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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The Economic Value of Volatility Timing
Published: 2/2001, Volume: 56, Issue: 1 | DOI: 10.1111/0022-1082.00327 | Cited by: 651
Jeff Fleming, Chris Kirby, Barbara Ostdiek
Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional meanm‐variance analysis to assess the value of volatility timing to short‐horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs.
Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets
Published: 12/2006, Volume: 61, Issue: 6 | DOI: 10.1111/j.1540-6261.2006.01007.x | Cited by: 47
JEFF FLEMING, CHRIS KIRBY, BARBARA OSTDIEK
We find that trading‐ versus nontrading‐period variance ratios in weather‐sensitive markets are lower than those in the equity market and higher than those in the currency market. The variance ratios are also substantially lower during periods of the year when prices are most sensitive to the weather. Moreover, the comovement of returns and volatilities for related commodities is stronger during the weather‐sensitive season, largely due to stronger comovement during nontrading periods. These results are consistent with a strong link between prices and public information flow and cannot be explained by pricing errors or changes in trading activity.
PUBLIC UTILITY REGULATION IN CONNECTICUT*
Published: 12/1956, Volume: 11, Issue: 4 | DOI: 10.1111/j.1540-6261.1956.tb04092.x | Cited by: 0
Barbara Ann Feinn
SOFASIM: A Dynamic Insurance Model with Investment Structure, Policy Benefits and Taxes
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03581.x | Cited by: 2
ALICE B. GOLDSTEIN, BARBARA G. MARKOWITZ
Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results
Published: 6/1982, Volume: 37, Issue: 3 | DOI: 10.1111/j.1540-6261.1982.tb02227.x | Cited by: 119
KELLY PRICE, BARBARA PRICE, TIMOTHY J. NANTELL
As a measure of systematic risk, the lower partial moment measure requires fewer restrictive assumptions than does the variance measure. However, the latter enjoys far wider usage than the former, perhaps because of its familiarity and the fact that two measures of systematic risk are equivalent when return distributions are normal. This paper shows analytically that there are systematic differences in the two risk measures when return distributions are lognormal. Results of empirical tests show that there are indeed systematic differences in measured values of the two risk measures for securities with above average and with below average systematic risk.