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Citations of

Robert C. Merton

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.

    Mentioned in:

    1. Not Quite the Dullest Post I Ever Wrote
      by Buce in Underbelly on 2014-03-20 01:08:00

Wikipedia mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Author Profile
    1. Robert C. Merton in Wikipedia (Turkish)
    2. ロバート・マートン in Wikipedia (Japanese)
    3. روبرت مرتون in Wikipedia (Persian)
    4. Робърт Мъртън in Wikipedia (Bulgarian)
    5. Robert C. Merton in Wikipedia (Vietnamese)
    6. Robert C. Merton in Wikipedia (Norwegian)

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.

    Cited by:

    1. Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013. "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, vol. 121(3), pages 454-457.
    2. Fischer, Thomas & Riedler, Jesper, 2014. "Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market," FinMaP-Working Papers 21, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    3. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S241-S255.
    4. Willem H. Buiter, 2008. "Housing Wealth Isn't Wealth," NBER Working Papers 14204, National Bureau of Economic Research, Inc.
    5. Manuel Adelino & Antoinette Schoar & Felipe Severino, 2012. "Credit Supply and House Prices: Evidence from Mortgage Market Segmentation," NBER Working Papers 17832, National Bureau of Economic Research, Inc.
    6. Ebner, André, 2010. "A micro view on home equity withdrawal and its determinants. Evidence from Dutch households," Discussion Papers in Economics 11309, University of Munich, Department of Economics.
    7. John Y. Campbell, 2013. "Mortgage Market Design," Review of Finance, European Finance Association, vol. 17(1), pages 1-33.
    8. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
    9. Shi, Song & Jou, Jyh-Bang & Tripe, David, 2014. "Can interest rates really control house prices? Effectiveness and implications for macroprudential policy," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 15-28.
    10. Diego Escobari & Damian Damianov & Andres Bello, 2015. "A time series test to identify housing bubbles," Journal of Economics and Finance, Springer, vol. 39(1), pages 136-152, January.
    11. Pol, Eduardo, 2012. "The preponderant causes of the USA banking crisis 2007–08," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 41(5), pages 519-528.
    12. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2015. "Losing track of the asset markets: the case of housing and stock," ISER Discussion Paper 0932, Institute of Social and Economic Research, Osaka University.
    13. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    14. Campbell, John Y. & Tufano, Peter & Madrian, Brigitte C. & Jackson, Howell Edmunds, 2011. "Consumer Financial Protection," Scholarly Articles 9887620, Harvard University Department of Economics.

  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.

    Cited by:

