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A Utility-based Model of Common Stock Price Movements

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  • Litzenberger, Robert H
  • Ronn, Ehud I

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  • Litzenberger, Robert H & Ronn, Ehud I, 1986. "A Utility-based Model of Common Stock Price Movements," Journal of Finance, American Finance Association, vol. 41(1), pages 67-92, March.
    • Handle: RePEc:bla:jfinan:v:41:y:1986:i:1:p:67-92
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    Cited by:

    1. Thomas E. Conine & Michael B. McDonald & Maurry Tamarkin, 2017. "Estimation of relative risk aversion across time," Applied Economics, Taylor & Francis Journals, vol. 49(21), pages 2117-2124, May.
    2. Vasavada, Utpal & White, Fred, 1987. "Capital Asset Valuation Under Risk Aversion," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272335, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    3. Garber, Alan M. & Phelps, Charles E., 1997. "Economic foundations of cost-effectiveness analysis," Journal of Health Economics, Elsevier, vol. 16(1), pages 1-31, February.
    4. Alan M. Garber & Charles E. Phelps, 1992. "Economic Foundations of Cost Effective Analysis," NBER Working Papers 4164, National Bureau of Economic Research, Inc.
    5. Christopher S. Armstrong & David F. Larcker & Che-Lin Su, 2010. "Endogenous Selection and Moral Hazard in Compensation Contracts," Operations Research, INFORMS, vol. 58(4-part-2), pages 1090-1106, August.
    6. Nohel, Tom & Todd, Steven, 2005. "Compensation for managers with career concerns: the role of stock options in optimal contracts," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 229-251, March.
    7. Canzoneri, Matthew B. & Dellas, Harris, 1998. "Real interest rates and central bank operating procedures," Journal of Monetary Economics, Elsevier, vol. 42(3), pages 471-494, October.
    8. Rodríguez López, Rosa, 1996. "Modelos intertemporales de valoración de activos: análisis empírico para el caso español," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6415, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    9. repec:ire:issued:v:26:n:04:2023:p:489-518 is not listed on IDEAS
    10. Neilson, William S. & Winter, Harold, 2002. "A verification of the expected utility calibration theorem," Economics Letters, Elsevier, vol. 74(3), pages 347-351, February.
    11. Catherine Bonser‐Neal & Kathryn L Dewenter, 1999. "Does Financial Market Development Stimulate Savings? Evidence From Emerging Stock Markets," Contemporary Economic Policy, Western Economic Association International, vol. 17(3), pages 370-380, July.
    12. Jin Man Lee & Kiat Ying Seah & James Shilling, 2023. "The Impact of Commitment on Pending Home Sales in Entrapping Situations," International Real Estate Review, Global Social Science Institute, vol. 26(4), pages 491-520.
    13. Christopher Armstrong & David Larcker & Che-Lin Su, 2007. "Stock Options and Chief Executive Compensation," Discussion Papers 1447, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    14. Tang, Tao & Luo, Ronghua & Gu, Jing, 2023. "Lifetime asset allocation with long run risk and time various risk aversion," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 230-251.

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