The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Implied Spot Rates as Predictors of Currency Returns: A Note
Published: 3/1988, Volume: 43, Issue: 1 | DOI: 10.1111/j.1540-6261.1988.tb02600.x | Cited by: 6
DAVID R. PETERSON, ALAN L. TUCKER
Currency call option transactions data and the Black‐Scholes option pricing model, as modified by Merton for continuous dividends and as adapted to currency options by Biger and Hull and by Garman and Kohlhagen, are used to imply spot foreign exchange rates. The proportional deviation between implied and simultaneously observed spot rates is found to be a direct and statistically significant determinant of subsequent returns on foreign currency holdings after controlling for interest rate differentials. Further, an ex ante trading rule reveals that the additional information contained in implied rates often is sufficient to generate significant economic profits.
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb00770.x | Cited by: 0
Donald P. Tucker
FINANCIAL INNOVATION AND THE MORTGAGE MARKET: THE POSSIBILITIES FOR LIABILITY MANAGEMENT BY THRIFTS
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01896.x | Cited by: 1
Donald P. Tucker
DISCUSSION
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01909.x | Cited by: 0
Alan Kraus
LIQUIDITY AS A DETERMINANT OF INDUSTRIAL PRICES AND INTEREST RATES
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00760.x | Cited by: 3
Alan Greenspan
THE OPTIMAL RATE OF INVESTMENT IN A FIRM: COMMENT
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00534.x | Cited by: 0
Alan Nichols
A NOTE ON THE LERNER‐CARLETON ANALYSIS
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00324.x | Cited by: 0
Alan Nichols
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04989.x | Cited by: 0
ALAN KRAUS
ELASTICITY OF CAPITAL SUPPLY AND SECOND ORDER CONDITIONS: COMMENT
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00303.x | Cited by: 0
Alan Nichols
GOVERNMENT SECURITIES HOLDINGS OF SELECTED FINANCIAL INTERMEDIARIES, 1954–1962*
Published: 12/1964, Volume: 19, Issue: 4 | DOI: 10.1111/j.1540-6261.1964.tb02890.x | Cited by: 0
Alan D. Entine
BRITISH AND AMERICAN SYSTEMS OF INCOME TAX WITHHOLDING*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04317.x | Cited by: 0
Alan Page Murray
REGIONAL GROWTH DISPARITIES AND THE MORTGAGE MARKET
Published: 9/1969, Volume: 24, Issue: 4 | DOI: 10.1111/j.1540-6261.1969.tb00389.x | Cited by: 3
Alan R. Winger
SHORT‐RUN INVESTMENT AND FINANCIAL BEHAVIOR OF U.S. DIRECT INVESTORS IN MANUFACTURING*
Published: 9/1971, Volume: 26, Issue: 4 | DOI: 10.1111/j.1540-6261.1971.tb00948.x | Cited by: 0
Alan K. Severn
ASSESSING CHANGES IN FINANCIAL STATISTICS USING STABLE PARETIAN DISTRIBUTIONS AND INFORMATION THEORY*
Published: 3/1975, Volume: 30, Issue: 1 | DOI: 10.1111/j.1540-6261.1975.tb03180.x | Cited by: 0
Robert Alan Leitch
The Bank Capital Decision: A Time Series—Cross Section Analysis
Published: 9/1983, Volume: 38, Issue: 4 | DOI: 10.1111/j.1540-6261.1983.tb02292.x | Cited by: 12
ALAN J. MARCUS
This paper seeks to explain the dramatic decline in capital to asset ratios in U.S. commercial banks during the last two decades. It is hypothesized that the rise in nominal interest rates during this period might have contributed substantially to the fall in capital ratios. Time series‐cross section estimation supports the hypothesis regarding the interest rate.
Spinoff/Terminations and the Value of Pension Insurance
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05018.x | Cited by: 20
ALAN J. MARCUS
This paper derives the value of Pension Benefit Guarantee Corporation (PBGC) pension insurance under two scenarios of interest. The first allows for voluntary plan termination, which appears to be legal under current statutes. In the second scenario, termination is prohibited unless the firm is bankrupt. Empirical estimates of PBGC liabilities are calculated. These show that prospective PBGC liabilities greatly exceed current reserves for plan terminations, that even under a bankruptcy‐only termination rule, PBGC liabilities still would be quite sensitive to discretionary funding policy, and that the increasingly common practice of pension spinoff/terminations, substantially increases the present value of the PBGC's contingent liabilities.
