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Details about Stephen A. Ross

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

Access statistics for papers by Stephen A. Ross.

Last updated 2018-11-12. Update your information in the RePEc Author Service.

Short-id: pro1047


Jump to Journal Articles Edited books Chapters

Working Papers

2011

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

2009

  1. Market Selection
    2009 Meeting Papers, Society for Economic Dynamics Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (11)

    See also Journal Article in Journal of Economic Theory (2017)

2008

  1. The True Cost of Social Security
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2004

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

    See also Journal Article in Journal of Finance (2006)

2003

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

2001

  1. High-Water Marks and Hedge Fund Management Contracts
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
    Also in Yale School of Management Working Papers, Yale School of Management (2001) Downloads View citations (2)

    See also Journal Article in Journal of Finance (2003)

1998

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

1997

  1. 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

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

1989

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

1988

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

1980

  1. 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 Downloads

Undated

  1. 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)
  2. 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)
  3. 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)
  4. 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
  5. Return, Risk and Arbitrage
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  6. 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
  7. 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
  8. 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)
  9. 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 Downloads View citations (1)
    See also Working Paper (2009)

2006

  1. The Price Impact and Survival of Irrational Traders
    Journal of Finance, 2006, 61, (1), 195-229 Downloads View citations (75)
    See also Working Paper (2004)

2004

  1. Compensation, Incentives, and the Duality of Risk Aversion and Riskiness
    Journal of Finance, 2004, 59, (1), 207-225 Downloads View citations (127)
  2. Review of The New Financial Order by Shiller
    Journal of Economic Literature, 2004, 42, (4), 1098-1101 Downloads

2003

  1. Forensic Finance: Enron and Others
    'Angelo Costa' Lectures Serie, 2003, (Lect. IV) Downloads
    Also in Rivista di Politica Economica, 2002, 92, (6), 9-28 (2002) Downloads View citations (1)
  2. High-Water Marks and Hedge Fund Management Contracts
    Journal of Finance, 2003, 58, (4), 1685-1718 Downloads View citations (85)
    See also Working Paper (2001)

2001

  1. 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 Downloads
  2. Discussion
    Journal of Finance, 2001, 56, (4), 1440-1443 Downloads
  3. Promotion and Relegation
    World Economics, 2001, 2, (2), 179-189 Downloads View citations (1)

1999

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

1997

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

1996

  1. Long Forward and Zero-Coupon Rates Can Never Fall
    The Journal of Business, 1996, 69, (1), 1-25 Downloads View citations (52)
    See also Working Paper (1998)

1995

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

1994

  1. On the Cross-sectional Relation between Expected Returns and Betas
    Journal of Finance, 1994, 49, (1), 101-21 Downloads View citations (37)

1992

  1. Waiting to Invest: Investment and Uncertainty
    The Journal of Business, 1992, 65, (1), 1-29 Downloads View citations (128)

1991

  1. Risk and Return in Real Estate
    The Journal of Real Estate Finance and Economics, 1991, 4, (2), 175-90 View citations (53)
  2. Spanning, Valuation and Options
    Economic Theory, 1991, 1, (1), 3-12 View citations (23)
    See also Working Paper (1988)

1989

  1. A Test of the Efficiency of a Given Portfolio
    Econometrica, 1989, 57, (5), 1121-52 Downloads View citations (444)
  2. Institutional Markets, Financial Marketing, and Financial Innovation
    Journal of Finance, 1989, 44, (3), 541-556 Downloads View citations (18)

1988

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

1987

  1. Arbitrage and Martingales with Taxation
    Journal of Political Economy, 1987, 95, (2), 371-93 Downloads View citations (36)
  2. The Interrelations of Finance and Economics: Theoretical Perspectives
    American Economic Review, 1987, 77, (2), 29-34 Downloads View citations (16)

1986

  1. Corrigendum [Measuring Investment Performance in a Rational Expectations Equilibrium Model]
    The Journal of Business, 1986, 59, (2), 367 Downloads
  2. Economic Forces and the Stock Market
    The Journal of Business, 1986, 59, (3), 383-403 Downloads View citations (1152)
  3. Tax Clienteles and Asset Pricing
    Journal of Finance, 1986, 41, (3), 751-62 Downloads View citations (31)

1985

  1. A Theory of the Term Structure of Interest Rates
    Econometrica, 1985, 53, (2), 385-407 Downloads View citations (1797)
    See also Chapter (2005)
  2. An Intertemporal General Equilibrium Model of Asset Prices
    Econometrica, 1985, 53, (2), 363-84 Downloads View citations (419)
  3. Debt and Taxes and Uncertainty
    Journal of Finance, 1985, 40, (3), 637-57 Downloads View citations (20)
  4. Differential Information and Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 383-99 Downloads View citations (67)
  5. Market Power in a Securities Market with Endogenous Information
    The Quarterly Journal of Economics, 1985, 100, (4), 1143-1167 Downloads View citations (10)
  6. Measuring Investment Performance in a Rational Expectations Equilibrium Model
    The Journal of Business, 1985, 58, (1), 1-26 Downloads View citations (37)
  7. The Analytics of Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 401-16 Downloads View citations (25)
  8. Yes, the APT Is Testable
    Journal of Finance, 1985, 40, (4), 1173-88 Downloads View citations (14)