    1. Battaglia, Francesca & Gallo, Angela, 2013. "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 274-286.
    2. Martín Saldías, 2012. "Systemic Risk Analysis using Forward-Looking Distance-to-Default Series," Working Papers w201216, Banco de Portugal, Economics and Research Department.
    3. Dale Gray & Carlos García & Leonardo Luna & Jorge E. Restrepo, 2009. "Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile," Working Papers Central Bank of Chile 553, Central Bank of Chile.
    4. Rodríguez-Moreno, María & Peña, Juan Ignacio, 2013. "Systemic risk measures: The simpler the better?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1817-1831.
    5. Udaibir S. Das & Maria A. Oliva & Takahiro Tsuda, 2012. "Sovereign Risk: A Macro-Financial Perspective," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 367-392, August.
    6. Nuno Silva, 2010. "Inter-Sector Relations in the Portuguese Economy: an Application of Contingent," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
    7. Albert, Jose Ramon G. & Schou-Zibell, Lotte & Song, Lei Lei, 2012. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Discussion Papers DP 2012-22, Philippine Institute for Development Studies.
    8. Beck, Günter W. & Kotz, Hans-Helmut & Zabelina, Natalia, 2015. "Euro area macro-financial stability: A flow-of-funds perspective," SAFE White Paper Series 29, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
    9. Iulia Iuga, 2009. "The Assessment Procedure Of The Operational Risk Events," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 49.
    10. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    11. Gábor P. Kiss, 2007. "One-off and off-budget items: An alternative approach," MNB Conference Volume, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 1(1), pages 18-27, December.
    12. Reza Siregar, 2011. "Macro-Prudential Approaches to Banking Regulation : Perspectives of Selected Asian Central Banks," Finance Working Papers 23211, East Asian Bureau of Economic Research.
    13. Piergiorgio Alessandri & Prasanna Gai & Sujit Kapadia & Nada Mora & Claus Puhr, 2009. "Towards a Framework for Quantifying Systemic Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 47-81, September.
    14. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile 555, Central Bank of Chile.
    15. Miroslav Plasil & Ivana Kubicova, 2012. "Contingent Claims Analysis And The Inter-Sector Transmission Of Credit Risk," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 129-139 Czech National Bank, Research Department.
    16. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Bank risk behavior and connectedness in EMU countries”," IREA Working Papers 201517, University of Barcelona, Research Institute of Applied Economics, revised Jun 2015.
    17. Christoph Trebesch & Michael G Papaioannou & Udaibir S. Das, 2012. "Sovereign Debt Restructurings 1950-2010; Literature Survey, Data, and Stylized Facts," IMF Working Papers 12/203, International Monetary Fund.
    18. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
    19. Andrew W Lo, 2009. "Regulatory reform in the wake of the financial crisis of 2007-2008," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 1(1), pages 4-43, April.
    20. Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies; How Much is theprivate Sector Affected?," IMF Working Papers 09/29, International Monetary Fund.
    21. Henry, Jérôme & Kok, Christoffer & Amzallag, Adrien & Baudino, Patrizia & Cabral, Inês & Grodzicki, Maciej & Gross, Marco & Halaj, Grzegorz & Kolb, Markus & Leber, Miha & Pancaro, Cosimo & Sydow, Matt, 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    22. Albulescu, Claudiu Tiberiu, 2013. "Financial Stability and Monetary Policy: A Reduced-Form Model for the EURO Area," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 62-81, March.
    23. Winkler, Adalbert & Bindseil, Ulrich, 2012. "Dual liquidity crises under alternative monetary frameworks," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62032, Verein für Socialpolitik / German Economic Association.
    24. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.
    25. Blaise Gadanecz & Kaushik Jayaram, 2009. "Measures of financial stability - a review," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring financial innovation and its impact", Basel, 26-27 August 2008, volume 31, pages 365-380 Bank for International Settlements.
    26. Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 11/83, International Monetary Fund.
    27. Ulrich Bindseil & Adalbert Winkler, 2013. "Dual Liquidity Crises—A Financial Accounts Framework," Review of International Economics, Wiley Blackwell, vol. 21(1), pages 151-163, 02.
    28. Espino, Freddy, 2012. "Un Índice de Estabilidad Bancaria para Perú," Working Papers 2012-015, Banco Central de Reserva del Perú.
    29. Das, Udaibir S. & Oliva, Maria A. & Tsuda, Takahiro, 2012. "Sovereign Risk: A Macro-Financial Perspective," ADBI Working Papers 383, Asian Development Bank Institute.
    30. Pesola, Jarmo, 2011. "Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3134-3144, November.
    31. Simone Varotto & Lei Zhao, 2014. "Systemic Risk and Bank Size," ICMA Centre Discussion Papers in Finance icma-dp2014-17, Henley Business School, Reading University.
    32. Bindseil, Ulrich & Winkler, Adalbert, 2012. "Dual liquidity crises under alternative monetary frameworks: a financial accounts perspective," Working Paper Series 1478, European Central Bank.
    33. Martin Cihak & Petya Koeva Brooks, 2009. "From Subprime Loans to Subprime Growth? Evidence for the Euro Area," IMF Working Papers 09/69, International Monetary Fund.

  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.

    Cited by:

    1. Edward I. Altman & Herbert A. Rijken, 2013. "Sovereign default risk assessment," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 6-27.
    2. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.
    3. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.
    4. 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.
    5. Henry, Jérôme & Kok, Christoffer & Amzallag, Adrien & Baudino, Patrizia & Cabral, Inês & Grodzicki, Maciej & Gross, Marco & Halaj, Grzegorz & Kolb, Markus & Leber, Miha & Pancaro, Cosimo & Sydow, Matt, 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    6. Dale Gray & Carlos García T. & Leonardo Luna B. & Jorge E. Restrepo L., 2009. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 11-33, August.
    7. Altman, Edward & Rijken, Herbert, 2012. "Toward a bottom-up approach to assessing sovereign default risk: an update," Journal of Financial Transformation, Capco Institute, vol. 34, pages 19-29.
    8. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123 Central Bank of Chile.
    9. 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.
    10. Tiago Severo, 2012. "Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance," IMF Working Papers 12/194, International Monetary Fund.
    11. Baglioni, Angelo & Cherubini, Umberto, 2013. "Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1581-1597.
    12. Baglioni, Angelo & Cherubini, Umberto, 2013. "Marking-to-market government guarantees to financial systems – Theory and evidence for Europe," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 990-1007.
    13. Claudio Borio, 2011. "Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward," BIS Working Papers 354, Bank for International Settlements.
    14. Kalteier, Eva-Maria & Posch, Peter N., 2013. "Sovereign asset values and implications for the credit market," Review of Financial Economics, Elsevier, vol. 22(2), pages 53-60.
    15. Eduardo López E. & Víctor Riquelme P. & Ercio Muñoz S., 2011. "Long – Term Interest Rate and Fiscal Policy," Working Papers Central Bank of Chile 633, Central Bank of Chile.
    16. Surach Tanboon & Suchot Piamchol & Tanawat Ruenbanterng & Paiboon Pongpaichet, 2009. "Impacts of Financial Factors on Thailand's Business Cycle Fluctuations," Working Papers 2009-01, Economic Research Department, Bank of Thailand.
    17. José Pablo Dapena, 2006. "Volatility of GDP, macro applications and policy implications of real options for structure of capital Markets," CEMA Working Papers: Serie Documentos de Trabajo. 320, Universidad del CEMA.
    18. Timothy Irwin, 2015. "Getting the Dog to Bark; Disclosing Fiscal Risks from the Financial Sector," IMF Working Papers 15/208, International Monetary Fund.

