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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Long‐Run Stockholder Consumption Risk and Asset Returns
Published: 11/25/2009 | DOI: 10.1111/j.1540-6261.2009.01507.x
CHRISTOPHER J. MALLOY, TOBIAS J. MOSKOWITZ, ANNETTE VISSING‐JØRGENSEN
We provide new evidence on the success of long‐run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting microlevel household consumption data, we show that long‐run stockholder consumption risk better captures cross‐sectional variation in average asset returns than aggregate or nonstockholder consumption risk, and implies more plausible risk aversion estimates. We find that risk aversion around 10 can match observed risk premia for the wealthiest stockholders across sets of test assets that include the 25 Fama and French portfolios, the market portfolio, bond portfolios, and the entire cross‐section of stocks.
Testing Agency Theory with Entrepreneur Effort and Wealth
Published: 03/02/2005 | DOI: 10.1111/j.1540-6261.2005.00739.x
MARIANNE P. BITLER, TOBIAS J. MOSKOWITZ, ANNETTE VISSING‐JØRGENSEN
We develop a principal‐agent model in an entrepreneurial setting and test the model's predictions using unique data on entrepreneurial effort and wealth in privately held firms. Accounting for unobserved firm heterogeneity using instrumental‐variables techniques, we find that entrepreneurial ownership shares increase with outside wealth and decrease with firm risk; effort increases with ownership; and effort increases firm performance. The magnitude of the effects in the cross‐section of firms suggests that agency costs may help explain why entrepreneurs concentrate large fractions of their wealth in firm equity.