Details about Stephen A. Ross

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

Access statistics for papers by Stephen A. Ross.

Last updated 2023-03-10. 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 (5)
   See also Journal Article Notes on the yield curve, Journal of Financial Economics, Elsevier (2019) View citations (7) (2019)

2011

2. The Recovery Theorem
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2009

3. Market Selection
   2009 Meeting Papers, Society for Economic Dynamics View citations (13)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (11)
   See also Journal Article Market selection, Journal of Economic Theory, Elsevier (2017) View citations (1) (2017)

2008

4. The True Cost of Social Security
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   See also Chapter The True Cost of Social Security, NBER Chapters, National Bureau of Economic Research, Inc (2018) (2018)
   Journal Article The True Cost of Social Security, Tax Policy and the Economy, University of Chicago Press (2019) (2019)

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 (7)
6. The Price Impact and Survival of Irrational Traders
   2004 Meeting Papers, Society for Economic Dynamics View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (10)
   Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (2003) View citations (15)
   See also Journal Article The Price Impact and Survival of Irrational Traders, Journal of Finance, American Finance Association (2006) View citations (129) (2006)

2003

7. Rebels, Conformists, Contrarians And Momentum Traders
   Yale School of Management Working Papers, Yale School of Management View citations (1)
   Also in Yale School of Management Working Papers, Yale School of Management (2003)
   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
   Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (3)
   Yale School of Management Working Papers, Yale School of Management (2001) View citations (3)
   See also Journal Article High‐Water Marks and Hedge Fund Management Contracts, Journal of Finance, American Finance Association (2003) View citations (140) (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 Long Forward and Zero-Coupon Rates Can Never Fall, The Journal of Business, University of Chicago Press (1996) View citations (89) (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 (13)

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 Spanning, Valuation and Options, Economic Theory, Springer (1991) View citations (32) (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 Journal Article Mutual fund separation in financial theory--The separating distributions, Journal of Economic Theory, Elsevier (1978) View citations (99) (1978)
    Chapter Mutual Fund Separation in Financial Theory—The Separating Distributions, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2005) (2005)
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 Options and Efficiency, The Quarterly Journal of Economics, President and Fellows of Harvard College (1976) View citations (244) (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 Portfolio turnpike theorems for constant policies, Journal of Financial Economics, Elsevier (1974) View citations (15) (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 (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (5)
    See also Journal Article The arbitrage theory of capital asset pricing, Journal of Economic Theory, Elsevier (1976) View citations (1916) (1976)
    Chapter The Arbitrage Theory of Capital Asset Pricing, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2013) View citations (21) (2013)
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

2019

1. Notes on the yield curve
   Journal of Financial Economics, 2019, 134, (3), 689-702 View citations (7)
   See also Working Paper Notes on the Yield Curve, CEPR Discussion Papers (2018) View citations (5) (2018)
2. The True Cost of Social Security
   Tax Policy and the Economy, 2019, 33, (1), 131 - 163
   See also Chapter The True Cost of Social Security, NBER Chapters, 2018 (2018) (2018)
   Working Paper The True Cost of Social Security, NBER Working Papers (2008) View citations (5) (2008)

2017

3. Market selection
   Journal of Economic Theory, 2017, 168, (C), 209-236 View citations (1)
   See also Working Paper Market Selection, 2009 Meeting Papers (2009) View citations (13) (2009)

2016

4. Q Group Panel Discussion: Looking to the Future
   Financial Analysts Journal, 2016, 72, (4), 17-25

2007

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

2006

6. The Price Impact and Survival of Irrational Traders
   Journal of Finance, 2006, 61, (1), 195-229 View citations (129)
   See also Working Paper The Price Impact and Survival of Irrational Traders, 2004 Meeting Papers (2004) View citations (1) (2004)

2004

7. Review of The New Financial Order by Shiller
   Journal of Economic Literature, 2004, 42, (4), 1098-1101

2003

8. 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 (2)
9. High‐Water Marks and Hedge Fund Management Contracts
   Journal of Finance, 2003, 58, (4), 1685-1718 View citations (140)
   See also Working Paper High-Water Marks and Hedge Fund Management Contracts, Yale School of Management Working Papers (2001) (2001)

2001

10. 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
11. Discussion
    Journal of Finance, 2001, 56, (4), 1440-1443
12. Promotion and Relegation
    World Economics, 2001, 2, (2), 179-189 View citations (3)

1999

13. Adding Risks: Samuelson's Fallacy of Large Numbers Revisited
    Journal of Financial and Quantitative Analysis, 1999, 34, (3), 323-339 View citations (25)

1997

14. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 View citations (5)

1996

15. Long Forward and Zero-Coupon Rates Can Never Fall
    The Journal of Business, 1996, 69, (1), 1-25 View citations (89)
    See also Working Paper Long Forward and Zero-Coupon Rates Can Never Fall, Yale School of Management Working Papers (1998) (1998)

