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Stephen A. Ross

(deceased)
Not to be confused with: Stephen Ross

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.

    Mentioned in:

    1. reducing dimension using factors
      by arthur charpentier in Freakonometrics on 2012-02-16 16:31:00
    2. reducing dimension using factors
      by arthur charpentier in Freakonometrics on 2012-02-16 16:31:00
  2. Roll, Richard & Ross, Stephen A, 1994. "On the Cross-sectional Relation between Expected Returns and Betas," Journal of Finance, American Finance Association, vol. 49(1), pages 101-121, March.

    Mentioned in:

    1. Existence Theorems
      by Eric Falkenstein in Falkenblog on 2008-04-23 21:27:00
  3. Stephen A. Ross, 2003. "Forensic Finance: Enron and Others," 'Angelo Costa' Lectures Serie, SIPI Spa, issue Lect. IV.

    Mentioned in:

    1. Should I buy or should I sell?
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-08-07 17:10:56

Working papers

  1. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
    2. MacDonald, Iain L. & Pienaar, Etienne A.D., 2021. "Fitting a reversible Markov chain by maximum likelihood: Converting an awkwardly constrained optimization problem to an unconstrained one," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
    3. Francesco Lancia & Alessia Russo & Tim Worrall, 2020. "Optimal Sustainable Intergenerational Insurance," Edinburgh School of Economics Discussion Paper Series 300, Edinburgh School of Economics, University of Edinburgh.
    4. Narayana R. Kocherlakota, 2023. "Infinite Debt Rollover in Stochastic Economies," Econometrica, Econometric Society, vol. 91(5), pages 1629-1658, September.
    5. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    6. McMahon, Michael & , & Tong, Matthew, 2019. "The Long-Run Information Effect of Central Bank Communication," CEPR Discussion Papers 13438, C.E.P.R. Discussion Papers.
    7. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    8. Davis, Josh & Fuenzalida, Cristian & Huetsch, Leon & Mills, Benjamin & Taylor, Alan M., 2024. "Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies," Journal of International Economics, Elsevier, vol. 149(C).
    9. Horvath, Ferenc, 2025. "Arbitrage-based recovery," Journal of Financial Economics, Elsevier, vol. 163(C).

  2. Stephen A. Ross, 2011. "The Recovery Theorem," NBER Working Papers 17323, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    2. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    3. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
    4. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.

  3. Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc.

    Cited by:

    1. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
    2. Roman Muraviev, 2013. "Market selection with learning and catching up with the Joneses," Finance and Stochastics, Springer, vol. 17(2), pages 273-304, April.
    3. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    4. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    5. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
    6. Jaroslav Borovička, 2020. "Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences," Journal of Political Economy, University of Chicago Press, vol. 128(1), pages 206-251.
    7. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
    8. YiLi Chien & Harold L. Cole & Hanno Lustig, 2014. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy," NBER Working Papers 20328, National Bureau of Economic Research, Inc.
    9. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    10. Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
    11. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
    12. Fu, Chengbo & Jacoby, Gady & Wang, Yan, 2015. "Investor sentiment and portfolio selection," Finance Research Letters, Elsevier, vol. 15(C), pages 266-273.
    13. Massari, Filippo, 2017. "Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 190-205.

  4. Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008. "The True Cost of Social Security," NBER Working Papers 14427, National Bureau of Economic Research, Inc.

    Cited by:

    1. John Geanokoplos & Stephen P. Zeldes, 2010. "Market Valuation of Accrued Social Security Benefits," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 213-233, National Bureau of Economic Research, Inc.
    2. Laurence Kotlikoff, 2013. "The US Fiscal Cliff – When Economists Recklessly Endanger the Economy," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 14(02), pages 03-08, August.
    3. Palmer, Edward, 2011. "Generic NDC - Equilibrium, Valuation and Risk Sharing with and without NDC Bonds," Working Paper Series 2011:3, Uppsala University, Department of Economics.
    4. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2019. "Valuing Government Obligations When Markets Are Incomplete," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 1815-1855, October.

  5. Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003. "The Price Impact and Survival of Irrational Traders," Working papers 4293-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.

    Cited by:

    1. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2013. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Working Papers 2013-23, Economic Research Institute, Bank of Korea.
    2. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
    3. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    4. Cvitanic, Jaksa & Malamud, Semyon, 2011. "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, vol. 100(1), pages 201-225, April.
    5. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    6. Massari, Filippo, 2019. "Market selection in large economies: a matter of luck," Theoretical Economics, Econometric Society, vol. 14(2), May.
    7. Felix KUBLER & Karl SCHMEDDERS, 2010. "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," Swiss Finance Institute Research Paper Series 10-21, Swiss Finance Institute.
    8. Ani Guerdjikova & John Quiggin, 2018. "Heuristic Modes of Decision Making and Survival in Financial Markets," Post-Print hal-02086078, HAL.
    9. Roman Muraviev, 2013. "Market selection with learning and catching up with the Joneses," Finance and Stochastics, Springer, vol. 17(2), pages 273-304, April.
    10. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
    11. Chundakkadan, Radeef & Nedumparambil, Elizabeth, 2022. "In search of COVID-19 and stock market behavior," Global Finance Journal, Elsevier, vol. 54(C).
    12. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
    13. Timothy Cogley & Thomas J. Sargent, 2009. "Diverse Beliefs, Survival and the Market Price of Risk," Economic Journal, Royal Economic Society, vol. 119(536), pages 354-376, March.
    14. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    15. Larry G. Epstein & Alvaro Sandroni, 2003. "Non-Bayesian Updating : A Theoretical Framework," RCER Working Papers 505, University of Rochester - Center for Economic Research (RCER).
    16. Ľuboš Pástor & Robert F. Stambaugh, 2012. "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, vol. 120(4), pages 740-781.
    17. Branger, Nicole & Schlag, Christian & Wu, Lue, 2015. ""Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors," SAFE Working Paper Series 114, Leibniz Institute for Financial Research SAFE.
    18. Xue-Zhong He & Lei Shi, 2012. "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., vol. 12(3), pages 357-373, September.
    19. Luo, Guo Ying, 2012. "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, vol. 147(1), pages 310-335.
    20. Norman, Thomas W.L., 2020. "Market selection with an endogenous state," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 51-59.
    21. Mendel, Brock & Shleifer, Andrei, 2012. "Chasing Noise," Scholarly Articles 10859950, Harvard University Department of Economics.
    22. Scott S. Condie & Kerk L. Phillips, 2014. "Can Irrational Investors Survive in the Long Run?: The Role of Generational Type Transmission," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-09, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    23. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    24. Cvitanic Jaksa & Malamud Semyon, 2010. "Relative Extinction of Heterogeneous Agents," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-23, February.
    25. Philip Kostov & Sophia Davidova, 2023. "Smallholders Are Not the Same: Under the Hood of Kosovo Agriculture," Land, MDPI, vol. 12(1), pages 1-16, January.
    26. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 2002. "Feedback and the Success of Irrational Investors," University of California at Los Angeles, Anderson Graduate School of Management qt2b82s539, Anderson Graduate School of Management, UCLA.
    27. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
    28. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
    29. Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP, 2009. "Financial Markets Equilibrium with Heterogeneous Agents," Swiss Finance Institute Research Paper Series 09-45, Swiss Finance Institute.
    30. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
    31. Leonid Kogan & Stephen Ross, 2004. "The Price Impact and Survival of Irrational Traders," 2004 Meeting Papers 35, Society for Economic Dynamics.
    32. Giulio Bottazzi & Daniele Giachini & Matteo Ottaviani, 2023. "Market selection and learning under model misspecification," LEM Papers Series 2023/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    33. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
    34. Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
    35. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    36. Easley, David & Yang, Liyan, 2015. "Loss aversion, survival and asset prices," Journal of Economic Theory, Elsevier, vol. 160(C), pages 494-516.
    37. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    38. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
    39. Arvid O. I. Hoffmann & Thomas Post & Tom Smith, 2017. "How return and risk experiences shape investor beliefs and preferences," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 759-788, September.
    40. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
    41. Pástor, Ľuboš & Veronesi, Pietro, 2013. "Political uncertainty and risk premia," Journal of Financial Economics, Elsevier, vol. 110(3), pages 520-545.
    42. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    43. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
    44. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
    45. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
    46. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
    47. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
    48. Hsini Mosbeh & Kouki Mondher, 2016. "The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 13-29, December.
    49. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
    50. Jaroslav Borovicka, 2009. "Heterogeneous beliefs under recursive preferences," 2009 Meeting Papers 892, Society for Economic Dynamics.
    51. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
    52. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
    53. Kaufmann, Robert K., 2011. "The role of market fundamentals and speculation in recent price changes for crude oil," Energy Policy, Elsevier, vol. 39(1), pages 105-115, January.
    54. Crystal Lin & Hamid Rahman & Kenneth Yung, 2009. "Investor Sentiment and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 450-471, November.
    55. Gianluca P. M. Virgilio & Manuel Ernesto Paz López, 2024. "Revisiting noise—Fischer Black’s noise at the time of high-frequency trading," Risk Management, Palgrave Macmillan, vol. 26(4), pages 1-22, December.
    56. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    57. Hoffmann, Arvid O.I. & Post, Thomas & Pennings, Joost M.E., 2013. "Individual investor perceptions and behavior during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 60-74.
    58. Lei Shi & Yajun Xiao, 2021. "Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints [Multiplicity in general financial equilibrium with portfolio constraints]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 886-923.
    59. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
    60. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral finance," Papers 03-14, Sonderforschungsbreich 504.
    61. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
    62. Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.
    63. Andrea Antico & Giulio Bottazzi & Daniele Giachini, 2022. "On the evolutionary stability of the sentiment investor," LEM Papers Series 2022/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    64. Xi Chen & Robert Kohn, 2011. "Asset price bubbles from heterogeneous beliefs about mean reversion rates," Finance and Stochastics, Springer, vol. 15(2), pages 221-241, June.
    65. Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
    66. Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian, 2022. "Volatility forecasting with machine learning and intraday commonality," Papers 2202.08962, arXiv.org, revised Feb 2023.
    67. Ani Guerdjikova & John Quiggin, 2018. "Intertemporal Portfolio Choice with Incorrect Beliefs and Aversion to Surprise," Post-Print hal-02086151, HAL.
    68. Joyita Banerji & Kaushik Kundu & Parveen Ahmed Alam, 2023. "The Impact of Behavioral Biases on Individuals’ Financial Choices under Uncertainty: An Empirical Approach," Business Perspectives and Research, , vol. 11(3), pages 401-424, September.
    69. Daniele Giachini, 2018. "Rationality and Asset Prices under Belief Heterogeneity," LEM Papers Series 2018/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    70. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    71. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
    72. Thomas J. Brennan & Andrew W. Lo & Ruixun Zhang, 2018. "Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-39, September.
    73. Han, Kookyoung, 2021. "Self-enforcement, heterogeneous agents, and long-run survival," Economics Letters, Elsevier, vol. 204(C).
    74. Zongxia Liang & Qi Ye, 2024. "Despite Absolute Information Advantages, All Investors Incur Welfare Loss," Papers 2405.08822, arXiv.org.
    75. Thomas J Brennan & Andrew W Lo, 2012. "An Evolutionary Model of Bounded Rationality and Intelligence," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-8, November.
    76. Andreas Fuster & David Laibson & Brock Mendel, 2010. "Natural Expectations and Macroeconomic Fluctuations," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 67-84, Fall.
    77. Athey, Susan, 2002. "Monotone Comparative Statics Under Uncertainty," Scholarly Articles 3372263, Harvard University Department of Economics.
    78. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
    79. Sayim, Mustafa & Rahman, Hamid, 2015. "An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market," Global Finance Journal, Elsevier, vol. 26(C), pages 1-17.
    80. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
    81. Zhao, Yingxiu & Zhang, Wei & Li, Yuelei & Xiong, Xiong, 2021. "Does irrational lead to higher returns? Evidence from the Chinese P2P lending market," Finance Research Letters, Elsevier, vol. 39(C).
    82. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
    83. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    84. Guerdjikova, Ani, 2004. "Evolution of wealth and asset prices in markets with case-based investors," Papers 04-49, Sonderforschungsbreich 504.
    85. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
    86. Bose, Subir & Ladley, Daniel & Li, Xin, 2020. "The role of hormones in financial markets," International Review of Financial Analysis, Elsevier, vol. 67(C).
    87. Sihvonen, Markus, 2019. "Market selection with idiosyncratic uncertainty," Journal of Economic Theory, Elsevier, vol. 182(C), pages 143-160.
    88. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    89. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    90. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    91. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    92. Arnold, Lutz G. & Russ, David, 2024. "Listening to the noise: On price efficiency with dynamic trading," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 103-120.
    93. Dan Vu Cao, 2010. "Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs," 2010 Meeting Papers 1233, Society for Economic Dynamics.
    94. Andrés Carvajal & Alvaro Riascos, 2006. "Belief Non-Equivalence And Financial Trade: A Comment On A Result By Araujo And Sandroni," Documentos CEDE 2062, Universidad de los Andes, Facultad de Economía, CEDE.
    95. Khrennikova, Polina & Patra, Sudip, 2019. "Asset trading under non-classical ambiguity and heterogeneous beliefs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 562-577.
    96. Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
    97. Terje Lensberg & Klaus Reiner Schenk-Hoppe, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Swiss Finance Institute Research Paper Series 06-38, Swiss Finance Institute.
    98. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    99. Fu, Chengbo & Jacoby, Gady & Wang, Yan, 2015. "Investor sentiment and portfolio selection," Finance Research Letters, Elsevier, vol. 15(C), pages 266-273.
    100. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    101. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    102. Liang, Hanchao & Yang, Chunpeng & Zhang, Rengui & Cai, Chuangqun, 2017. "Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 85-102.
    103. Chen, Yangyang & Goyal, Abhinav & Veeraraghavan, Madhu & Zolotoy, Leon, 2020. "Terrorist attacks, investor sentiment, and the pricing of initial public offerings," Journal of Corporate Finance, Elsevier, vol. 65(C).
    104. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    105. Fu, Junhui & Wu, Xiang & Liu, Yufang & Chen, Rongda, 2021. "Firm-specific investor sentiment and stock price crash risk," Finance Research Letters, Elsevier, vol. 38(C).
    106. Daniele Giachini, 2021. "Rationality and asset prices under belief heterogeneity," Journal of Evolutionary Economics, Springer, vol. 31(1), pages 207-233, January.
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    Cited by:

    1. William K.H. Fung & David A. Hsieh, 2006. "Hedge funds: an industry in its adolescence," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 4), pages 1-34.
    2. Jackwerth, Jens Carsten & Hodder, James E., 2006. "Incentive Contracts and Hedge Fund Management," MPRA Paper 11632, University Library of Munich, Germany.
    3. Francisca Richter & B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 115-125.
    4. Alex Shapiro & Suleyman Basak & Anna Pavlova, 2004. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," Econometric Society 2004 North American Winter Meetings 583, Econometric Society.
    5. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
    6. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "Fee Speech: Adverse Selection and the Regulation of Mutual Funds," NBER Working Papers 6644, National Bureau of Economic Research, Inc.
    7. Stracca, Livio, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 520, European Central Bank.
    8. Bill Ding & Hany A. Shawky, 2007. "The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions," European Financial Management, European Financial Management Association, vol. 13(2), pages 309-331, March.
    9. Stulz, Rene M., 2007. "Hedge Funds: Past, Present, and Future," Working Paper Series 2007-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    10. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
    11. Andrew Metrick & Ayako Yasuda, 2007. "The economics of private equity funds," Proceedings, Federal Reserve Bank of San Francisco, issue Oct.
    12. Juan-Pedro Gómez & Tridib Sharma, 2003. "Portfolio delegation under short-selling constraints," Economics Working Papers 695, Department of Economics and Business, Universitat Pompeu Fabra.
    13. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm18, Yale School of Management.
    14. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    15. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, C.E.P.R. Discussion Papers.
    16. Richard Stanton & Nancy Wallace, 2009. "An Empirical Test of a Contingent Claims Lease Valuation Model," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 1-26.
    17. Palomino, F.A. & Prat, A., 1998. "Risk Taking and Optimal Contracts for Money Managers," Discussion Paper 1998-108, Tilburg University, Center for Economic Research.
    18. Gong Zhan, 2011. "Manager fee contracts and managerial incentives," Review of Derivatives Research, Springer, vol. 14(2), pages 205-239, July.
    19. Diane Del Guercio & Paula A. Tkac, 2000. "The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds," FRB Atlanta Working Paper 2000-21, Federal Reserve Bank of Atlanta.
    20. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
    21. Castaneda, Pablo, 2005. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper 3346, University Library of Munich, Germany, revised 30 Dec 2006.
    22. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring.

  9. Jonathan E. Ingersoll Jr. & Philip H. Dybvig & Stephen A. Ross, 1998. "Long Forward and Zero-Coupon Rates Can Never Fall," Yale School of Management Working Papers ysm45, Yale School of Management.

    Cited by:

    1. Nicole El Karoui & Caroline Hillairet & Mohamed Mrad, 2022. "Ramsey rule with forward/backward utility for long-term yield curves modeling," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 375-414, June.
    2. J. Huston McCulloch, 2000. "Long Forward and Zero-Coupon Rates Indeed Can Never Fall, but Are Indeterminate: A Comment on Dybvig, Ingersoll and Ross," Working Papers 00-12, Ohio State University, Department of Economics.
    3. Dare, Wale, 2017. "Statistical arbitrage in the U.S. treasury futures market," Economics Working Paper Series 1716, University of St. Gallen, School of Economics and Political Science.
    4. P. Santa-Clara & D. Sornette, 1998. "The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks," Papers cond-mat/9801321, arXiv.org.
    5. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    6. Damir Filipovic & Martin Larsson & Anders B. Trolle, 2018. "On the Relation Between Linearity-Generating Processes and Linear-Rational Models," Papers 1806.03153, arXiv.org.
    7. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
    8. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics Department Working Paper Series n1480105, Department of Economics, National University of Ireland - Maynooth.
    9. Fujii, Tomoki & Karp, Larry, 2006. "Numerical Analysis of Non-Constant Discounting with an Application to Renewable Resource Management," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt74q473v8, Department of Agricultural & Resource Economics, UC Berkeley.
    10. Schulze, Klaas, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers 11/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
    11. Kimmel, Robert L., 2004. "Modeling the term structure of interest rates: A new approach," Journal of Financial Economics, Elsevier, vol. 72(1), pages 143-183, April.
    12. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    13. Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2020. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Post-Print hal-00974815, HAL.
    14. Yvan Lengwiler, 2005. "Heterogeneous Patience and the Term Structure of Real Interest Rates," American Economic Review, American Economic Association, vol. 95(3), pages 890-896, June.
    15. J. Doyne Farmer & John Geanakoplos & Matteo G. Richiardi & Miquel Montero & Josep Perelló & Jaume Masoliver, 2024. "Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?," Mathematics, MDPI, vol. 12(5), pages 1-25, February.
    16. Christian Gollier & Jean-Charles Rochet, 1998. "Discounting an Uncertain Future," CESifo Working Paper Series 168, CESifo.
    17. Mark Fisher, 2001. "Forces that shape the yield curve: Parts 1 and 2," FRB Atlanta Working Paper 2001-3, Federal Reserve Bank of Atlanta.
    18. Dean T. Jamison & Julian Jamison, 2010. "Characterizing the amount and speed of discounting procedures," Working Papers 10-14, Federal Reserve Bank of Boston.
    19. Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
    20. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
    21. Jan de Kort, 2018. "A note on the long rate in factor models of the term structure," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 656-667, April.
    22. Francesca Biagini & Alessandro Gnoatto & Maximilian Härtel, 2020. "General Analysis Of Long-Term Interest Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-29, January.
    23. Christiansen, Charlotte, 2001. "Long Maturity Forward Rates," Finance Working Papers 01-12, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    24. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
    25. Rama Cont, 1999. "Modeling interest rate dynamics: an infinite-dimensional approach," Papers cond-mat/9902018, arXiv.org.
    26. Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080, arXiv.org, revised Mar 2010.
    27. Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2013. "Mortgage hedging in fixed income markets," LSE Research Online Documents on Economics 119032, London School of Economics and Political Science, LSE Library.
    28. Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
    29. Jamison Dean T. & Jamison Julian, 2011. "Characterizing the Amount and Speed of Discounting Procedures," Journal of Benefit-Cost Analysis, De Gruyter, vol. 2(2), pages 1-56, April.
    30. Sebastián A. Rey, 2016. "Theory of long-term interest rates," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-18, September.
    31. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.
    32. Kruschwitz, Lutz, 2009. "Zum Problem der Anschlussverzinsung," Discussion Papers 2009/15, Free University Berlin, School of Business & Economics.
    33. Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Post-Print hal-00974831, HAL.
    34. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
    35. J. Huston McCulloch & Levin A. Kochen, 1998. "The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates," Working Papers 98-12, Ohio State University, Department of Economics.
    36. Rodolfo Apreda, 2010. "Devising a non-standard convertible zero-coupon bond to enhance corporate governance," CEMA Working Papers: Serie Documentos de Trabajo. 421, Universidad del CEMA.
    37. Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
    38. Wilhelm, Jochen & Nietert, Bernhard, 2004. "Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 11, University of Passau, Faculty of Business and Economics.
    39. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
    40. Phoebe Koundouri & Ben Groom, 2009. "Sustainability and the Economics of the Environment: Cost-Benefit Analysis and the Dynamics of the Long-Run Discount Rate," DEOS Working Papers 0903, Athens University of Economics and Business.
    41. Fujii, Tomoki & Karp, Larry, 2008. "Numerical analysis of non-constant pure rate of time preference: A model of climate policy," Journal of Environmental Economics and Management, Elsevier, vol. 56(1), pages 83-101, July.
    42. Riedel, Frank, 1999. "Heterogeneous time preferences and interest rates: The preferred habitat theory revisited," SFB 373 Discussion Papers 1999,23, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    43. Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    44. Groom, Ben & Koundouri, Phoebe & Panopoulou, Ekaterini & Pantelidis, Theologos, 2004. "Model Selection for Estimating Certainty Equivalent Discount Rates," MPRA Paper 122412, University Library of Munich, Germany.
    45. Nicole El Karoui & Caroline Hillairet & Mohamed Mrad, 2014. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Papers 1404.1895, arXiv.org.
    46. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
    47. Robert S. Pindyck, 2006. "Uncertainty in Environmental Economics," Working Papers 0617, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
    48. J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
    49. Dorje C. Brody & Lane P. Hughston & David M. Meier, 2016. "L\'evy-Vasicek Models and the Long-Bond Return Process," Papers 1608.06376, arXiv.org, revised Sep 2016.
    50. Likuan Qin & Vadim Linetsky, 2018. "Long-term factorization in Heath–Jarrow–Morton models," Finance and Stochastics, Springer, vol. 22(3), pages 621-641, July.
    51. Li, Lingfei & Linetsky, Vadim, 2014. "Optimal stopping in infinite horizon: An eigenfunction expansion approach," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 122-128.
    52. Mohamed Mrad & El Karoui & Caroline Hillairet, 2020. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Post-Print hal-04553875, HAL.
    53. Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers 0811, Federal Reserve Bank of Dallas.
    54. Francesca Biagini & Maximilian Härtel, 2014. "Behavior Of Long-Term Yields In A Lévy Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-24.
    55. Weitzman, Martin L., 1998. "Why the Far-Distant Future Should Be Discounted at Its Lowest Possible Rate," Journal of Environmental Economics and Management, Elsevier, vol. 36(3), pages 201-208, November.
    56. Elyès Jouini & Jean-Michel Marin & Clotilde Napp, 2010. "Discounting and Divergence of Opinion," Post-Print halshs-00176636, HAL.
    57. J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014. "Discounting the Distant Future," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.
    58. Dorje C. Brody & Lane P. Hughston, 2018. "Social Discounting And The Long Rate Of Interest," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 306-334, January.
    59. Yao, Yong, 1999. "Term structure modeling and asymptotic long rate," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 327-336, December.
    60. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
    61. Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Papers 1404.1913, arXiv.org.
    62. Likuan Qin & Vadim Linetsky, 2014. "Long Term Risk: A Martingale Approach," Papers 1411.3078, arXiv.org, revised Oct 2016.
    63. Dorje C. Brody & Lane P. Hughston & David M. Meier, 2018. "Lévy–Vasicek Models And The Long-Bond Return Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-26, May.
    64. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
    65. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    66. Lutz Kruschwitz, 2018. "Das Problem der Anschlussverzinsung," Schmalenbach Journal of Business Research, Springer, vol. 70(1), pages 9-45, March.
    67. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
    68. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
    69. Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818, arXiv.org, revised Jul 2017.
    70. Valerii Maltsev & Michael Pokojovy, 2021. "Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates," Mathematics, MDPI, vol. 9(2), pages 1-25, January.
    71. Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2017. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Post-Print hal-01242023, HAL.
    72. Dorje C. Brody & Lane P. Hughston, 2013. "Social Discounting and the Long Rate of Interest," Papers 1306.5145, arXiv.org, revised Sep 2015.
    73. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.

  10. Ross, S.A., 1989. "Commentary: Using Tax Policy To Curb Speculative Short-Term Trading," Papers t3, Columbia - Center for Futures Markets.

    Cited by:

    1. Eduardo Dávila, 2020. "Optimal Financial Transaction Taxes," NBER Working Papers 27826, National Bureau of Economic Research, Inc.
    2. Ono, Hiroyuki & Hayashida, Minoru, 2009. "Turnover tax and trading volume: Panel analysis of stocks traded in the Japanese and US markets," Journal of the Japanese and International Economies, Elsevier, vol. 23(3), pages 241-263, September.
    3. Tobias Dieler & Sonny Biswas & Giacomo Calzolari & Fabio Castiglionesi, 2023. "Asset Trade, Real Investment, and a Tilting Financial Transaction Tax," Management Science, INFORMS, vol. 69(4), pages 2401-2424, April.
    4. Tri Vi Dang & Xiaoxi Liu & Florian Morath, 2022. "Taxation, Information Acquisition, and Trade in Decentralized Markets: Theory and Test," Working Papers 2022-08, Faculty of Economics and Statistics, Universität Innsbruck.
    5. Alexander Gümbel, 2005. "Should short-term speculators be taxed, or subsidised?," Annals of Finance, Springer, vol. 1(3), pages 327-348, August.
    6. Paulo Pereira Silva, 2023. "Securities transaction taxes and stock price informativeness: evidence for France and Italy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 325-345, September.
    7. Maureen O'Hara, 2004. "Liquidity and Financial Market Stability," Working Paper Research 55, National Bank of Belgium.
    8. Dieler, Tobias & Biswas, Sonny & Calzolari, Giacomo & Castiglionesi, Fabio, 2023. "Asset trade, real investment and a tilting financial transaction tax," Other publications TiSEM d936387a-90f0-481a-a75b-3, Tilburg University, School of Economics and Management.
    9. Ajay Shah, 1995. "The impact of speculation upon volatility and market efficiency: The badla experience on the BSE," Finance 9507002, University Library of Munich, Germany.
    10. Michele Dell’Era, 2018. "Financial Transaction Taxes and Expert Advice," Working and Discussion Papers WP 4/2018, Research Department, National Bank of Slovakia.
    11. Jerry Parwada & Yixuan Rui & Jianfeng Shen, 2022. "Financial transaction tax and market quality: Evidence from France†," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 90-113, March.

  11. Donald J. Brown & Stephen A. Ross, 1988. "Spanning, Valuation and Options," Cowles Foundation Discussion Papers 873, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Bowman, David & Faust, Jon, 1997. "Options, Sunspots, and the Creation of Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 957-975, October.
    2. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
    3. Niushan Gao & Foivos Xanthos, 2016. "Option spanning beyond $L_p$-models," Papers 1603.01288, arXiv.org, revised Sep 2016.
    4. Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee, 2007. "Riesz estimators," Journal of Econometrics, Elsevier, vol. 136(2), pages 431-456, February.
    5. Chen, Daniel & Duffie, Darrell, 2020. "Market Fragmentation," Research Papers 3854, Stanford University, Graduate School of Business.
    6. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Incomplete Derivative Markets and Portfolio Insurance," Cowles Foundation Discussion Papers 1126R, Cowles Foundation for Research in Economics, Yale University.
    7. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012. "Put-Call Parity and Market Frictions," Working Papers 447, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 205-212, May.
    9. Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
    10. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587, October.
    11. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
    12. Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
    13. Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 29(1), pages 1-21, May.
    14. Ernesto Savaglio & Stefano Vannucci, 2014. "Strategy-proofness and single-peackedness in bounded distributive lattices," Papers 1406.5120, arXiv.org.
    15. Jarno Talponen & Lauri Viitasaari, 2014. "Multidimensional Breeden-Litzenberger representation for state price densities and static hedging," Papers 1401.6383, arXiv.org.
    16. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
    17. Galvani, Valentina & Troitsky, Vladimir G., 2010. "Options and efficiency in spaces of bounded claims," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 616-619, July.
    18. Jarno Talponen & Minna Turunen, 2017. "Option pricing: A yet simpler approach," Papers 1705.00212, arXiv.org, revised Mar 2018.
    19. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
    20. Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
    21. Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
    22. Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000. "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1703-1719, October.
    23. Jarno Talponen & Lauri Viitasaari, 2013. "Note on multidimensional Breeden-Litzenberger representation for state price densities," Papers 1305.5963, arXiv.org, revised Jan 2014.
    24. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
    25. Niushan Gao & Denny H. Leung, 2017. "Smallest order closed sublattices and option spanning," Papers 1703.09748, arXiv.org.
    26. Protter, Philip, 2001. "A partial introduction to financial asset pricing theory," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 169-203, February.
    27. Jarno Talponen, 2013. "Matching distributions: Asset pricing with density shape correction," Papers 1312.4227, arXiv.org, revised Mar 2018.
    28. Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
    29. Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.
    30. Jarno Talponen & Minna Turunen, 2022. "Option pricing: a yet simpler approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 57-81, June.

