Stephen Ross

Franco Modigliani Professor of Financial Economics
Professor of Finance

Biography | Selected Publications

Corporate Finance. Ross, Stephen A., Randolph W. Westerfield and Jeffrey F. Jaffe. New York, NY: Irwin McGraw-Hill, 2013. (2015)

"The Recovery Theorem." Ross, Stephen A. Journal of Finance Vol. 70, No. 2 (2015): 615-648. (2015)

Fundamentals of Corporate Finance. Ross, Stephen A., Randolph W. Westerfield and Bradford D. Jordan. New York, NY: Irwin McGraw-Hill, 2014. (2015)

“Recovering the Kernel and the Natural Distribution of Interest Rates from Fixed Income Options.” Stephen A. Ross and Ian Martin. (2014)

Essentials of Corporate FinanceRoss, Stephen A., Randolph W. Westerfield and Bradford D. Jordan. New York, NY: Irwin McGraw-Hill, 2013.

"The Inefficiency of Stocks." Ross, Stephen A., Working Paper, 2010.

"Market Inefficiency." Ross, Stephen A., Working Paper, 2010.

“Market Selection.” Leonid Kogan, Stephen Ross, Jiang Wang and Mark M. Westerfield, NBER Working Paper 15189. Cambridge, MA: National Bureau of Economic Research, June 2009.

“Momentum Trading and Performance with Wrong Return Expectations.” Gatev, Evan and Stephen A. Ross. Journal of Portfolio Management Vol. 35, No. 3 (2009). (2009)

The True Cost of Social Security.”Alexander W. Blocker, Laurence J. Kotlikoff and Stephen A. Ross, NBER Working Paper w14427. Cambridge, MA: National Bureau of Economic Research, October 2008.

The Price Impact and Survival of Irrational Traders.” ‚ÄčKogan, Leonid, Stephen A. Ross, Jiang Wang and Mark M. Westerfield. Journal of Finance Vol. 61, No. 1 (2006): 195-229. (2006)

"Markets for Agents: Fund Management." Ross, Stephen A. In The Legacy of Fischer Black, edited by Bruce N. Lehman, 96-124. Oxford, UK: Oxford University Press, 2005.

“Capital Structure and the Cost of Capital.” Ross, Stephen A. Journal of Applied Finance Vol. 15, No. 1 (2005): 7-25. (2005)

Neoclassical Finance. Ross, Stephen A. Princeton, NJ: Princeton University Press, 2005.

“Review of The New Financial Order by Shiller.” Ross, Stephen. Review of The New Financial Order, by Robert J. Schiller. Journal of Economic Literature, December 2004.

“Compensation, Incentives, and the Duality of Risk Aversion and Riskiness.” Ross, Stephen A. Journal of Finance Vol. 59, No. 1 (2004): 207-225.  (2004)

"High-Water Marks and Hedge Fund Management Contracts." Goetzmann, William N., Jonathan E. Ingersoll and Stephen A. Ross. Journal of Finance Vol. 58, No. 4 (2003): 1685-1717. (2003)

Forensic Finance: Enron and Others.” Ross, Stephen A. Rivista Di Politica Economica Vol. 92, No. 11-12 (2002): 9-27. (2002)

“Neoclassical Finance, Alternative Finance and the Closed End Fund Puzzle.” Ross, Stephen A. European Financial Management Vol. 8, No. 2 (2002): 129-137. (2002)

"Comment on "Financial Engineering and Social Security Reform," by Zvi Bodie." Stephen A. Ross. In NBER Conference on Risk Aspects of Investment Based Social Security Reform, edited by John Y. Campbell and Martin Feldstein. Chicago, IL: January 2001.

“Financial Regulation in the New Millennium.” Ross, Stephen. The Geneva Papers on Risk and Insurance Vol. 26, No.1 (2001): 1-9. (2001)

The Debt Market. Ross, Stephen A. Cheltenham, UK: Elgar Publishing, 2000.