DISCUSSION
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04529.x | Cited by: 0
ALAN J. AUERBACH
COMPARATIVE USAGE OF BOND‐WARRANT AND CONVERTIBLE BOND ISSUES*
Published: 6/1971, Volume: 26, Issue: 3 | DOI: 10.1111/j.1540-6261.1971.tb01738.x | Cited by: 0
Joseph Alan Lavely
INVESTOR EVALUATION OF FOREIGN AND DOMESTIC RISK
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03068.x | Cited by: 20
Alan K. Severn
THE STRUCTURE OF FOREIGN INVESTMENT: COMMENT
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00299.x | Cited by: 0
Alan K. Severn
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02270.x | Cited by: 0
ALAN J. AUERBACH
Common Stock Offerings and Earnings Expectations: A Test of the Release of Unfavorable Information
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04668.x | Cited by: 88
PETER ALAN BROUS
This paper examines the revisions of analysts' forecasts of future earnings around announcements of common stock offerings. The forecasts of the current year earnings are, on average, decreased when firms announce plans to issue additional common stock. The size of the decrease is significantly related to announcement period abnormal stock returns. In contrast, forecasts of the five‐year growth rate of earnings are, on average, unchanged. We interpret these results as being consistent with the claim that equity offering announcements convey unfavorable information regarding the firm's short‐term but not its long‐term earnings prospects.
A Simple Algorithm for the Portfolio Selection Problem
Published: 3/1988, Volume: 43, Issue: 1 | DOI: 10.1111/j.1540-6261.1988.tb02589.x | Cited by: 12
ALAN L. LEWIS
The author presents a rapidly convergent algorithm to solve the general portfolio problem of maximizing concave utility functions subject to linear constraints. The algorithm is based on an iterative use of the Markowitz critical line method for solving quadratic programs. A simple example, taken from the theory of state‐contingent claims, is worked out in detail. For technical convergence results, the reader is referred to the appropriate mathematical programming literature.
Currency Risk and Country Risk in International Banking
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05014.x | Cited by: 21
ALAN C. SHAPIRO
This paper focuses on the conditions under which banks are subject to currency and country risks on their dollar‐denominated loans to foreign firms and governments. We conclude that currency risk is a function of the rates of domestic and foreign inflation, deviations from purchasing power parity, and the effect of these deviations on the firm's and the nation's dollar‐equivalent cash flows. Country risk is largely determined by the variability of the nation's terms of trade and the government's willingness to allow the national economy to adjust rapidly to changing economic fortunes.
EXCHANGE RATE CHANGES, INFLATION, AND THE VALUE OF THE MULTINATIONAL CORPORATION
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01824.x | Cited by: 131
Alan C. Shapiro
Market Created Risk
Published: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04378.x | Cited by: 28
ALAN KRAUS, MAXWELL SMITH
We develop a multiperiod rational expectations model of securities market equilibrium in which equilibrium prices may move between periods even though it is common knowledge that no new information has arrived about ultimate security payoffs. This happens because investors know they have imperfect information about the endowments of other investors and this knowledge affects their probability beliefs about the prices that will prevail at the intermediate trading date. These beliefs are reflected in the equilibrium at the initial trading date when investors focus on the probabilities of intermediate capital gains and losses, rather than ultimate payoffs.
How Skilled Are Security Analysts?
Published: 2/20/2020, Volume: 75, Issue: 3 | DOI: 10.1111/jofi.12890 | Cited by: 57
ALAN CRANE, KEVIN CROTTY
The majority of security analysts are identified as skilled when the cross‐section of analyst performance is modeled as a mixture of multiple skill distributions. Analysts exhibit heterogeneous skill—some are high‐type, and some are low‐type. On average, the recommendation revisions of both types exhibit positive abnormal returns. The heterogeneity stems from differential ability to produce new information; all analysts can profitably process news. Top analysts outperform because more of their recommendations are influential (i.e., associated with statistically significant returns) and both their influential and noninfluential recommendations are more informative. A majority of research firms are also identified as skilled.
