Hostname: page-component-78c5997874-t5tsf Total loading time: 0 Render date: 2024-11-15T16:18:46.522Z Has data issue: false hasContentIssue false
  • English
  • Français

The Fantastic World of Finance: Progress and the Free Lunch

Published online by Cambridge University Press:  06 April 2009

Nils H. Hakansson
Get access Rights & Permissions [Opens in a new window]

Extract

I'd like to begin by thanking the Western Finance Association for the lunch I just consumed …

It is only fair that I inform you at the outset that the views you are about to hear can only be described as biased. They are biased because I'll be limiting my remarks to those parts of finance that I think I know something about; secondly, my comments will contain a disproportionate reflection of my own work. The more generous among you might argue that this puts me in good company. A better explanation would recognize that I am really in a monopoly position for the next half hour or so: there are no contemporaneous sessions within commuting distance, your lunch was paid in advance and is not refundable, and for some of you at least there is a certain cost associated with getting up and leaving in full view of the organizers.

Type
II. Distinguished Speaker
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 4 , November 1979 , pp. 717 - 734
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Akerlof, George. “The Market for ‘Lemons’: Quality Uncertainty and the Market Mechanism.” Quarterly Journal of Economics (08 1970).Google Scholar
[2]Banz, Rolf W., and Miller, Merton H.. “Prices for State–contingent Claims: Some Estimates and Applications.” The Journal of Business, Vol 51, No. 4 (10 1978), pp. 653–672.Google Scholar
[3]Beaver, Bill; Kettler, Paul; and Scholes, Myron. “The Association between Market Determined and Accounting Determined Risk Measures.” The Accounting Review (10 1970), pp. 654–682.Google Scholar
[4]Beja, Avraham. “The Limits of Price Information in Market Processes.” Finance Working Paper No. 61, University of California, Berkeley (1977).Google Scholar
[5]Beja, Avraham, and Hakansson, Nils. “Dynamic Market Processes and the Rewards to Up–to–Date Information.” The Journal of Finance (05 1977).Google Scholar
[6]Beja, Avraham, and Hakansson, Nils. “From Orders to Trades: Some Alternative Market Mechanisms.” In Impending Changes for Securities Markets: What Role for the Exchanges?, edited by Bloch, Ernest and Schwartz, Robert A.. FIA Press (1979), pp. 141–161.Google Scholar
[7]Berhold, Marvin. “A Theory of Linear Profit-sharing Incentives.” Quarterly Journal of Economics (1971), pp. 460–482.Google Scholar
[8]Bhattacharya, Sudipto. “Imperfect Information, Dividend Policy, and ‘the Bird in the Hand’ Fallacy.” Bell Journal of Economics, Vol. 10 (Spring 1979).Google Scholar
[9]Black, Fisher; Jensen, Midhael; and Scholes, Myron. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the Theory of Capital Markets, edited by Jensen, Michael. Praeger (1972).Google Scholar
[10]Black, Fisher, and Scholes, Myron. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, Vol. 81, No. 3 (05/06 1973), pp. 637–654.Google Scholar
[11]Black, Fisher, and Scholes, Myron. “The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns.” Journal of Financial Economics, Vol. 1 (1974), pp. 1–22.Google Scholar
[12]Blinder, Alan. “Indexing the Economy through Financial Intermediation.” Research Memorandum No. 196, Econometric Research Program, Princeton University.Google Scholar
[13]Breeden, Douglas. “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities.” Journal of Financial Economics (1979).Google Scholar
[14]Breeden, Douglas, and Litzenberger, Robert. “Prices of State-Contingent Claims Implicit in Option Prices.” The Journal of Business,Google Scholar
[15]Brennan, Michael. “The Pricing of Contingent Claims in Discrete Time Models.” The Journal of Finance, Col. 34, No. 1 (03 1979), pp. 53–68.Google Scholar
[16]Brennan, Michael, and Schwartz, Eduardo. “The Valuation of American Put Options.” Journal of Finance (05 1977).Google Scholar
[17]Brennan, Michael, and Schwartz, Eduardo. “Savings Bonds, Retractable Bonds and Callable Bonds.” Journal of Financial Economics (08 1977).Google Scholar