"Adding Risks: Samuelson's Fallacy of Large Numbers Revisited." Ross, Stephen A. Journal of Financial and Quantitative Analysis Vol. 34, No. 3 (1999): 323-339. (1999)

"Forensic Finance." Ross, Stephen A. Risk Magazine, 1999.

"The Mathematics of Finance: Pricing Derivatives." Ross, Stephen A. Quarterly of Applied Mathematics Vol. 56, No. 4 (1998): 695-706. (1998)

"How Proper are Proper Utility Functions?" Stephen A. Ross. (1998)

"The Absence of Arbitrage: Some New Results." Gyutaeg Oh, Jay Shanken and Stephen A. Ross. (1998)

"Hedging Long Run Commitments: Exercises in Incomplete Market Pricing." Ross, Stephen A. Economic Notes Vol. 26, No. 3 (1997): 385-420. (1997)

"Rejoinder: The J-Shape of Performance Persistence Given Survivorship Bias." Brown, Stephen J., William N. Goetzmann, Roger G. Ibbotson and Stephen A. Ross. The Review of Economics and Statistics Vol. 79, No. 2 (1997): 167-170. (1997)

"Long Forward and Zero-Coupon Rates Can Never Fall." Dyvbig, Phillip H., Jonathan E. Ingersoll and Stephen A. Ross. The Journal of Business Vol. 69, No. 1 (1996): 1-25. (1996)

"Survival." Brown, Stephen J., William N. Goetzmann and Stephen A. Ross. The Journal of Finance Vol. 1, No. 3 (1995). 853-873. (1995)

"Uses and Abuses of Net-Present Value Analysis." Ross, Stephen. Journal of Financial Management Vol. 24, No. 3 (1995): 96-102. (1995)

"A Practitioner's Guide to Arbitrage Pricing Theory." Edwin Burmeister, Richard Roll and Stephen A. Ross. In A Practitioner's Guide to Factor Models. Charlottesville, VA: The Research Foundation of the CFA Institute, 1994. (1994)

"On the Cross-Sectional Relation Between Expected Returns and Betas." Roll, Richard and Stephen A. Ross. The Journal of Finance Vol. 49, No. 1 (1994): 101-121. (1994)

"Topics in Finance." Stephen A. Ross. In The 6th Symposium on Money, Finance and Insurance. Karlsruhe, Germany: December 1993.

"Is Beta Useful?" Stephen A. Ross. In The CAPM Controversy: Policy and Strategy Implications for Investment Management, edited by Diana R. Harrington and Robert A Korajczyk. Charlottesville, VA: October 1993.

"Survivorship Bias in Performance Studies." Brown, Stephen J., William Goetzmann, Roger G. Ibbotson and Stephen A. Ross. Review of Financial Studies Vol. 5, No. 4 (1992): 553-580. (1992)

"Waiting to Invest: Investment and Uncertainty." Ingersoll, Jonathan E. and Stephen A. Ross. The Journal of Business Vol. 65, No. 1 (1992): 1-29. (1992)

“Risk and Return in Real Estate.” Ross, Stephen A. and Randall C. Zisler. Journal of Real Estate Finance and Economics Vol. 4, No. 2 (1991): 175-190. (1991)

“Innovation in the Financial Markets.” Ross, Stephen A. Recent Developments in International Banking and Finance, edited by S.J. Khoury. Amsterdam, Netherlands: North-Holland Publishing Company, 1991.

