Work

The Role of Contingent Claims Analysis in Corporate Finance

Implicit Labor Contracts Viewed as Options: A Discussion of ‘Insurance Aspects of Pensions’

Macroeconomics and Finance: The Role of the Stock Market

Earnings Variability and Variance Bounds Tests for Rationality of Stock Market Prices

Aggregate Dividend Behavior and Its Implications for Tests of Stock Market Rationality

Financial Economics

On the Microeconomic Theory of Investment Under Uncertainty

The Returns and Risk of Alternative Put Option Portfolio Investment Strategies

On the Mathematics and Economic Assumptions of Continuous-Time Financial Models

On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts

On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

On Estimating the Expected Return on the Market: An Exploratory Investigation

Capital Requirements in the Regulation of Financial Intermediaries: A Discussion

The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

On the Cost of Deposit Insurance When There Are Surveillance Costs

On the Microeconomic Theory of Investment Under Uncertainty [Working Paper]

A Reexamination of the Capital Asset Pricing Model

On the Pricing of Contingent Claims and the Modigliani-Miller Theorem

An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory

The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns