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Stephen F. LeRoy

Personal Details

First Name:Stephen
Middle Name:F.
Last Name:LeRoy
Suffix:
RePEc Short-ID:ple714
[This author has chosen not to make the email address public]
http://www.econ.ucsb.edu/~sleroy/webpage/
8056892344

Affiliation

Department of Economics
University of California-Santa Barbara (UCSB)

Santa Barbara, California (United States)
http://www.econ.ucsb.edu/
RePEc:edi:educsus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Kevin J. Lansing & Stephen F. LeRoy & Jun Ma, 2022. "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series 2018-14, Federal Reserve Bank of San Francisco.
  2. LeRoy, Stephen F., 2019. "Causal Inference," University of California at Santa Barbara, Economics Working Paper Series qt6pc1x9r6, Department of Economics, UC Santa Barbara.
  3. Kevin J. Lansing & Stephen F. LeRoy, 2010. "Risk aversion and stock price volatility," Working Paper Series 2010-24, Federal Reserve Bank of San Francisco.
  4. Stephen LeRoy & Munpyung O & John Krainer, 2009. "Subprime Mortgages," 2009 Meeting Papers 1077, Society for Economic Dynamics.
  5. John Krainer & Stephen F. LeRoy & Munpyung O, 2009. "Mortgage default and mortgage valuation," Working Paper Series 2009-20, Federal Reserve Bank of San Francisco.
  6. LeRoy, Stephen F., 2001. "Infinite Portfolios," University of California at Santa Barbara, Economics Working Paper Series qt8s12k3ff, Department of Economics, UC Santa Barbara.
  7. Kelly, David & LeRoy, Stephen F., 2001. "Liquidity and Liquidation," University of California at Santa Barbara, Economics Working Paper Series qt4fq7n6pj, Department of Economics, UC Santa Barbara.
  8. John Krainer & Stephen F. LeRoy, 1997. "Returns on illiquid assets: are they fair games?," Working Papers in Applied Economic Theory 97-05, Federal Reserve Bank of San Francisco.
  9. Christian Gilles & Stephen F. LeRoy, 1996. "Bubbles as payoffs at infinity," Finance and Economics Discussion Series 96-9, Board of Governors of the Federal Reserve System (U.S.).
  10. Christian Gilles & Stephen F. LeRoy, 1993. "Stochastic bubbles in Markov economies," Finance and Economics Discussion Series 93-23, Board of Governors of the Federal Reserve System (U.S.).
  11. Cooley, T.F. & LeRoy, S.F., 1991. "Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components," Papers 91-02, Rochester, Business - General.
  12. C. Gilles & S.F. Leroy, 1990. "Econometric Aspects of the Variance-Bound Tests: A Survey," Carleton Economic Papers 90-07, Carleton University, Department of Economics, revised 1991.
  13. C. Gilles & S.F. Leroy, 1990. "The Arbitrage Pricing Theory: A Geometric Interpretation," Carleton Economic Papers 90-06, Carleton University, Department of Economics.
  14. C. Gilles & S.F. Leroy, 1989. "On the Arbitrage Pricing Theory," Carleton Economic Papers 89-09, Carleton University, Department of Economics, revised Jul 1991.
  15. C. Gilles & S.F. Leroy, 1989. "Bublles and Charges," Carleton Economic Papers 89-05, Carleton University, Department of Economics, revised May 1992.
    • Gilles, Christian & LeRoy, Stephen F, 1992. "Bubbles and Charges," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 323-339, May.
  16. Stephen F. LeRoy & David E. Lindsey, 1978. "Determining the monetary instrument: a diagrammatic exposition," Special Studies Papers 103, Board of Governors of the Federal Reserve System (U.S.).
  17. Stephen F. LeRoy & Roger N. Waud, 1975. "Observability, measurement error, and the optimal use of information for monetary policy," Special Studies Papers 75, Board of Governors of the Federal Reserve System (U.S.).
  18. Stephen F. LeRoy, 1975. "Efficient use of current information in short-run monetary control," Special Studies Papers 66, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  2. Stephen F. LeRoy & Rish Singhania, 2022. "Size and power in tests of return predictability," Quantitative Finance, Taylor & Francis Journals, vol. 22(6), pages 1153-1167, June.
  3. Stephen F. LeRoy & Rish Singhania, 2020. "Deposit insurance and the coexistence of commercial and shadow banks," Annals of Finance, Springer, vol. 16(2), pages 159-194, June.
  4. LeRoy, Stephen F., 2018. "Implementation Neutrality And Treatment Evaluation," Economics and Philosophy, Cambridge University Press, vol. 34(1), pages 45-52, March.
  5. Stephen F. LeRoy, 2018. "Implementation-Neutral Causation in Structural Models," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(3), September.