  12. Stephen A. Ross, "undated". "Portfolio Turnpike Theorems for Constant Policies," Rodney L. White Center for Financial Research Working Papers 20-73, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
    2. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
    3. Christian S. Pedersen & S. E. Satchell, 2003. "Utility Functions whose Parameters depend on Initial Wealth," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 357-371, October.
    4. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
    5. Hammarlid, Ola, 2005. "When to accept a sequence of gambles," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 974-982, December.
    6. Michael J. Best & Robert R. Grauer, 2017. "Humans, Econs and Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-30, June.
    7. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
    8. Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing, 2013. "Robust Portfolios and Weak Incentives in Long-Run Investments," Papers 1306.2751, arXiv.org, revised Aug 2014.
    9. Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
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Articles

  1. Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2019. "The True Cost of Social Security," Tax Policy and the Economy, University of Chicago Press, vol. 33(1), pages 131-163.
    See citations under working paper version above.
  2. Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
    See citations under working paper version above.
  3. Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
    See citations under working paper version above.
  4. Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006. "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, vol. 61(1), pages 195-229, February.
    See citations under working paper version above.
  5. Stephen A. Ross, 2003. "Forensic Finance: Enron and Others," 'Angelo Costa' Lectures Serie, SIPI Spa, issue Lect. IV.

    Cited by:

    1. Huberto M. Ennis & Sara Ho & Elliot Tobin, 2019. "Recent Borrowing from the U.S. Discount Window: Some Cases," Economic Quarterly, Federal Reserve Bank of Richmond, issue 4Q, pages 251-271.
    2. Les Coleman, 2012. "Testing equity market efficiency around terrorist attacks," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4087-4099, November.

  6. William N. Goetzmann & Jonathan E. Ingersoll & Stephen A. Ross, 2003. "High‐Water Marks and Hedge Fund Management Contracts," Journal of Finance, American Finance Association, vol. 58(4), pages 1685-1718, August.
    See citations under working paper version above.
  7. Stefan Szymanski & Stephen Ross, 2001. "Promotion and Relegation," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 2(2), pages 179-189, April.

    Cited by:

    1. Hyunwoong Pyun & Jeeyoon Kim & Torsten Schlesinger & Luca Matto, 2020. "Positive Externalities from Professional Football Clubs in the Metropolitan Rhine-Ruhr, Germany: Trickle-Down Effects Associated with Promotion and Relegation," Sustainability, MDPI, vol. 12(20), pages 1-12, October.
    2. Giorgo Sertsios, 2007. "¿Puede el Diseño de un Torneo Deportivo Afectar su Asistencia?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 59-89.
    3. Luigi Buzzacchi & Stefan Szymanski & Tommaso Valletti, 2003. "Equality of Opportunity and Equality of Outcome: Open Leagues, Closed Leagues and Competitive Balance *#We thank the Editor and an anonymous referee for helpful comments," Journal of Industry, Competition and Trade, Springer, vol. 3(3), pages 167-186, September.

  8. Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 323-339, September.

    Cited by:

    1. Dierkes, Maik & Erner, Carsten & Zeisberger, Stefan, 2010. "Investment horizon and the attractiveness of investment strategies: A behavioral approach," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1032-1046, May.
    2. Whelan, Karl, 2024. "Samuelson's Fallacy of Large Numbers With Decreasing Absolute Risk Aversion," CEPR Discussion Papers 19319, C.E.P.R. Discussion Papers.
    3. Aloysius, John A., 2005. "Ambiguity aversion and the equity premium puzzle: A re-examination of experimental data on repeated gambles," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 34(5), pages 635-655, October.
    4. Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz, 2019. "From Blackwell Dominance in Large Samples to Renyi Divergences and Back Again," Papers 1906.02838, arXiv.org, revised Sep 2020.
    5. Dirk Tasche & Luisa Tibiletti, 2003. "A Shortcut to Sign Incremental Value at Risk for Risk Allocation," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(2), pages 43-46, January.
    6. Roelof Salomons, 2008. "A Theoretical And Practical Perspective On The Equity Risk Premium," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 299-329, April.
    7. Lin William Cong & Zhiguo He & Jiasun Li, 2019. "Decentralized Mining in Centralized Pools," NBER Working Papers 25592, National Bureau of Economic Research, Inc.
    8. Hammarlid, Ola, 2005. "When to accept a sequence of gambles," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 974-982, December.
    9. Aloysius, John A., 2003. "Rational escalation of costs by playing a sequence of unfavorable gambles: the martingale," Journal of Economic Behavior & Organization, Elsevier, vol. 51(1), pages 111-129, May.
    10. Sergio Sousa, 2010. "Small-scale changes in wealth and attitudes toward risk," Discussion Papers 2010-11, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
    11. Langer, Thomas & Weber, Martin, 2005. "Myopic prospect theory vs. myopic loss aversion: how general is the phenomenon?," Journal of Economic Behavior & Organization, Elsevier, vol. 56(1), pages 25-38, January.
    12. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
    13. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
    14. Iñigo Iturbe-Ormaetxe Kortajarene & Giovanni Ponti & Josefa Tomás Lucas, 2015. "Some (Mis)facts about Myopic Loss Aversion," Working Papers. Serie AD 2015-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    15. José Antonio Robles-Zurita, 2015. "Alternation Bias and Sums of Identically Distributed Monetary Lotteries," Working Papers 15.08, Universidad Pablo de Olavide, Department of Economics.
    16. Daniel Dimitrov, 2022. "Intergenerational Risk Sharing with Market Liquidity Risk," Tinbergen Institute Discussion Papers 22-028/VI, Tinbergen Institute.
    17. Zhengwei Sun & Ali E. Abbas, 2014. "On the sensitivity of the value of information to risk aversion in two-action decision problems," Environment Systems and Decisions, Springer, vol. 34(1), pages 24-37, March.
    18. Ilia Tsetlin & Robert L. Winkler, 2005. "Risky Choices and Correlated Background Risk," Management Science, INFORMS, vol. 51(9), pages 1336-1345, September.
    19. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    20. Mark Grinblatt & Juhani T. Linnainmaa, 2011. "Jensen's Inequality, Parameter Uncertainty, and Multi-period Investment," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 1-34.
    21. Robles-Zurita, José, 2018. "Alternation bias and sums of identically distributed monetary lotteries," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 72(C), pages 78-85.

  9. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson & Stephen A. Ross, 1997. "Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 167-170, May.

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    1. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
    2. Hung-Cheng Lai & Kuan-Min Wang, 2016. "Does Survivorship Bias of Mutual Funds Differ Between Liquidations and Mergers?," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(4), pages 299-314.
    3. Gilles Daniel & Didier Sornette & Peter Wohrmann, 2008. "Look-Ahead Benchmark Bias in Portfolio Performance Evaluation," Papers 0810.1922, arXiv.org.
    4. Dai, John & Sundaresan, Suresh, 2009. "Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage," MPRA Paper 16483, University Library of Munich, Germany.

  10. Dybvig, Philip H & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1996. "Long Forward and Zero-Coupon Rates Can Never Fall," The Journal of Business, University of Chicago Press, vol. 69(1), pages 1-25, January.
    See citations under working paper version above.
  11. Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. "Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-873, July.

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    1. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
    2. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
    3. Fernandes, Marcelo & Mergulhão, João, 2016. "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 79-90.
    4. Casper van Ewijk & Henri de Groot & C. Santing, 2010. "A meta-analysis of the equity premium," CPB Discussion Paper 156, CPB Netherlands Bureau for Economic Policy Analysis.
    5. Marcus Miller & Paul Weller & Lei Zhang, 2002. "Moral Hazard and the US Stock Market: Analysing the "Greenspan Put"," Economic Journal, Royal Economic Society, vol. 112(478), pages 171-186, March.
    6. Bali, Turan G. & Gokcan, Suleyman & Liang, Bing, 2007. "Value at risk and the cross-section of hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1135-1166, April.
    7. Richard G. Anderson & Michael Bordo & John V. Duca, 2016. "Money and Velocity During Financial Crises: From the Great Depression to the Great Recession," Economics Working Papers 16111, Hoover Institution, Stanford University.
    8. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
    9. Ashenfelter, O. & Harmon, C. & Oosterbeek, H., 1999. "A Review of Estimates of the Schooling/ Earnings Relationship, with tests for Publication Bias," Papers 99/20, College Dublin, Department of Political Economy-.
    10. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    11. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July.
    12. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September.
    13. Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
    14. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
    15. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    16. Ter Horst, J.R. & Nijman, T.E. & Verbeek, M.J.C.M., 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Other publications TiSEM 144f0bd4-7142-4af6-aeda-0, Tilburg University, School of Economics and Management.
    17. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1987-2013, August.
    18. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
    19. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
    20. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    21. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    22. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
    23. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
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    25. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
    26. Edward McLaney & John Pointon & Melanie Thomas & Jon Tucker, 2004. "Practitioners' perspectives on the UK cost of capital," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 123-138.
    27. Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1996. "Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-7, New York University, Leonard N. Stern School of Business-.
    28. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
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    32. Stracca, Livio & Fielding, David, 2003. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series 203, European Central Bank.
    33. Chen, Carl R. & Sauer, David A., 1997. "Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 683-696.
    34. Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun, 2015. "A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 9-22.
    35. William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management.
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    37. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    38. Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
    39. Marco Taboga, 2004. "The equity premium in the long-run," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 645-650.
    40. Salomons, Roelof & Sterken, Elmer, 2009. "Corporate control rights and the long-run equity risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 63-76, February.
    41. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 391-411.
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    43. Case, Spencer A. & Lee, D. Scott & Martin, John D., 2007. "The potential for expropriation through joint ventures," Review of Financial Economics, Elsevier, vol. 16(1), pages 111-126.
    44. Behr, Patrick & Güttler, André, 2008. "The informational content of unsolicited ratings," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 587-599, April.
    45. Ahern, Kenneth R., 2009. "Sample selection and event study estimation," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 466-482, June.
    46. Rui Alpalhao & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don't know," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 489-498.
    47. P. B. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 111-136.
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    49. Shiller, Robert J., 2006. "Life-cycle personal accounts proposal for Social Security: An evaluation of President Bush's proposal," Journal of Policy Modeling, Elsevier, vol. 28(4), pages 427-444, May.
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  12. Roll, Richard & Ross, Stephen A, 1994. "On the Cross-sectional Relation between Expected Returns and Betas," Journal of Finance, American Finance Association, vol. 49(1), pages 101-121, March.

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    1. Scott Condie & Lars Stentoft & Marie-Louise Vierø, 2023. "Unawareness Premia," Economics Working Papers 2023-09, Department of Economics and Business Economics, Aarhus University.
    2. Vijaya B. Marisetty & M. Ariff, 2008. "Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets," CARF F-Series CARF-F-129, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Fernando Rubio, 2004. "Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno," Finance 0402002, University Library of Munich, Germany.
    4. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    5. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
    6. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    7. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
    8. Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June.
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    10. Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
    11. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
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    9. Zaghum Umar & Dennis Olson, 2022. "Strategic asset allocation and the demand for real estate: international evidence," Empirical Economics, Springer, vol. 62(5), pages 2461-2513, May.
    10. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," NIPE Working Papers 32/2011, NIPE - Universidade do Minho.
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    43. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 65-82, July.
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    3. Benjamin Cisagara, 2024. "Finance and climate change: assessing the impact of physical, transition, and regulation risks on asset pricing valuation," Journal of Asset Management, Palgrave Macmillan, vol. 25(7), pages 630-652, December.
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    5. Huang, Hung-Yi & Yan, Cheng & Ho, Kung-Cheng, 2022. "Does managerial compensation influence price efficiency?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    6. Hochradl, Markus & Wagner, Christian, 2010. "Trading the forward bias: Are there limits to speculation?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 423-441, April.
    7. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    8. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    9. DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 07-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    1. Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378, July.
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    7. Marco Pagano, 2005. "I teoremi di Modigliani-Miller: una pietra miliare della finanza," Moneta e Credito, Economia civile, vol. 58(230-231), pages 255-267.
    8. Nestor Bruno & Marcelo Pedro Dabos & Fernando Andrés Grozs, 2021. "Determinantes de la estructura de capital: un survey con énfasis en Latinoamérica," Asociación Argentina de Economía Política: Working Papers 4444, Asociación Argentina de Economía Política.
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    11. Jens Dick‐Nielsen & Jacob Gyntelberg & Christoffer Thimsen, 2022. "The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts," Journal of Finance, American Finance Association, vol. 77(5), pages 2577-2611, October.

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    1. Benninga, Simon & Sarig, Oded, 2003. "Risk, returns, and values in the presence of differential taxation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1123-1138, June.
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    3. Robert G. Chambers & John Quiggin, 2003. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Risk & Uncertainty Working Papers WPR03_4, Risk and Sustainable Management Group, University of Queensland.
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    5. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
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    9. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012. "Put-Call Parity and Market Frictions," Working Papers 447, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
    11. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
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    13. Suleyman Basak & Benjamin Croitoru, "undated". "Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices," Rodney L. White Center for Financial Research Working Papers 7-99, Wharton School Rodney L. White Center for Financial Research.
    14. Schosser, Josef, 2008. "Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 13, University of Passau, Faculty of Business and Economics.
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    17. VDMV Lakshmi & Garima Sisodia & Anto Joseph & Aviral Kumar Tiwari, 2024. "The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3007-3022, July.
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    23. Strobel, Frank, 2012. "International tax arbitrage and residence vs. source-based capital income taxation," Research in Economics, Elsevier, vol. 66(4), pages 391-397.
    24. Alain Chateauneuf & Bernard Cornet, 2022. "Submodular financial markets with frictions," Post-Print hal-03722920, HAL.
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    27. Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2022. "Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules," Papers 2203.16292, arXiv.org.
    28. Ioulia D. Ioffe & Eliezer Z. Prisman, 2003. "Term Structure of Interest Rates and Implied Market Frictions: The Min--Max Approach," Management Science, INFORMS, vol. 49(7), pages 965-978, July.
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    31. Xiaotie Deng & Zhong Li & Shouyang Wang & Hailiang Yang, 2005. "Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions," Annals of Operations Research, Springer, vol. 133(1), pages 265-276, January.
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    33. Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January.
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    39. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.

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    1. Felicia Ramona Birau, 2011. "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(39), pages 194-205.
    2. Lakshmi, Geeta, 2018. "Gekko and black swans: Finance theory in UK undergraduate curricula," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 52(C), pages 35-47.
    3. Felicia Ramona Birău, 2012. "The Impact Of Behavioral Finance On Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 45-50, September.
    4. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2000. "Does Arbitrage Flatten Demand Curves for Stocks?," Yale School of Management Working Papers ysm152, Yale School of Management, revised 01 Nov 2001.
    5. Yihui Lan & Kenneth W Clements & Zong Ken Chai, 2022. "Australian PhDs in Economics and Finance: Professional Activities, Productivity and Prospects," Economics Discussion / Working Papers 22-04, The University of Western Australia, Department of Economics.
    6. Campos Dias de Sousa, Ricardo Emanuel & Howden, David, 2015. "The Efficient Market Conjecture," MPRA Paper 79792, University Library of Munich, Germany.
    7. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    8. Caporale, G. M. & Pittis, N., 1998. "Cointegration and predictability of asset prices1," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 441-453, June.
    9. Robert Nau, 2001. "De Finetti was Right: Probability Does Not Exist," Theory and Decision, Springer, vol. 51(2), pages 89-124, December.
    10. William Mingyan Cheung & James Chicheong Lei & Desmond Tsang, 2016. "Does Property Transaction Matter in the Price Discovery of Real Estate Markets?," International Real Estate Review, Global Social Science Institute, vol. 19(1), pages 27-49.
    11. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
    12. Martijn Cremers, 2017. "What Corporate Governance Can Learn from Catholic Social Teaching," Journal of Business Ethics, Springer, vol. 145(4), pages 711-724, November.
    13. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
    14. Alexander Brink, 2010. "Enlightened Corporate Governance: Specific Investments by Employees as Legitimation for Residual Claims," Journal of Business Ethics, Springer, vol. 93(4), pages 641-651, June.
    15. Ferraro, Fabrizio & Pfeffer, Jeffrey & Sutton, Robert I., 2003. "Economics Language and Assumptions: How Theories Can Become Self-Fulfilling," Research Papers 1849, Stanford University, Graduate School of Business.
    16. Mingyan Cheung & Chicheong Lei, 2014. "Does Property Transaction Matter in Price Discovery in Real Estate Markets? Evidence from International Firm Level Data," ERES eres2014_195, European Real Estate Society (ERES).
    17. Montserrat Ferre & Stephen Hall, 2002. "Foreign exchange market efficiency and cointegration," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 131-139.
    18. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Working Papers hal-02187362, HAL.
    19. Owen A. Lamont & Richard H. Thaler, 2003. "Anomalies: The Law of One Price in Financial Markets," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 191-202, Fall.
    20. Tom Arnold & Richard Shockley, 2010. "Real Options Analysis and the Assumptions of Corporate Finance: A Non-Technical Review," Multinational Finance Journal, Multinational Finance Journal, vol. 14(1-2), pages 29-71, March-Jun.
    21. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02187362, HAL.
    22. J Fedderke & Michelle Joao, 2001. "Arbitrage, Cointegration And Efficiency In Financial Markets In The Presence Of Financial Crises," South African Journal of Economics, Economic Society of South Africa, vol. 69(3), pages 366-384, September.

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    1. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
    2. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006. "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies 2006,01, Deutsche Bundesbank.
    3. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc.
    4. Mohsen Bahmani-Oskooee & Sujata Saha, 2019. "On the effects of policy uncertainty on stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 764-778, October.
    5. Pramod Kumar, Naik & Puja, Padhi, 2012. "The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data," MPRA Paper 38980, University Library of Munich, Germany.
    6. Emeka Nkoro & Aham Kelvin Uko, 2016. "Exchange Rate and Inflation Volatility and Stock Prices Volatility: Evidence from Nigeria, 1986-2012," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-4.
    7. Smajlbegovic, Esad, 2015. "Regional Economic Activity and Stock Returns," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112854, Verein für Socialpolitik / German Economic Association.
    8. K. Chaudhuri & S. Smiles, 2004. "Stock market and aggregate economic activity: evidence from Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 121-129.
    9. N. Groenewold, 2000. "Fundamental Share Prices and Aggregate Real Output," Economics Discussion / Working Papers 00-05, The University of Western Australia, Department of Economics.
    10. Colin Lizieri & Stephen Satchell & Qi Zhang, 2007. "The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
    11. van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003. "Economic Hedging Portfolios," Other publications TiSEM c9461c14-c6d6-425f-8395-9, Tilburg University, School of Economics and Management.
    12. Junran Wu & Ke Xu & Jichang Zhao, 2019. "Online reviews can predict long-term returns of individual stocks," Papers 1905.03189, arXiv.org.
    13. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    14. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
    15. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
    16. Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003. "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series rp54, International Center for Financial Asset Management and Engineering.
    17. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
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    1621. Hartmann, Daniel & Pierdzioch, Christian, 2007. "Exchange rates, interventions, and the predictability of stock returns in Japan," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 155-172, April.
    1622. Robert Faff & Barry Oliver, 1998. "Consumption versus market betas of Australian industry portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 513-517.
    1623. Michael Isimbabi & Alan Tucker, 1997. "The market perception of banking industry risk: A multifactor analysis," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(1), pages 99-112, March.

  22. Dybvig, Philip H & Ross, Stephen A, 1986. "Tax Clienteles and Asset Pricing," Journal of Finance, American Finance Association, vol. 41(3), pages 751-762, July.

