Stephen Ross

Franco Modigliani Professor of Financial Economics
Professor of Finance

Biography | Selected Publications

"The Recovery Theorem," Ross, Stephen. Journal of Finance, Vol. 70, No. 2, April 2015, 615-648.

Essentials of Corporate Finance, Stephen A. Ross, with Randolph W. Westerfield and Bradford D. Jordan, 8th ed., Irwin McGraw-Hill, 2014.

Fundamentals of Corporate Finance, Ross, Stephen A., with Randolph W. Westerfield and Bradford D. Jordan, 8th ed., Irwin McGraw-Hill, 2014.

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

Corporate Finance, with Randolph W. Westerfield and Jeffrey F. Jaffe, 10th ed., Irwin McGraw-Hill, 2013.

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

“Dividend Irrelevance and Siamese Twins,” Ross, Stephen. working paper, revised 2007

“The Cost of Social Security,” Ross, Stephen, with Larry Kotlikoff, working paper, 2007

“The Price Impact and Survival of Irrational Traders.” ​Kogan, Leonid, Stephen A. Ross, Jiang Wang, and Mark M. Westerfield (2006). Journal of Finance, 61(1): 195-229. (2006)

“Capital Structure and the Cost of Capital,” Ross, Stephen. Journal of Applied Finance, Vol. 15, No. 1, Spring/Summer 2005, p. 7-25.

"Markets for Agents: Fund Management," Ross, Stephen, in The Legacy of Fischer Black, ed. by Bruce N. Lehman, Oxford University Press, 2005.

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

“Review of The New Financial Order by Robert J. Shiller,” Ross, Stephen. Journal of Economic Literature, Vol. XLII (December 2004), 1098-1101.

“Compensation, Incentives, and the Duality of Risk Aversion and Riskiness,” Ross, Stephen. Journal of Finance, Vol. 59, 1, 2004. Nominated for the Journal of Finance 2004 Brattle Prize

"High-Water Marks and Hedge Fund Management Contracts," Ross, Stephen, with William Goetzmann and Jonathan Ingersoll, Jr., Journal of Finance , vol. 58, no. 4, August 2003, pp. 1685-1717.

“Forensic Finance: Enron and Others,” Ross, Stephen. Fourth Angelo Costa Lecture, Rivista Di Politica Economica, Vol. 92, No. 11-12, 2002, 9-27.

“Neoclassical Finance, Alternative Finance and the Closed End Fund Puzzle,” Ross, Stephen. Keynote Address, European Financial Management, Vol. 8, No. 2, 2002, 129-138.

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

The Debt Market, Stephen A. Ross. Elgar Publishing, August 2000.

"Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Ross, Stephen. Journal of Financial and Quantitative Analysis, vol. 34, no.3, September, 1999, reprinted in Behavioral Finance, ed. Harold M. Shefrin, Edward Elgar Publishing, UK

Comment on "Financial Engineering and Social Security Reform," by Zvi Bodie, NBER Conference on Risk Aspects of Investment Based Social Security Reform, eds., Campbell, John Y., and Feldstein, Martin, University of Chicago Press, 2001.1999 (1999)

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

"The Mathematics of Finance: Pricing Derivatives," Ross, Stephen. Quarterly of Applied Mathematics, vol. LVI, no. 4, December, 1998, pp. 695-706.

"How Proper are Proper Utility Functions?" unpublished manuscript, October, 1998.

"The Absence of Arbitrage: Some New Results," Ross, Stephen, with Gyutaeg Oh and Jay Shanken, unpublished manuscript, January 1998.

"Rejoinder: The J-Shape of Performance Persistence Given Survivorship Bias," Ross, Stephen, with Stephen Brown, William Goetzmann, and Roger Ibbotson. The Review of Economics and Statistics, 79(2) May, 1997, 167-170.

"Hedging Long Run Commitments: Exercises in Incomplete Market Pricing," Ross, Stephen. Economic Notes, no.2, 1997, 385-420, reprinted in Corporate Hedging in Theory and Practice, Lessons from Metallgesellschaft, ed. Christopher L. Culp and Merton H. Miller, RISK Books, London, 1999.

"Long Forward and Zero-Coupon Rates Can Never Fall," Phillip H. Dyvbig, Jonathan Ingersoll and Stephen A. Ross. The Journal of Business, 69(1) January 1996, 1-25

"Survival," Ross, Stephen, with Stephen J. Brown, William N. Goetzmann, The Journal of Finance, Vol. 1, No. 3. July 1995.

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

"Capital Structure and the Cost of Capital," Stephen A. Ross, Yale Working Paper, August 1994.