  6. LeRoy, Stephen F., 2016. "Implementation-Neutral Causation," Economics and Philosophy, Cambridge University Press, vol. 32(1), pages 121-142, March.
  7. Lansing, Kevin J. & LeRoy, Stephen F., 2014. "Risk aversion, investor information and stock market volatility," European Economic Review, Elsevier, vol. 70(C), pages 88-107.
  8. Stephen F. LeRoy, 2013. "Can risk aversion explain stock price volatility?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr8.
  9. Stephen F. LeRoy, 2012. "Infinite Portfolio Strategies," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 6(4), December.
  10. Stephen F. LeRoy, 2010. "Is the “invisible hand” still relevant?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue may3.
  11. John Krainer & Stephen F. LeRoy, 2010. "Underwater mortgages," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct18.
  12. John Krainer & Stephen F. LeRoy, 2010. "Risky mortgages and mortgage default premiums," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec20.
  13. Stephen F. LeRoy, 2010. "Convex payoffs: implications for risk-taking and financial reform," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct4.
  14. David Kelly & Stephen LeRoy, 2007. "Liquidity and Liquidation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 553-572, June.
  15. Stephen LeRoy, 2005. "Positivity and bubbles in overlapping generations models," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-4.
  16. David L. Kelly & Stephen F. LeRoy, 2005. "Liquidity and fire sales," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 249-270.
  17. Stephen LeRoy, 2004. "Bubbles and the Intertemporal Government Budget Constraint," Economics Bulletin, AccessEcon, vol. 5(18), pages 1-6.
  18. Stephen Leroy, 2003. "Review of Peter Bossaerts, The Paradox of Asset Pricing," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 10(1), pages 117-126.
  19. Stephen LeRoy, 2003. "Expected utility: a defense," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-3.
  20. John Krainer & Stephen F. LeRoy, 2002. "Equilibrium valuation of illiquid assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 19(2), pages 223-242.
  21. Gilles, Christian & LeRoy, Stephen F., 1998. "Arbitrage, martingales and bubbles," Economics Letters, Elsevier, vol. 60(3), pages 357-362, September.
  22. Christian Gilles & Stephen F. LeRoy, 1997. "Bubbles as payoffs at infinity (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(2), pages 261-281.
  23. LeRoy, Stephen F, 1996. "Mortgage Valuation under Optimal Prepayment," The Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 817-844.
  24. LeRoy, Stephen F & Parke, William R, 1992. "Stock Price Volatility: Tests Based on the Geometric Random Walk," American Economic Review, American Economic Association, vol. 82(4), pages 981-992, September.
  25. Gilles, Christian & LeRoy, Stephen F, 1992. "Bubbles and Charges," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 323-339, May.
  26. Gilles, Christian & LeRoy, Stephen F, 1991. "Econometric Aspects of the Variance-Bounds Tests: A Survey," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 753-791.
  27. Gilles, Christian & LeRoy, Stephen F, 1991. "On the Arbitrage Pricing Theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(3), pages 213-229, July.
  28. Stephen F. LeRoy, 1990. "Mutual deposit insurance," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun8.
  29. Stephen F. LeRoy, 1990. "Capital market efficiency: an update," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-40.
  30. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
  31. Stephen F. LeRoy & William R. Parke, 1988. "Stock price volatility: an inequality test based on the geometric random walk," Proceedings, Federal Reserve Bank of San Francisco.
  32. Gilles, Christian & LeRoy, Stephen F, 1987. "A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum," Journal of Finance, American Finance Association, vol. 42(2), pages 473-473, June.
  33. LeRoy, Stephen F & Singell, Larry D, Jr, 1987. "Knight on Risk and Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 394-406, April.
  34. LeRoy, Stephen F. & Raymon, Neil, 1987. "A monetarist model of inflation," Journal of Economic Theory, Elsevier, vol. 42(2), pages 275-310, August.
  35. Cooley, Thomas F & LeRoy, Stephen F, 1986. "What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand," American Economic Review, American Economic Association, vol. 76(3), pages 504-507, June.