1995

16. Survival
    Journal of Finance, 1995, 50, (3), 853-73 View citations (51)

1994

17. On the Cross-sectional Relation between Expected Returns and Betas
    Journal of Finance, 1994, 49, (1), 101-21 View citations (109)

1992

18. Waiting to Invest: Investment and Uncertainty
    The Journal of Business, 1992, 65, (1), 1-29 View citations (179)

1991

19. Risk and Return in Real Estate
    The Journal of Real Estate Finance and Economics, 1991, 4, (2), 175-90 View citations (76)
20. Spanning, Valuation and Options
    Economic Theory, 1991, 1, (1), 3-12 View citations (32)
    See also Working Paper Spanning, Valuation and Options, Cowles Foundation Discussion Papers (1988) View citations (3) (1988)

1989

21. A Test of the Efficiency of a Given Portfolio
    Econometrica, 1989, 57, (5), 1121-52 View citations (782)
22. Institutional Markets, Financial Marketing, and Financial Innovation
    Journal of Finance, 1989, 44, (3), 541-556 View citations (61)

1988

23. Comment on the Modigliani-Miller Propositions
    Journal of Economic Perspectives, 1988, 2, (4), 127-33 View citations (14)

1987

24. Arbitrage and Martingales with Taxation
    Journal of Political Economy, 1987, 95, (2), 371-93 View citations (43)
25. The Interrelations of Finance and Economics: Theoretical Perspectives
    American Economic Review, 1987, 77, (2), 29-34 View citations (22)

1986

26. Corrigendum [Measuring Investment Performance in a Rational Expectations Equilibrium Model]
    The Journal of Business, 1986, 59, (2), 367
27. Economic Forces and the Stock Market
    The Journal of Business, 1986, 59, (3), 383-403 View citations (1796)
28. Tax Clienteles and Asset Pricing
    Journal of Finance, 1986, 41, (3), 751-62 View citations (36)

1985

29. A Theory of the Term Structure of Interest Rates
    Econometrica, 1985, 53, (2), 385-407 View citations (2522)
    See also Chapter A THEORY OF THE TERM STRUCTURE OF INTEREST RATES, World Scientific Book Chapters, 2005, 129-164 (2005) View citations (21) (2005)
30. An Intertemporal General Equilibrium Model of Asset Prices
    Econometrica, 1985, 53, (2), 363-84 View citations (558)
31. Debt and Taxes and Uncertainty
    Journal of Finance, 1985, 40, (3), 637-57 View citations (26)
32. Differential Information and Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 383-99 View citations (122)
33. Market Power in a Securities Market with Endogenous Information
    The Quarterly Journal of Economics, 1985, 100, (4), 1143-1167 View citations (15)
34. Measuring Investment Performance in a Rational Expectations Equilibrium Model
    The Journal of Business, 1985, 58, (1), 1-26 View citations (59)
35. The Analytics of Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 401-16 View citations (120)
36. Yes, the APT Is Testable
    Journal of Finance, 1985, 40, (4), 1173-88 View citations (21)

1984

37. A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply
    Journal of Finance, 1984, 39, (2), 347-50 View citations (15)

1983

38. Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
    Econometrica, 1983, 51, (5), 1345-61 View citations (22)
39. Spanning and arbitrage in securities markets with options: A state preference aproach
    Mathematical Social Sciences, 1983, 4, (2), 186-186 View citations (2)

1982

40. Portfolio Efficient Sets
    Econometrica, 1982, 50, (6), 1525-46 View citations (31)
41. The Determination of Fair Profits for the Property-Liability Insurance Firm
    Journal of Finance, 1982, 37, (4), 1015-28 View citations (10)

1981

42. A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates
    Journal of Finance, 1981, 36, (4), 769-99 View citations (150)
43. Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
    Econometrica, 1981, 49, (3), 621-38 View citations (207)
44. The relation between forward prices and futures prices
    Journal of Financial Economics, 1981, 9, (4), 321-346 View citations (212)
45. Tobin's q Ratio and Industrial Organization
    The Journal of Business, 1981, 54, (1), 1-32 View citations (237)

1980

46. An Analysis of Variable Rate Loan Contracts
    Journal of Finance, 1980, 35, (2), 389-403 View citations (101)
47. An Empirical Investigation of the Arbitrage Pricing Theory
    Journal of Finance, 1980, 35, (5), 1073-1103 View citations (252)
48. Present values and internal rates of return
    Journal of Economic Theory, 1980, 23, (1), 66-81 View citations (7)

1979

49. Duration and the Measurement of Basis Risk
    The Journal of Business, 1979, 52, (1), 51-61 View citations (49)
50. Equilibrium and Agency--Inadmissible Agents in the Public Agency Problem
    American Economic Review, 1979, 69, (2), 308-12 View citations (2)
51. Option pricing: A simplified approach
    Journal of Financial Economics, 1979, 7, (3), 229-263 View citations (1403)

