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Merton, Robert C.
6 references·16 citing·36 second hop
Merton, Robert C. (2010)Merton, Robert C.Continuous-Time Finance. (1991)Continuous-Time Finance.The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The expected cost of default (2015)The expected cost of defaultInvestor attention, index performance, and return predictability (2014)Investor attention, index per…Linking corporate social responsibility to firm default risk (2013)Linking corporate social resp…How does competition affect bank systemic risk? (2013)How does competition affect b…Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)Financial distress and bankru…Bank competition and financial stability in Asia Pacific (2013)Bank competition and financia…The 2007–2009 financial crisis and bank opaqueness (2012)The 2007–2009 financial crisi…Positive and Negative Corporate Social Responsibility, Financial Leverage, and Idiosyncratic Risk (2012)Positive and Negative Corpora…The Credit Crisis as a Problem in the Sociology of Knowledge (2011)The Credit Crisis as a Proble…Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis (2011)Corporate Social and Financia…The intertemporal capital asset pricing model with dynamic conditional correlations (2010)The intertemporal capital ass…Realized volatility forecasting and market microstructure noise (2010)Realized volatility forecasti…Cultural influences on home bias and international diversification by institutional investors (2010)Cultural influences on home b…The Worth of Product Placement in Successful Films: An Event Study Analysis (2009)The Worth of Product Placemen…The Liabilities and Risks of State-Sponsored Pension Plans (2009)The Liabilities and Risks of …Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆ (2009)Sell on the news: Differences…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)The effect of capital ratios on the risk, efficiency and profitability of banks: Evidence from OECD countries (2017)Bank Systemic Risk around COVID-19: A Cross-Country Analysis (2020)Ultimate ownership and bank competition (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Firm resources and sustained competitive advantage (2004)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)Corporate Social Responsibility Report Narratives and Analyst Forecast Accuracy (2017)Doing good and doing bad: The impact of corporate social responsibility and irresponsibility on firm performance (2017)Credit Rationing in Markets with Imperfect Information (1981)Enjoying the Quiet Life under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks (2010)The impacts of risk and competition on bank profitability in China (2015)Economic policy uncertainty and financial stability–Is there a relation? (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Predicting distress in European banks (2013)Financial distress, internal control, and earnings management: Evidence from China (2020)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1991Continuous-Time Finance.1,788 cited

Cited by

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  • 2009Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆341 cited
  • 2012The 2007–2009 financial crisis and bank opaqueness

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340 cited
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