"Spanning, Valuation and Options." Brown, Donald J. and Stephen A. Ross. Economic Theory Vol. 1, No. 1 (1991): 3-12. (1991)

“The 1990 Nobel Prizes in Economics.” Ross, Stephen A. Yale Management No. 1 (1991): 14-17. (1991)

"A Test of the Efficiency of a Given Portfolio." Shanken, Jay, Michael R. Gibbons and Stephen A. Ross. Econometrica Vol. 57, No. 5 (1989): 1121-1152. (1989)

"Institutional Markets, Financial Marketing and Financial Innovation." Ross, Stephen A. The Journal of Finance Vol. 44, No. 3 (1989): 541–556. (1989)

"Information and Volatility: The No-Arbitrage-Martingale Approach to Timing and Resolution Irrelevancy." Ross, Stephen A. The Journal of Finance Vol. 44, No. 1 (1989): 1-17. (1989)

"Comment on "Using Tax Policy to Curb Speculative Short-Term Trading"." Stephen A. Ross. In Regulatory Reform of Stock and Future Markets, edited by Franklin R. Edwards. Amsterdam, Netherlands: 1989.

"Comment on Robert C. Merton's 'On the Application of the Continuous-Time Theory of Financial to Financial Intermediation and Insurance'." Stephen A. Ross. In Proccedings of the Second International Conference in Finance of the Centre HEC-ISA. Paris, France: June 1988.

"Comment on the Modigliani-Miller Propositions." Ross, Stephen. Journal of Economic Perspectives Vol. 2, No. 4 (1988): 127-133. (1988)

"Intertemporal Asset Pricing Models: A Discussion." Ross, Stephen A. Theory of Valuation: Frontiers in Modern Financial Theory, edited by Sudipto Bhattacharya and George M. Constantinides, 85-96. Totowa, NJ: Littlefield Adams, 1988.

"Real Estate: The Whole Story." Firstenberg, Paul M., Stephen A. Ross and Randall C. Zisler. The Journal of Portfolio Management Vol. 14, No. 3 (1988): 22-34. (1988)

"Managing Real Estate Portfolios." Stephen A. Ross, Paul B. Firstenberg and Randall C. Zisler. In Goldman Sachs Real Estate Research Publication. New York, NY: Goldman Sachs, 1987. (1987)

"Managing Real Estate Portfolios. Part 2: Risk and Return in Real Estate." Stephen A. Ross and Randall C. Zisler. In Goldman Sachs Real Estate Research Publication. New York, NY: November 1987. (1987)

"Managing Real Estate Portfolios. Part 3: A Close Look at Equity Real Estate Risk." Stephen A. Ross and Randall C. Zisler. In Goldman Sachs Real Estate Research Publication. New York, NY: November 1987. (1987)

"Stock and Bond Market Volatility and Real Estate's Allocation." Stephen A. Ross and Randall C. Zisler. In Goldman Sachs Real Estate Research Publication. New York, NY: November 1987. (1987)

"The Interrelations of Finance and Economics: Theoretical Perspectives." Ross, Stephen A. American Economic Review Vol. 77, No. 2 (1987): 29-34. (1987)

"Arbitrage and Martingales with Taxation." Ross, Stephen A. Journal of Political Economy Vol. 95, No. 2 (1987): 371-393. (1987)

"Arbitrage." Ross, Stephen A. and Philip H. Dybvig. In The New Palgrave Dictionary of Economics, edited by John Eatwell, Murray Milgate and Peter Newman, 100-106. London, UK: The MacMillan Press, Ltd., 1987.

"Finance." Ross, Stephen A. In The New Palgrave Dictionary of Economics, edited by John Eatwell, Murray Milgate and Peter Newman. London, UK: The MacMillan Press, Ltd., 1987.

"Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories." Chen, Nai-Fu, Richard Roll and Stephen A. Ross. Journal of Business Vol. 59, No. 3 (1986): 383-403. (1986)

"On Timing and Selectivity." Admati, Anat R., Sudipto Bhattacharya, Paul Pfleiderer and Stephen A. Ross. Journal of Finance Vol. 41, No. 3 (1986): 715-730. (1986)

"Tax Clienteles and Asset Pricing." Dybvig, Philip H. and Stephen A. Ross. Journal of Finance Vol. 41, No. 3 (1986): 751-763. (1986)