  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.

    Cited by:

    1. Zhanyu Ying, 2010. "Study on the measurement of China’s financial intermediation ratio in terms of stock: 1992–2006," Frontiers of Economics in China, Springer, vol. 5(3), pages 430-444, September.
    2. Capelle-Blancard, Gunther & Couppey-Soubeyran, Jezabel & Soulat, Laurent, 2008. "The measurement of financial intermediation in Japan," Japan and the World Economy, Elsevier, vol. 20(1), pages 40-60, January.
    3. Pejman Abedifar & Iftekhar Hasan & Amine Tarazi, 2014. "Finance-Growth Nexus and Dual Banking System: Relative Importance of Islamic Banks," Working Papers hal-01065676, HAL.
    4. Piyapas Tharavanij, 2007. "Capital Market And Business Cycle Volatility," Monash Economics Working Papers 33-07, Monash University, Department of Economics.
    5. José María Fanelli, 2009. "Economic Policy out of the Corridor. Reflections on the Global Crisis and the Latin American Experience," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(53-54), pages 73-105, January -.
    6. Demirguc-Kunt, Asli, 2006. "Finance and economic development : policy choices for developing countries," Policy Research Working Paper Series 3955, The World Bank.
    7. Levine, Ross, 2005. "Finance and Growth: Theory and Evidence," Handbook of Economic Growth, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 12, pages 865-934 Elsevier.
    8. Koetter, Michael & Wedow, Michael, 2010. "Finance and growth in a bank-based economy: Is it quantity or quality that matters?," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1529-1545, December.
    9. Piotr Wiesiolek & Dobieslaw Tymoczko, 2015. "The evolution of banking sectors in Central and Eastern Europe - the case of Pola," BIS Papers chapters, in: Bank for International Settlements (ed.), What do new forms of finance mean for EM central banks?, volume 83, pages 313-324 Bank for International Settlements.
    10. Carlos E. Cuevas & Klaus P. Fischer, 2006. "Cooperative Financial Institutions : Issues in Governance, Regulation, and Supervision," World Bank Publications, The World Bank, number 7107.
    11. Claire Woods & Roger Urwin, 2010. "Putting Sustainable Investing into Practice: A Governance Framework for Pension Funds," Journal of Business Ethics, Springer, vol. 92(1), pages 1-19, April.
    12. James B. Ang, 2008. "A Survey Of Recent Developments In The Literature Of Finance And Growth," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 536-576, 07.
    13. Augusto de la Torre & Erik Feyen & Alain Ize, 2013. "Financial Development: Structure and Dynamics," World Bank Economic Review, World Bank Group, vol. 27(3), pages 514-541.
    14. Beck, Günter W. & Kotz, Hans-Helmut & Zabelina, Natalia, 2015. "Euro area macro-financial stability: A flow-of-funds perspective," SAFE White Paper Series 29, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
    15. Juan Pablo Medina Guzman & Jorge Roldos, 2014. "Monetary and Macroprudential Policies to Manage Capital Flows," IMF Working Papers 14/30, International Monetary Fund.
    16. Tharavanij, Piyapas, 2007. "Capital Market Development, Frequency of Recession, and Fraction of Time the Economy in Recession," MPRA Paper 4954, University Library of Munich, Germany.
    17. Tharavanij, Piyapas, 2007. "Capital Market, Severity of Business Cycle, and Probability of Economic Downturn," MPRA Paper 4953, University Library of Munich, Germany.
    18. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA.
    19. Coval, Joshua D. & Thakor, Anjan V., 2005. "Financial intermediation as a beliefs-bridge between optimists and pessimists," Journal of Financial Economics, Elsevier, vol. 75(3), pages 535-569, March.
    20. Piyapas Tharavanij, 2007. "Capital Market, Frequency Of Recession, And Fraction Of Time The Economy In Recession," Monash Economics Working Papers 34-07, Monash University, Department of Economics.

