Details about Stephen A. Ross
This author is deceased (2017-03-03). Access statistics for papers by Stephen A. Ross.
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Short-id: pro1047
Jump to Journal Articles Edited books Chapters
Working Papers
2018
- Notes on the Yield Curve
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
See also Journal Article in Journal of Financial Economics (2019)
2011
- The Recovery Theorem
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
2009
- 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 (13)
See also Journal Article in Journal of Economic Theory (2017)
2008
- The True Cost of Social Security
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Tax Policy and the Economy (2019) Chapter (2018)
2004
- 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)
- 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 in Journal of Finance (2006)
2003
- 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
- High-Water Marks and Hedge Fund Management Contracts
Yale School of Management Working Papers, Yale School of Management View citations (3)
Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (3)
See also Journal Article in Journal of Finance (2003)
1998
- 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
- 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
- Asymmetric Information and the Closed-End Fund Puzzle
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
1989
- COMMENTARY: USING TAX POLICY TO CURB SPECULATIVE SHORT-TERM TRADING
Working Papers, Columbia - Center for Futures Markets View citations (9)
1988
- 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
- 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
- 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 View citations (1)
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 (1978) Chapter (2005)
- 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)
- 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)
- 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
- Return, Risk and Arbitrage
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
- 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
- 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
- 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
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 Chapter (2013) Journal Article in Journal of Economic Theory (1976)
- 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
- Notes on the yield curve
Journal of Financial Economics, 2019, 134, (3), 689-702 View citations (4)
See also Working Paper (2018)
- The True Cost of Social Security
Tax Policy and the Economy, 2019, 33, (1), 131 - 163 
See also Working Paper (2008) Chapter (2018)
2017
- Market selection
Journal of Economic Theory, 2017, 168, (C), 209-236 View citations (1)
See also Working Paper (2009)
2007
- Teoria da estrutura a termo das taxas de juros
RAE - Revista de Administração de Empresas, 2007, 47, (2)
2006
- The Price Impact and Survival of Irrational Traders
Journal of Finance, 2006, 61, (1), 195-229 View citations (111)
See also Working Paper (2004)
2004
- Review of The New Financial Order by Shiller
Journal of Economic Literature, 2004, 42, (4), 1098-1101
2003
- 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)
- High‐Water Marks and Hedge Fund Management Contracts
Journal of Finance, 2003, 58, (4), 1685-1718 View citations (124)
See also Working Paper (2001)
2001
- 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
- Discussion
Journal of Finance, 2001, 56, (4), 1440-1443
- Promotion and Relegation
World Economics, 2001, 2, (2), 179-189 View citations (1)
1999
- Adding Risks: Samuelson's Fallacy of Large Numbers Revisited
Journal of Financial and Quantitative Analysis, 1999, 34, (3), 323-339 View citations (24)
1997
- 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
- Long Forward and Zero-Coupon Rates Can Never Fall
The Journal of Business, 1996, 69, (1), 1-25 View citations (77)
See also Working Paper (1998)
1995
- Survival
Journal of Finance, 1995, 50, (3), 853-73 View citations (50)
1994
- On the Cross-sectional Relation between Expected Returns and Betas