[18]Brennan, Michael, and Schwartz, Eduardo. “Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion.” The Journal of Finance (12 1977).Google Scholar
[18a]Cox, John; Ingersoll, Jonathan; and Ross, Stephen. “A Theory of the Term Structure of Interest Rates.” Research Paper No. 468, Graduate School of Business, Stanford University (08 1978).Google Scholar
[19]Cox, John, and Ross, Stephen. “A Survey of Some New Results in Financial Option Pricing Theory.” The Journal of Finance, Vol. 31 (05 1976), pp. 383–402.Google Scholar
[20]Cox, John, and Ross, Stephen. “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics,Google Scholar
[21]Diamond, Peter. “The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty.” American Economic Review, Vol. 57 (09 1967), pp. 759–776.Google Scholar
[22]Douglas, George W. Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency. Ph. D. thesis, Department of Economics, Yale University (1968).Google Scholar
[23]Ekern, Steinar, and Wilson, Robert. “On the Theory of the Firm in an Economy with Incomplete Markets.” Bell Journal of Economis (1974), pp. 171–180.Google Scholar
[24]Ellert, James. Antitrust Enforcement and the Behavior of Stock Prices. Ph. D. thesis, Graduate School of Business, University of Chicago (1975).Google Scholar
[25]Elton, Edwin, and Gruber, Martin. “Marginal Stockholder Tax Rates and the Clientele Effect.” Review of Economics and Statistics (02 1970).Google Scholar
[26]Fama, Eugene. “Multiperiod Consumption–Investment Decisions.” American Economic Review (03 1970).Google Scholar
[27]Fama, Eugene. “Short–term Interest Rates as Predictors of Inflation.” American Economic Review, Vol. 65 (06 1975), pp. 269–282.Google Scholar
[28]Fama, Eugene; Fisher, Lawrence; Jensen, Michael; and Roll, Richard. “The Adjustment of Stock Prices to New Information.” International Economic Review, Vol. 10 (02 1969), pp. 1–21.Google Scholar
[29]Fama, Eugene, and MacBeth, James. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy, Vol. 81 (05/06 1973).Google Scholar
[30]Fama, Eugene, and Schwert, William. “Asset Returns and Inflation.” Journal of Financial Economics, Vol. 5, No. 2 (11 1977), pp. 115–146.Google Scholar
[31]Garman, Mark. “Market Microstructure.” Journal of Financial Economics (09 1970).Google Scholar
[32]Geske, Robert. “The Valuation of Compound Options.” Journal of Financial Economics, Vol. 7 (03 1979), pp. 63–81.Google Scholar
[33]Goldman, M. Barry, and Beja, Avraham. “Market Prices vs. Equilibrium Prices: Returns Variance, Serial Correlation, and the Role of the Specialist.” The Journal of Finance, Vol. 34, No. 3 (06 1979), pp. 595–607.Google Scholar
[34]Grossman, Sanford, and Stiglitz, Joseph. “Information and Competitive Price Systems.” American Economic Review (05 1976).Google Scholar
[35]Groves, Theodore. “Incentives in Teams.” Econometxica (1973), pp. 617–632.Google Scholar
[36]Hakansson, Nils H. “Optimal Investment and Consumption Strategies for a Class of Utility Functions.” Ph. D. dissertation, University of California at Los Angeles, 1966.Google Scholar
[37]Hakansson, Nils H.. “Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions.” Econometrica (09 1970).Google Scholar
[38]Hakansson, Nils H.. “The Purchasing Power Fund: A New Kind of Financial Intermediary.” Financial Analysts Journal, Vol. 32, No. 6 (11/12 1976), pp. 2–12.Google Scholar
[39]Hakansson, Nils H.. “Efficient Paths toward Efficient Capital Markets in Large and Small Countries.” In Financial Decision Making under Uncertainty, Levy, H. and Sarnat, M.. New York: Academic Press (1977).Google Scholar
[40]Hakansson, Nils H.. “The Capital Asset Pricing Model: Some Open and Closed Ends.” In Risk and Return in Finance, edited by Friend, Irwin and Bicksler, James. Cambridge, Mass.: Ballinger Publishing Company (1977), pp. 245–260.Google Scholar
[41]Hakansson, Nils H.. “Welfare Aspects of Options and Supershares.” The Journal of Finance, Vol. 33 (06 1978), pp. 759–776.Google Scholar
[42]Hakansson, Nils H.; Kunkel, J. Gregory; and Ohlson, James A.. “Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange.” Working Paper, Professional Accounting Program, University of California, Berkeley (06 1979).Google Scholar