"Market Power in a Securities Market with Endogenous Information." Grinblatt, Mark S. and Stephen A. Ross. The Quarterly Journal of Economics Vol. 100, No. 4 (1985): 1143-1167. (1985)

"Yes, The APT is Testable." Dybvig, Philip H. and Stephen A. Ross. Journal of Finance Vol. 40, No. 4 (1985): 1173-1188. (1985)

"Debt and Taxes and Uncertainty." Ross, Stephen A. Journal of Finance Vol. 40, No. 3 (1985): 637-657. (1985)

"Differential Information and Performance Measurement Using a Security Market Line." Dybvig, Philip H. and Stephen A. Ross. Journal of Finance Vol. 40, No. 2 (1985): 383-399. (1985)

"The Analytics of Performance Measurement Using a Security Market Line." Dybvig, Philip H. and Stephen A. Ross. Journal of Finance Vol40, No. 2 (1985): 401-416. (1985)

"A Theory of the Term Structure of Interest Rates." Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Econometrica Vol. 53, No. 2 (1985): 385-407. (1985)

"An Intertemporal General Equilibrium Model of Asset Prices." John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Econometrica Vol. 53, No. 2 (1985): 363-384. (1985)

"Measuring Investment Performance in a Rational Expectations Equilibrium Model." Admati, Anat R. and Stephen A. Ross. Journal of Business Vol. 58, No. 1 (1985): 1-26. (1985)

"A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply." Roll, Richard and Stephen A. Ross. Journal of Finance Vol. 39, No. 2 (1984): 347-350. (1984)

"The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning." Roll, Richard and Stephen A. Ross. Financial Analysts Journal, May/June (1984): 14-26.  (1984)

"Reply to Dhrymes: APT Is Empirically Relevant." Ross, Stephen A. The Journal of Portfolio Management Vol. 11, No. 1 (1984): 54-56. (1984)

"Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions." Huberman, Gur and Stephen Ross. Econometrica Vol. 51, No. 5 (1983): 1345-1361. (1983)

"Regulation, the Capital Asset Pricing Model, and The Arbitrage Pricing Theory." Roll, Richard and Stephen Ross. Public Utilities Fortnightly Vol. 3, No. 11 (1983): 22-28. (1983)

"Accounting and Economics." Ross, Stephen A. Accounting Review Vol. 58, No. 2 (1983): 375-380. (1983)

"A Simple Approach to the Pricing of Risky Assets with Uncertain Exchange Rates." Ross, Stephen A. and Michael M. Walsh. In Research in International Business and Finance Volume 3, edited by Robert G. Hawkins, R.M. Levich and Clas G. Wihlborg, 39-54. Greenwich, CT: JAI Press Inc., 1983.

"Portfolio Efficient Sets." Dyvig, Philip H. and Stephen A. Ross. Econometrica Vol. 50, No. 6 (1982): 1525-1546. (1982)

"The Determination of Fair Profits for the Property-Liability Insurance Firm." Kraus, Alan and Stephen A. Ross. Journal of Finance Vol. 37, No. 4 (1982): 1015-1028. (1982)

"The General Validity of the Mean-Variance Approach in Large Markets." Ross, Stephen A. In Financial Economics Essays in Honor of Paul Cootner, edited by William F. Sharpe and Cathryn Cootner. Englewood Cliffs, NJ: Prentice-Hall, Inc., 1982.

"The Relation Between Forward and Future Prices." Cox, John C., Jonathan E. Ingersoll and Stephen A. Ross. Journal of Financial Economics Vol. 9, No. 4 (1981): 321-346. (1981)

"A Reexamination of Traditional Hypotheses About the Term Structure of Interest Rates." Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Journal of Finance Vol. 36, No. 4 (1981): 769-799. (1981)

"Some Stronger Measures of Risk Aversion in the Small and the Large with Applications." Ross, Stephen A. Econometrica Vol. 49, No. 3 (1981): 621-638. (1981)

"Tobin's q Ratio and Industrial Organization." Lindenberg, Eric B. and Stephen A. Ross. Journal of Business Vol. 54, No. 1 (1981): 1-32. (1981)

"Learning by Observing and the Distribution of Wages." Ross, Stephen A., Paul J.E. Taubman and Michael L. Wachter. In Studies in Labor Markets, edited by Sherwin Rosen, 359-386. Chicago, IL: University of Chicago Press, 1981.