"A Practitioner's Guide to Arbitrage Pricing Theory," Ross, Stephen, with Edwin Burmeister and Richard Roll, in A Practitioner's Guide to Factor Models, March 1994.

"On the Cross-Sectional Relation Between Expected Returns and Betas," Ross, Stephen, with Richard Roll. The Journal of Finance, Vol. 49, No. 1, March 1994.

"Topics in Finance," S.A. Ross, 6th Symposium on Money, Finance and Insurance, Universitat Karlsruhe, December 1993.

"Is Beta Useful?" Ross, Stephen, in The CAPM Controversy: Policy and Strategy Implications for Investment Management. October 15, 1993, published by the Association for Investment Management and Research, Charlottesville, VA.

"Waiting to Invest: Investment and Uncertainty," Ross, Stephen, with Jonathan Ingersoll, The Journal of Business, Vol. 65, No. 1. January 1992.

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

"Spanning, Valuation and Options," Ross, Stephen, with Donald J. Brown, Economic Theory, Vol. 1, No. 1, January 1991.

“Innovation in the Financial Markets,”  Ross, Stephen. Recent Developments in International Banking and Finance, S.J. Khoury (editor), Chapter I, 1991, Elsevier Science Publishers B.V. (North-Holland)

“Risk and Return in Real Estate,” Ross, Stephen, with Randall C. Zisler, Journal of Real Estate Finance and Economics, 4: 175-190, Kluwer Academic Publishers 1991.

“The 1990 Nobel Prizes in Economics,” Ross, Stephen. Yale Management, Issue Number 1, Yale School of Organization and Management, 14-17, Spring 1991.

"A Test of the Efficiency of a Given Portfolio," Ross, Stephen, with Michael R. Gibbons and Jay Shanken, Econometrica, Basil Blackwell Publishers, Volume 57, No. 5, September, 1989, reprinted in Asset Pricing Tests, ed. Robert Grauer, Financial Economics, ed. Andy Lo.

"Institutional Markets, Financial Marketing and Financial Innovation," Ross, Stephen. American Finance Association Annual Meeting, Presidential Address, New York, The Journal of Finance, 44, No. 3, July 1989.

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

Comment on "Using Tax Policy to Curb Speculative Short-Term Trading,” prepared for the Conference on Regulatory Reform of Stock and Futures Markets, Columbia University, New York, May 1989, Ross, Stephen. Journal of Financial Services Research, No. 3, Kluwer Academic Publishers, 1989.

"Discussion: Intertemporal Asset Pricing," Ross, Stephen, in Bhattacharya, Constantinides, eds., Theory of Valuation, Rowman & Littlefield Publishers, Inc., 1989, 85-96.

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

"Real Estate: The Whole Story," Ross, Stephen, with Paul M. Firstenberg and Randall C. Zisler. The Journal of Portfolio Management, Spring 1988, 22-34

"Managing Real Estate Portfolios," Ross, Stephen, with Paul B. Firstenberg and Randall C. Zisler, Goldman Sachs Real Estate Research Publication, November 16, 1987.

"Managing Real Estate Portfolios. Part 2: Risk and Return in Real Estate," Ross, Stephen, with Randall C. Zisler, Goldman Sachs Real Estate Research Publication, November 16, 1987.

"Managing Real Estate Portfolios. Part 3: A Close Look at Equity Real Estate Risk," Ross, Stephen, with Randall C. Zisler, Goldman Sachs Real Estate Research Publication, November 16, 1987.

"Stock and Bond Market Volatility and Real Estate's Allocation," Ross, Stephen, with Randall C. Zisler, Goldman Sachs Real Estate Research Publication, November 16, 1987.

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

"Arbitrage and Martingales with Taxation," Ross, Stephen. Journal of Political Economy 95, No. 2, April 1987, 371-393.

"Arbitrage," Ross, Stephen, with Philip H. Dybvig in J. Eatwell M. Milgate and P. Newman, eds., New Palgrave, A Dictionary of Economics, (London: The MacMillan Press, Ltd.). 1, 1987, 100-106.

"Finance," Ross, Stephen, in J. Eatwell, M. Milgate and P. Newman, eds., New Palgrave. A Dictionary of Economics, (London: The MacMillan Press, Ltd.), 1987, 1.

"Intertemporal Asset Pricing Models: A Discussion," Ross, Stephen. Frontiers in Modern Financial Theory, S. Bhattacharya and G.M. Constantinides, eds., (Totowa, NJ: Littlefield Adams). 1987.

"Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories," Ross, Stephen, with Nai-fu Chen and Richard Roll, Journal of Business 59, No. 3, July 1986, 383-403. Reprinted in Asset Pricing Theory and Tests, ed. Robert Grauer, Edward Elgar Publishing, Ltd. 2002.

