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Information about:
Robert C. Merton

Personal Details | Affiliation | Lists | Works
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Personal Details

First Name: Robert
Middle Name: C.
Last Name: Merton
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RePEc Short-ID: pme203

Email:
Homepage: http://www.people.hbs.edu/rmerton/
Postal Address:
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Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors
  5. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors
  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h, where author has written h papers that have each been cited at least h times.
  20. Number of Registered Citing Authors
  21. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  22. Number of Journal Pages
  23. Number of Journal Pages, Weighted by Simple Impact Factor
  24. Number of Journal Pages, Weighted by Recursive Impact Factor
  25. Number of Journal Pages, Weighted by Number of Authors
  26. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  27. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  28. Number of Abstract Views in RePEc Services over the past 12 months
  29. Number of Downloads through RePEc Services over the past 12 months
  30. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  32. Wu-Index
This author is featured on the following reading lists or publication compilations:
  1. Nobel laureates in economics

Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  2. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. Li Jin & Robert Merton & Zvi Bobie, 2004. "Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?," NBER Working Papers 10650, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  6. Mario Draghi & Francesco Giavazzi & Robert C. Merton, 2003. "Transparency, Risk Management and International Financial Fragility," NBER Working Papers 9806, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  7. Robert C. Merton, 1995. "Financial Innovation and the Management and Regulation of Financial Institutions," NBER Working Papers 5096, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  8. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  9. Robert C. Merton, 1991. "Optimal Investment Strategies for University Endowment Funds," NBER Working Papers 3820, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  10. Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  11. Terry A. Marsh and Robert C. Merton., 1986. "Dividend Behavior for the Aggregate Stock Market," Research Program in Finance Working Papers 163, University of California at Berkeley.
    Published as:

  12. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  13. Merton, Robert C., 1985. "On the current state of the stock market rationality hypothesis," Working papers 1717-85., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

  14. Stanley Fischer & Robert C. Merton, 1985. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  15. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985. "Defined Benefit versus Defined Contribution Pension Plans: What are theReal Tradeoffs?," NBER Working Papers 1719, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  16. Marsh, Terry A. & Merton, Robert C., 1984. "Earnings variablility and variance bounds tests for the rationality of stock market prices," Working papers 1559-84., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

  17. Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  18. Robert C. Merton & Zvi Bodie & Alan J. Marcus, 1984. "Pension Plan Integration as Insurance Against Social Security Risk," NBER Working Papers 1370, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  19. Robert C. Merton, 1982. "On Consumption-Indexed Public Pension Plans," NBER Working Papers 0910, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  20. Robert C. Merton, 1981. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  21. Robert C. Merton, 1981. "On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable," NBER Working Papers 0743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  22. Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  23. Merton, Robert C., 1977. "On the cost of deposit insurance when there are surveillance costs," Working papers 903-77., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  24. Merton, Robert C., 1976. "Continuous-time portfolio theory and the pricing of contingent claims," Working papers 881-76., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

  25. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  26. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  27. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Published as:

  28. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    Published as:

Articles

  1. Robert C. Merton, 2006. "Allocating Shareholder Capital to Pension Plans," Journal of Applied Corporate Finance, Morgan Stanley, vol. 18(1), pages 15-24. [Downloadable!] (restricted)

  2. Jin, Li & Merton, Robert C. & Bodie, Zvi, 2006. "Do a firm's equity returns reflect the risk of its pension plan?," Journal of Financial Economics, Elsevier, vol. 81(1), pages 1-26, July. [Downloadable!] (restricted)
    Other versions:

  3. Peter Hancock & Roberto G. Mendoza & Robert C. Merton, 2005. "A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(3), pages 95-101. [Downloadable!] (restricted)

  4. Bodie, Zvi & Merton, Robert C., 2002. "International pension swaps," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(01), pages 77-83, March. [Downloadable!]

  5. Paul Samuelson & Robert Merton, 2000. "Speeches by Nobel Laureates," Financial Management, Financial Management Association, vol. 29(3), Fall.

  6. Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-49, June. [Downloadable!] (restricted)

  7. Merton, Robert C., 1995. "Financial innovation and the management and regulation of financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 461-481, June. [Downloadable!] (restricted)
    Other versions:

  8. Robert C. Merton, 1995. "A Functional Perspective of Financial Intermediation," Financial Management, Financial Management Association, vol. 24(2), Summer.