The Macroeconomics of Shadow Banking
Published: 8/28/2017, Volume: 72, Issue: 6 | DOI: 10.1111/jofi.12540 | Cited by: 240
ALAN MOREIRA, ALEXI SAVOV
We build a macrofinance model of shadow banking—the transformation of risky assets into securities that are money‐like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral‐intensive funding. Shadow banking collapses, liquidity provision shrinks, liquidity premia and discount rates rise, asset prices and investment fall. The model generates slow recoveries, collateral runs, and flight‐to‐quality effects, and it sheds light on Large‐Scale Asset Purchases, Operation Twist, and other interventions.
DISCUSSION
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03270.x | Cited by: 0
Alan Kraus, Irwin Tepper
The Pricing of Options on Assets with Stochastic Volatilities
Published: 6/1987, Volume: 42, Issue: 2 | DOI: 10.1111/j.1540-6261.1987.tb02568.x | Cited by: 2880
JOHN HULL, ALAN WHITE
One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black‐Scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity.
Efficient Financing under Asymmetric Information
Published: 12/1987, Volume: 42, Issue: 5 | DOI: 10.1111/j.1540-6261.1987.tb04363.x | Cited by: 314
MICHAEL BRENNAN, ALAN KRAUS
This paper characterizes the conditions under which the adverse‐selection problem, which may prevent a firm from issuing securities to finance an otherwise profitable investment, may be costlessly overcome by an appropriate choice of financing strategy. The conditions are specialized when the information asymmetry may be characterized by either a first‐degree‐stochastic‐dominance or a mean‐preserving‐spread ordering across possible distributions of firm earnings. Possible financing strategies that resolve the information asymmetry are discussed, and the results are related to recent empirical findings concerning security issues.
On the Distributional Conditions for a Consumption‐oriented Three Moment CAPM
Published: 12/1983, Volume: 38, Issue: 5 | DOI: 10.1111/j.1540-6261.1983.tb03830.x | Cited by: 60
ALAN KRAUS, ROBERT LITZENBERGER
In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption‐oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption‐oriented CAPM.
Volatility‐Managed Portfolios
Published: 5/15/2017, Volume: 72, Issue: 4 | DOI: 10.1111/jofi.12513 | Cited by: 527
ALAN MOREIRA, TYLER MUIR
Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean‐variance investors. We document this for the market, value, momentum, profitability, return on equity, investment, and betting‐against‐beta factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions. This rules out typical risk‐based explanations and is a challenge to structural models of time‐varying expected returns.
A Note on Unsuccessful Tender Offers and Stockholder Returns
Published: 12/1988, Volume: 43, Issue: 5 | DOI: 10.1111/j.1540-6261.1988.tb03970.x | Cited by: 11
FRANK J. FABOZZI, MICHAEL G. FERRI, T. DESSA FABOZZI, JULIA TUCKER
Recent research shows that unsuccessful tender offers may affect target share returns for two years past the offer's announcement. This note examines target returns in the interim between the announcement and one year after the offer's withdrawal. Analyzing a recent sample of targets that did not get another bid in the year following a failed tender offer, this study reaches two conclusions. First, all of an offer's premium disappears by the time failure becomes public. Second, excess returns are zero in the post‐failure year. An explanation that is based on the causes of the tender offers' failures is presented.
THE RESPONSE OF BANKS TO CHANGES IN AGGREGATE RESERVES
Published: 12/1965, Volume: 20, Issue: 4 | DOI: 10.1111/j.1540-6261.1965.tb02934.x | Cited by: 0
C. Rangarajan, Alan K. Severn
Level Playing Fields in International Financial Regulation
Published: 5/20/2009, Volume: 64, Issue: 3 | DOI: 10.1111/j.1540-6261.2009.01460.x | Cited by: 76
ALAN D. MORRISON, LUCY WHITE
We analyze the desirability of level playing fields in international financial regulation. In general, level playing fields impose the standards of the weakest regulator upon the best‐regulated economies. However, they may be desirable when capital is mobile because they counter a cherry‐picking effect that lowers the size and efficiency of banks in weaker economies. Hence, while a laissez faire policy favors the better‐regulated economy, level playing fields are good for weaker regulators. We show that multinational banking mitigates the cherry‐picking effect, and reduces the damage that a level playing field causes in the better‐regulated economy.