[43]Harris, M., and Raviv, A.. “Some Results on Incentive Contracts with Applications to Education and Employment, Health Insurance, and Law Enforcement.” American Economic Review (03 1978), pp. 20–30.Google Scholar
[44]Hart, Oliver. “On the Optimality of Equilibrium When the Market Structure Is Incomplete.” Journal of Economic Theory, Vol. 11 (1975), pp. 418–443.Google Scholar
[45]Hirshleifer, Jack. “The Private and Social Value of Information and the Reward to Inventive Activity.” American Economic Review (09 1971).Google Scholar
[46]Ingersoll, Jonathan. “A Contingent–Claims Valuation of Convertible Securities.” Journal of Financial Economics, Vol. 4 (05 1977), pp. 289–321.Google Scholar
[47]Jaffe, Jeffrey F. “On the Use of Public Information in Financial Markets.” The Journal of Finance (06 1975).Google Scholar
[48]Jensen, Michael C., and Long, John B. Jr, “Corporate Investment under Uncertainty and Pareto Optimality in the Capital Markets.” Bell Journal of Economics and Management Science,Google Scholar
[49]Jensen, Michael C., and Meckling, William. “Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure.” Journal of Financial Economics (1976), pp. 305–360.Google Scholar
[50]Johnson, H. E. “Option Pricing When the Variance Is Changing.” Working Paper, University of California, Los Angeles (05 1979).Google Scholar
[51]Latane, Henry, and Rendleman, Richard. “Standard Deviation of Stock Price Ratios Implied in Option Prices.” Journal of Finance, Vol. 32 (05 1976), pp. 369–381.Google Scholar
[52]Leland, Hayne E. “Dynamic Portfolio Theory.” Ph. D. dissertation, Harvard University (05 1968).Google Scholar
[53]Leland, Hayne E.. “Capital Asset Markets, Production and Optimality: A Synthesis.” Technical Paper No. 115, Institute for Mathematical Studies in the Social Sciences, Stanford University (12 1973).Google Scholar
[54]Leland, Hayne E.. “Production Theory and the Stock Market.” Bell Journal of Economics (1974), pp. 125–144.Google Scholar
[55]Leland, Hayne E., and Pyle, David H.. “Informational Asymmetries, Financial Leverage, and Financial Structure.” The Journal of Finance (05 1977).Google Scholar
[56]Lintner, John. “The Valuation of Risk Assets and the Selection of Risk Investment in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics (1965), pp. 13–37.Google Scholar
[57]Litzenberger, Robert, and Ramasqamy, Krishna. “The Effect of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence.” Journal of Financial Economics, Vol. 7, No. 2 (06 1979), pp. 163–195.Google Scholar
[58]Markowitz, Harry. “Portfolio Selection.” The Journal of Finance (03 1952).Google Scholar
[59]Mayers, David, and Rice, Edward M.. “Measuring Portfolio Performance and the Empirical Content of Asset Pricing Models.” Journal of Financial Economics, Vol. 7, No. 1 (03 1979), pp. 3–28.Google Scholar
[60]Mendelson, Morris; Peake, Junius W.; and Williams, R. T. Jr, “Toward a Modern Exchange: The Peake–Mendelson–Williams Proposal for an Electronically Assisted Auction Market.” In What Role for the Exchanges?, edited by Bloch, Ernest and Schwartz, Robert A.. JAI Press (1979), pp. 53–74.Google Scholar
[61]Merton, Robert. “Lifetime Portfolio Selection under Uncertainty: The Continuous–time Case.” The Review of Economics and Statistics (08 1969).Google Scholar
[62]Merton, Robert. “Optimum Consumption and Portfolio Rules in a Continuous Time Model.” Journal of Economic Theory (12 1971).Google Scholar
[63]Merton, Robert. “An Intertemporal Capital Asset Pricing Model.” Econometrica, Vol. 41 (09 1973), pp. 867–887.Google Scholar
[64]Merton, Robert. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, Vol. 4 (Spring 1973), pp. 141–183.Google Scholar
[65]Merton, Robert. “Option Pricing When Underlying Stock Returns Are Discontinuous.” Journal of Financial Economics, Vol. 3, Nos. 1–2 (01 1976), pp. 125–144.Google Scholar
[66]Miller, Merton H. “Debt and Taxes.” The Journal of Finance, Vol. 32, No. 2 (05 1977), pp. 261–275.Google Scholar
[67]Miller, Merton H., and Scholes, Myron S.. “Rates of Return in Relation to Risk: A Re-Examination of Some Recent Findings.” In Studies in the Theory of Capital MarketsGoogle Scholar
[68]Miller, Merton H., and Scholes, Myron S.. “Dividends and Taxes.” Journal of Financial Economics, Vol.6, No. 4 (12 1978), pp. 333–364.Google Scholar
