Details about Stephen A. Ross

This author is deceased (2017-03-03).

Access statistics for papers by Stephen A. Ross.

Last updated 2019-01-26. Update your information in the RePEc Author Service.

Short-id: pro1047

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Jump to Journal Articles Edited books Chapters

Working Papers

2018

1. Notes on the Yield Curve
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2011

2. The Recovery Theorem
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2009

3. Market Selection
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   Also in 2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (12)
   See also Journal Article in Journal of Economic Theory (2017)

2008

4. The True Cost of Social Security
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Chapter (2018)

2004

5. High Water Marks
   Yale School of Management Working Papers, Yale School of Management View citations (18)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (5)
6. The Price Impact and Survival of Irrational Traders
   2004 Meeting Papers, Society for Economic Dynamics
   Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (2003) View citations (11)
   NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (9)
   See also Journal Article in Journal of Finance (2006)

2003

7. Rebels, Conformists, Contrarians And Momentum Traders
   Yale School of Management Working Papers, Yale School of Management View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (1)

2001

8. High-Water Marks and Hedge Fund Management Contracts
   Yale School of Management Working Papers, Yale School of Management View citations (2)
   Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (2)
   See also Journal Article in Journal of Finance (2003)

1998

9. Long Forward and Zero-Coupon Rates Can Never Fall
   Yale School of Management Working Papers, Yale School of Management
   See also Journal Article in The Journal of Business (1996)

1997

10. Post-Announcement Drift
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-

1993

11. Asymmetric Information and the Closed-End Fund Puzzle
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania

1989

12. COMMENTARY: USING TAX POLICY TO CURB SPECULATIVE SHORT-TERM TRADING
    Working Papers, Columbia - Center for Futures Markets View citations (6)

1988

13. Spanning, Valuation and Options
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    See also Journal Article in Economic Theory (1991)

1980

14. Progressive Taxation and the Inequality of After-Tax Income
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

Undated

15. Mutual Fund Separation in Financial Theory - The Separating Distributions
    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 (1)
    See also Chapter (2005)
    Journal Article in Journal of Economic Theory (1978)
16. Options and Efficiency
    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
    See also Journal Article in The Quarterly Journal of Economics (1976)
17. Portfolio Turnpike Theorems for Constant Policies
    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 Financial Economics (1974)
18. Portfolio and Capital Market Theory with Arbitrary Preferences and Distributions: The General Validity of the Mean-Variance Approach in Large Markets
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
19. Return, Risk and Arbitrage
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
20. Some Notes on the Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
21. Stability and Separability: The Role of the Stable Distributions in Portfolio Theory and Some Implications
    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
22. The Arbitrage Theory of Capital Asset Pricing
    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 Economic Theory (1976)
23. The Pricing of Options for Jump Processes
    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

Journal Articles

2017

1. Market selection
   Journal of Economic Theory, 2017, 168, (C), 209-236 View citations (1)
   See also Working Paper (2009)

2007

2. Teoria da estrutura a termo das taxas de juros
   RAE - Revista de Administração de Empresas, 2007, 47, (2)

2006

3. The Price Impact and Survival of Irrational Traders
   Journal of Finance, 2006, 61, (1), 195-229 View citations (76)
   See also Working Paper (2004)

2004

4. Compensation, Incentives, and the Duality of Risk Aversion and Riskiness
   Journal of Finance, 2004, 59, (1), 207-225 View citations (138)
5. Review of The New Financial Order by Shiller
   Journal of Economic Literature, 2004, 42, (4), 1098-1101

2003

6. Forensic Finance: Enron and Others
   'Angelo Costa' Lectures Serie, 2003, (Lect. IV)
   Also in Rivista di Politica Economica, 2002, 92, (6), 9-28 (2002) View citations (1)
7. High-Water Marks and Hedge Fund Management Contracts
   Journal of Finance, 2003, 58, (4), 1685-1718 View citations (93)
   See also Working Paper (2001)

2001

8. 24th Annual Lecture of The Geneva Association – Financial Regulation in the New Millennium&ast
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2001, 26, (1), 8-16
9. Discussion
   Journal of Finance, 2001, 56, (4), 1440-1443
10. Promotion and Relegation
    World Economics, 2001, 2, (2), 179-189 View citations (1)

1999

11. Adding Risks: Samuelson's Fallacy of Large Numbers Revisited
    Journal of Financial and Quantitative Analysis, 1999, 34, (03), 323-339 View citations (16)

1997

12. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 View citations (4)

1996

13. Long Forward and Zero-Coupon Rates Can Never Fall
    The Journal of Business, 1996, 69, (1), 1-25 View citations (56)
    See also Working Paper (1998)

1995

14. Survival
    Journal of Finance, 1995, 50, (3), 853-73 View citations (50)

1994

15. On the Cross-sectional Relation between Expected Returns and Betas
    Journal of Finance, 1994, 49, (1), 101-21 View citations (40)

1992

16. Waiting to Invest: Investment and Uncertainty
    The Journal of Business, 1992, 65, (1), 1-29 View citations (134)

1991

17. Risk and Return in Real Estate
    The Journal of Real Estate Finance and Economics, 1991, 4, (2), 175-90 View citations (54)
18. Spanning, Valuation and Options
    Economic Theory, 1991, 1, (1), 3-12 View citations (23)
    See also Working Paper (1988)

1989

19. A Test of the Efficiency of a Given Portfolio
    Econometrica, 1989, 57, (5), 1121-52 View citations (467)
20. Institutional Markets, Financial Marketing, and Financial Innovation
    Journal of Finance, 1989, 44, (3), 541-556 View citations (20)

1988

21. Comment on the Modigliani-Miller Propositions
    Journal of Economic Perspectives, 1988, 2, (4), 127-33 View citations (10)

1987

22. Arbitrage and Martingales with Taxation
    Journal of Political Economy, 1987, 95, (2), 371-93 View citations (37)
23. The Interrelations of Finance and Economics: Theoretical Perspectives
    American Economic Review, 1987, 77, (2), 29-34 View citations (16)

1986

24. Corrigendum [Measuring Investment Performance in a Rational Expectations Equilibrium Model]
    The Journal of Business, 1986, 59, (2), 367
25. Economic Forces and the Stock Market
    The Journal of Business, 1986, 59, (3), 383-403 View citations (1205)
26. Tax Clienteles and Asset Pricing
    Journal of Finance, 1986, 41, (3), 751-62 View citations (31)

1985

27. A Theory of the Term Structure of Interest Rates
    Econometrica, 1985, 53, (2), 385-407 View citations (1857)
    See also Chapter (2005)
28. An Intertemporal General Equilibrium Model of Asset Prices
    Econometrica, 1985, 53, (2), 363-84 View citations (433)
29. Debt and Taxes and Uncertainty
    Journal of Finance, 1985, 40, (3), 637-57 View citations (20)
30. Differential Information and Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 383-99 View citations (72)
31. Market Power in a Securities Market with Endogenous Information
    The Quarterly Journal of Economics, 1985, 100, (4), 1143-1167 View citations (10)
32. Measuring Investment Performance in a Rational Expectations Equilibrium Model
    The Journal of Business, 1985, 58, (1), 1-26 View citations (39)
33. The Analytics of Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 401-16 View citations (28)
34. Yes, the APT Is Testable
    Journal of Finance, 1985, 40, (4), 1173-88 View citations (14)

1984

35. A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply
    Journal of Finance, 1984, 39, (2), 347-50 View citations (11)

1983

36. Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
    Econometrica, 1983, 51, (5), 1345-61 View citations (19)
37. Spanning and arbitrage in securities markets with options: A state preference aproach
    Mathematical Social Sciences, 1983, 4, (2), 186-186 View citations (1)

1982

38. Portfolio Efficient Sets
    Econometrica, 1982, 50, (6), 1525-46 View citations (20)
39. The Determination of Fair Profits for the Property-Liability Insurance Firm
    Journal of Finance, 1982, 37, (4), 1015-28 View citations (7)

1981

40. A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates
    Journal of Finance, 1981, 36, (4), 769-99 View citations (92)
41. Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
    Econometrica, 1981, 49, (3), 621-38 View citations (138)
42. The relation between forward prices and futures prices
    Journal of Financial Economics, 1981, 9, (4), 321-346 View citations (151)
43. Tobin's q Ratio and Industrial Organization
    The Journal of Business, 1981, 54, (1), 1-32 View citations (178)

1980

44. An Analysis of Variable Rate Loan Contracts
    Journal of Finance, 1980, 35, (2), 389-403 View citations (92)
45. An Empirical Investigation of the Arbitrage Pricing Theory
    Journal of Finance, 1980, 35, (5), 1073-1103 View citations (171)
46. Present values and internal rates of return
    Journal of Economic Theory, 1980, 23, (1), 66-81 View citations (5)