    Cited by:

    1. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
    2. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Post-Print hal-03252242, HAL.
    3. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
    4. Hussein Abedi Shamsabadi & Byung S. Min & Imen Tebourbi & Mohammad Nourani, 2020. "Corporate Governance in Australia: Share Repurchases under an Imputation Tax System," Capital Markets Review, Malaysian Finance Association, vol. 28(1), pages 1-23.
    5. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
    6. Frank Strobel, 2005. "International tax arbitrage, financial parity conditions and preferential capital gains taxation," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 219-226.
    7. Marcus Becker & Andreas Löffler, 2024. "Arbitrage and non-linear taxes," Review of Managerial Science, Springer, vol. 18(12), pages 3487-3514, December.
    8. Ehrhardt, Michael C. & Jordan, James V. & Prisman, Eliezer Z., 1995. "Tests for tax-clientele and tax-option effects in U.S. treasury bonds," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1055-1072, September.
    9. Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
    10. Bongaerts, Dion & Schoenmaker, Dirk, 2024. "Liquidity and clientele effects in green debt markets," Journal of Corporate Finance, Elsevier, vol. 86(C).
    11. Pascal Frank & Markus Rudolf, 2024. "Is the Metaverse Dead? Insights from Financial Bubble Analysis," FinTech, MDPI, vol. 3(2), pages 1-22, May.
    12. Suleyman Basak & Benjamin Croitoru, "undated". "Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices," Rodney L. White Center for Financial Research Working Papers 7-99, Wharton School Rodney L. White Center for Financial Research.
    13. John B. Shoven & Clemens Sialm, 1999. "Asset Location in Tax-Deferred and Conventional Savings Accounts," NBER Working Papers 7192, National Bureau of Economic Research, Inc.
    14. Elyès Jouini & Hedi Kallal, 1999. "Viability and equilibrium in securities markets with frictions," Post-Print halshs-00176397, HAL.
    15. Clemens Sialm & Hanjiang Zhang, 2020. "Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 75(2), pages 735-777, April.
    16. Denis Gorea, 2013. "Tax Avoidance, Welfare Transfers, and Asset Prices," 2013 Meeting Papers 1054, Society for Economic Dynamics.
    17. Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
    18. Strobel, Frank, 2001. "International tax arbitrage, tax evasion and interest parity conditions," Research in Economics, Elsevier, vol. 55(4), pages 413-427, December.
    19. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
    20. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
    21. Strobel, Frank, 2012. "International tax arbitrage and residence vs. source-based capital income taxation," Research in Economics, Elsevier, vol. 66(4), pages 391-397.
    22. Christoph Kuhn, 2018. "How local in time is the no-arbitrage property under capital gains taxes ?," Papers 1802.06386, arXiv.org, revised Sep 2018.
    23. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
    24. Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January.
    25. Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
    26. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," MPRA Paper 15467, University Library of Munich, Germany.
    27. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
    28. Singh, Kuljot & Hodder, James E., 2000. "Multinational capital structure and financial flexibility," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 853-884, December.
    29. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.
    30. Joel M. Vanden, 2016. "Optimal capital structures for private firms," Annals of Finance, Springer, vol. 12(2), pages 245-273, May.

  23. Dybvig, Philip H & Ross, Stephen A, 1985. "Yes, the APT Is Testable," Journal of Finance, American Finance Association, vol. 40(4), pages 1173-1188, September.

    Cited by:

    1. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
    2. Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Post-Print hal-04842839, HAL.
    3. Suat Teker & Oscar Varela, 1998. "A comparative analysis of security pricing using factor, macrovariable and arbitrage pricing models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 21-41, June.
    4. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, University Library of Munich, Germany, revised 18 Apr 1994.
    5. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
    6. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
    7. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
    8. Donald Alexander & Paul Thistle, 1999. "Market Power, Efficiency and the Dispersion of Systematic Risk," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 14(4), pages 377-390, June.
    9. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
    10. Chadwick, Meltem, 2010. "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper 79060, University Library of Munich, Germany.
    11. Hoover, Gary A. & Smimou, K., 2023. "Socially conscious investment funds and home country institutions," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 395-417.
    12. Smimou, Kamal & Karabegovic, Amela, 2010. "On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 119-151, June.
    13. Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
    14. Choi, Yoon K., 1995. "The sensitivity in tests of the efficiency of a portfolio and portfolio performance measurement," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(2), pages 187-206.
    15. Levine, Ross, 1989. "An International Arbitrage Pricing Model with PPP Deviations," Economic Inquiry, Western Economic Association International, vol. 27(4), pages 587-599, October.
    16. Laurence Carassus & Miklos Rasonyi, 2019. "Risk-neutral pricing for APT," Papers 1904.11252, arXiv.org, revised Oct 2020.
    17. Cory, Dennis C. & Colby, Bonnie G. & Carpenter, Edwin H., 1988. "Uncertain Recreation Quality And Wildlife Valuation: Are Conventional Benefit Measures Adequate?," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(2), pages 1-10, December.
    18. Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 248-263, July.

  24. Ross, Stephen A, 1985. "Debt and Taxes and Uncertainty," Journal of Finance, American Finance Association, vol. 40(3), pages 637-657, July.

    Cited by:

    1. Kwang Soo Cheong, 1998. "Corporate Income Taxation and Signaling," Public Finance Review, , vol. 26(5), pages 480-502, September.
    2. Engelberg, Joseph & Gao, Pengjie & Parsons, Christopher A., 2012. "Friends with money," Journal of Financial Economics, Elsevier, vol. 103(1), pages 169-188.
    3. Soenke Sievers & Jan Klobucnik, 2011. "Valuing high technology growth firms," Cologne Graduate School Working Paper Series 02-07, Cologne Graduate School in Management, Economics and Social Sciences.
    4. James M. Poterba, 2001. "Taxation, Risk-Taking, and Household Portfolio Behavior," NBER Working Papers 8340, National Bureau of Economic Research, Inc.
    5. Marcus Becker & Andreas Löffler, 2024. "Arbitrage and non-linear taxes," Review of Managerial Science, Springer, vol. 18(12), pages 3487-3514, December.
    6. Shah, Salman & Thakor, Anjan V., 1987. "Optimal capital structure and project financing," Journal of Economic Theory, Elsevier, vol. 42(2), pages 209-243, August.
    7. Jongmoo Jay Choi & Frank J. Fabozzi & Uzi Yaari, 1989. "Optimum Corporate Leverage With Risky Debt: A Demand Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 129-142, June.
    8. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'économie 03.03, Université de Lausanne, Faculté des HEC, Département d’économie.
    9. Lutz Hahnenstein & Klaus Röder, 2007. "Who hedges more when leverage is endogenous? A testable theory of corporate risk management under general distributional conditions," Review of Quantitative Finance and Accounting, Springer, vol. 28(4), pages 353-391, May.
    10. Berardino Palazzo, 2019. "Cash flows risk, capital structure, and corporate bond yields," Annals of Finance, Springer, vol. 15(3), pages 401-420, September.
    11. MacKie-Mason, Jeffrey K, 1990. "Do Taxes Affect Corporate Financing Decisions?," Journal of Finance, American Finance Association, vol. 45(5), pages 1471-1493, December.
    12. M. Ameziane Lasfer, 1995. "Agency costs, taxes and debt: The UK evidence," European Financial Management, European Financial Management Association, vol. 1(3), pages 265-285, November.
    13. Peter Krištofík & Juraj Medzihorský & Hussam Musa, 2022. "Capital Structure and Its Determinants—A Comparison of European Top-Rated CSR and Other Companies," JRFM, MDPI, vol. 15(8), pages 1-16, July.
    14. John B. Shoven & Laurie Blair Simon, 1987. "Share Repurchases and Acquisitions: An Analysis of Which Firms Participate," NBER Working Papers 2243, National Bureau of Economic Research, Inc.
    15. Wolfgang Drobetz & Roger Fix, 2005. "What are the Determinants of the Capital Structure? Evidence from Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 141(I), pages 71-113, March.
    16. Sanjiva Prasad & Christopher J. Green & Victor Murinde, 2001. "Company Financing, Captial Structure, and Ownership: A Survey, and Implications for Developing Economies," SUERF Studies, SUERF - The European Money and Finance Forum, number 12 edited by Morten Balling, May.
    17. Ajay Chhibber & Mansoor Dailami, 1993. "Fiscal Policy and Private Investment in Developing Countries: Recent Evidence on Key Selected Issues," Palgrave Macmillan Books, in: Riccardo Faini & Jaime Melo (ed.), Fiscal Issues in Adjustment in Developing Countries, pages 121-150, Palgrave Macmillan.
    18. Clifford F. Thies & Mark S. Klock, 1992. "Determinants Of Capital Structure," Review of Financial Economics, John Wiley & Sons, vol. 1(2), pages 40-52, March.
    19. Lee, Zu-Hsu & Deng, Shiming & Lin, Beixin & Yang, James G.S., 2010. "Decision model and analysis for investment interest expense deduction and allocation," European Journal of Operational Research, Elsevier, vol. 200(1), pages 268-280, January.
    20. Jones, C., 1999. "Miller's Equilibrium and Uncertainty," ANU Working Papers in Economics and Econometrics 1999-373, Australian National University, College of Business and Economics, School of Economics.
    21. Sanjiva Prasad & Christopher J. Green & Victor Murinde, 2005. "Company Financial Structure: A Survey and Implications for Developing Economies," Chapters, in: Christopher J. Green & Colin Kirkpatrick & Victor Murinde (ed.), Finance and Development, chapter 12, Edward Elgar Publishing.
    22. Innes, Robert, 1988. "Tax Asymmetries And Capital Structure Choices In Closely Held Firms," Working Papers 225810, University of California, Davis, Department of Agricultural and Resource Economics.
    23. Zhao, Jianmei & Katchova, Ani L. & Barry, Peter J., 2004. "Testing The Pecking Order Theory And The Signaling Theory For Farm Businesses," 2004 Annual meeting, August 1-4, Denver, CO 20215, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    24. Mai, Nhat Chi, 2012. "Market timing, taxes and capital structure: evidence from Vietnam," OSF Preprints t3mvs, Center for Open Science.
    25. Shaif Jarallah & Wali Ullah, 2014. "Evolving corporate governance and the dividends behaviour regime in Japan," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 61(3), pages 279-303, September.
    26. Dailami, Mansoor & Atkin, Michael, 1990. "Stock markets in developing countries : key issues and a research agenda," Policy Research Working Paper Series 515, The World Bank.

  25. Mark S. Grinblatt & Stephen A. Ross, 1985. "Market Power in a Securities Market with Endogenous Information," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 100(4), pages 1143-1167.