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
Published: 6/1972, Volume: 27, Issue: 3 | DOI: 10.1111/j.1540-6261.1972.tb00985.x | Cited by: 496
Alan Kraus, Hans R. Stoll
MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†
Published: 12/1975, Volume: 30, Issue: 5 | DOI: 10.1111/j.1540-6261.1975.tb01050.x | Cited by: 14
Alan Kraus, Robert H. Litzenberger
THE EX‐DIVIDEND BEHAVIOR OF AMERICAN TELEPHONE AND TELEGRAPH STOCK*
Published: 3/1960, Volume: 15, Issue: 1 | DOI: 10.1111/j.1540-6261.1960.tb04833.x | Cited by: 6
David Durand, Alan M. May
A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE
Published: 9/1973, Volume: 28, Issue: 4 | DOI: 10.1111/j.1540-6261.1973.tb01415.x | Cited by: 910
Alan Kraus, Robert H. Litzenberger
The Determination of Fair Profits for the Property‐Liability Insurance Firm
Published: 9/1982, Volume: 37, Issue: 4 | DOI: 10.1111/j.1540-6261.1982.tb03594.x | Cited by: 45
ALAN KRAUS, STEPHEN A. ROSS
Single period and dynamic valuation models in continuous time, under certainty and uncertainty, are developed for a property‐liability insurance contract to determine the “fair” (competitive) premium and underwriting profit. The intertemporal stochastic model assumes that the claim frequency and the price index of claim settlements are functions of a set of underlying state variables which follow a multivariate Wiener process. The competitive premium is shown to be proportional to the claim frequency and the price index for claim settlements at the time the policy is issued. The factor of proportionality varies directly with the claim settlement rate and the length of coverage, and inversely with the risk‐adjusted real interest rate on the dollar‐valued claim rate.
Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market
Published: 3/1986, Volume: 41, Issue: 1 | DOI: 10.1111/j.1540-6261.1986.tb04499.x | Cited by: 32
ALEX KANE, ALAN J. MARCUS
The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds can occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6‐hour put options for the short position which has been dubbed the “wild card option.” This paper presents a valuation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise.
REPLY
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00255.x | Cited by: 0
C. Rangarajan, Alan K. Severn
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
Published: 9/1976, Volume: 31, Issue: 4 | DOI: 10.1111/j.1540-6261.1976.tb01961.x | Cited by: 170
Alan Kraus, Robert H. Litzenberger
Distinguishing Beliefs and Preferences in Equilibrium Prices
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02162.x | Cited by: 5
ALAN KRAUS, GORDON A. SICK
SOME EFFECTS OF AFFILIATIONS AMONG MUTUAL SAVINGS AND COMMERCIAL BANKS
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01317.x | Cited by: 2
Robert A. Eisenbeis, Alan S. McCall
Tests for Price Effects of New Issues of Seasoned Securities
Published: 3/1982, Volume: 37, Issue: 1 | DOI: 10.1111/j.1540-6261.1982.tb01092.x | Cited by: 38
ALAN C. HESS, PETER A. FROST
Do new issues of seasoned securities cause significant price movements in the neighborhood of the issue day? This paper presents an empirical comparison of three competing hypotheses: the SEC view that a new issue causes a permanent price decline; the underwriter view that there is only a temporary price decline during the distribution period; and the efficient market hypothesis (EMH) that implies the absence of any price effects. Several empirical tests of the competing hypotheses using data on new issues of utility stocks traded on the NYSE reject the SEC and underwriter views in favor of the EMH.
The Demise of Investment Banking Partnerships: Theory and Evidence
Published: 1/10/2008, Volume: 63, Issue: 1 | DOI: 10.1111/j.1540-6261.2008.01317.x | Cited by: 64
ALAN D. MORRISON, WILLIAM J. WILHELM
In 1970 the New York Stock Exchange relaxed rules that prohibited the public incorporation of member firms. Investment banking concerns went public in waves, with Goldman Sachs the last of the bulge bracket banks to float. We explain the pattern of investment bank flotations. We argue that partnerships foster the formation of human capital and we use technological advances that undermine the role of human capital to explain the partnership's going‐public decision. We support our theory using a new data set of investment bank partnership statistics.
THE IMPACT OF DE NOVO COMMERCIAL BANK ENTRY
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03356.x | Cited by: 4
Alan S. McCall, Manferd O. Peterson