Advanced Search
MyIDEAS: Login to save this paper or follow this series

Capital market theory and the pricing of financial securities

Contents:

Author Info

  • Merton, Robert C.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/1721.1/2150
Download Restriction: no

Bibliographic Info

Paper provided by Massachusetts Institute of Technology (MIT), Sloan School of Management in its series Working papers with number 1818-86..

as in new window
Length:
Date of creation: 1986
Date of revision:
Handle: RePEc:mit:sloanp:2150

Contact details of provider:
Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), SLOAN SCHOOL OF MANAGEMENT, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA
Phone: 617-253-2659
Web page: http://mitsloan.mit.edu/
More information through EDIRC

Order Information:
Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), SLOAN SCHOOL OF MANAGEMENT, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA

Related research

Keywords: HD28 .M414 no.1818-; 86; 1987;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hirshleifer, Jack, 1973. "Where Are We in the Theory of Information?," American Economic Review, American Economic Association, American Economic Association, vol. 63(2), pages 31-39, May.
  2. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 21(1), pages 57-108, January.
  4. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
  5. Joseph E. Stiglitz, 1972. "On the Irrelevance of Corporate Financial Policy," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 339, Cowles Foundation for Research in Economics, Yale University.
  6. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 265-296, September.
  7. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 20(3), pages 381-408, June.
  8. Varian, Hal R, 1985. " Divergence of Opinion in Complete Markets: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 40(1), pages 309-17, March.
  9. Feldstein, Martin S, 1969. "Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 36(105), pages 5-12, January.
  10. Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 241-249, November.
  11. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, Econometric Society, vol. 50(6), pages 1525-46, November.
  12. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, Elsevier, vol. 2(2), pages 122-160, June.
  13. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  14. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, American Economic Association, vol. 59(1), pages 25-34, March.
  15. Stiglitz, Joseph E, 1969. "A Re-Examination of the Modigliani-Miller Theorem," American Economic Review, American Economic Association, American Economic Association, vol. 59(5), pages 784-93, December.
  16. Goldman, M. Barry, 1974. "A negative report on the `near optimality' of the max-expected-log policy as applied to bounded utilities for long lived programs," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(1), pages 97-103, May.
  17. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 36(107), pages 335-46, July.
  18. Dhrymes, Phoebus J, et al, 1985. " New Tests of the APT and Their Implications," Journal of Finance, American Finance Association, American Finance Association, vol. 40(3), pages 659-74, July.
  19. Markowitz, Harry M, 1976. "Investment for the Long Run: New Evidence for an Old Rule," Journal of Finance, American Finance Association, American Finance Association, vol. 31(5), pages 1273-86, December.
  20. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 90(1), pages 75-89, February.
  21. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  22. Rubinstein, Mark, 1976. "The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 31(2), pages 551-71, May.
  23. Rock, Kevin, 1986. "Why new issues are underpriced," Journal of Financial Economics, Elsevier, Elsevier, vol. 15(1-2), pages 187-212.
  24. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, American Finance Association, vol. 32(2), pages 261-75, May.
  25. Livingston, Miles, 1977. "Industry Movements of Common Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 32(3), pages 861-74, June.
  26. Fama, Eugene F, 1978. "The Effects of a Firm's Investment and Financing Decisions on the Welfare of Its Security Holders," American Economic Review, American Economic Association, American Economic Association, vol. 68(3), pages 272-84, June.
  27. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, American Finance Association, vol. 35(5), pages 1073-1103, December.
  28. Radner, Roy, 1970. "Problems in the Theory of Markets under Uncertainty," American Economic Review, American Economic Association, American Economic Association, vol. 60(2), pages 454-60, May.
  29. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, American Economic Association, vol. 66(2), pages 246-53, May.
  30. Trzcinka, Charles A, 1986. " On the Number of Factors in the Arbitrage Pricing Model," Journal of Finance, American Finance Association, American Finance Association, vol. 41(2), pages 347-68, June.
  31. Tobin, James, 1969. "Comment on Borch and Feldstein," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 36(105), pages 13-14, January.