[69]Modigliani, Franco, and Miller, Merton H.. “The Cost of Capital, Corporation Finance, and the Theory of Investment.” American Economic Review, Vol. 48 (1958), pp. 261–297.Google Scholar
[70]Mossin, Jan. “Equilibrium in a Capital Asset Market.” Econometrica (1966), pp. 768–783.Google Scholar
[71]Neave, Edwin H. “Multiperiod Consumption Investment Decision and Risk Preference.” Journal of Economic Theory (03 1971).Google Scholar
[72]Parkinson, Michael. “Option Pricing: The American Put.” Journal of Business, Vol. 50 (01 1977), pp. 21–36.Google Scholar
[73]Phelps, Edmund. “The Accumulation of Risky Capital: A Sequential Utility Analysis.” Econometrica (10 1962).Google Scholar
[74]Radner, Roy. “A Note on Unanimity of Stockholders' Preference among Alternative Production Plans: A Reformation of the Ekern–Wilson Model.” Bell Journal of Economics (1974), pp. 181–184.Google Scholar
[75]Roll, Richard. “A Critique of the Capital Asset Pricing Theory's Tests.” Journal of Financial Economics (1977).Google Scholar
[76]Rosenberg, Barr. “The Analysis of a Cross-Section of Time Series by Stochastically Convergent Parameter Regression.” Annals of Economic and Social Measurement (10 1973), pp. 399–428.Google Scholar
[77]Rosenberg, Barr, and Marathe, Vinay. “The Prediction of Investment Risk: Systematic and Residual Risk.” Proceedings of the Seminar on the Analysis of Security Prices. University of Chicago (11 1975).Google Scholar
[78]Rosenberg, Barr, and Marathe, Vinay. “Tests of Capital Asset Pricing Hypotheses.” In Research in Finance, edited by Levy, Haim. JAI Press (1979).Google Scholar
[79]Rosenberg, Barr, and Rudd, Andrew. “The Yield/Beta/Residual Risk Tradeoff.” Working Paper No. 66, Research Program in Finance, University of California, Berkeley (1978).Google Scholar
[80]Ross, Stephen. “The Economic Theory of Agency: The Principal's Problem.” American Economic Review (1973), pp. 134–139.Google Scholar
[81]Ross, Stephen. “Options and Efficiency.” Quarterly Journal of Economics, Vol. 60 (02 1976), pp. 75–89.Google Scholar
[82]Ross, Stephen. “The Determination of Financial Structure: The Incentive-Signalling Approach.” Bell Journal of Economics (Spring 1977).Google Scholar
[83]Rubinstein, Mark. “An Aggregation Theorem for Securities Markets.” Journal of Financial Economics (09 1974).Google Scholar
[84]Rubinstein, Mark. “The Valuation of Uncertain Income Streams and the Pricing of Options.” Bell Journal of Economics and Management Science, Vol. 7, No. 2 (Autumn 1976), pp. 407–425.Google Scholar
[85]Samuelson, Paul. “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” Review of Economics and Statistics (08 1969).Google Scholar
[86]Schrems, Edward. “The Sufficiency of Existing Financial Instruments for Pareto–Optimal Risk Allocation.” Ph. D. dissertation, Stanford University (1973).Google Scholar
[87]Schwartz, Eduardo. “The Valuation of Warrants: Implementing a New Approach.” Journal of Financial Economics (01 1977).Google Scholar
[88]Sharpe, William. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance (1964), pp. 425–442.Google Scholar
[89]Smith, C. “Option Pricing: A Review.” Journal of Financial Economics, Vol. 3, Nos. 1–2 (1976), pp. 3–52.Google Scholar
[90]Stapleton, R. C., and Subrahmanyam, M. C.. “A Multiperiod Equilibrium Asset Pricing Model.” Econometrica, Vol. 46 (09 1978), pp. 1077–1096.Google Scholar
[91]Stiglitz, Joseph. “On the Optimality of the Stock Market Allocation of Investment.” Quarterly Journal of Economics, Vol. 86 (1972), pp. 25–60.Google Scholar
[92]Stillman, Robert. Examining the Antitrust Case against Horizontal Mergers. Ph. D. thesis. Department of Economics, University of California, Los Angeles (1979).Google Scholar
[93]Tobin, James. “Liquidity Preference as Behavior toward Risk.” Review of Economic Studies (02 1958).Google Scholar
[94]Treynor, Jack. “How to Rate Management of Investment Funds.” Harvard Business Review, Vol. 43 (01–02 1965), pp. 63–75.Google Scholar
[95]Wilson, Robert. “The Structure of Incentives for Decentralization under Uncertainty.” La Decision. Editions du Centre National de la Recherche Scientifique, Paris (1969).Google Scholar
[96]Wilson, Robert. “Informational Economies of Scale.” Bell Journal of Economics (Spring 1975).Google Scholar