Stephen F. LeRoy : Citation Profile

University of California-Santa Barbara (UCSB)

18

H index

23

i10 index

1806

Citations

RESEARCH PRODUCTION:

57

Articles

20

Papers

2

Books

RESEARCH ACTIVITY:

   51 years (1973 - 2024). See details.
   Cites by year: 35
   Journals where Stephen F. LeRoy has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 9 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple714
   Updated: 2025-06-07    RAS profile: 2025-05-15    
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Relations with other researchers

Works with:

Lansing, Kevin (2)

Singhania, Rish (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stephen F. LeRoy.

Is cited by:

Lansing, Kevin (26)

Shiller, Robert (23)

Campbell, John (19)

Hoover, Kevin (12)

Zha, Tao (12)

Kilian, Lutz (12)

Leeper, Eric (11)

Ross, Stephen (10)

Masih, Abul (10)

Werner, Jan (10)

Ilomäki, Jukka (10)

Cites to:

Lansing, Kevin (11)

Shiller, Robert (9)

Campbell, John (7)

Shleifer, Andrei (7)

Willen, Paul (6)

Gerardi, Kristopher (6)

Pischke, Jorn-Steffen (5)

Angrist, Joshua (5)

Mankiw, N. Gregory (5)

Cochrane, John (5)

PUY, Damien (4)

Main data

Where Stephen F. LeRoy has published?

Journals with more than one article published# docs
FRBSF Economic Letter6
American Economic Review6
Economic Theory4
Journal of Finance4
The Journal of Business3
Economics Letters3
International Economic Review3
Economics Bulletin3
Contemporary Economics2
Journal of Urban Economics2
Journal of Economic Theory2
Journal of Monetary Economics2
The Review of Financial Studies2
Economics and Philosophy2

Working Papers Series with more than one paper published# docs
University of California at Santa Barbara, Economics Working Paper Series / Department of Economics, UC Santa Barbara4
Working Paper Series / Federal Reserve Bank of San Francisco3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)3

Recent works citing Stephen F. LeRoy (2025 and 2024)

YearTitle of citing document
2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

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2025On Bitcoin Price Prediction. (2025). Bournassenko, Gr'Egory. In: Papers. RePEc:arx:papers:2504.18982.

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2025Mechanisms of information communication and market price movements. The case of SP 500 market. (2025). Rzadkowski, Grzegorz ; Ivanova, Inga. In: Papers. RePEc:arx:papers:2505.09625.

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2024The real side of stock market exuberance: bubbles, output and productivity at the industry level. (2024). Queiros, Francisco. In: Economica. RePEc:bla:econom:v:91:y:2024:i:361:p:268-291.

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2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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2024Informed traders, beauty contest and stock price volatility: Evidence from laboratory markets. (2024). Tanigawa, Yasuhiko ; Saijo, Tatsuyoshi ; Kusakawa, Takao ; Hirota, Shinichi. In: Pacific Economic Review. RePEc:bla:pacecr:v:29:y:2024:i:3:p:354-396.

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2024Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View. (2024). Herman, Van Dijk. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:155-176:n:12.

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2024Accounting for Nature in Economic Models. (2024). Durand, Luigi ; Batini, Nicoletta. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1014.

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2024Replicating business cycles and asset returns with sentiment and low risk aversion. (2024). Lansing, Kevin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001131.

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2024Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors. (2024). Koopman, Siem Jan ; Gorgi, Paolo ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000964.

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2024House price bubbles under the COVID-19 pandemic. (2024). Pedersen, Thomas Q ; Moller, Stig V ; Hansen, Jacob H ; Schutte, Christian M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001299.

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2024Global and local information efficiency: An examination of samuelsons dictum. (2024). Xiao, Yaqing ; Zhang, Jinfan ; Yan, Hongjun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000355.

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2024Identifying price bubbles in global carbon markets: Evidence from the SADF test, GSADF test and LPPLS method. (2024). Wang, Yizhi ; Huang, Wenyang. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003347.

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2024The impact of public transportation and commuting on urban labor markets: Evidence from the New Survey of London Life and Labour, 1929–1932. (2024). wadsworth, jonathan ; Seltzer, Andrew. In: Explorations in Economic History. RePEc:eee:exehis:v:91:y:2024:i:c:s0014498323000475.

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2024Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Dettoni, Robinson. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002515.

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2024The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?. (2024). Belkacem, Lotfi ; ben Hamida, Amal ; de Peretti, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004496.

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2024Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475.

