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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An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
Published: 12/1997, Volume: 52, Issue: 5 | DOI: 10.1111/j.1540-6261.1997.tb02756.x | Cited by: 35
BURTON HOLLIFIELD, RAMAN UPPAL
We examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires the covariance between monetary shocks and relative output shocks to be significantly negative, in contrast to the covariance in the data.
When Will Mean‐Variance Efficient Portfolios Be Well Diversified?
Published: 12/1992, Volume: 47, Issue: 5 | DOI: 10.1111/j.1540-6261.1992.tb04683.x | Cited by: 199
RICHARD C. GREEN, BURTON HOLLIFIELD
We characterize the conditions under which efficient portfolios put small weights on individual assets. These conditions bound mean returns with measures of average absolute covariability between assets. The bounds clarify the relationship between linear asset pricing models and well‐diversified efficient portfolios. We argue that the extreme weightings in sample efficient portfolios are due to the dominance of a single factor in equity returns. This makes it easy to diversify on subsets to reduce residual risk, while weighting the subsets to reduce factor risk simultaneously. The latter involves taking extreme positions. This behavior seems unlikely to be attributable to sampling error.
Defensive Mechanisms and Managerial Discretion
Published: 9/1997, Volume: 52, Issue: 4 | DOI: 10.1111/j.1540-6261.1997.tb01117.x | Cited by: 8
RONALD GIAMMARINO, ROBERT HEINKEL, BURTON HOLLIFIELD
We study a model where firms may possess free cash flow and takeovers may be disruptive. We show that the possibility of a takeover, combined with defensive mechanisms and the ability to pay greenmail, can solve the free cash flow problem in an efficient way. The payment of greenmail reveals information that generates a stock price decline that exceeds the value of the greenmail payment, even though the payment of greenmail is value maximizing. Optimal defensive measures limit takeover attempts if the target stock price is too low. We also provide cross‐sectional implications of the analysis.
Estimating the Gains from Trade in Limit‐Order Markets
Published: 12/2006, Volume: 61, Issue: 6 | DOI: 10.1111/j.1540-6261.2006.01004.x | Cited by: 106
BURTON HOLLIFIELD, ROBERT A. MILLER, PATRIK SANDÅS, JOSHUA SLIVE
We present a method to estimate the gains from trade in limit‐order markets and provide empirical evidence that the limit‐order market is a good market design. Using observations on order submissions and execution and cancellation histories, we estimate both the distribution of traders' unobserved valuations for the stock and latent trader arrival rates. We use the resulting estimates to compute the current gains from trade, the gains from trade in a perfectly liquid market, and the gains from trade with a monopoly liquidity supplier. The current gains are 90% of the maximum gains and 150% of the monopolist gains.
THE INTEREST‐INDUCED WEALTH EFFECT AND THE BEHAVIOR OF REAL AND NOMINAL INTEREST RATES: A REPLY
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb02006.x | Cited by: 0
Burton Zwick
Yields on Privately Placed Corporate Bonds
Published: 3/1980, Volume: 35, Issue: 1 | DOI: 10.1111/j.1540-6261.1980.tb03468.x | Cited by: 14
BURTON ZWICK
THE INTEREST‐INDUCED WEALTH EFFECT AND THE BEHAVIOR OF REAL AND NOMINAL INTEREST RATES
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03125.x | Cited by: 2
Burton Zwick
THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb01993.x | Cited by: 158
Burton G. Malkiel
The Capital Formation Problem in the United States
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02092.x | Cited by: 55
BURTON G. MALKIEL
THE MANAGEMENT OF CORPORATE LIQUID ASSETS*
Published: 9/1963, Volume: 18, Issue: 3 | DOI: 10.1111/j.1540-6261.1963.tb02853.x | Cited by: 0
John Campbell Burton
Returns from Investing in Equity Mutual Funds 1971 to 1991
Published: 6/1995, Volume: 50, Issue: 2 | DOI: 10.1111/j.1540-6261.1995.tb04795.x | Cited by: 1086
BURTON G. MALKIEL
Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set including returns from all equity mutual funds existing each year. These data enable us more precisely to examine performance and the extent of survivorship bias. In the aggregate, funds have underperformed benchmark portfolios both after management expenses and even gross of expenses. Survivorship bias appears to be more important than other studies have estimated. Moreover, while considerable performance persistence existed during the 1970s, there was no consistency in fund returns during the 1980s.
THE REJECTION OF THE TRIFFIN PLAN AND THE ALTERNATIVE ACCEPTED*
Published: 9/1963, Volume: 18, Issue: 3 | DOI: 10.1111/j.1540-6261.1963.tb02850.x | Cited by: 0
Burton G. Malkiel
INSTALLMENT CREDIT CONTROLS, CONSUMER EXPENDITURES AND THE ALLOCATION OF REAL RESOURCES
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03354.x | Cited by: 3
Michael J. Hamburger, Burton Zwick
THE CONSENSUS AND ACCURACY OF SOME PREDICTIONS OF THE GROWTH OF CORPORATE EARNINGS
Published: 3/1968, Volume: 23, Issue: 1 | DOI: 10.1111/j.1540-6261.1968.tb02998.x | Cited by: 119
J. G. Cragg, Burton G. Malkiel
Preliminary Program Thirty‐Seventh Annual Meetings American Finance Association: Chicago, Illinois, August 29–31, 1978
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02046.x | Cited by: 0
Burton G. Malkiel, Edward V. Kane
ON THE EXISTENCE OF A COST OF CAPITAL UNDER PURE CAPITAL RATIONING
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03094.x | Cited by: 8
R. M. Burton, W. W. Damon
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00518.x | Cited by: 1960
Burton G. Malkiel, Eugene F. Fama
THE SUPPLY OF MONEY AND COMMON STOCK PRICES: COMMENT
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01324.x | Cited by: 7
Burton G. Malkiel, Richard E. Quandt
FINANCIAL ANALYSIS IN AN INFLATIONARY ENVIRONMENT
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03295.x | Cited by: 6
George M. von Furstenberg, Burton G. Malkiel
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
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Published: 2/2001, Volume: 56, Issue: 1 | DOI: 10.1111/0022-1082.00318 | Cited by: 1779
John Y. Campbell, Martin Lettau, Burton G. Malkiel, Yexiao Xu
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm‐level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.
Expectations, Tobin's q, and Industry Investment
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02121.x | Cited by: 21
BURTON G. MALKIEL, GEORGE M. VON FURSTENBERG, HARRY S. WATSON
DISCUSSION
Published: 5/1952, Volume: 7, Issue: 2 | DOI: 10.1111/j.1540-6261.1952.tb00250.x | Cited by: 0
George T. Conklin, William E. Dunkman, Burton C. Hallowell, Roland I. Robinson