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Fisher Lawrence

Обновлено: 09-12-2010
Дата рождения 19 октября 1929 г.
Образование магистр: economics [University of Chicago, 1955]
PhD: economics [University of Chicago, 1956]
Место работы Rutgers Business Scholl / professor

Профессиональные интересы:
- problems related to the behavior of financial markets, including the measurement of risk and return (e.g.,indexes, betas, computer algorithms, and construction of data bases);
- portfolio theory;
- option theory;
- market efficiency;
- duration, risk, and immunization of fixed-income securities;
- information;
- capital structure;
- effects of taxes and transaction costs


1. Thomas S. Coleman, Lawrence Fisher, and Roger C. Ibbotson. Historical U.S. Treasury Yield Curves, 1926-1992. [2nd ed. of Item 2, below] Chicago: Ibbotson Associates and New York: Moody’s Investors Service, Inc., 1993, pp. viii + 271 and a set of computer disks. Updated tables and disks through 1993, ibid., 1994.
2. Thomas S. Coleman, Lawrence Fisher, and Roger G. Ibbotson. U.S. Treasury Yield Curves, 1926-1988. New York: Moody’s Investors Service, 1989, pp. viii + 244 and a set of computer disks. Updated tables and disks through 1989, ibid., 1990.
3. Lawrence Fisher and James H. Lorie. A Half Century of Returns on Stocks and Bonds: Rates of Return on Investments in Common Stocks and on U.S. Treasury Securities, 1926-1976. Chicago: Graduate School of Business of the University of Chicago, 1977, pp. xvi + 174.
4. Robert B. K. Dewar, Lawrence Fisher, and Kenneth B. Gray, Jr. Comvest User’s Manual. Two volumes, Park Ridge, IL: Bank Administration Institute, 1969, loose-leaf, c. 400 pp. “Addenda” issued 1970-74.
5. Bank Administration Institute. Measuring the Investment Performance of Pension Funds. Report of the Advisory Committee on Measuring the Investment Performance of Pension Funds for the Purpose of Interfund Comparison. Park Ridge, IL: Bank Administration Institute, 1968, pp. xx + 226. [Cited below as Measuring.] I was a member of the Advisory Committee and a co-author.

Chapters in Books:

6. Lawrence Fisher. First of “Three Comments on Institutional Responsibility for Event Risks of Corporate Bondholders.” In Institutional Investing: Challenges and Responsibilities of the 21st Century, edited by Arnold W. Sametz in collaboration with James L. Bicksler. Homewood, IL: Business One Irwin, 1991, ch. 35, pp. 522-529.
7. Lawrence Fisher and Martin L. Leibowitz. “Effects of Alternative Anticipations of Yield-Curve Behavior on the Composition of Immunized Portfolios and on Their Target Returns.” In Innovations in Bond Portfolio Management: Duration Analysis and Immunization, edited by George G. Kaufman, G. O. Bierwag, and Alden Toevs. Contemporary Studies in Economic and Financial Analysis, Volume 41, Greenwich, CT: JAI Press, 1983, pp. 185-226. Reprinted in Martin L. Leibowitz. Investing: The Collected Works of Martin L. Leibowitz. Edited by Frank J. Fabozzi. An Institutional Investor Publication, Chicago and Cambridge, England: Probus Publishing Co., 1992, pp. 901-943.
8. Lawrence Fisher. “Investment Characteristics of Common Stocks in Regulated and Unregulated Industries: A Comparative Study.” In Perspectives in Public Regulation: Essays on Political Economy, edited by Milton Russell. Proceedings of a September 1972 Conference. Carbondale, IL: Southern Illinois University Press, 1973: 53-78.
9. Lawrence Fisher. “Measuring Rates of Return.” In Measuring.
10. Lawrence Fisher. “The Time Weighted Rate of Return.” In Measuring, pp. 73-87.
11. Lawrence Fisher. “Computational Procedures.” In Measuring, pp. 89-157.
12. Lawrence Fisher. “An Empirical Study of the Errors in Estimated Time-Weighted Rates of Return.” In Measuring, pp. 159-176.
13. Lawrence Fisher. “Proof that the Internal Rate of Return is a ‘Dollar-Weighted’ Rate of Return.” In Measuring, pp. 177-181.