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2025National culture of secrecy and stock price synchronicity: Cross-country evidence. (2025). Leledakis, George ; Gaganis, Chrysovalantis ; Pasiouras, Fotios ; Pyrgiotakis, Emmanouil G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002553.

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2024Disaster learning and aggregate investment. (2024). Zou, Zhentao ; Niu, Yingjie ; Yang, Jinqiang. In: Journal of Economic Theory. RePEc:eee:jetheo:v:220:y:2024:i:c:s0022053124000784.

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2024Sequential trading with coarse contingencies. (2024). Kochov, Asen ; Auster, Sarah ; Kettering, Jeremy. In: Journal of Economic Theory. RePEc:eee:jetheo:v:220:y:2024:i:c:s0022053124000802.

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2024The impact of road rationing on housing demand and sorting. (2024). Wu, Jing ; Barwick, Panle ; Li, Shanjun ; Jerch, Rhiannon. In: Journal of Urban Economics. RePEc:eee:juecon:v:140:y:2024:i:c:s0094119024000123.

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2024The Problem Has Existed over Endless Years: Racialized Difference in Commuting, 1980–2019. (2024). Severen, Christopher ; Rolheiser, Lyndsey ; Fu, Ellen ; Bunten, Devin Michelle. In: Journal of Urban Economics. RePEc:eee:juecon:v:141:y:2024:i:c:s0094119023000116.

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2025Does data asset disclosure contribute to the market efficiency? Evidence from China. (2025). Wei, Yanlin ; Zhang, Junrui ; Cheng, Maoyong ; Liu, Tingting. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003428.

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2024One Month Longer, One Month Later? Prepayments in the Auto Loan Market. (2024). Li, Geng ; Ramos, Steve ; Katcher, Bradley ; Mezza, Alvaro. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-56.

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2024Economic and Political Determinants of Sovereign Default and IMF Credit Use: A Robustness Assessment Post 2010. (2024). Maddah, Lina ; Zeaiter, Hussein ; Sherry, Hassan. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:7:p:181-:d:1431948.

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2024Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?. (2024). LINTON, OLIVER ; Ashby, Michael William. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:71-:d:1337388.

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2024Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?. (2024). Richiardi, Matteo ; Farmer, J. ; Montero, Miquel ; Perello, Josep ; Geanakoplos, John ; Masoliver, Jaume. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:5:p:645-:d:1343885.

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2025Topology Unveiled: A New Horizon for Economic and Financial Modeling. (2025). Wang, Zijin ; Watada, Junzo ; Wei, Yicheng. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:325-:d:1571931.

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2024Financial markets anomalies: a research review from the perspective of rational and irrational arguments. (2024). Benslimane, Ismail ; Benjelloun, Sanae ; Oubal, Khadija ; Sifouh, Nabil ; Hniche, Omar ; Elotmani, Yassire. In: Post-Print. RePEc:hal:journl:hal-04936820.

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2024Do Bubbles Have Real Effects? Balance Sheet Analysis and Review of Literature. (2024). Konin, Patrick ; Fantcho, Joseph Emmanuel. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:16:y:2024:i:9:p:41.

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2024Market Ecology: Trading Strategies and Market Volatility. (2024). Li, Honggang ; Xing, Kun. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10562-z.

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2024The business cycle in Brazil: identification via heteroskedasticity. (2024). de Mendona, Thiago Drummond ; Rocha, Elcyon Caiado. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:21:y:2024:i:3:d:10.1007_s10368-024-00615-x.

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2024Soccer Bubble: Is There a Speculative Bubble in the Price of International Soccer Players?. (2024). Auteri, Nicola ; Addessi, Giorgio ; Pancotto, Francesca. In: Journal of Sports Economics. RePEc:sae:jospec:v:25:y:2024:i:5:p:535-556.

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2024Fiscal and Monetary Policies Interaction in Crisis: An Insight Into Japan. (2024). Kim, Tran Thi. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:1:p:21582440241228656.

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2024How Much is a Nonearning Asset with No Current Capital Gains Worth?. (2024). Salant, Stephen ; Keller, Joshua. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:14:y:2024:i:1:d:10.1007_s13235-023-00536-5.

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2025Introducing shrinkage in heavy-tailed state space models to predict equity excess returns. (2025). Pfarrhofer, Michael ; Kastner, Gregor ; Huber, Florian. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:2:d:10.1007_s00181-023-02437-3.

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2024Communication, networks and asset price dynamics: a survey. (2024). Hatcher, Michael ; Hellmann, Tim. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:19:y:2024:i:1:d:10.1007_s11403-023-00395-8.