1979

47. Duration and the Measurement of Basis Risk
    The Journal of Business, 1979, 52, (1), 51-61 View citations (40)
48. Equilibrium and Agency--Inadmissible Agents in the Public Agency Problem
    American Economic Review, 1979, 69, (2), 308-12 View citations (1)
49. Option pricing: A simplified approach
    Journal of Financial Economics, 1979, 7, (3), 229-263 View citations (923)

1978

50. A Simple Approach to the Valuation of Risky Streams
    The Journal of Business, 1978, 51, (3), 453-75 View citations (123)
51. Comments: Capital Asset Pricing in a General Equilibrium Framework
    Journal of Financial and Quantitative Analysis, 1978, 13, (04), 625-626
52. Mutual fund separation in financial theory--The separating distributions
    Journal of Economic Theory, 1978, 17, (2), 254-286 View citations (61)
    See also Working Paper
    Chapter (2005)
53. Some Notes on Financial Incentive-Signalling Models, Activity Choice and Risk Preferences
    Journal of Finance, 1978, 33, (3), 777-92 View citations (8)
54. The Current Status of the Capital Asset Pricing Model (CAPM)
    Journal of Finance, 1978, 33, (3), 885-901 View citations (16)

1977

55. Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims
    Journal of Financial and Quantitative Analysis, 1977, 12, (04), 661-661 View citations (2)
56. Comments on qualitative results for investment proportions
    Journal of Financial Economics, 1977, 5, (2), 265-268 View citations (4)
57. Investments-Theoretical Issues: Discussion
    Journal of Finance, 1977, 32, (2), 412-15
58. The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
    Journal of Finance, 1977, 32, (1), 177-83 View citations (18)
59. The Determination of Financial Structure: The Incentive-Signalling Approach
    Bell Journal of Economics, 1977, 8, (1), 23-40 View citations (364)

1976

60. A Survey of Some New Results in Financial Option Pricing Theory
    Journal of Finance, 1976, 31, (2), 383-402 View citations (18)
61. Options and Efficiency
    The Quarterly Journal of Economics, 1976, 90, (1), 75-89 View citations (160)
    See also Working Paper
62. The arbitrage theory of capital asset pricing
    Journal of Economic Theory, 1976, 13, (3), 341-360 View citations (1168)
    See also Working Paper
63. The valuation of options for alternative stochastic processes
    Journal of Financial Economics, 1976, 3, (1-2), 145-166 View citations (601)

1975

64. Pricing and Timing Decisions in Oligopoly Industries
    The Quarterly Journal of Economics, 1975, 89, (1), 115-137 View citations (1)
65. Uncertainty and the Heterogeneous Capital Good Model
    Review of Economic Studies, 1975, 42, (1), 133-146 View citations (5)
66. Wage Determination, Inflation, and the Industrial Structure: Reply
    American Economic Review, 1975, 65, (3), 507-09

1974

67. Portfolio turnpike theorems for constant policies
    Journal of Financial Economics, 1974, 1, (2), 171-198 View citations (12)
    See also Working Paper

1973

68. The Economic Theory of Agency: The Principal's Problem
    American Economic Review, 1973, 63, (2), 134-39 View citations (368)
69. Wage Determination, Inflation, and the Industrial Structure
    American Economic Review, 1973, 63, (4), 675-92 View citations (2)

1971

70. International capital movements and long run diversification
    Journal of International Economics, 1971, 1, (3), 301-314 View citations (1)

1970

71. A Fisherian Approach to Trade, Capital Movements, and Tariffs
    American Economic Review, 1970, 60, (3), 478-84

Edited books

2000

1. The Debt Market, vol Three volume set
   Books, Edward Elgar Publishing

Chapters

2018

1. The True Cost of Social Security
   A chapter in Tax Policy and the Economy, Volume 33, 2018
   See also Working Paper (2008)

2010

2. Comment on "Crime and the Family: Lessons from Teen Childbearing"
   A chapter in Controlling Crime: Strategies and Tradeoffs, 2010, pp 598-602

2005

3. A THEORY OF THE TERM STRUCTURE OF INTEREST RATES
   Chapter 5 in Theory Of Valuation, 2005, pp 129-164
   See also Journal Article in Econometrica (1985)
4. Mutual Fund Separation in Financial Theory—The Separating Distributions
   Chapter 10 in Theory Of Valuation, 2005, pp 309-356
   See also Journal Article in Journal of Economic Theory (1978)
   Working Paper

2003

5. Arbitrage, state prices and portfolio theory
   Chapter 10 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 605-637 View citations (2)

1981

6. Learning by Observing and the Distribution of Wages
   A chapter in Studies in Labor Markets, 1981, pp 359-386 View citations (9)