John Jr Long

Teaching Interests

Financial Economics Price Theory

Research Interests

Professor Long has research interests primarily in the area of financial economics. In his pub­lished articles, he has addressed many of the financial decision problems faced by individuals and firms. These include total savings and portfolio-selection decisions (with particular emphasis on income tax implications and the performance of sophisticated portfolio-selection techniques), investment-project evaluation and dividend-policy choice. In other articles, he addresses the behavior of rel­a­tive asset prices, the measurement of “abnormal” asset returns, the implications of taxes and inflation for common stock prices and the term structure of interest rates. With Charles I. Plosser, Long has done theoretical and empirical research on fundamental interpretations of fluctuations in economic activity (business cycles). Long is a past editor and advisory editor of the Journal of Financial Economicsand a member of Beta Gamma Sigma.

Professional History

Professor Emeritus

University of Rochester Simon Business School

2015 -

Frontier Communications/Rochester Telephone Professor of Business Administration

University of Rochester Simon School of Business, Rochester NY

2009 -

Professor

University of Rochester Simon School of Business, Rochester NY

July 1984 - June 2015

Associate Professor

University of Rochester Simon School of Business, Rochester NY

July 1974 - June 1984

Assistant Professor

University of Rochester Simon School of Business, Rochester NY

July 1969 - June 1974

Education

Carnegie Mellon University - 1971

Ph D

Industrial Administration

Rice University - 1966

BA

Mathematics

Publications

2010

Implementing Fischer Black''s Simple Discounting Rule

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Applied Corporate Finance

Volume: 22

Issue: 2 (Spring 2010)

1999

Using Proxies for the Short Rate: When are Three Months Like an Instant?

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Review of Financial Studies

Volume: 12

Issue: 4

1990

The Numeraire Portfolio

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Financial Economics

Volume: 26

Issue: 1

1987

Sectoral Vs. Aggregate Shocks in the Business Cycle

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: American Economic Review

Volume: 77

Issue: 2

1984

Comments on "Gaussian Demand and Commodity Bundling

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Business

Volume: 57

Issue: 1 (Part 2)

1983

Real Business Cycles

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Political Economy

Volume: 91

Issue: 1

1979

Signalling: Efficiency and Equilibrium

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Economics Letters

Volume: 4

1978

The Market Valuation of Cash Dividends: A Case to Consider

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Financial Economics

Volume: 6

Issue: 2

1977

Portfolio Strategies and Performance

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Financial Economics

Volume: 5

Issue: 2

1977

Efficient Portfolio Choice with Differential Taxation of dividends and Capital Gains

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Financial Economics

Volume: 5

Issue: 1

1974

Stock Prices, Inflation, and the Term Structure of Interest Rates

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Financial Economics

Volume: 1

Issue: 2

1972

Consumption-Investment Decisions and Equilibrium in the Securities Market

Contribution Type: Book, Chapter in Scholarly Book-New

Journal/Publisher/Proceedings Publisher: Praeger Publishers

1972

Wealth, Welfare, and the Price of Risk

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Journal of Finance

Volume: 27

Issue: 2

1972

Corporate Investment Under Uncertainty and Pareto Optimality in the Capital Market

Contribution Type: Journal Article, Academic Journal

Journal/Publisher/Proceedings Publisher: Bell Journal of Economics and Management Science

Volume: 3

Issue: 1

Current Research Programs

Black''s Discounting Rule

Excess Bond Returns and Forecast Revisions

Realized excess returns on long-term bonds are determined entirely by percentage revisions over the holding period of forecasts of pricing kernel values at the end of the holding period and at the long-term bond maturity date. Excess returns expected at the beginning of the holding period are determined by the conditional variances of these forecast revisions. We are exploring the power of this view to explain strong observed regularities in excess bond returns.

Expectations Hypotheses of the Term Structure of Interest Rates

Numeraire Portfolio Measures of the Size and Source of Gains from International Diversification

Numeraire-Portfolio Tests of International Government Bond MMarket Integration

Numerical Solutions of the Static Portfolio Problem for Power Utility Investors

Pricing Multiple Products

Wighted Least Squares Pricing and Hedging in Incomplete Markets