  9. Robert C. Merton & André Perold, 1993. "Theory Of Risk Capital In Financial Firms," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(3), pages 16-32. [Downloadable!] (restricted)

  10. Merton, Robert C. & Bodie, Zvi, 1993. "Deposit insurance reform: a functional approach," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 1-34, June. [Downloadable!] (restricted)

  11. Merton, Robert C. & Bodie, Zvi, 1993. "Reply to Benston and Kaufman," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 51-55, June. [Downloadable!] (restricted)

  12. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449. [Downloadable!] (restricted)
    Other versions:

  13. Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.

  14. Robert C. Merton, 1992. "Financial Innovation And Economic Performance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(4), pages 12-22. [Downloadable!] (restricted)

  15. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July. [Downloadable!] (restricted)
    Other versions:

  16. Marsh, Terry A & Merton, Robert C, 1987. "Dividend Behavior for the Aggregate Stock Market," Journal of Business, University of Chicago Press, vol. 60(1), pages 1-40, January. [Downloadable!] (restricted)
    Other versions:

  17. Merton, Robert C, 1987. "In Honor of Nobel Laureate, Franco Modigliani," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 145-55, Fall. [Downloadable!] (restricted)

  18. Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, vol. 76(3), pages 483-98, June. [Downloadable!] (restricted)
    Other versions:

  19. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January. [Downloadable!] (restricted)
    Other versions:

  20. Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1982. "The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies," Journal of Business, University of Chicago Press, vol. 55(1), pages 1-55, January. [Downloadable!] (restricted)

  21. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July. [Downloadable!] (restricted)

  22. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October. [Downloadable!] (restricted)

  23. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December. [Downloadable!] (restricted)
    Other versions:

  24. Merton, Robert C, 1978. "On the Cost of Deposit Insurance When There Are Surveillance Costs," Journal of Business, University of Chicago Press, vol. 51(3), pages 439-52, July. [Downloadable!] (restricted)
    Other versions:

  25. Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1978. "The Returns and Risk of Alternative Call Option Portfolio Investment Strategies," Journal of Business, University of Chicago Press, vol. 51(2), pages 183-242, April. [Downloadable!] (restricted)

  26. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June. [Downloadable!] (restricted)

  27. Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, vol. 5(2), pages 241-249, November. [Downloadable!] (restricted)

  28. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
    Other versions:

  29. Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-50, May. [Downloadable!] (restricted)

  30. Merton, Robert C, 1975. "An Asymptotic Theory of Growth under Uncertainty," Review of Economic Studies, Blackwell Publishing, vol. 42(3), pages 375-93, July. [Downloadable!] (restricted)
    Other versions:

  31. Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May. [Downloadable!] (restricted)

  32. Samuelson, Paul A & Merton, Robert C, 1974. "Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions," Journal of Finance, American Finance Association, vol. 29(1), pages 27-40, March. [Downloadable!] (restricted)

  33. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May. [Downloadable!] (restricted)
    Other versions:

  34. Robert C. Merton & Marti G. Subrahmanyam, 1974. "The Optimality of a Competitive Stock Market," Bell Journal of Economics, The RAND Corporation, vol. 5(1), pages 145-170, Spring. [Downloadable!] (restricted)

  35. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)

  36. Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, vol. 28(1), pages 183-84, March. [Downloadable!] (restricted)

  37. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)

  38. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
    Other versions:

  39. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August. [Downloadable!] (restricted)

Chapters

  1. Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669 Elsevier. [Downloadable!] (restricted)
    Other versions:

  2. Robert C. Merton, 1993. "Optimal Investment Strategies for University Endowment Funds," NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

  3. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier. [Downloadable!] (restricted)
    Other versions:

  4. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1988. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?," NBER Chapters, in: Pensions in the U.S. Economy, pages 139-162 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

  5. Robert C. Merton & Zvi Bodie & Alan Marcus, 1987. "Pension Plan Integration As Insurance Against Social Security Risk," NBER Chapters, in: Issues in Pension Economics, pages 147-172 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

  6. Robert C. Merton, 1983. "On Consumption Indexed Public Pension Plans," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 259-290 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

  7. Robert C. Merton, 1983. "On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 325-358 National Bureau of Economic Research, Inc. [Downloadable!]

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (1) 2004-08-31
  2. NEP-CFN: Corporate Finance (1) 2003-07-10
  3. NEP-FIN: Finance (1) 2003-07-10
  4. NEP-MAC: Macroeconomics (3) 2006-11-04 2007-12-01 2009-09-26 Author is listed
  5. NEP-MFD: Microfinance (1) 2004-07-18
  6. NEP-PBE: Public Economics (1) 2006-11-04
  7. NEP-PKE: Post Keynesian Economics (1) 2009-09-26
  8. NEP-RMG: Risk Management (2) 2003-07-10 2007-12-01 Author is listed
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This page was last updated on 2009-11-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.