1978

52. A Simple Approach to the Valuation of Risky Streams
    The Journal of Business, 1978, 51, (3), 453-75 View citations (180)
53. Comments: Capital Asset Pricing in a General Equilibrium Framework
    Journal of Financial and Quantitative Analysis, 1978, 13, (4), 625-626
54. Mutual fund separation in financial theory--The separating distributions
    Journal of Economic Theory, 1978, 17, (2), 254-286 View citations (99)
    See also Working Paper Mutual Fund Separation in Financial Theory - The Separating Distributions, Rodney L. White Center for Financial Research Working Papers
    Chapter Mutual Fund Separation in Financial Theory—The Separating Distributions, World Scientific Book Chapters, 2005, 309-356 (2005) (2005)
55. Some Notes on Financial Incentive-Signalling Models, Activity Choice and Risk Preferences
    Journal of Finance, 1978, 33, (3), 777-92 View citations (16)
56. The Current Status of the Capital Asset Pricing Model (CAPM)
    Journal of Finance, 1978, 33, (3), 885-901 View citations (29)

1977

57. 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, (4), 661-661 View citations (4)
58. Comments on qualitative results for investment proportions
    Journal of Financial Economics, 1977, 5, (2), 265-268 View citations (6)
59. Investments-Theoretical Issues: Discussion
    Journal of Finance, 1977, 32, (2), 412-15
60. The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
    Journal of Finance, 1977, 32, (1), 177-83 View citations (49)
61. The Determination of Financial Structure: The Incentive-Signalling Approach
    Bell Journal of Economics, 1977, 8, (1), 23-40 View citations (852)

1976

62. A Survey of Some New Results in Financial Option Pricing Theory
    Journal of Finance, 1976, 31, (2), 383-402 View citations (28)
63. Options and Efficiency
    The Quarterly Journal of Economics, 1976, 90, (1), 75-89 View citations (244)
    See also Working Paper Options and Efficiency, Rodney L. White Center for Financial Research Working Papers
64. The arbitrage theory of capital asset pricing
    Journal of Economic Theory, 1976, 13, (3), 341-360 View citations (1916)
    See also Chapter The Arbitrage Theory of Capital Asset Pricing, World Scientific Book Chapters, 2013, 11-30 (2013) View citations (21) (2013)
    Working Paper The Arbitrage Theory of Capital Asset Pricing, Rodney L. White Center for Financial Research Working Papers View citations (1)
65. The valuation of options for alternative stochastic processes
    Journal of Financial Economics, 1976, 3, (1-2), 145-166 View citations (822)

1975

66. Pricing and Timing Decisions in Oligopoly Industries
    The Quarterly Journal of Economics, 1975, 89, (1), 115-137 View citations (1)
67. Uncertainty and the Heterogeneous Capital Good Model
    The Review of Economic Studies, 1975, 42, (1), 133-146 View citations (6)
68. Wage Determination, Inflation, and the Industrial Structure: Reply
    American Economic Review, 1975, 65, (3), 507-09

1974

69. Portfolio turnpike theorems for constant policies
    Journal of Financial Economics, 1974, 1, (2), 171-198 View citations (15)
    See also Working Paper Portfolio Turnpike Theorems for Constant Policies, Rodney L. White Center for Financial Research Working Papers

1973

70. The Economic Theory of Agency: The Principal's Problem
    American Economic Review, 1973, 63, (2), 134-39 View citations (653)
71. Wage Determination, Inflation, and the Industrial Structure
    American Economic Review, 1973, 63, (4), 675-92 View citations (5)

1971

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

1970

73. 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 The True Cost of Social Security, National Bureau of Economic Research, Inc (2008) View citations (5) (2008)
   Journal Article The True Cost of Social Security, University of Chicago Press (2019) (2019)

2013

2. The Arbitrage Theory of Capital Asset Pricing
   Chapter 1 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, 2013, pp 11-30 View citations (21)
   See also Journal Article The arbitrage theory of capital asset pricing, Elsevier (1976) View citations (1916) (1976)
   Working Paper The Arbitrage Theory of Capital Asset Pricing, Wharton School Rodney L. White Center for Financial Research View citations (1)

2010

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

2005

4. A THEORY OF THE TERM STRUCTURE OF INTEREST RATES
   Chapter 5 in Theory Of Valuation, 2005, pp 129-164 View citations (21)
   See also Journal Article A Theory of the Term Structure of Interest Rates, Econometric Society (1985) View citations (2522) (1985)
5. Mutual Fund Separation in Financial Theory—The Separating Distributions
   Chapter 10 in Theory Of Valuation, 2005, pp 309-356
   See also Journal Article Mutual fund separation in financial theory--The separating distributions, Elsevier (1978) View citations (99) (1978)
   Working Paper Mutual Fund Separation in Financial Theory - The Separating Distributions, Wharton School Rodney L. White Center for Financial Research

2003

6. 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 (19)

1981

7. Learning by Observing and the Distribution of Wages
   A chapter in Studies in Labor Markets, 1981, pp 359-386 View citations (12)