  36. Gilles, Christian & Leroy, Stephen F, 1986. "A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition," Journal of Finance, American Finance Association, vol. 41(4), pages 975-979, September.
  37. Leroy, Stephen, 1985. "Contemporary macroeconomic modelling : edited by Pierre Malgrange and Pierre-Alain Muet (Blackwell, Oxford, 1984) pp. x + 319, $37.95," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 135-137, July.
  38. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
  39. LeRoy, Stephen F, 1984. "Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks," The Journal of Business, University of Chicago Press, vol. 57(2), pages 197-213, April.
  40. LeRoy, Stephen F, 1984. "Nominal Prices and Interest Rates in General Equilibrium: Money Shocks," The Journal of Business, University of Chicago Press, vol. 57(2), pages 177-195, April.
  41. Cooley, Thomas F & LeRoy, Stephen F & Raymon, Neil, 1984. "Econometric Policy Evaluation: Note," American Economic Review, American Economic Association, vol. 74(3), pages 467-470, June.
  42. LeRoy, Stephen F, 1984. "Efficiency and the Variability of Asset Prices," American Economic Review, American Economic Association, vol. 74(2), pages 183-187, May.
  43. Stephen F. LeRoy, 1983. "Keynes's theory of investment," History of Political Economy, Duke University Press, vol. 15(3), pages 397-421, Fall.
  44. LeRoy, Stephen F., 1983. "Risk-aversion and the term structure of real interest rates correction," Economics Letters, Elsevier, vol. 12(3-4), pages 339-340.
  45. LeRoy, Stephen F. & Sonstelie, Jon, 1983. "Paradise lost and regained: Transportation innovation, income, and residential location," Journal of Urban Economics, Elsevier, vol. 13(1), pages 67-89, January.
  46. LeRoy, Stephen F, 1982. "Expectations Models of Asset Prices: A Survey of Theory," Journal of Finance, American Finance Association, vol. 37(1), pages 185-217, March.
  47. LeRoy, Stephen F., 1982. "Risk-aversion and the term structure of real interest rates," Economics Letters, Elsevier, vol. 10(3-4), pages 355-361.
  48. LeRoy, Stephen F & LaCivita, C J, 1981. "Risk Aversion and the Dispersion of Asset Prices," The Journal of Business, University of Chicago Press, vol. 54(4), pages 535-547, October.
  49. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
  50. Cooley, Thomas F & LeRoy, Stephen F, 1981. "Identification and Estimation of Money Demand," American Economic Review, American Economic Association, vol. 71(5), pages 825-844, December.
  51. LeRoy, Stephen F., 1980. "Entry and equilibrium under adjustment costs," Journal of Economic Theory, Elsevier, vol. 23(3), pages 348-360, December.
  52. LeRoy, Stephen F & Lindsey, David E, 1978. "Determining the Monetary Instrument: A Diagrammatic Exposition," American Economic Review, American Economic Association, vol. 68(5), pages 929-934, December.
  53. LeRoy, Stephen F & Waud, Roger N, 1977. "Applications of the Kalman Filter in Short-Run Monetary Control," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 195-207, February.
  54. LeRoy, Stephen F, 1976. "Efficient Capital Markets: Comment," Journal of Finance, American Finance Association, vol. 31(1), pages 139-141, March.
  55. Stephen F. LeRoy, 1976. "Stock Market Optimality: Comment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 150-155.
  56. LeRoy, Stephen F., 1976. "Urban land rent and the incidence of property taxes," Journal of Urban Economics, Elsevier, vol. 3(2), pages 167-179, April.
  57. LeRoy, Stephen F, 1973. "Risk Aversion and the Martingale Property of Stock Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(2), pages 436-446, June.

Books

  1. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, October.

More information

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Statistics

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  22. Euclidian citation score
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  24. Wu-Index
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (1) 2010-10-16
  2. NEP-ECM: Econometrics (1) 2019-07-15
  3. NEP-FMK: Financial Markets (1) 2010-10-16
  4. NEP-FOR: Forecasting (1) 2018-12-17
  5. NEP-MAC: Macroeconomics (1) 2018-12-17
  6. NEP-ORE: Operations Research (1) 2018-12-17
  7. NEP-RMG: Risk Management (1) 2009-10-31
  8. NEP-UPT: Utility Models and Prospect Theory (1) 2010-10-16
  9. NEP-URE: Urban and Real Estate Economics (1) 2009-10-31

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