The Contributions of Stephen A. Ross to Financial Economics

Literature Cited

1. Admati AR, Bhattacharya S, Pfleiderer P, Ross SA. 1986. On timing and selectivity. J. Finance 41:3715–30
   [Google Scholar]
2. Admati AR, Ross SA. 1985. Measuring investment performance in a rational expectations equilibrium model. J. Bus. 58:1–26
   [Google Scholar]
3. Breeden DT, Litzenberger RH. 1978. Prices of state-contingent claims implicit in option prices. J. Bus. 51:621–51
   [Google Scholar]
4. Brown SJ, Dybvig PH. 1986. The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates. J. Finance 41:3617–30
   [Google Scholar]
5. Brown SJ, Goetzmann W, Ibbotson RG, Ross SA. 1992. Survivorship bias in performance studies. Rev. Financ. Stud. 5:4553–80
   [Google Scholar]
6. Brown SJ, Goetzmann WN, Ross SA 1995. Survival. J. Finance 50:3853–73
   [Google Scholar]
7. Carpenter JN, Lynch AW. 1999. Survivorship bias and attrition effects in measures of performance persistence. J. Financ. Econ. 54:3337–74
   [Google Scholar]
8. Chen N-F, Roll R, Ross SA. 1986. Economic forces and the stock market. J. Bus. 59:3383–403
   [Google Scholar]
9. Connor G. 1984. A unified beta pricing theory. J. Econ. Theory 34:113–31
   [Google Scholar]
10. Cox JC, Ingersoll JE Jr., Ross SA. 1979. Duration and the measurement of basis risk. J. Bus.51–61
    [Google Scholar]
11. Cox JC, Ingersoll JE Jr., Ross SA. 1985. A theory of the term structure of interest rates. Econometrica 53:385–407
    [Google Scholar]
12. Cox JC, Ross SA. 1975. The pricing of options for jump processes Work. Pap. 02-75, Rodney L. White Center for Financial Research, Wharton School Philadelphia, PA:
13. Cox JC, Ross SA, Rubinstein M. 1979. Option pricing: a simplified approach. J. Financ. Econ. 7:3229–63
    [Google Scholar]
14. Dybvig PH. 1983. An explicit bound on individual assets’ deviations from APT pricing in a finite economy. J. Financ. Econ. 12:4483–96
    [Google Scholar]
15. Dybvig PH, Ross SA. 1985. Differential information and performance measurement using a security market line. J. Finance 40:2383–99
    [Google Scholar]
16. Dybvig PH, Ross SA 1987. Arbitrage. The New Palgrave: A Dictionary of Economics, Vol. 1 J Eatwell, M Milgate, P Newman 100–6 New York: Stockton Press
    [Google Scholar]
17. Dybvig PH, Ross SA. 2003. Arbitrage, state prices and portfolio theory. Handbook. of the Economics. of Finance, Vol. 1B GM Constantinides, M Harris, RM Stulz 1605–37 Elsevier: Amsterdam http://dybfin.wustl.edu/research/papers/arbetc7.pdf
    [Google Scholar]
18. Dybvig PH, Zender JF. 1991. Capital structure and dividend irrelevance with asymmetric information. Rev. Financ. Stud. 4:1201–19
    [Google Scholar]
19. Gibbons MR, Ross SA, Shanken J. 1989. A test of the efficiency of a given portfolio. Econometrica 57:1121–52
    [Google Scholar]
20. Holmstrom B. 1979. Moral hazard and observability. Bell J. Econ. 10:174–91
    [Google Scholar]
21. Huberman G. 1982. Arbitrage pricing theory, a simple approach. J. Econ. Theory 28:1183–98
    [Google Scholar]
22. Huberman G, Wang Z 2008. Arbitrage pricing theory. The New Palgrave Dictionary of Economics SN Durlauf, LE Blume 197–205 London: Palgrave Macmillan
    [Google Scholar]
23. Ingersoll JE Jr. 1984. Some results in the theory of arbitrage pricing. J. Finance 39:41021–39
    [Google Scholar]
24. Kogan L, Ross SA, Wang J, Westerfield MM. 2006. The price impact and survival of irrational traders. J. Finance 61:1195–229
    [Google Scholar]
25. Leland HE, Pyle DH. 1977. Informational asymmetries, financial structure, and financial intermediation. J. Finance 32:2371–87
    [Google Scholar]
26. Lindenberg EB, Ross SA. 1981. Tobin's q ratio and industrial organization. J. Bus. 54:1–32
    [Google Scholar]