"An Empirical Investigation of the Arbitrage Pricing Theory." Roll, Richard and Stephen A. Ross. Journal of Finance Vol. 35, No. 5 (1980): 1073-1103. (1980)

"Present Values and Internal Rates of Return." Ross, Stephen A., Chester S. Spatt and Philip H. Dybvig. Journal of Economic Theory Vol. 23, No. 1 (1980): 66-81. (1980)

"An Analysis of Variable Rate Loan Contracts." Cox, John C., John E. Ingersoll, Jr. and Stephen A. Ross. Journal of Finance Vol. 35, No. 2 (1980): 389-403. (1980)

"Option Pricing: A Simplified Approach." Cox, John C.,  Stephen A. Ross and Mark Rubinstein. Journal of Financial Economics Vol. 7, No. 3 (1979): 229-263. (1979)

"Equilibrium and Agency - Inadmissible Agents in the Public Agency Problem." Ross, Stephen A. American Economic Review Vol. 69, No. 2 (1979): 308-312. (1979)

"Disclosure Regulation in Financial Markets: Implications of Modern Finance Theory and Signalling Theory." Ross, Stephen A. In Issues in Financial Regulation, edited by Franklin R. Edwards, 177-202. New York, NY: McGraw-Hill, Inc., 1979.

"Duration and the Measurement of Basis Risk." Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Journal of Business Vol. 52, No. 1 (1979): 51-61. (1979)

"An Economic Theory of Altruism." Ross, Stephen A. In Communication and Control in Society, edited by Klaus Krippendorff, 181-197. New York, NY: Gordon and Breach Science Publishers, Inc., 1979.

"Comments: Capital Asset Pricing in a General Equilibrium Framework." Ross, Stephen. Journal of Financial and Quantitative Analysis Vol. 13, No. 4 (1978): 625-626. (1978)

"A Simple Approach to the Valuation of Risky Streams." Ross, Stephen. Journal of Business Vol. 51, No. 3 (1978): 453-475. (1978)

"Some Notes on Financial Incentive-Signalling Models, Activity Choice and Risk Preferences." Ross, Stephen A.. Journal of Finance Vol. 33, No. 3 (1978): 777-794. (1978)

"The Current Status of the Capital Asset Pricing Model (CAPM)." Gruber, Martin J. and Stephen A. Ross. Journal of Finance Vol. 33, No. 3 (1978) 885-901. (1978)

"Mutual Fund Separation in Financial Theory -- The Separating Distributions." Ross, Stephen A. Journal of Economic Theory 17, No. 2 (1978): 254-286.  (1978)

"Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims." Cox, John C., Jonathan E. Ingersoll Jr. and Stephen A. Ross. Journal of Financial and Quantitative Analysis Vol. 12, No. 4 (1977): 661-661. (1977)

"Comments on Qualitative Results for Investment Proportions." Roll, Richard and Stephen A. Ross. Journal of Financial Economics Vol. 5, No. 2 (1977): 265-268. (1977)

"Discussion: 'Informational Asymmetries, Financial Structure, and Financial Intermediation,' by Hayne E. Leland and David H. Pyle and 'On Value Maximization and Alternative Objectives of the Firm,' by S.J. Grossman and J.E. Stiglitz." Ross, Stephen A. and Richard Brealey. Journal of Finance Vol. 32, No. 2, (1977): 412-415. (1977)

"The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues." Ross, Stephen A. Journal of Finance Vol. 32, No. 1 (1977): 177-183. (1977)

"The Evaluation of Simple and Optimal Decision Rules with Misspecified Welfare Functions." Ross, Stephen A., Edwin Burmeister and J. Jackson. In Applications of Control Theory to Economic Analysis, edited by John David Pitchford and Stephen J. Turnovsky, 155-171. Amsterdam, Netherlands: North-Holland Publishing Company, 1977.