  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.

    Cited by:

    1. Mohan, Nancy & Zhang, Ting, 2014. "An analysis of risk-taking behavior for public defined benefit pension plans," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 403-419.
    2. Aggarwal, Raj & Goodell, John W., 2013. "Political-economy of pension plans: Impact of institutions, gender, and culture," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1860-1879.
    3. Mirko Cardinale & Mike Orszag, 2005. "Severance Pay and Corporate Finance: Empirical Evidence from a Panel of Austrian and Italian Firms," Empirica, Springer, vol. 32(3), pages 309-343, 09.
    4. Chen, Xuanjuan & Yao, Tong & Yu, Tong & Zhang, Ting, 2014. "Learning and incentive: A study on analyst response to pension underfunding," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 26-42.
    5. Atanasova, Christina & Hrazdil, Karel, 2010. "Why do healthy firms freeze their defined-benefit pension plans?," Global Finance Journal, Elsevier, vol. 21(3), pages 293-303.
    6. An, Heng & Huang, Zhaodan & Zhang, Ting, 2013. "What determines corporate pension fund risk-taking strategy?," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 597-613.

  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.

    Cited by:

    1. Jeffrey A. Frankel, 2010. "Monetary Policy in Emerging Markets: A Survey," NBER Working Papers 16125, National Bureau of Economic Research, Inc.
    2. Dale F. Gray, 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR," IMF Working Papers 13/218, International Monetary Fund.
    3. Piotr Mielus, 2012. "Market Measures of Convergence in Central & Eastern Europe Emerging Markets in the Period of Turbulences on the Financial Market," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 31.
    4. 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.
    5. Edward J. Kane, 2005. "Can the European Community Afford to Neglect the Need for More Accountable Safety-Net Management?," NBER Working Papers 11860, National Bureau of Economic Research, Inc.
    6. 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.
    7. Gianluigi Ferrucci, 2003. "Empirical determinants of emerging market economies' sovereign bond spreads," Bank of England working papers 205, Bank of England.
    8. 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.
    9. Dimitri Vittas, 2003. "The use of"asset swaps"by institutional investors in South Africa," Policy Research Working Paper Series 3175, The World Bank.
    10. Mayes , David G., 2004. "An approach to bank insolvency in transition and emerging economies," Research Discussion Papers 4/2004, Bank of Finland.

  7. Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.

    Cited by:

    1. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
    2. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
    3. A. Bernales, 2014. "The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings," Working papers 495, Banque de France.
    4. Baldwin, Carliss & Hienerth, Christoph & von Hippel, Eric, 2006. "How user innovations become commercial products: A theoretical investigation and case study," Research Policy, Elsevier, vol. 35(9), pages 1291-1313, November.
    5. Plato, Gerald, 2001. "The Soybean processing Decision: Exercising a Real Option on Processing Margins," Technical Bulletins 184327, United States Department of Agriculture, Economic Research Service.
    6. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
    7. Shin S. Ikeda, 2013. "A Contingent Claim Analysis of Suicide," GRIPS Discussion Papers 13-05, National Graduate Institute for Policy Studies.
    8. Stuart Holland & Teresa Carla Oliveira, 2013. "Missing Links: Hume, Smith, Kant and Economic Methodology," Economic Thought, World Economics Association, vol. 2(2), pages 46, October.
    9. Wesseler, J. & Weichert, M., 1999. "Der Wert zusätzlicher Informationen bei Investitionsentscheidungen mit einem hohen Grad an Irreversibilität," Proceedings "Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.", German Association of Agricultural Economists (GEWISOLA), vol. 35.
    10. Arnd Huchzermeier & Christoph H. Loch, 2001. "Project Management Under Risk: Using the Real Options Approach to Evaluate Flexibility in R...D," Management Science, INFORMS, vol. 47(1), pages 85-101, January.
    11. Justus Wesseler, 2002. "The Option Value of Scientific Uncertainty on Pest - Resistance Development of Transgenic Crops," Others 0206001, EconWPA.
    12. Rachel Kreier & Bhaswati Sengupta, 2015. "Income, Health, and the Value of Preserving Options," Atlantic Economic Journal, International Atlantic Economic Society, vol. 43(4), pages 431-448, December.
    13. Gabriel J Power & Charli D Tandja M & Josee Bastien & Philippe Gregoire, 2015. "Measuring infrastructure investment option value," Journal of Risk Finance, Emerald Group Publishing, vol. 16(1), pages 49-72.
    14. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008. "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, vol. 54(5), pages 1015-1028, May.
    15. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 213-228, Fall.
    16. Beatriz Mota Aragón, 2011. "Capital Investments and Real Options: New Proposals," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 65-76.
    17. Wesseler, Justus, 2009. "The Santaniello theorem of irreversible benefits," MPRA Paper 25602, University Library of Munich, Germany.
    18. Streissler, Erich W., 2001. "Globalizáció, tőkepiacok és az állam szerepe
      [Globalization, capital markets and the role of the state]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-17.
    19. Michael T. Gapen & Dale F. Gray & Cheng Hoon Lim & Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers 05/155, International Monetary Fund.
    20. Guthrie, Graeme, 2005. "Missed Opportunities: Optimal Investment Timing when Information is Costly," Working Paper Series 3990, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    21. Conrad, Jon M., 2000. "Wilderness: options to preserve, extract, or develop," Resource and Energy Economics, Elsevier, vol. 22(3), pages 205-219, July.
    22. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research.
    23. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
    24. V. Bosetti & J.M. Conrad & E. Messinat, 2004. "The Value of Flexibility: Preservation, Remediation, or Development for Ginostra?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 29(2), pages 219-229, October.
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    7. McShane, Michael K. & Cox, Larry A. & Butler, Richard J., 2010. "Regulatory competition and forbearance: Evidence from the life insurance industry," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 522-532, March.
    8. James A. Clouse & Dale W. Henderson & Athanasios Orphanides & David H. Small & Peter A. Tinsley, 2000. "Monetary policy when the nominal short-term interest rate is zero," Finance and Economics Discussion Series 2000-51, Board of Governors of the Federal Reserve System (U.S.).
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    15. Margaret Armstrong & Guillaume Cornut & Stéphane Delacôte & Marc Lenglet & Yuval Millo & Fabian Muniesa & Alexandre Pointier & Yamina Tadjeddine, 2012. "Towards a practical approach to responsible innovation in finance: New Product Committees revisited," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(2), pages 147-168, May.
    16. Bannour Boutheina & Labidi Moez, 2013. "Efficience des banques commerciales Tunisiennes: etude par l’approche de frontière stochastique," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(1), pages 103-132, March.
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    30. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
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    32. Shah Shirazi, Nasim & Elzahi, Abdelrahman & Khattab, Ishraga, 2014. "Islamic Microfinance for Sustainable Development," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 22, pages 137-141.
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    35. Khan, Tariqullah, 2000. "Islamic Quasi Equity (Debt) Instruments And The Challenges Of Balance Sheet Hedging: An Exploratory Analysis," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 7, pages 1-31.
    36. López-Penabad, Mª Celia & López-Andión, Carmen & Iglesias-Casal, Ana & Maside-Sanfiz, Jose Manuel, 2015. "Securitization in Spain and the wealth effect for shareholders," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 308-323.
    37. Awrey, Dan, 2013. "Toward a supply-side theory of financial innovation," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 401-419.
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    576. Cahan, Steven F. & Chen, Chen & Chen, Li & Nguyen, Nhut H., 2015. "Corporate social responsibility and media coverage," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 409-422.
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    578. Dewandaru, Ginanjar & Bacha, Obiyathulla Ismath & Masih, A. Mansur M. & Masih, Rumi, 2015. "Risk-return characteristics of Islamic equity indices: Multi-timescales analysis," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 115-138.

  12. 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.