    Cited by:

    1. Basak, Suleyman & Pavlova, Anna, 2002. "Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies," CEPR Discussion Papers 3425, C.E.P.R. Discussion Papers.
    2. Agastya, Murali, 2003. "Insider Trading, Informational Effciency and Allocative Effciency," Working Papers 6, University of Sydney, School of Economics.
    3. Oleg Chuprinin & Massimo Massa & Bastian von Beschwitz, 2015. "Why Do Short Sellers Like Qualitative News?," International Finance Discussion Papers 1149, Board of Governors of the Federal Reserve System (U.S.).
    4. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    5. Krebs, Tom, 2007. "Rational expectations equilibrium and the strategic choice of costly information," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 532-548, June.
    6. Thierry Foucault & Bruno Biais, 1993. "Asymétries d'information et marchés financiers : une synthèse de la littérature récente," Post-Print hal-00711386, HAL.
    7. Branko Urosevic, 2001. "Moral hazard and dynamics of insider ownership stakes," Economics Working Papers 787, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.
    8. Shaffer, Sherrill & Spierdijk, Laura, 2020. "Measuring multi-product banks’ market power using the Lerner index," Journal of Banking & Finance, Elsevier, vol. 117(C).
    9. Pedraza Morales, Alvaro, 2014. "Strategic information revelation and capital allocation," Policy Research Working Paper Series 6995, The World Bank.
    10. Basak, Suleyman & Pavlova, Anna, 2004. "Monopoly Power and the Firm€ٳ Valuation:," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. Estrada, Javier, 1994. "Insider trading: regulation, securities markets, and welfare under risk neutrality," UC3M Working papers. Economics 2922, Universidad Carlos III de Madrid. Departamento de Economía.
    12. Estrada, Javier, 1995. "Insider trading: regulation, securities markets, and welfare under risk aversion," UC3M Working papers. Economics 3901, Universidad Carlos III de Madrid. Departamento de Economía.
    13. von Beschwitz, Bastian & Chuprinin, Oleg & Massa, Massimo, 2017. "Why Do Short Sellers Like Qualitative News?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 645-675, April.
    14. Phong T. H. Ngo, 2006. "International Prudential Regulation, Regulatory Risk and the Cost of Bank Capital," ANU Working Papers in Economics and Econometrics 2006-463, Australian National University, College of Business and Economics, School of Economics.

  26. Dybvig, Philip H & Ross, Stephen A, 1985. "The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-416, June.

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012. "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series 315, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
    3. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
    4. Zion Guo & Hsin-Yi Huang, 2012. "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 104-116, December.
    5. Savov, Alexi, 2014. "The price of skill: Performance evaluation by households," Journal of Financial Economics, Elsevier, vol. 112(2), pages 213-231.
    6. Murthi, B. P. S. & Choi, Yoon K. & Desai, Preyas, 1997. "Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 98(2), pages 408-418, April.
    7. Sebastian Bunnenberg & Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2019. "Jensen's alpha and the market‐timing puzzle," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 234-255, April.
    8. David R. Gallagher, 2001. "Attribution of investment performance: an analysis of Australian pooled superannuation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 41(1‐2), pages 41-62, July.
    9. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
    10. Subrata Roy, 2016. "Another Look in Conditioning Alphas on Economic Information: Indian Evidence," Global Business Review, International Management Institute, vol. 17(1), pages 191-213, February.
    11. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley.
    12. Chance, Don M. & Hemler, Michael L., 2001. "The performance of professional market timers: daily evidence from executed strategies," Journal of Financial Economics, Elsevier, vol. 62(2), pages 377-411, November.
    13. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    14. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
    15. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
    16. William Goetzmann & Jonathan Ingersoll & Zoran Ivkovich, 1998. "Monthly Measurement of Daily Timers," Yale School of Management Working Papers ysm88, Yale School of Management, revised 01 Oct 2000.
    17. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
    18. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York.
    19. Stephen Brown & William Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm21, Yale School of Management, revised 01 Apr 2008.
    20. Arik Ben Dor & Ravi Jagannathan, 2002. "Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis," NBER Working Papers 9111, National Bureau of Economic Research, Inc.
    21. Li, Haitao & Xu, Yuewu & Zhang, Xiaoyan, 2010. "Evaluating asset pricing models using the second Hansen-Jagannathan distance," Journal of Financial Economics, Elsevier, vol. 97(2), pages 279-301, August.
    22. García, Diego & Vanden, Joel M., 2009. "Information acquisition and mutual funds," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1965-1995, September.
    23. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, vol. 38(1), pages 79-107, May.
    24. Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
    25. Noe, Thomas H & Ramamurtie, Buddhavarapu Sailesh, 1995. "Information Quality, Performance Measurement, and Security Demand in Rational Expectations Economies," Journal of Finance, American Finance Association, vol. 50(1), pages 341-359, March.
    26. Shafiqur Rahman & Cheng-Few Lee & Yaqing Xiao, 2017. "The investment performance, attributes, and investment behavior of ethical equity mutual funds in the US: an empirical investigation," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 91-116, July.
    27. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
    28. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
    29. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
    30. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    31. Cujean, Julien, 2020. "Idea sharing and the performance of mutual funds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 88-119.
    32. Carla Oliveira Henriques & Maria Elisabete Neves & Licínio Castelão & Duc Khuong Nguyen, 2022. "Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach," Annals of Operations Research, Springer, vol. 313(1), pages 341-366, June.
    33. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
    34. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    35. Jonas Gusset & Heinz Zimmermann, 2014. "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 307-336, November.
    36. Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 724-748, September.
    37. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
    38. Thomas A. Severini, 2015. "A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market," Economics and Business Letters, Oviedo University Press, vol. 4(4), pages 175-182.
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    42. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
    43. Cujean, Julien, 2018. "Idea Sharing and the Performance of Mutual Funds," CEPR Discussion Papers 13111, C.E.P.R. Discussion Papers.
    44. Kempf, Alexander & Kreuzberg, Klaus, 2004. "Portfolio disclosure, portfolio selection and mutual fund performance evaluation," CFR Working Papers 04-09, University of Cologne, Centre for Financial Research (CFR).
    45. Gallo, John G. & Swanson, Peggy E., 1996. "Comparative measures of performance for U.S.-based international equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1635-1650, December.
    46. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    47. Lehmann, Bruce & Timmermann, Allan, 2007. "Performance measurement and evaluation," LSE Research Online Documents on Economics 24505, London School of Economics and Political Science, LSE Library.
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    66. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
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    52. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    53. Francisco Peñaranda, 2009. "Understanding portfolio efficiency with conditioning information," Economics Working Papers 1146, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2011.
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    75. Ross M. Miller, 2005. "Measuring the True Cost of Active Management by Mutual Funds," Finance 0506010, University Library of Munich, Germany, revised 02 Aug 2005.
    76. Laborda, Ricardo & Muñoz, Fernando, 2016. "Optimal allocation of government bond funds through the business cycle. Is money smart?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 46-67.
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    1. S. Saiful Bahri & Lawrence Leger, 2001. "The stability of risk factors in the UK stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 411-422.
    2. Kumar, V. & Ramaswami, Sridhar N. & Srivastava, Rajendra K., 2000. "A Model to Explain Shareholder Returns: Marketing Implications," Journal of Business Research, Elsevier, vol. 50(2), pages 157-167, November.
    3. Chadwick, Meltem, 2010. "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper 79060, University Library of Munich, Germany.
    4. Cornelis A Los, 2004. "System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets," International Finance 0410005, University Library of Munich, Germany.
    5. Mehnaz Roushan Laura & Nafiz Ul Fahad, 2017. "The Classical Approaches to Testing the Unconditional CAPM: UK Evidence," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 220-232, March.
    6. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
    7. Gabriel Frahm, 0. "Arbitrage Pricing Theory In Ergodic Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-28.
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    12. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
    13. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
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    1. Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
    2. Robert R. Grauer and Nils H. Hakansson., 1998. "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model," Research Program in Finance Working Papers RPF-277, University of California at Berkeley.
    3. Baojun Bian & Harry Zheng, 2018. "Turnpike Property and Convergence Rate for an Investment and Consumption Model," Papers 1808.04265, arXiv.org.
    4. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
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  33. Brown, Donald J. & Ross, Stephen, 1983. "Spanning and arbitrage in securities markets with options: A state preference aproach," Mathematical Social Sciences, Elsevier, vol. 4(2), pages 186-186, April.

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    1. Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
    2. Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.

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    1. Benjamin Knox & Jakob Ahm Sørensen, 2024. "Insurers’ Investments and Insurance Prices," Finance and Economics Discussion Series 2024-058, Board of Governors of the Federal Reserve System (U.S.).
    2. Li Zhang & Norma Nielson, 2012. "Pricing for Multiline Insurer: Frictional Costs, Insolvency, and Asset Allocation," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 15(2), pages 129-152, September.
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    7. Cynthia Van Hulle & Hans Degryse & Kristien Smedts, 2017. "Risk-sharing benefits and the capital structure of insurance companies," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 571404, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
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  35. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.

