Simon Business School
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Faculty Profile

John B Long
Professor Emeritus
Frontier Communications/Rochester Telephone Professor of Business Administration
Phone: 585.275.3358
Office: 2-347 Carol Simon Hall

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
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