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    1. Lucy F. Ackert & William C. Hunter, 1999. "Intrinsic bubbles: the case of stock prices: a comment," Working Paper Series WP-99-26, Federal Reserve Bank of Chicago.
    2. Bruce N. Lehmann, 1991. "Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Dividend Policy Invariant Cash Flows," NBER Working Papers 3676, National Bureau of Economic Research, Inc.
    3. Christine Jolls, 1998. "Stock Repurchases and Incentive Compensation," NBER Working Papers 6467, National Bureau of Economic Research, Inc.
    4. Jumming Hsu & Xu-Ming Wang & Chunchi Wu, 1998. "The Role of Earnings Information in Corporate Dividend Decisions," Management Science, INFORMS, vol. 44(12-Part-2), pages S173-S191, December.
    5. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
    6. Christi Wann & D. Long, 2009. "Do liquidity induced changes in aggregate dividends signal aggregate future earnings growth?," Journal of Economics and Finance, Springer, vol. 33(1), pages 1-12, January.
    7. Goergen, M. & Renneboog, L.D.R. & Correia Da Silva, L., 2004. "Dividend Policy of German Firms," Discussion Paper 2004-122, Tilburg University, Center for Economic Research.
    8. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
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    10. Rozycki, John J., 1997. "A tax motivation for smoothing dividends," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 563-578.
    11. Wu, Chunchi, 1996. "Taxes and dividend policy," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 291-305.
    12. Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.
    13. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley.
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    23. Leibrecht, Markus & Bellak, Christian & Wild, Michael, 2009. "Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises," Discussion Paper Series 1: Economic Studies 2009,19, Deutsche Bundesbank, Research Centre.
    24. Steven Li, 2003. "A valuation model for firms with stochastic earnings," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(3), pages 229-243.
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    26. Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
    27. Cyert, Richard & Kang, Sok-Hyon & Kumar, Praveen, 1996. "Managerial objectives and firm dividend policy: A behavioral theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 31(2), pages 157-174, November.
    28. Renneboog, L.D.R. & Szilagyi, P.G., 2006. "How Relevant is Dividend Policy under Low Shareholder Protection?," Discussion Paper 2006-73, Tilburg University, Center for Economic Research.
    29. Ian Davidson & John Okunev & Mark Tippett, 1996. "Some Further Evidence in Relation to Short Termism of Stock Prices," Working Paper Series 57, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    30. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
    31. Tucker, Jon & Stoja, Evarist, 2011. "Industry membership and capital structure dynamics in the UK," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 207-214, August.
    32. Chyi-Lun Chiou, 2015. "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 148-157.
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    37. Tom Van Caneghem & Walter Aerts, 2011. "Intra-industry conformity in dividend policy," Managerial Finance, Emerald Group Publishing, vol. 37(6), pages 492-516, June.
    38. Francis, Bill B. & Leachman, Lori L., 1998. "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 475-492, June.
    39. Szilagyi, P.G., 2007. "Corporate governance and the agency costs of debt and outside equity," Other publications TiSEM 9520d40a-224f-43a8-9bf9-b, Tilburg University, School of Economics and Management.
    40. Mohammad Mirbagherijam, 2014. "Asymmetric Effect of Inflation on Dividend Policy of Iran's Stocks Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(2), pages 337-350, February.
    41. Raymond Chiang & Ian Davidson & John Okunev, 1996. "Some Further Theoretical and Empirical Implications Regarding the Relationship between Earnings, Dividends and Stock Prices," Working Paper Series 60, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    42. Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, EconWPA.
    43. Gropp, Jeffrey, 2004. "Mean reversion of industry stock returns in the U.S., 1926-1998," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 537-551, September.
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    45. Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 327-346, December.
    46. Andres, C. & Betzer, A. & Goergen, M. & Renneboog, L.D.R., 2008. "The Dividend Policy of German Firms," Discussion Paper 2008-67, Tilburg University, Center for Economic Research.
    47. Georgeta Vintila & Elena Alexandra Nenu, 2015. "An Analysis of Determinants of Corporate Financial Performance: Evidence from the Bucharest Stock Exchange Listed Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 732-739.
    48. Chen, Chung & Wu, Chunchi, 1999. "The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 29-58, January.
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    52. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
    53. Samih Antoine Azar, 2012. "Determinants of Cyclical Aggregate Dividend Behavior," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 71-78, August.
    54. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.

  13. 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.

    Cited by:

    1. Bharat Ramaswami & Terry L. Roe, 2002. "Aggregation in area yield insurance:The linear additive model," Indian Statistical Institute, Planning Unit, New Delhi Discussion Papers 02-08, Indian Statistical Institute, New Delhi, India.
    2. Malcolm Baker & Jeffrey Wurgler, 1999. "The Equity Share in New Issues and Aggregate Stock Returns," Yale School of Management Working Papers ysm124, Yale School of Management, revised 01 Jan 2009.
    3. 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.
    4. 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.
    5. Ostdiek, Barbara, 1998. "The world ex ante risk premium: an empirical investigation," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 967-999, December.

  14. 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.

