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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Foreclosure Contagion and the Neighborhood Spillover Effects of Mortgage Defaults
Published: 6/19/2019, Volume: 74, Issue: 5 | DOI: 10.1111/jofi.12821 | Cited by: 120
ARPIT GUPTA
In this paper, I identify shocks to interest rates resulting from two administrative details in adjustable‐rate mortgage contract terms: the choice of financial index and the choice of lookback period. I find that a 1 percentage point increase in interest rate at the time of adjustable‐rate mortgage (ARM) reset results in a 2.5 percentage increase in the probability of foreclosure in the following year, and that each foreclosure filing leads to an additional 0.3 to 0.6 completed foreclosures within a 0.10‐mile radius. In explaining this result, I emphasize price effects, bank‐supply responses, and borrower responses arising from peer effects.
Valuing Private Equity Investments Strip by Strip
Published: 8/23/2021, Volume: 76, Issue: 6 | DOI: 10.1111/jofi.13073 | Cited by: 99
ARPIT GUPTA, STIJN VAN NIEUWERBURGH
We propose a new valuation method for private equity (PE) investments. It constructs a replicating portfolio using cash flows on listed equity and fixed‐income instruments (strips). It then values the strips using an asset pricing model that captures the risk in the cross‐section of bonds and equity factors. The method delivers a risk‐adjusted profit on each PE investment and a time series for the expected return on each fund category. We find negative risk‐adjusted profits for the average PE fund, with substantial heterogeneity and some persistence in the performance. Expected returns and risk‐adjusted profit decline in the later part of the sample.
A Note on the Efficiency of Black Markets in Foreign Currencies
Published: 6/1981, Volume: 36, Issue: 3 | DOI: 10.1111/j.1540-6261.1981.tb00655.x | Cited by: 14
SANJEEV GUPTA
Partial Privatization and Firm Performance
Published: 3/2/2005, Volume: 60, Issue: 2 | DOI: 10.1111/j.1540-6261.2005.00753.x | Cited by: 475
NANDINI GUPTA
Most privatization programs begin with a period of partial privatization in which only non‐controlling shares of firms are sold on the stock market. Since management control is not transferred to private owners it is widely contended that partial privatization has little impact. This perspective ignores the role that the stock market can play in monitoring and rewarding managerial performance even when the government remains the controlling owner. Using data on Indian state‐owned enterprises we find that partial privatization has a positive impact on profitability, productivity, and investment.
DISCUSSION
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01905.x | Cited by: 1
Manak C. Gupta
THE EFFECT OF SIZE, GROWTH, AND INDUSTRY ON THE FINANCIAL STRUCTURE OF MANUFACTURING COMPANIES*
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00370.x | Cited by: 39
Manak C. Gupta
DIFFERENTIAL EFFECTS OF TIGHT MONEY: AN ECONOMIC RATIONALE
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01314.x | Cited by: 5
Manak C. Gupta
AN INTER‐TEMPROAL APPROACH TO THE OPTIMIZATION OF DIVIDEND POLICY WITH PRE‐DETERMINED INVESTMENT: A FURTHER COMMENT
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03336.x | Cited by: 0
Cheng F. Lee, Manak Gupta
The Decision to Privatize: Finance and Politics
Published: 1/6/2011, Volume: 66, Issue: 1 | DOI: 10.1111/j.1540-6261.2010.01631.x | Cited by: 177
I. SERDAR DINC, NANDINI GUPTA
We investigate the influence of political and financial factors on the decision to privatize government‐owned firms. The results show that profitable firms and firms with a lower wage bill are likely to be privatized early. We find that the government delays privatization in regions where the governing party faces more competition from opposition parties. The results also suggest that political patronage is important as no firm located in the home state of the minister in charge is ever privatized. Using political variables as an instrument for the privatization decision, we find that privatization has a positive impact on firm performance.
Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets
Published: 9/11/2003, Volume: 58, Issue: 5 | DOI: 10.1111/1540-6261.00603 | Cited by: 69
Rong Fan, Anurag Gupta, Peter Ritchken
AbstractThis paper examines whether higher order multifactor models, with state variables linked solely to underlying LIBOR‐swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic volatility are necessary. Our research shows that swaptions and even swaption straddles can be well hedged with LIBOR bonds alone. We examine the potential benefits of looking outside the LIBOR market for factors that might impact swaption prices without impacting swap rates, and find them to be minor, indicating that the swaption market is well integrated with the LIBOR‐swap market.
Static Hedging of Exotic Options
Published: 6/1998, Volume: 53, Issue: 3 | DOI: 10.1111/0022-1082.00048 | Cited by: 226
Peter Carr, Katrina Ellis, Vishal Gupta
This paper develops static hedges for several exotic options using standard options. The method relies on a relationship between European puts and calls with different strike prices. The analysis allows for constant volatility or for volatility smiles or frowns.
INVESTORS' EXPECTATIONS OF EARNINGS GROWTH, THEIR ACCURACY AND EFFECTS ON THE STRUCTURE OF REALIZED RATES OF RETURN
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01826.x | Cited by: 2
Manak C. Gupta, Aharon R. Ofer
Utility Tokens as a Commitment to Competition
Published: 10/10/2024, Volume: 79, Issue: 6 | DOI: 10.1111/jofi.13389 | Cited by: 33
ITAY GOLDSTEIN, DEEKSHA GUPTA, RUSLAN SVERCHKOV
We show that utility tokens can limit the rent‐seeking activities of two‐sided platforms with market power while preserving efficiency gains due to network effects. We model platforms where buyers and sellers can meet to exchange services. Tokens serve as the sole medium of exchange on a platform and can be traded in a secondary market. Tokenizing a platform commits a firm to give up monopolistic rents associated with the control of the platform, leading to long‐run competitive prices. We show how the threat of entrants can incentivize developers to tokenize and discuss cases where regulation is needed to enforce tokenization.
Foreign Banks in Poor Countries: Theory and Evidence
Published: 9/10/2008, Volume: 63, Issue: 5 | DOI: 10.1111/j.1540-6261.2008.01392.x | Cited by: 365
ENRICA DETRAGIACHE, THIERRY TRESSEL, POONAM GUPTA
We study how foreign bank penetration affects financial sector development in poor countries. A theoretical model shows that when domestic banks are better than foreign banks at monitoring soft information customers, foreign bank entry may hurt these customers and worsen welfare. The model also predicts that credit to the private sector should be lower in countries with more foreign bank penetration, and that foreign banks should have a less risky loan portfolio. In the empirical section, we test these predictions for a sample of lower income countries and find support for the theoretical model.
The Intertemporal Relation Between the U.S. and Japanese Stock Markets
Published: 9/1990, Volume: 45, Issue: 4 | DOI: 10.1111/j.1540-6261.1990.tb02438.x | Cited by: 32
KENT G. BECKER, JOSEPH E. FINNERTY, MANOJ GUPTA
This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efficient market hypothesis; however, in trading simulations, the excess profits in Japan vanish when transactions costs and transfer taxes are included.
DISCUSSION
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01829.x | Cited by: 0
Burton G. Malkiel, Fred D. Arditti, Manak C. Gupta