1984

  1. A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply
    Journal of Finance, 1984, 39, (2), 347-50 Downloads View citations (10)

1983

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

1982

  1. Portfolio Efficient Sets
    Econometrica, 1982, 50, (6), 1525-46 Downloads View citations (20)
  2. The Determination of Fair Profits for the Property-Liability Insurance Firm
    Journal of Finance, 1982, 37, (4), 1015-28 Downloads View citations (5)

1981

  1. A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates
    Journal of Finance, 1981, 36, (4), 769-99 Downloads View citations (91)
  2. Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
    Econometrica, 1981, 49, (3), 621-38 Downloads View citations (135)
  3. The relation between forward prices and futures prices
    Journal of Financial Economics, 1981, 9, (4), 321-346 Downloads View citations (148)
  4. Tobin's q Ratio and Industrial Organization
    The Journal of Business, 1981, 54, (1), 1-32 Downloads View citations (165)

1980

  1. An Analysis of Variable Rate Loan Contracts
    Journal of Finance, 1980, 35, (2), 389-403 Downloads View citations (90)
  2. An Empirical Investigation of the Arbitrage Pricing Theory
    Journal of Finance, 1980, 35, (5), 1073-1103 Downloads View citations (168)
  3. Present values and internal rates of return
    Journal of Economic Theory, 1980, 23, (1), 66-81 Downloads View citations (5)

1979

  1. Duration and the Measurement of Basis Risk
    The Journal of Business, 1979, 52, (1), 51-61 Downloads View citations (39)
  2. Equilibrium and Agency--Inadmissible Agents in the Public Agency Problem
    American Economic Review, 1979, 69, (2), 308-12 View citations (1)
  3. Option pricing: A simplified approach
    Journal of Financial Economics, 1979, 7, (3), 229-263 Downloads View citations (881)

1978

  1. A Simple Approach to the Valuation of Risky Streams
    The Journal of Business, 1978, 51, (3), 453-75 Downloads View citations (116)
  2. Comments: Capital Asset Pricing in a General Equilibrium Framework
    Journal of Financial and Quantitative Analysis, 1978, 13, (04), 625-626 Downloads
  3. Mutual fund separation in financial theory--The separating distributions
    Journal of Economic Theory, 1978, 17, (2), 254-286 Downloads View citations (59)
    See also Chapter (2005)
    Working Paper
  4. Some Notes on Financial Incentive-Signalling Models, Activity Choice and Risk Preferences
    Journal of Finance, 1978, 33, (3), 777-92 Downloads View citations (8)
  5. The Current Status of the Capital Asset Pricing Model (CAPM)
    Journal of Finance, 1978, 33, (3), 885-901 Downloads View citations (15)

1977

  1. 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 Downloads View citations (1)
  2. Comments on qualitative results for investment proportions
    Journal of Financial Economics, 1977, 5, (2), 265-268 Downloads View citations (4)
  3. Investments-Theoretical Issues: Discussion
    Journal of Finance, 1977, 32, (2), 412-15 Downloads
  4. The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
    Journal of Finance, 1977, 32, (1), 177-83 Downloads View citations (17)
  5. The Determination of Financial Structure: The Incentive-Signalling Approach
    Bell Journal of Economics, 1977, 8, (1), 23-40 Downloads View citations (320)

1976

  1. A Survey of Some New Results in Financial Option Pricing Theory
    Journal of Finance, 1976, 31, (2), 383-402 Downloads View citations (17)
  2. Options and Efficiency
    The Quarterly Journal of Economics, 1976, 90, (1), 75-89 Downloads View citations (156)
    See also Working Paper
  3. The arbitrage theory of capital asset pricing
    Journal of Economic Theory, 1976, 13, (3), 341-360 Downloads View citations (1126)
    See also Working Paper
  4. The valuation of options for alternative stochastic processes
    Journal of Financial Economics, 1976, 3, (1-2), 145-166 Downloads View citations (585)

1975

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

1974

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

1973

  1. The Economic Theory of Agency: The Principal's Problem
    American Economic Review, 1973, 63, (2), 134-39 Downloads View citations (354)
  2. Wage Determination, Inflation, and the Industrial Structure
    American Economic Review, 1973, 63, (4), 675-92 Downloads View citations (2)

1971

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

1970

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

Edited books

2000

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

Chapters

2010

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

2005

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

2003

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

1981

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