), 975-79 Downloads View citations (10)
  2. What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand
    American Economic Review, 1986, 76, (3), 504-07 Downloads

1985

  1. Atheoretical macroeconometrics: A critique
    Journal of Monetary Economics, 1985, 16, (3), 283-308 Downloads View citations (206)
  2. 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 Downloads

1984

  1. Econometric Policy Evaluation: Note
    American Economic Review, 1984, 74, (3), 467-70 Downloads View citations (43)
  2. Efficiency and the Variability of Asset Prices
    American Economic Review, 1984, 74, (2), 183-87 Downloads View citations (11)
  3. Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks
    The Journal of Business, 1984, 57, (2), 197-213 Downloads View citations (12)
  4. Nominal Prices and Interest Rates in General Equilibrium: Money Shocks
    The Journal of Business, 1984, 57, (2), 177-95 Downloads View citations (16)

1983

  1. Keynes's theory of investment
    History of Political Economy, 1983, 15, (3), 397-421 Downloads View citations (2)
  2. Paradise lost and regained: Transportation innovation, income, and residential location
    Journal of Urban Economics, 1983, 13, (1), 67-89 Downloads View citations (115)
  3. Risk-aversion and the term structure of real interest rates correction
    Economics Letters, 1983, 12, (3-4), 339-340 Downloads View citations (1)

1982

  1. Expectations Models of Asset Prices: A Survey of Theory
    Journal of Finance, 1982, 37, (1), 185-217 Downloads View citations (13)
  2. Risk-aversion and the term structure of real interest rates
    Economics Letters, 1982, 10, (3-4), 355-361 Downloads View citations (3)

1981

  1. Identification and Estimation of Money Demand
    American Economic Review, 1981, 71, (5), 825-44 Downloads View citations (59)
  2. Risk Aversion and the Dispersion of Asset Prices
    The Journal of Business, 1981, 54, (4), 535-47 Downloads View citations (13)
  3. The Present-Value Relation: Tests Based on Implied Variance Bounds
    Econometrica, 1981, 49, (3), 555-74 Downloads View citations (358)

1980

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

1978

  1. Determining the Monetary Instrument: A Diagrammatic Exposition
    American Economic Review, 1978, 68, (5), 929-34 Downloads View citations (3)
    See also Working Paper (1978)

1977

  1. Applications of the Kalman Filter in Short-Run Monetary Control
    International Economic Review, 1977, 18, (1), 195-207 Downloads View citations (21)

1976

  1. Efficient Capital Markets: Comment
    Journal of Finance, 1976, 31, (1), 139-41 Downloads View citations (18)
  2. Stock Market Optimality: Comment
    The Quarterly Journal of Economics, 1976, 90, (1), 150-155 Downloads
  3. Urban land rent and the incidence of property taxes
    Journal of Urban Economics, 1976, 3, (2), 167-179 Downloads View citations (2)

1973

  1. Risk Aversion and the Martingale Property of Stock Prices
    International Economic Review, 1973, 14, (2), 436-46 Downloads View citations (69)

Books

2014

  1. Principles of Financial Economics
    Cambridge Books, Cambridge University Press View citations (7)
    Also in Cambridge Books, Cambridge University Press (2014) View citations (7)
 
Page updated 2019-10-16