Journal of Finance, 1994, 49, (1), 101-21 View citations (104)
1992
- Waiting to Invest: Investment and Uncertainty
The Journal of Business, 1992, 65, (1), 1-29 View citations (167)
1991
- Risk and Return in Real Estate
The Journal of Real Estate Finance and Economics, 1991, 4, (2), 175-90 View citations (70)
- Spanning, Valuation and Options
Economic Theory, 1991, 1, (1), 3-12 View citations (32)
See also Working Paper (1988)
1989
- A Test of the Efficiency of a Given Portfolio
Econometrica, 1989, 57, (5), 1121-52 View citations (658)
- Institutional Markets, Financial Marketing, and Financial Innovation
Journal of Finance, 1989, 44, (3), 541-556 View citations (58)
1988
- Comment on the Modigliani-Miller Propositions
Journal of Economic Perspectives, 1988, 2, (4), 127-33 View citations (12)
1987
- Arbitrage and Martingales with Taxation
Journal of Political Economy, 1987, 95, (2), 371-93 View citations (40)
- The Interrelations of Finance and Economics: Theoretical Perspectives
American Economic Review, 1987, 77, (2), 29-34 View citations (22)
1986
- Corrigendum [Measuring Investment Performance in a Rational Expectations Equilibrium Model]
The Journal of Business, 1986, 59, (2), 367
- Economic Forces and the Stock Market
The Journal of Business, 1986, 59, (3), 383-403 View citations (1692)
- Tax Clienteles and Asset Pricing
Journal of Finance, 1986, 41, (3), 751-62 View citations (33)
1985
- A Theory of the Term Structure of Interest Rates
Econometrica, 1985, 53, (2), 385-407 View citations (2355)
See also Chapter (2005)
- An Intertemporal General Equilibrium Model of Asset Prices
Econometrica, 1985, 53, (2), 363-84 View citations (529)
- Debt and Taxes and Uncertainty
Journal of Finance, 1985, 40, (3), 637-57 View citations (25)
- Differential Information and Performance Measurement Using a Security Market Line
Journal of Finance, 1985, 40, (2), 383-99 View citations (98)
- Market Power in a Securities Market with Endogenous Information
The Quarterly Journal of Economics, 1985, 100, (4), 1143-1167 View citations (15)
- Measuring Investment Performance in a Rational Expectations Equilibrium Model
The Journal of Business, 1985, 58, (1), 1-26 View citations (54)
- The Analytics of Performance Measurement Using a Security Market Line
Journal of Finance, 1985, 40, (2), 401-16 View citations (114)
- Yes, the APT Is Testable
Journal of Finance, 1985, 40, (4), 1173-88 View citations (19)
1984
- 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
- Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
Econometrica, 1983, 51, (5), 1345-61 View citations (22)
- Spanning and arbitrage in securities markets with options: A state preference aproach
Mathematical Social Sciences, 1983, 4, (2), 186-186 View citations (2)
1982
- Portfolio Efficient Sets
Econometrica, 1982, 50, (6), 1525-46 View citations (30)
- The Determination of Fair Profits for the Property-Liability Insurance Firm
Journal of Finance, 1982, 37, (4), 1015-28 View citations (9)
1981
- A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates
Journal of Finance, 1981, 36, (4), 769-99 View citations (138)
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
Econometrica, 1981, 49, (3), 621-38 View citations (192)
- The relation between forward prices and futures prices
Journal of Financial Economics, 1981, 9, (4), 321-346 View citations (201)
- Tobin's q Ratio and Industrial Organization
The Journal of Business, 1981, 54, (1), 1-32 View citations (228)
1980
- An Analysis of Variable Rate Loan Contracts
Journal of Finance, 1980, 35, (2), 389-403 View citations (105)
- An Empirical Investigation of the Arbitrage Pricing Theory
Journal of Finance, 1980, 35, (5), 1073-1103 View citations (232)
- Present values and internal rates of return
Journal of Economic Theory, 1980, 23, (1), 66-81 View citations (7)
1979
- Duration and the Measurement of Basis Risk
The Journal of Business, 1979, 52, (1), 51-61 View citations (48)
- Equilibrium and Agency--Inadmissible Agents in the Public Agency Problem
American Economic Review, 1979, 69, (2), 308-12 View citations (2)
- Option pricing: A simplified approach
Journal of Financial Economics, 1979, 7, (3), 229-263 View citations (1263)