"On Timing and Selectivity," Ross, Stephen, with Anat R. Admati, Sudipto Bhattacharya and Paul Pfleiderer. Journal of Finance 41, No. 3, July 1986, 715-730.

"Tax Clienteles and Asset Pricing," Ross, Stephen, with Philip H. Dybvig. Journal of Finance 41, No. 3, July 1986, 751-763.

"Market Power in a Securities Market with Endogenous Information," Ross, Stephen, with Mark Grinblatt. The Quarterly Journal of Economics, No. 403, November 1985, 1143-1167.

"Yes, The APT is Testable," Ross, Stephen, with Philip H. Dybvig. Journal of Finance 40, September, 1985, 1173-1167.

"Debt and Taxes and Uncertainty," Ross, Stephen. Journal of Finance 40, No. 3, July 1985, 637-657.

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

"A Theory of the Term Structure of Interest Rates," John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Econometrica 53, No. 2, March 1985, 385-407, reprinted in Theory of Valuation, Rowman & Littlefield Publishers, Inc., 1989, 129-151, and Continuous Time Finance, ed. S. Schaefer, and The International Library of Critical Writings in Economics, ed., L. Gallagher and M. Taylor, Edward Elgar Publishers, 2001.

"Measuring Investment Performance in a Rational Expectations Equilibrium Model," Ross, Stephen, with Anat R. Admati. Journal of Business 58, No. 1, January 1985, 1-26.

"An Intertemporal General Equilibrium Model of Asset Prices," John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Econometrica 53, No. 2, March 1985, 363-384, reprinted in The Foundations of Continuous Time Finance, ed. S. Schaefer, and in Options Markets, edited by George Constantinites and A.G. Malliaris.

"The Analytics of Performance Measurement Using a Security Market Line," Ross, Stephen, with Philip V. Dybvig, Journal of Finance 40, No. 2, June 1985, 401-416.

"A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply," Ross, Stephen. Journal of Finance 39, No. 2, June 1984, 347-350.

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

"The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning," Ross, Stephen, with Richard Roll. Financial Analysts Journal, May/June 1984, 14-26. Reprinted in the Financial Analyst's Handbook, (Dow Jones-Irwin), 1987, reprinted in Readings in Investments, 1994, 25-38, reprinted in International Securities, ed. Philippatos, G..

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

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

"Accounting and Economics," Ross, Stephen. Accounting Review 58, No. 2, April 1983, 375-380.

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

"Portfolio Efficient Sets," Ross, Stephen, with Philip H. Dybvig, Econometrica 50, No. 6, November 1982, 1525-1546.

"The Determination of Fair Profits for the Property-Liability Insurance Firm," Ross, Stephen, with Alan Kraus, Journal of Finance 37, No. 4, September 1982, 1015-1028.

"The General Validity of the Mean-Variance Approach in Large Markets," Ross, Stephen. Financial Economics Essays in Honor of Paul Cootner (Prentice-Hall, Inc.), 1982.

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

"A Reexamination of Traditional Hypotheses About the Term Structure of Interest Rates," John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Journal of Finance 36, No. 4, September 1981, 769-799. Reprinted in Speculation and Financial Markets edited by Dr Liam A. Gallagher and Mark P. Taylor, The International Library of Critical Writings in Economics – Series Editor: Mark Blaug, Edward Elgar Publishing Ltd.

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

"Tobin's q Ratio and Industrial Organization," Ross, Stephen, with Eric B. Lindenberg. Journal of Business 54, No. 1, January 1981, 1-32.

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

"An Empirical Investigation of the Arbitrage Pricing Theory," Ross, Stephen, with Richard Roll, Journal of Finance 35, No. 5, December 1980.

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

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

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

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

"An Economic Theory of Altruism," Ross, Stephen, in K. Krippendorff, ed., Communication and Control in Society. (New York: Gordon and Breach Science Publishers, Inc.), 1979, 181-197.

"Disclosure Regulation in Financial Markets: Implications of Modern Finance Theory and Signalling Theory," Ross, Stephen, in F.R. Edwards, ed., Issues in Financial Regulation, Chapter 4, (New York: McGraw-Hill, Inc.), 1979, 177-202.

"Option Pricing: A Simplified Approach," John C. Cox, Stephen Ross and Mark Rubinstein, Journal of Financial Economics 7, 1979, 229-263, reprinted in The Handbook of Financial Engineering, Harper Business Publishers, 1990.

"Comments: Capital Asset Pricing in a General Equilibrium Framework," Ross, Stephen. Journal of Financial and Quantitative Analysis, Proceedings Issue, November 1978.