"The Determination of Financial Structure: The Incentive-Signalling Approach." Ross, Stephen. Bell Journal of Economics 8, No. 1 (1977): 23-40. (1977)

"The Arbitrage Theory of Capital Asset Pricing." Ross, Stephen A. Journal of Economic Theory Vol. 13, No. 3 (1976): 341-360. (1976)

"A Survey of Some New Results in Financial Option Pricing Theory." Cox, John C. and Stephen A. Ross. Journal of Finance Vol. 31, No. 1 (1976): 383-402.  (1976)

"Options and Efficiency." Ross, Stephen A. Quarterly Journal of Economics Vol. 90, No. 1 (1976): 75-89. (1976)

"The Valuation of Options for Alternative Stochastic Processes." Cox, John C. and Stephen A. Ross. Journal of Financial Economics Vol. 3, No. 1-2 (1976): 145-166. (1976)

"Return, Risk and Arbitrage." Stephen A. Ross. In Risk and Return in Finance, edited by I. Friend and J. Bickster. Cambridge, MA: 1976.

"Wage Determination, Inflation, and the Industrial Structure: Reply." Ross, Stephen A. and Michael L. Wachter. American Economic Review Vol. 65, No. 3 (1975): 507-509. (1975)

"Pricing and Timing Decisions in Oligopoly Industries." Ross, Stephen A. and Michael L. Wachter. Quarterly Journal of Economics Vol. 89, No. 1 (1975): 115-137. (1975)

"Uncertainty and the Heterogeneous Capital Good Model." Ross, Stephen A. Review of Economic Studies Vol. 42, No. 1 (1975): 133-146. (1975)

"Comment on 'Market Equilibrium and Uncertainty,' by Roy Radner." Stephen A. Ross. In Frontiers of Quantitative Economics Volume II, edited by M.D. Intriligator and D.A. Kendrick. Amsterdam, Netherlands: December 1974.

"Portfolio Turnpike Theorems for Constant Policies." Ross, Stephen A. Journal of Financial Economics Vol. 1, No. 2 (1974): 171-198. (1974)

"Comment on 'Consumption and Portfolio Choices with Transaction Costs,' by R. Multherjee and E. Zabel." Stephen A. Ross. In Essays on Economic Behavior Under Uncertainty. Amsterdam, Netherlands: North-Holland Publishing Company, 1974.

"On the Economic Theory of Agency and the Principal of Similarity." Ross, Stephen A. In Essays on Economic Behavior Under Uncertainty, 215-240. Amsterdam, Netherlands: North-Holland Publishing Company, 1974.

"Wage Determination, Inflation, and the Industrial Structure." Ross, Stephen A. and Michael L. Wachter. American Economic Review Vol. 63, No. 4 (1973): 675-692. (1973)

"The Economic Theory of Agency: The Principal's Problem." Ross, Stephen A. American Economic Review Vol. 63, No. 2 (1973): 134-139. (1973)

"The 'Saddlepoint Property' and the Structure of Dynamic Heterogeneous Capital Good Models." Burmeister, Edwin, Christopher A. Caton, Rodney Dobell and Stephen Ross. Econometrics Vol. 41, No. 1 (1973): 79-95. (1973)

"International Capital Movements and Long Run Diversification." Ethier, Wilfred and Stephen A. Ross. Journal of International Economics Vol. 1, No. 3 (1971): 301-314. (1971)

"A Fisherian Approach to Trade, Capital Movements, and Tariffs." Connolly, Michael and Stephen Ross. American Economic Review Vol. 60, No. 3 (1970): 478-484. (1970)

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