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    1. Ercan Balaban & Kursat Kunter, 1996. "Stock Market Efficiency in a Developing Economy : Evidence from Turkey," Discussion Papers 9612, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Oded Galor & Omer Moav & Dietrich Vollrath, 2004. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," Working Papers 2003-04, Brown University, Department of Economics.
    3. Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
    4. Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2006. "What determines protection of property rights ? An analysis of direct and indirect effects," Policy Research Working Paper Series 3940, The World Bank.
    5. Patricia Fraser & Andrew McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 39-62.
    6. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-67.
    7. Fang, Jiali & Jacobsen, Ben & Qin, Yafeng, 2014. "Predictability of the simple technical trading rules: An out-of-sample test," Review of Financial Economics, Elsevier, vol. 23(1), pages 30-45.
    8. David Ikenberry & Josef Lakonishok & Theo Vermaelen, 2000. "Stock Repurchases in Canada: Performance and Strategic Trading," Journal of Finance, American Finance Association, vol. 55(5), pages 2373-2397, October.
    9. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
    10. Sian Owen, 2002. "Behavioural Finance and the Decision to Invest in High Tech Stocks," Working Paper Series 119, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    11. Guido Tabellini, 1987. "Learning and the Volatility of Exchange Rates," UCLA Economics Working Papers 434, UCLA Department of Economics.
    12. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
    13. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
    14. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    15. Dailami, Mansoor & Atkin, Michael, 1990. "Stock markets in developing countries : key issues and a research agenda," Policy Research Working Paper Series 515, The World Bank.
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    17. Lambert Jerman, 2015. "Les Enjeux De L'Application Des Normes Ias-Ifrs : L'Etude Des Preparateurs Des Comptes, Une Perspective De Recherche Encore Inexploree," Post-Print hal-01188736, HAL.

  15. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?," NBER Working Papers 1719, National Bureau of Economic Research, Inc.

    Cited by:

    1. Thomas Steinberger, 2005. "Pension benefit default risk and welfare effects of funding regulation," CSEF Working Papers 147, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    2. Arjen Siegmann, 2008. "Minimum Funding Ratios for Defined-Benefit Pension Funds," DNB Working Papers 180, Netherlands Central Bank, Research Department.
    3. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds'structure, performance, and investments : cross-country evidence," Social Protection and Labor Policy and Technical Notes 23302, The World Bank.
    4. Poterba, James & Rauh, Joshua & Venti, Steven & Wise, David, 2007. "Defined contribution plans, defined benefit plans, and the accumulation of retirement wealth," Journal of Public Economics, Elsevier, vol. 91(10), pages 2062-2086, November.
    5. V. Vance Roley & Douglas K. Pearce, 1988. "Firm characteristics, unanticipated inflation, and stock returns," Research Working Paper 88-01, Federal Reserve Bank of Kansas City.
    6. Jeffrey R. Brown & Scott J. Weisbenner, 2009. "Who Chooses Defined Contribution Plans?," NBER Chapters, in: Social Security Policy in a Changing Environment, pages 131-161 National Bureau of Economic Research, Inc.
    7. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
    8. Davies, James B. & Yu, Xiaoyu, 2013. "Impacts of Cyclical Downturns on the Third Pillar of the RIS and Policy Responses," CLSSRN working papers clsrn_admin-2013-20, Vancouver School of Economics, revised 29 Apr 2013.
    9. Miyazato, Naomi, 2010. "The optimal size of Japan's public pensions: An analysis considering the risks of longevity and volatility of return on assets," Japan and the World Economy, Elsevier, vol. 22(1), pages 31-39, January.
    10. Palacios, Robert & Whitehouse, Edward, 1998. "The role of choice in the transition to a funded pension system," Social Protection and Labor Policy and Technical Notes 20109, The World Bank.
    11. Peter Diamond, 1998. "The Economics of Social Security Reform," NBER Working Papers 6719, National Bureau of Economic Research, Inc.
    12. Takeuchi, Tomohiko & Tachibanaki, Toshiaki, 2004. "The differences in the economic effects between the DB plan and the DC plan," Journal of the Japanese and International Economies, Elsevier, vol. 18(4), pages 551-564, December.
    13. Richard Disney & Carl Emmerson & Sarah Smith, 2003. "Pension Reform and Economic Performance in Britain in the 1980s and 1990s," NBER Working Papers 9556, National Bureau of Economic Research, Inc.
    14. Andrew A. Samwick & Jonathan Skinner, 2004. "How Will 401(k) Pension Plans Affect Retirement Income?," American Economic Review, American Economic Association, vol. 94(1), pages 329-343, March.
    15. Whitehouse, Edward, 2000. "Administrative charges for funded pensions : an international comparison and assessment," Social Protection and Labor Policy and Technical Notes 23140, The World Bank.
    16. Salvador Valdés & Gonzalo Edwards, . "Jubilación en los Sistemas Pensionales Privados," Documentos de Trabajo 182, Instituto de Economia. Pontificia Universidad Católica de Chile..
    17. Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers 183, Netherlands Central Bank, Research Department.
    18. Gopi Shah Goda & Colleen Flaherty Manchester, 2010. "Incorporating Employee Heterogeneity Into Default Rules for Retirement Plan Selection," Working Papers, Center for Retirement Research at Boston College wp2010-5, Center for Retirement Research.
    19. David McCarthy, 2003. "A Lifecycle Analysis of Defined Benefit Pension Plans," Working Papers wp053, University of Michigan, Michigan Retirement Research Center.
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    22. Andrew A. Samwick & Jonathan Skinner, 1998. "How Will Defined Contribution Pension Plans Affect Retirement Income?," NBER Working Papers 6645, National Bureau of Economic Research, Inc.
    23. An Chen & Filip Uzelac, 2015. "Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans," Risks, MDPI, Open Access Journal, vol. 3(1), pages 77-102, March.
    24. Robert P. Inman & David J. Albright, 1987. "Central Policies for Local Debt: The Case of Teacher Pensions," NBER Working Papers 2166, National Bureau of Economic Research, Inc.