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    1. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
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    3. McCamley, Francis P. & Rudel, Richard K., 2001. "Shadow Price Implications Of Several Stochastic Dominance Criteria," 2001 Annual Meeting, July 8-11, 2001, Logan, Utah 36163, Western Agricultural Economics Association.
    4. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Post-Print hal-03252242, HAL.
    5. Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
    6. Zhang, Duo, 2008. "Non-convex optimal portfolio sets and constant relative risk aversion," Journal of Economics and Business, Elsevier, vol. 60(6), pages 551-555.
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    8. Timo Kuosmanen, 2004. "Efficient Diversification According to Stochastic Dominance Criteria," Management Science, INFORMS, vol. 50(10), pages 1390-1406, October.
    9. McCamley, Francis P. & Rudel, Richard K., 2000. "Shadow Price Implications Of Second Degree Stochastic Dominance Efficiency," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36370, Western Agricultural Economics Association.
    10. Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
    11. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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    13. McCamley, Francis P. & Kliebenstein, James B., 1987. "Identifying The Set Of Ssd-Efficient Mixtures Of Risky Alternatives," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 12(01), pages 1-9, July.
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    1. Katsushi Nakajima & Kazuhiko Ohashi, 2013. "Emission Allowance as a Derivative on Commodity-Spread," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 183-217, May.
    2. Poskitt, Russell, 2008. "Interest rate futures and forwards: Evidence from the sterling futures and FRA markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 399-412, December.
    3. Hun Y. Park & R. Stephen Sears, 1985. "Changing Volatility And The Pricing Of Options On Stock Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 265-274, December.
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    5. Power, Gabriel J. & Eaves, James & Turvey, Calum & Vedenov, Dmitry, 2017. "Catching the curl: Wavelet thresholding improves forward curve modelling," Economic Modelling, Elsevier, vol. 64(C), pages 312-321.
    6. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
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    1. Zhao, Yingxue & Yang, Liu & Cheng, T.C.E. & Ma, Lijun & Shao, Xinjian, 2013. "A value-based approach to option pricing: The case of supply chain options," International Journal of Production Economics, Elsevier, vol. 143(1), pages 171-177.
    2. d’Amato, Maurizio & Zrobek, Sabina & Renigier Bilozor, Malgorzata & Walacik, Marek & Mercadante, Giuseppe, 2019. "Valuing the effect of the change of zoning on underdeveloped land using fuzzy real option approach," Land Use Policy, Elsevier, vol. 86(C), pages 365-374.
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    603. Di Gao & Yuan Zhao & Jiangming Ma, 2023. "How Does Supply Chain Information Disclosure Relate to Corporate Investment Efficiency? Evidence from Chinese-Listed Companies," Sustainability, MDPI, vol. 15(8), pages 1-22, April.
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    605. Jessica Martin, 2021. "The Risk-Sharing Problem Under Limited Liability Constraints in a Single-Period Model," Journal of Optimization Theory and Applications, Springer, vol. 189(3), pages 854-872, June.
    606. Nirosha Hewa Wellalage & Stuart Locke, 2018. "Do female directors create value for the shareholders? Case study of New Zealand publicly listed companies," International Journal of Corporate Governance, Inderscience Enterprises Ltd, vol. 9(4), pages 347-371.
    607. Yuan, Li & Tao, Jing & Li, Haitong & Dai, Pengyi, 2024. "Narrative innovation disclosure and stock price crash risk: Evidence from Chinese listed firms," Research in International Business and Finance, Elsevier, vol. 71(C).
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    609. Luis Almeida Costa & Joao Amaro de Matos, 2000. "Afinity, animosity and organizational design," Nova SBE Working Paper Series wp372, Universidade Nova de Lisboa, Nova School of Business and Economics.
    610. Arthur Selender & Liang Zou, 1994. "Limited liability and the underlying-asset constraint: on the use of share-derivative contracts to resolve agency problems," Journal of Economics, Springer, vol. 59(2), pages 149-166, June.
    611. Pattarin Adithipyangkul & H. Y. Hung & T. Y. Leung, 2021. "An Auditor's Perspective of Executive Incentive Pay and Dividend Payouts in Family Firms," Journal of Family and Economic Issues, Springer, vol. 42(4), pages 697-714, December.
    612. Darcy W. E. Allen & Jason Potts & Julian Waters-Lynch & Max Parasol, 2024. "Costly Signalling in DAOs," Papers 2406.18457, arXiv.org.
    613. Bernard Paulré, 2001. "Enjeux et dilemmes de l'économie cognitive," Working Papers halshs-00135486, HAL.
    614. Andrii Falkovskyi & Olga Dzhezhik, 2019. "Formation Of The Modern Concept Of Europe In The Context Of Social Neo-Institutionalism," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 5(4).
    615. Nie, George Y., 2023. "Address Challenges Markowitz (1952) Faces: A New Measure of Asset Risk," SocArXiv tgvb2_v1, Center for Open Science.
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    617. Christof Miska & Christian Hilbe & Susanne Mayer, 2014. "Reconciling Different Views on Responsible Leadership: A Rationality-Based Approach," Journal of Business Ethics, Springer, vol. 125(2), pages 349-360, December.
    618. Bolli, Thomas & Olivares, Maria & Bonaccorsi, Andrea & Daraio, Cinzia & Aracil, Adela Garcia & Lepori, Benedetto, 2016. "The differential effects of competitive funding on the production frontier and the efficiency of universities," Economics of Education Review, Elsevier, vol. 52(C), pages 91-104.
    619. Andrea Mezger & Pablo Cabanelas & Mª. Jesús López‐Miguens & Francesca Cabiddu & Klaus Rüdiger, 2020. "Sustainable development and consumption: The role of trust for switching towards green energy," Business Strategy and the Environment, Wiley Blackwell, vol. 29(8), pages 3598-3610, December.
    620. Thierry Poulain-Rehm, 2005. "L’impact de l’affectation du free cash flow sur la création de valeur actionnariale : le cas de la politique d’endettement et de dividendes des entreprises françaises cotées," Revue Finance Contrôle Stratégie, revues.org, vol. 8(4), pages 205-238, December.
    621. Kolnhofer-Derecskei Anita, 2017. "The Indifferent, the Good Samaritan, the Brave and the Agent in Allais Paradox situation – or How Endowment Effect Influences Our Decision in Case of Allais Paradox?," Organizacija, Sciendo, vol. 50(4), pages 299-313, December.
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  62. Ross, Stephen A & Wachter, Michael L, 1973. "Wage Determination, Inflation, and the Industrial Structure," American Economic Review, American Economic Association, vol. 63(4), pages 675-692, September.

    Cited by:

    1. Russell, Bill, 2011. "Non-stationary inflation and panel estimates of United States short and long-run Phillips curves," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 406-419, September.
    2. Nitzan, Jonathan, 1992. "Inflation As Restructuring. A Theoretical and Empirical Account of the U.S. Experience," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 157989, February.
    3. Marcel Chassot, 1982. "Zur Asymmetrie des Lohnverhaltens - Das Beispiel der schweizerischen Phillips-Kurve: 1959-1979," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 118(IV), pages 393-407, December.
    4. Jean-Pierre Cling & François Meunier, 1986. "La désinflation en France : le point de vue de l'économètre," Revue Économique, Programme National Persée, vol. 37(6), pages 1093-1125.

  63. Ethier, Wilfred & Ross, Stephen A., 1971. "International capital movements and long run diversification," Journal of International Economics, Elsevier, vol. 1(3), pages 301-314, August.

    Cited by:

    1. Vosgerau, Hans-Jürgen, 1987. "International capital movements and trade in an intertemporal setting," Discussion Papers, Series II 25, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".

Chapters

  1. Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018. "The True Cost of Social Security," NBER Chapters, in: Tax Policy and the Economy, Volume 33, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  3. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  4. Stephen A. Ross, 2005. "Mutual Fund Separation in Financial Theory—The Separating Distributions," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 10, pages 309-356, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  5. Dybvig, Philip H. & Ross, Stephen A., 2003. "Arbitrage, state prices and portfolio theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 10, pages 605-637, Elsevier.

    Cited by:

    1. Kátay, Gábor & Péter, Harasztosi, 2017. "Currency Matching and Carry Trade by Non-Financial Corporations," JRC Working Papers in Economics and Finance 2017-02, Joint Research Centre, European Commission.
    2. Satoshi Nakada & Shmuel Nitzan & Takashi Ui, 2022. "Robust Voting under Uncertainty," Working Papers on Central Bank Communication 038, University of Tokyo, Graduate School of Economics.
    3. Krislert Samphantharak & Robert Townsend, 2013. "Risk and Return in Village Economies," NBER Working Papers 19738, National Bureau of Economic Research, Inc.
    4. A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
    5. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    6. D. L. Wilcox & T. J. Gebbie, 2013. "On pricing kernels, information and risk," Papers 1310.4067, arXiv.org, revised Oct 2013.
    7. Chang, Shuhua & Li, Jiajing & Sethi, Suresh P. & Wang, Xinyu, 2024. "Risk hedging for VaR-constrained newsvendors," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 181(C).
    8. Stephen A. Ross, 2011. "The Recovery Theorem," NBER Working Papers 17323, National Bureau of Economic Research, Inc.
    9. Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
    10. Alexander Zimper, 2017. "Rationalizable Information Equilibria," Working Papers 201745, University of Pretoria, Department of Economics.
    11. Harasztosi, Péter & Kátay, Gábor, 2020. "Currency matching by non-financial corporations," Journal of Banking & Finance, Elsevier, vol. 113(C).
    12. Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee, 2016. "Asset demands and consumption with longevity risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 587-633, August.
    13. Tahir Choulli & Jun Deng & Junfeng Ma, 2015. "How non-arbitrage, viability and numéraire portfolio are related," Finance and Stochastics, Springer, vol. 19(4), pages 719-741, October.
    14. Jiang-Lun Wu & Wei Yang, 2013. "A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation," Papers 1305.1868, arXiv.org.
    15. Passadore, Juan & Xu, Yu, 2022. "Illiquidity in sovereign debt markets," Journal of International Economics, Elsevier, vol. 137(C).
    16. Tom Arnold & Richard Shockley, 2010. "Real Options Analysis and the Assumptions of Corporate Finance: A Non-Technical Review," Multinational Finance Journal, Multinational Finance Journal, vol. 14(1-2), pages 29-71, March-Jun.

  6. Stephen Ross & Paul Taubman & Michael L. Wachter, 1981. "Learning by Observing and the Distribution of Wages," NBER Chapters, in: Studies in Labor Markets, pages 359-386, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ian E. Novos, 1992. "Learning by doing and adverse selection : the importance of commitment," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 79-90, Autumn.
    2. Derek Neal & Sherwin Rosen, 1998. "Theories of the Distribution of Labor Earnings," NBER Working Papers 6378, National Bureau of Economic Research, Inc.
    3. Katz, Lawrence & Gibbons, Robert & Lemieux, Thomas & Parent, Daniel, 2005. "Comparative Advantage, Learning, and Sectoral Wage Determination," Scholarly Articles 2766651, Harvard University Department of Economics.
    4. Pierre Béret & Anne-Marie Daune-Richard & Arnaud Dupray & Eric Verdier, 1997. "Valorisation de l'investissement formation sur les marchés du travail français et allemand : distinction entre valeur productive et valeur de signalement," Working Papers halshs-03727429, HAL.
    5. Robert Gibbons & Michael Waldman, 1998. "A Theory of Wage and Promotion Dynamics in Internal Labor Markets," NBER Working Papers 6454, National Bureau of Economic Research, Inc.
    6. Judith Chevalier & Glenn Ellison, 1998. "Career Concerns of Mutual Fund Managers," NBER Working Papers 6394, National Bureau of Economic Research, Inc.
    7. Michael Waldman, 1985. "Information on Worker Ability: An Analysis of Inverstment Within the Firm," UCLA Economics Working Papers 375, UCLA Department of Economics.
    8. Michael Waldman, 1984. "Job Assignments, Signalling, and Efficiency," RAND Journal of Economics, The RAND Corporation, vol. 15(2), pages 255-267, Summer.

Books

    Sorry, no citations of books recorded.
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