Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 1977
Volume: 12
Issue: 4
Pages: 661-661

Authors (3)

Cox, John C. (not in RePEc) Ingersoll, Jonathan E. (not in RePEc) Ross, Stephen A.

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The main focus of this study concerns the pricing of default-free bonds in a risky economy inhabited by risk-averse consumers. The methodology of the paper draws upon recent work in the fields of intertemporal asset pricing and valuation by arbitrage principles. We develop a general equilibrium model for the expected rates of return on “created financial assets” (such as bonds) dependent upon the risk attitudes of investors and the uncertain real investment opportunities available.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:12:y:1977:i:04:p:661-661_02
Journal Field
Finance
Author Count
3
Added to Database
2026-01-29