  32. Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  33. Huang, Chi-Fu, 1985. "Information structure and equilibrium asset prices," Journal of Economic Theory, Elsevier, Elsevier, vol. 35(1), pages 33-71, February.
  34. Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers, University of California at Berkeley 144, University of California at Berkeley.
  35. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 29(2), pages 449-70, May.
  36. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
  37. Fischer, Stanley, 1972. "Assets, Contingent Commodities, and the Slutsky Equations," Econometrica, Econometric Society, Econometric Society, vol. 40(2), pages 371-85, March.
  38. Bertsekas, Dimitri P., 1974. "Necessary and sufficient conditions for existence of an optimal portfolio," Journal of Economic Theory, Elsevier, Elsevier, vol. 8(2), pages 235-247, June.
  39. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, Elsevier, vol. 2(3), pages 225-243, September.
  40. Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 3-51.
  41. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, Econometric Society, vol. 55(1), pages 117-42, January.
  42. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 363-84, March.
  43. Myers, Stewart C., 1968. "A Time-State-Preference Model of Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 3(01), pages 1-33, March.
  44. Gary Chamberlain & Michael Rothschild, 1981. "Arbitrage and Mean-Variance Analysis on Large Asset Markets," NBER Technical Working Papers 0015, National Bureau of Economic Research, Inc.
  45. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
  46. Borch, Karl, 1969. "A Note on Uncertainty and Indifference Curves," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 36(105), pages 1-4, January.
  47. Wallace, Neil, 1981. "A Modigliani-Miller Theorem for Open-Market Operations," American Economic Review, American Economic Association, American Economic Association, vol. 71(3), pages 267-74, June.
  48. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, Elsevier, vol. 13(3), pages 341-360, December.
  49. Hakansson, Nils H, 1970. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions," Econometrica, Econometric Society, Econometric Society, vol. 38(5), pages 587-607, September.
  50. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, Elsevier, vol. 2(1), pages 95-121, March.
  51. Parsons, John E. & Raviv, Artur, 1985. "Underpricing of seasoned issues," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(3), pages 377-397, September.
  52. Richard, Scott F., 1975. "Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model," Journal of Financial Economics, Elsevier, Elsevier, vol. 2(2), pages 187-203, June.
  53. Hansen, Robert G, 1985. "Auctions with Contingent Payments," American Economic Review, American Economic Association, American Economic Association, vol. 75(4), pages 862-65, September.
  54. 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.
  55. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, Elsevier, vol. 3(1), pages 66-84, March.
  56. Farrell, James L, Jr, 1974. "Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings," The Journal of Business, University of Chicago Press, vol. 47(2), pages 186-207, April.
  57. Samuelson, Paul A, 1977. "St. Petersburg Paradoxes: Defanged, Dissected, and Historically Described," Journal of Economic Literature, American Economic Association, vol. 15(1), pages 24-55, March.
  58. Hadar, Josef & Russell, William R., 1971. "Stochastic dominance and diversification," Journal of Economic Theory, Elsevier, Elsevier, vol. 3(3), pages 288-305, September.
  59. Chen, Nai-fu & Ingersoll, Jonathan E, Jr, 1983. " Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 38(3), pages 985-88, June.
  60. Ross, Stephen A., 1978. "Mutual fund separation in financial theory--The separating distributions," Journal of Economic Theory, Elsevier, Elsevier, vol. 17(2), pages 254-286, April.
  61. Leland, Hayne E., 1972. "On the existence of optimal policies under uncertainty," Journal of Economic Theory, Elsevier, Elsevier, vol. 4(1), pages 35-44, February.
  62. Merton, Robert C., 1975. "Theory of Finance from the Perspective of Continuous Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 10(04), pages 659-674, November.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.
  2. Bharat Ramaswami & Terry L. Roe, 2002. "Aggregation in area yield insurance:The linear additive model," Indian Statistical Institute, Planning Unit, New Delhi Discussion Papers, Indian Statistical Institute, New Delhi, India 02-08, Indian Statistical Institute, New Delhi, India.
  3. Ostdiek, Barbara, 1998. "The world ex ante risk premium: an empirical investigation," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(6), pages 967-999, December.
  4. Malcolm Baker & Jeffrey Wurgler, 1999. "The Equity Share in New Issues and Aggregate Stock Returns," Yale School of Management Working Papers, Yale School of Management ysm124, Yale School of Management, revised 01 Jan 2009.
  5. Gary S. Shea, 2004. "South Sea Company Subscription Shares and Warrant Values in 1720," CRIEFF Discussion Papers 0411, Centre for Research into Industry, Enterprise, Finance and the Firm.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:mit:sloanp:2150. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.