1978
- A Simple Approach to the Valuation of Risky Streams
The Journal of Business, 1978, 51, (3), 453-75 View citations (166)
- Comments: Capital Asset Pricing in a General Equilibrium Framework
Journal of Financial and Quantitative Analysis, 1978, 13, (4), 625-626
- Mutual fund separation in financial theory--The separating distributions
Journal of Economic Theory, 1978, 17, (2), 254-286 View citations (92)
See also Working Paper Chapter (2005)
- Some Notes on Financial Incentive-Signalling Models, Activity Choice and Risk Preferences
Journal of Finance, 1978, 33, (3), 777-92 View citations (14)
- The Current Status of the Capital Asset Pricing Model (CAPM)
Journal of Finance, 1978, 33, (3), 885-901 View citations (26)
1977
- 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)
- Comments on qualitative results for investment proportions
Journal of Financial Economics, 1977, 5, (2), 265-268 View citations (6)
- Investments-Theoretical Issues: Discussion
Journal of Finance, 1977, 32, (2), 412-15
- The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
Journal of Finance, 1977, 32, (1), 177-83 View citations (43)
- The Determination of Financial Structure: The Incentive-Signalling Approach
Bell Journal of Economics, 1977, 8, (1), 23-40 View citations (738)
1976
- A Survey of Some New Results in Financial Option Pricing Theory
Journal of Finance, 1976, 31, (2), 383-402 View citations (24)
- Options and Efficiency
The Quarterly Journal of Economics, 1976, 90, (1), 75-89 View citations (221)
See also Working Paper
- The arbitrage theory of capital asset pricing
Journal of Economic Theory, 1976, 13, (3), 341-360 View citations (1735)
See also Working Paper Chapter (2013)
- The valuation of options for alternative stochastic processes
Journal of Financial Economics, 1976, 3, (1-2), 145-166 View citations (775)
1975
- Pricing and Timing Decisions in Oligopoly Industries
The Quarterly Journal of Economics, 1975, 89, (1), 115-137 View citations (1)
- Uncertainty and the Heterogeneous Capital Good Model
Review of Economic Studies, 1975, 42, (1), 133-146 View citations (6)
- Wage Determination, Inflation, and the Industrial Structure: Reply
American Economic Review, 1975, 65, (3), 507-09
1974
- Portfolio turnpike theorems for constant policies
Journal of Financial Economics, 1974, 1, (2), 171-198 View citations (15)
See also Working Paper
1973
- The Economic Theory of Agency: The Principal's Problem
American Economic Review, 1973, 63, (2), 134-39 View citations (537)
- Wage Determination, Inflation, and the Industrial Structure
American Economic Review, 1973, 63, (4), 675-92 View citations (5)
1971
- International capital movements and long run diversification
Journal of International Economics, 1971, 1, (3), 301-314 View citations (1)
1970
- A Fisherian Approach to Trade, Capital Movements, and Tariffs
American Economic Review, 1970, 60, (3), 478-84
Edited books
2000
- The Debt Market, vol Three volume set
Books, Edward Elgar Publishing
Chapters
2018
- The True Cost of Social Security
A chapter in Tax Policy and the Economy, Volume 33, 2018 
See also Journal Article in Tax Policy and the Economy (2019) Working Paper (2008)
2013
- The Arbitrage Theory of Capital Asset Pricing
Chapter 1 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, 2013, pp 11-30 
See also Journal Article in Journal of Economic Theory (1976) Working Paper
2010
- Comment on "Crime and the Family: Lessons from Teen Childbearing"
A chapter in Controlling Crime: Strategies and Tradeoffs, 2010, pp 598-602
2005
- A THEORY OF THE TERM STRUCTURE OF INTEREST RATES
Chapter 5 in Theory Of Valuation, 2005, pp 129-164 View citations (4)
See also Journal Article in Econometrica (1985)
- Mutual Fund Separation in Financial Theory—The Separating Distributions
Chapter 10 in Theory Of Valuation, 2005, pp 309-356 
See also Working Paper Journal Article in Journal of Economic Theory (1978)
2003
- 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 (18)
1981
- Learning by Observing and the Distribution of Wages
A chapter in Studies in Labor Markets, 1981, pp 359-386 View citations (11)
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