  16. Stanley Fischer & Robert C. Merton, 1984. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc.

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    1. Richard Kum-yew Lai, 2005. "Inventory and the Stock Market," Finance 0509006, EconWPA.
    2. Jeremy C. Stein, 1996. "Rational Capital Budgeting in an Irrational World," NBER Working Papers 5496, National Bureau of Economic Research, Inc.
    3. Ndikumana, Leonce, 2005. "Financial development, financial structure, and domestic investment: International evidence," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 651-673, June.
    4. Steve Bond & Jason Cummins, 2001. "Noisy share prices and the Q model of investment," IFS Working Papers W01/22, Institute for Fiscal Studies.
    5. James Dow & Gary Gorton, . "Stock Market Efficiency and Economic Efficiency: Is There a Connection?," Rodney L. White Center for Financial Research Working Papers 16-95, Wharton School Rodney L. White Center for Financial Research.
    6. Henry, Peter B., 2003. "Commentary on Bekaert, Harvey, and Lundblad's "Equity Market Liberalization in Emerging Equity Markets"," Research Papers 1783, Stanford University, Graduate School of Business.
    7. Fernando Alexandre, 2002. "Monetary Policy, Investment and Non-Fundamental Shocks," NIPE Working Papers 6/2002, NIPE - Universidade do Minho.
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  19. 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.

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    1. Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?," NBER Working Papers 1719, National Bureau of Economic Research, Inc.
    2. Rodrigue Mendez & Lionel Ragot, 2010. "Quel avenir pour le Fonds de réserve pour les retraites ?," Économie et Prévision, Programme National Persée, vol. 194(3), pages 57-78.
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    8. Dutta, Jayasri & Kapur, Sandeep & Orszag, J. Michael, 2000. "A portfolio approach to the optimal funding of pensions," Economics Letters, Elsevier, vol. 69(2), pages 201-206, November.
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  20. Robert C. Merton, 1982. "On Consumption-Indexed Public Pension Plans," NBER Working Papers 0910, National Bureau of Economic Research, Inc.

    Cited by:

    1. Wolfram J. Horneff & Raimond Maurer & Olivia S. Mitchell & Ivica Dus, 2006. "Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion," NBER Working Papers 12392, National Bureau of Economic Research, Inc.
    2. Robert J. Shiller, 1998. "Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing," Cowles Foundation Discussion Papers 1185, Cowles Foundation for Research in Economics, Yale University.
    3. Dirk Broeders & Paul Hilbers & David Rijsbergen & Ningli Shen, 2014. "What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds," De Economist, Springer, vol. 162(1), pages 41-70, March.
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    7. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica, 2008. "Following the rules: Integrating asset allocation and annuitization in retirement portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 396-408, February.

  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.

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    1. Michael Voigtländer, 2005. "Qualitative und quantitative Aspekte einer Elternrente?," List Forum Chapter, in: List Forum Band 31, edition 1, volume 3, chapter 13, pages 215-230 List Gesellschaft e.V..
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    6. Egil Matsen & Øystein Thøgersen, 2000. "Designing Social Security – A Portfolio Choice Approach," Working Paper Series 1102, Department of Economics, Norwegian University of Science and Technology.
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    8. Lans Bovenberg & Harald Uhlig, 2006. "Pension Sytems and the Allocation of Macroeconomic Risk," SFB 649 Discussion Papers SFB649DP2006-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Laurence J. Kotlikoff, 1996. "Privatization of Social Security: How It Works and Why It Matters," NBER Chapters, in: Tax Policy and the Economy, Volume 10, pages 1-32 National Bureau of Economic Research, Inc.
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    10. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
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    1. Chen, Andrew H., 2002. "A new perspective on infrastructure financing in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 227-242, June.
    2. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
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    17. Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," SFB 649 Discussion Papers SFB649DP2010-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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