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2025Stochastic decomposition for risk-averse two-stage stochastic linear programs. (2025). Parab, Prasad ; Ntaimo, Lewis ; Pagnoncelli, Bernardo. In: Journal of Global Optimization. RePEc:spr:jglopt:v:91:y:2025:i:1:d:10.1007_s10898-024-01432-x.

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2024Changes in monetary policy implementation over time. (2024). van Lill, Dawid. In: Studies in Economics and Econometrics. RePEc:taf:rseexx:v:48:y:2024:i:1:p:62-86.

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2024La mobilité quotidienne des immigrés en France. (2024). Gomez, Laurent. In: Region et Developpement. RePEc:tou:journl:v:59:y:2024:p:79-107.

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2024Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions. (2024). Spagnolo, Nicola ; Sola, Martin ; Psaradakis, Zacharias ; Yunis, Patricio ; Rapetti, Francisco. In: Department of Economics Working Papers. RePEc:udt:wpecon:2024_02.

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2024The U.S. Public Debt Valuation Puzzle. (2024). Van Nieuwerburgh, Stijn ; Jiang, Zhengyang ; Xiaolan, Mindy Z ; Lustig, Hanno. In: Econometrica. RePEc:wly:emetrp:v:92:y:2024:i:4:p:1309-1347.

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Works by Stephen F. LeRoy:

YearTitleTypeCited
1978Determining the Monetary Instrument: A Diagrammatic Exposition. In: American Economic Review.
[Full Text][Citation analysis]		article3
1978Determining the monetary instrument: a diagrammatic exposition.(1978) In: Special Studies Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1981Identification and Estimation of Money Demand. In: American Economic Review.
[Full Text][Citation analysis]		article80
1984Efficiency and the Variability of Asset Prices. In: American Economic Review.
[Full Text][Citation analysis]		article11
1984Econometric Policy Evaluation: Note. In: American Economic Review.
[Full Text][Citation analysis]		article47
1986What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand. In: American Economic Review.
[Full Text][Citation analysis]		article2
1992Stock Price Volatility: Tests Based on the Geometric Random Walk. In: American Economic Review.
[Full Text][Citation analysis]		article20
1989Efficient Capital Markets and Martingales. In: Journal of Economic Literature.
[Full Text][Citation analysis]		article147
1976Efficient Capital Markets: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article25
1982 Expectations Models of Asset Prices: A Survey of Theory. In: Journal of Finance.
[Full Text][Citation analysis]		article18
1986 A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition. In: Journal of Finance.
[Full Text][Citation analysis]		article13
1987 A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum. In: Journal of Finance.
[Citation analysis]		article0
1992Bublles and Charges. In: Carleton Economic Papers.
[Citation analysis]		paper42
1992Bubbles and Charges..(1992) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
1991On the Arbitrage Pricing Theory. In: Carleton Economic Papers.
[Citation analysis]		paper12
1991On the Arbitrage Pricing Theory..(1991) In: Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 12		article
1990The Arbitrage Pricing Theory: A Geometric Interpretation. In: Carleton Economic Papers.
[Citation analysis]		paper1
1991Econometric Aspects of the Variance-Bound Tests: A Survey. In: Carleton Economic Papers.
[Citation analysis]		paper29
1991Econometric Aspects of the Variance-Bounds Tests: A Survey..(1991) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2024Reconsidering Causation In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2001Liquidity and Liquidation In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper2
2007Liquidity and Liquidation.(2007) In: Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Causal Inference In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2001Infinite Portfolios In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2014Principles of Financial Economics In: Cambridge Books.
[Citation analysis]		book27
2014Principles of Financial Economics.(2014) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 27		book
2016IMPLEMENTATION-NEUTRAL CAUSATION In: Economics and Philosophy.
[Full Text][Citation analysis]		article0
2018IMPLEMENTATION NEUTRALITY AND TREATMENT EVALUATION In: Economics and Philosophy.
[Full Text][Citation analysis]		article0
2003Expected utility: a defense In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2004Bubbles and the Intertemporal Government Budget Constraint In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2005Positivity and bubbles in overlapping generations models In: Economics Bulletin.
[Full Text][Citation analysis]		article1
1981The Present-Value Relation: Tests Based on Implied Variance Bounds. In: Econometrica.
[Full Text][Citation analysis]		article562
1982Risk-aversion and the term structure of real interest rates In: Economics Letters.
[Full Text][Citation analysis]		article3
1983Risk-aversion and the term structure of real interest rates correction In: Economics Letters.
[Full Text][Citation analysis]		article1
1998Arbitrage, martingales and bubbles In: Economics Letters.
[Full Text][Citation analysis]		article0
2014Risk aversion, investor information and stock market volatility In: European Economic Review.
[Full Text][Citation analysis]		article12
2022Examining the sources of excess return predictability: Stochastic volatility or market inefficiency? In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article5
2022Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?.(2022) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
1980Entry and equilibrium under adjustment costs In: Journal of Economic Theory.
[Full Text][Citation analysis]		article1
1987A monetarist model of inflation In: Journal of Economic Theory.
[Full Text][Citation analysis]		article0
1983Paradise lost and regained: Transportation innovation, income, and residential location In: Journal of Urban Economics.
[Full Text][Citation analysis]		article196
1976Urban land rent and the incidence of property taxes In: Journal of Urban Economics.
[Full Text][Citation analysis]		article4
1985Contemporary macroeconomic modelling : edited by Pierre Malgrange and Pierre-Alain Muet (Blackwell, Oxford, 1984) pp. x + 319, $37.95 In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article0
1985Atheoretical macroeconometrics: A critique In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article243
1997Returns on illiquid assets: are they fair games? In: Working Papers in Applied Economic Theory.
[Full Text][Citation analysis]		paper0
1990Mutual deposit insurance In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article6
2010Risky mortgages and mortgage default premiums In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article2
2010Is the “invisible hand” still relevant? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2010Underwater mortgages In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2010Convex payoffs: implications for risk-taking and financial reform In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2013Can risk aversion explain stock price volatility? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
1990Capital market efficiency: an update In: Economic Review.
[Full Text][Citation analysis]		article1
1988Stock price volatility: an inequality test based on the geometric random walk In: Proceedings.
[Citation analysis]		article2
2009Mortgage default and mortgage valuation In: Working Paper Series.
[Full Text][Citation analysis]		paper6
2010Risk aversion and stock price volatility In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2019Bubbles as Payoffs at Infinity In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper4
1996Bubbles as payoffs at infinity.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1997Bubbles as payoffs at infinity (*).(1997) In: Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 4		article
1993Stochastic bubbles in Markov economies In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
2005Liquidity and fire sales In: Proceedings.
[Full Text][Citation analysis]		article2
1975Efficient use of current information in short-run monetary control In: Special Studies Papers.
[Citation analysis]		paper2
1975Observability, measurement error, and the optimal use of information for monetary policy In: Special Studies Papers.
[Citation analysis]		paper0
1991Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components. In: Rochester, Business - General.
[Citation analysis]		paper1
1983Keyness theory of investment In: History of Political Economy.
[Full Text][Citation analysis]		article4
1973Risk Aversion and the Martingale Property of Stock Prices. In: International Economic Review.
[Full Text][Citation analysis]		article82
1977Applications of the Kalman Filter in Short-Run Monetary Control. In: International Economic Review.
[Full Text][Citation analysis]		article23
2020Deposit insurance and the coexistence of commercial and shadow banks In: Annals of Finance.
[Full Text][Citation analysis]		article1
1976Stock Market Optimality: Comment In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]		article0
1996Mortgage Valuation under Optimal Prepayment. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article35
2009Subprime Mortgages In: 2009 Meeting Papers.
[Full Text][Citation analysis]		paper0
2001Equilibrium valuation of illiquid assets In: Economic Theory.
[Full Text][Citation analysis]		article7
2003Review of Peter Bossaerts, The Paradox of Asset Pricing In: International Journal of the Economics of Business.
[Full Text][Citation analysis]		article0
2022Size and power in tests of return predictability In: Quantitative Finance.
[Full Text][Citation analysis]		article0
1981Risk Aversion and the Dispersion of Asset Prices. In: The Journal of Business.
[Full Text][Citation analysis]		article17
1984Nominal Prices and Interest Rates in General Equilibrium: Money Shocks. In: The Journal of Business.
[Full Text][Citation analysis]		article21
1984Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks. In: The Journal of Business.
[Full Text][Citation analysis]		article20
1987Knight on Risk and Uncertainty. In: Journal of Political Economy.
[Full Text][Citation analysis]		article59
2012Infinite Portfolio Strategies In: Contemporary Economics.
[Full Text][Citation analysis]		article0
2018Implementation-Neutral Causation in Structural Models In: Contemporary Economics.
[Full Text][Citation analysis]		article0

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