27. Lo A, MacKinlay AC. 1988. Stock market prices do not follow random walks: evidence from a simple specification test. Rev. Financ. Stud. 1:141–66
    [Google Scholar]
28. MacBeth J. 1975. Tests of the two parameter model of capital market equilibrium PhD Diss., Univ. Chicago Chicago, IL:
29. Mayers D, Rice E 1979. Measuring portfolio performance and the empirical content of asset pricing models. J. Financ. Econ. 7:3–28
    [Google Scholar]
30. Mehra R, Prescott EC. 1985. The equity premium: a puzzle. J. Monet. Econ. 15:2145–61
    [Google Scholar]
31. Merton RC. 1970. A dynamic general equilibrium model of the asset market and its application to the pricing of the capital structure of the firm Work. Pap. 497–70, A.P. Sloan Sch. Manag., Mass. Inst. Technol., Cambridge, MA. Reprinted in Merton RC. 1990. Continuous Time Finance, pp. 357–86. Oxford, UK: Blackwell
32. Miller MH, Modigliani F. 1961. Dividend policy, growth, and the valuation of shares. J. Bus. 34:4411–33
    [Google Scholar]
33. Modigliani F, Miller MH. 1958. The cost of capital, corporation finance and the theory of investment. Am. Econ. Rev. 48:261–97
    [Google Scholar]
34. Rogerson W. 1985. The first-order approach to principal-agent problems. Econometrica531357–67
    [Google Scholar]
35. Roll R. 1973. Evidence on the “Growth-Optimum” model. J. Finance 28:3551–66
    [Google Scholar]
36. Roll R, Ross SA. 1980. An empirical investigation of the arbitrage pricing theory. J. Finance 35:51073–103
    [Google Scholar]
37. Ross SA. 1972. Portfolio and capital market theory with arbitrary preferences and distributions: the general validity of the mean-variance approach in large markets Work. Pap. 12-72, Rodney L. White Cent. Financ. Res., Wharton Sch., Univ. Penn., Philadelphia, PA. https://rodneywhitecenter.wharton.upenn.edu/wp-content/uploads/2014/03/72-12.pdf
38. Ross SA. 1973. The economic theory of agency: the principal's problem. Am. Econ. Rev. 63:134–39
    [Google Scholar]
39. Ross SA. 1976a. Options and efficiency. Q. J. Econ. 90:75–89
    [Google Scholar]
40. Ross SA. 1976b. The arbitrage theory of capital asset pricing. J. Econ. Theory 13:341–60
    [Google Scholar]
41. Ross SA. 1977. The determination of financial structure: the incentive-signaling approach. Bell J. Econ. 8:23–40
    [Google Scholar]
42. Ross SA. 1978a. A simple approach to the valuation of risky streams. J. Bus. 51:453–75
    [Google Scholar]
43. Ross SA. 1978b. Mutual fund separation in financial theory—the separating distributions. J. Econ. Theory 17:2254–86
    [Google Scholar]
44. Ross SA. 1987. Regression to the max. Unpublished manuscript Yale Univ. New Haven, CT: https://www.researchgate.net/profile/Stephen_Ross3/publication/247378278_Regression_to_the_max/links/56426ec908aec448fa6251d0/Regression-to-the-max.pdf
    [Google Scholar]
45. Ross SA. 2002. Forensic finance: ENRON and others. Riv. Di Politica Econ. 92:11/129–28
    [Google Scholar]
46. Ross SA. 2004. Compensation, incentives, and the duality of risk aversion and riskiness. J. Finance 59:1207–25
    [Google Scholar]
47. Ross SA. 2015. The recovery theorem. J. Finance 70:2615–48
    [Google Scholar]
48. Ross SA, Walsh M. 1983. A simple approach to the pricing of risky assets with uncertain exchange rates. Res. Int. Bus. Finance 3:39–54
    [Google Scholar]
49. Sharpe WF. 1963. A simplified model for portfolio analysis. Manag. Sci. 9:2277–93
    [Google Scholar]
50. Sharpe WF. 1978. Investments. Upper Saddle River, NJ: Prentice-Hall
    [Google Scholar]
51. Spence M. 1974. Competitive and optimal responses to signals: an analysis of efficiency and distribution. J. Econ. Theory 7:3296–332
    [Google Scholar]
52. Vasicek O. 1977. An equilibrium characterization of the term structure. J. Financ. Econ. 5:2177–88
    [Google Scholar]