Large Data Bases:

14. Lawrence Fisher, compiler. CRSP Monthly File of Data on U.S. Treasury Securities Since 1925. Chicago: Center for Research in Security Prices, University of Chicago [“CRSP”], 1977. CD ROMs, Floppy Disks, or Magnetic tape equivalent to about 1,500 pp.] New editions with data through the end of the most recent December have been distributed annually by CRSP since 1980.
15. Lawrence Fisher, compiler. CRSP Monthly Master File of Data on Common Stocks Listed on the New York Stock Exchange since 1925 [or 1926]. CD ROMs or Magnetic tape. 1st ed. Data through 1960, Chicago: CRSP, 1964. 2nd ed. Data through 1964, ibid., 1966. 3rd ed. Data through March 1966. New York: Standard Statistics Co. (and other subsidiaries of Standard & Poor’s Corp.), 1967. 4th ed. Data through June 1968, with new data compiled by Portland State University under the direction of Shannon Pratt. Ibid., 1970. 5th ed. Data through June 1972, with incomplete updating by Standard & Poor’s Corp. Ibid., 1972. 6th ed. Data through March 1975, Lawrence Fisher, Myron Scholes, and the CRSP Staff, compilers. Chicago: CRSP, 1975. 7th and later editions. Ibid., annually or semi-annually since 1976. First through fifth editions are equivalent to about 10,000 pages; sixth and subsequent editions equivalent to 4,000 pages.
16. Lawrence Fisher, compiler. CRSP Monthly Return File for Common Stocks Listed on the New York Stock Exchange [title varies, also known as Price Relative File and CRSP Investment Performance File. Frequently cited as University of Chicago Tape or CRSP Tape]. Chicago: CRSP, 1965-67; New York: Standard Statistics, 1967-74; Chicago: CRSP 1975-date. [Editions correspond with, or are included in, those of the CRSP Monthly Master File, op. cit.]

Refereed Journal Articles:

17. Thomas S. Coleman, Lawrence Fisher, Roger G. Ibbotson. “Estimating the Term Structure of Interest Rates from Data that Include the Prices of Coupon Bonds.” Journal of Fixed Income 2, no. 2 (Sept. 1992): 85-116.
18. Lawrence Fisher “Some Reflections on the Context of the Discoveries of Markowitz, Miller, and Sharpe and Their Significance Immediately After They Were Made.” In special section “Markowitz, Miller, and Sharpe: The First Nobel Laureates in Finance” edited by Cheng-Few Lee. Review of Finance and Accounting 1, no. 2 (1991).
19. Ivan E. Brick and Lawrence Fisher. “Effects of Classifying Equity or Debt on the Value of the Firm under Tax Asymmetry.” Journal of Financial and Quantitative Analysis 22, no. 4 (December 1987): 383-399. (Title is correct on the article and in the index to the volume but wrong in the issue’s “Table of Contents.”)
20. Lawrence Fisher and Jules H. Kamin. “Forecasting Systematic Risk: Estimates of ‘Raw’ Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns,” Journal of Financial and Quantitative Analysis 20, no. 2 (June 1985): 127-149.
21. Lawrence Fisher, Ivan E. Brick, and Francis K. W. Ng. “Tax Incentives and Financial Innovation: The Case of Zero- Coupon and Other Deep-Discount Corporate Bonds” Financial Review 18, no. 4 (November 1983): 292-305.
22. Isaac Ehrlich and Lawrence Fisher. “The Derived Demand for Advertising: A Theoretical and Empirical Investigation.” American Economic Review 72, no. 3 (June 1982): 366-388.
23. Lawrence Fisher. “Using Modern Portfolio Theory to Maintain an Efficiently Diversified Portfolio.” Financial Analysts Journal 31, no. 3 (May-June 1975).
24. Roman L. Weil and Lawrence Fisher. “TIAA-CREF: Who Gets What?” Journal of Business 47, no. 1 (January 1974): 67-87.
25. Lawrence Fisher and Roman L. Weil. “Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies.” Journal of Business 44, no. 4 (October 1971): 408-431. Reprinted in Martin L. Leibowitz, ed. Pros and Cons of Immunization: Proceedings of a Seminar on the Roles and Limits of Bond Immunization. New York: Salomon Brothers, 1980. In Jack Clark Francis, Cheng-Few Lee, and Donald E. Farrar, eds. Readings In Investments. New York: McGraw-Hill, 1980. In Gabriel A. Hawawini, ed. Bond Duration and Immunization: Early Developments and Recent Contributions. New York: Garland Publishing, 1982. Summarized in The C.F.A. Digest, 2, no. 3 (Summer 1972): 14-17.
26. Lawrence Fisher and James H. Lorie. “Some Studies of Variability of Returns on Investments in Common Stocks.” Journal of Business 43, no. 2 (April 1970): 39-143. Reprinted in E. Bruce Fredrikson, ed. Frontiers of Investment Analysis. Scranton, PA.: Intext, 1971. In H.K. Wu and A.J. Zakon, eds. Elements of Investments: Selected Readings. New York: Holt, Reinhart, and Winston, Inc., 1972. In James Lorie and Richard Brealey, eds. Modern Developments in Investment Management: A Book of Readings. New York: Praeger Publishers, Inc., 1972 and 1978.
27. Eugene F. Fama, Lawrence Fisher, Michael C. Jensen, and Richard Roll. “Splits and the Adjustment of Stock Prices to New Information.” International Economic Review 10, no. 1 (February 1969): 1-21. Reprinted in Edwin J. Elton and Martin J. Gruber, eds. Security Evaluation and Portfolio Analysis. Englewood Cliffs, NJ: Prentice-Hall, Inc., 1972. In Lorie and Brealey (op. cit.). In Carroll D. Aby, Jr., and Donald E. Vaughn, eds. Investment Classics. Santa Monica, CA: Goodyear, 1979.
28. Jack L. Treynor, William W. Priest, Jr., Lawrence Fisher, and Catherine A. Higgins. “Using Portfolio Composition to Estimate Risk.” Financial Analysts Journal 26, no. 5 (September-October 1968): 93-100. Reprinted in Aby and Vaughn (op. cit.).
29. Lawrence Fisher and James H. Lorie. “Rates of Return on Investments in Common Stocks: The Year-by-Year Record, 1926-65.” Journal of Business 41, no. 3 (July 1968): 291-316. Reprinted in Lorie and Brealey (op. cit.) and, in part, in many other places.
30. Lawrence Fisher. “An Algorithm for Finding Exact Rates of Return.” Journal of Business 39, no. 1, part II (Supplement, January 1966): 111-118. Reprinted in Fredrikson (op. cit.). In Lorie and Brealey (op. cit.).
31. Lawrence Fisher. “Some New Stock-Market Indexes.” Journal of Business 39, no. 1, part II (Supplement, January 1966): 191-255.
32. Lawrence Fisher. “Outcomes for ‘Random’ Investments in Common Stocks Listed on the New York Stock Exchange.” Journal of Business 38, no. 2 (April 1965): 149-161.
33. Lawrence Fisher and James H. Lorie. “Rates of Return on Investments in Common Stocks.” Journal of Business 37, no. 1 (January 1964): 1-21. Reprinted in part Fredrikson (op. cit., 1965 ed.), In Wu and Zakon (op. cit., 1972 ed.), and in other works.
34. Lawrence Fisher. “Determinants of Risk Premiums on Corporate Bonds.” (Ph.D. Dissertation, presented at the September 1956 meeting of the Econometric Society in Detroit, MI.) Abstract. Econometrica 25 (1957): 366-367. Lawrence Fisher - 5 - March 2001 Published in Journal of Political Economy 67 (June 1959): 217-237. Reprinted in Wu and Zakon (op. cit., 1965 & 1972 eds.). In Fredrikson (op. cit., 1965 & 1971 eds.). In Kalman J. Cohen and Frederick S. Hammer, eds. Analytical Methods in Banking. In Elton and Gruber (op. cit.) In Lorie and Brealey (op. cit.)

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