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

"The Current Status of the Capital Asset Pricing Model (CAPM)," Ross, Stephen. Journal of Finance 33, No. 3, June 1978, 885-901.

"Mutual Fund Separation in Financial Theory -- The Separating Distributions," Ross, Stephen. Journal of Economic Theory 17, No. 2, April 1978, 254-286. Reprinted in Frontiers of Modern Financial Theory, S. Bhattacharya and G.M. Constantinides, eds., (Tottowa, NJ: Littlefield Adams), 1987, and in Theory of Valuation, Rowman & Littlefield Publishers, Inc., 1989, 309-341.

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

"Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims," Ross, Stephen, with John C. Cox and Jonathan E. Ingersoll, Jr., Journal of Financial and Quantitative Analysis, 12(4) November 1977: 661-661.

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. Journal of Finance 32, No. 2, May 1977, 412-415.

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

"Comments on Qualitative Results for Investment Proportions," Ross, Stephen, with Richard Roll, Journal of Financial Economics 5, 1977, 265-268.

"The Determination of Financial Structure: The Incentive-Signalling Approach," Ross, Stephen. Bell Journal of Economics 8, No. 1, Spring 1977, 23-40, reprinted in The History of Management Thought eds., Dimson, Elroy and Massoud Mussavain, Ashgate Publishing, Ltd., Hampshire, England, 1998.

"The Evaluation of Simple and Optimal Decision Rules with Misspecified Welfare Functions," with Edwin Burmeister and J. Jackson, in J.D. Pitchford, S.J. Turnovsky, eds., Applications of Control Theory to Economic Analysis. (Amsterdam: North-Holland Publishing Co.), 1977, 155-171.

"The Arbitrage Theory of Capital Asset Pricing," Ross, Stephen. Journal of Economic Theory 13, No. 3, December 1976, 341-360.

"A Survey of Some New Results in Financial Option Pricing Theory," John C. Cox and Stephen A. Ross. Journal of Finance 31, No. 1, May 1976, 383-402; reprinted in Options Markets, ed. Constantinedes, Edward Elgar Publishing 2000.

"Options and Efficiency," Ross, Stephen A. Quarterly Journal of Economics, 90, February 1976, 75-89, reprinted in Options Markets, ed G.M.Constantinides and A.G. Malliaris, Edward Elgar Publishing, 1999.

"Return, Risk and Arbitrage," Wharton Discussion Paper, 1973, published in I. Friend and J. Bicksler, eds., Risk and Return in Finance. (Cambridge: Ballinger), 1976, 189-217.

"The Valuation of Options for Alternative Stochastic Processes," John Cox and Stephen Ross. Journal of Financial Economics, 3, 1976, 145-166, reprinted in Options: Classic Approaches to Pricing and Modelling, ed. Lane Hughston, RISK Books, London, 1999; Options Markets, ed. G. Constantinedes and A. G. Malliaris, Edward Elgar Publishing 2000.

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

"Pricing and Timing Decisions in Oligopoly Industries," Ross, Stephen A., with Michael L. Wachter. Quarterly Journal of Economics 89, February 1975, 115-137.

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

Comment on "Consumption and Portfolio Choices with Transaction Costs," by R. Multherjee and E. Zabel, in Essays on Economic Behavior Under Uncertainty, (Amsterdam: North-Holland Publishing Co.), 1974.

Comment on "Market Equilibrium and Uncertainty," by Roy Radner, in Frontiers of Quantitative Economics, Vol. II, (Amsterdam: North-Holland Publishing Co.), 1974.

"On the Economic Theory of Agency and the Principal of Similarity," in Essays on Economic Behavior Under Uncertainty, Chapter 8, (Amsterdam: North-Holland Publishing Co.), 1974, 215-240.

"Portfolio Turnpike Theorems for Constant Policies," Ross, Stephen A. Journal of Financial Economics 1, 1974, 171-198.

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

"The Economic Theory of Agency: The Principal's Problem," American Economic Review 63, No. 2, May 1973, 134-139, reprinted in Readings in Applied Microeconomic Theory: Market Forces and Solutions, ed. Richard Kuenne, Blackwell Publishers, reprinted in The Principal Agent Model: The Economic Theory of Incentives, ed. Jean-Jacques Laffont, Edward Elgar Publishing, reprinted in Personal Economics, ed. Edward Lazear, Edward Elgar Publishing.

"The 'Saddlepoint Property' and the Structure of Dynamic Heterogeneous Capital Good Models," with Edwin Burmeister, Christopher Caton and Rodney Dobell, Econometrics 41, No. 1, January 1973, 134-139.

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

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

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