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.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 4.
Merton H. Miller: His Contribution to Financial Economics
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00364
Bruce D. Grundy
Merton Miller's status as a father of finance reflects the academic depth, breadth, and rigor of his writings and two important facets of his character. Merton was a man of great warmth and humor. He communicated his often challenging views via memorable phrases and anecdotes that have become part of the everyday language of the profession. Merton was also a man of great dedication. The whole profession has benefited from his devotion to his doctoral students, to his colleagues, and to his coauthors. This essay demonstrates how Merton's admiration for markets provided the foundation for all his research.
Option Prices and the Underlying Asset's Return Distribution
Published: 07/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb03776.x
BRUCE D. GRUNDY
This work examines the relation between option prices and the true, as opposed to risk‐neutral, distribution of the underlying asset. If the underlying asset follows a diffusion with an instantaneous expected return at least as large as the instantaneous risk‐free rate, observed option prices can be used to place bounds on the moments of the true distribution. An illustration of the paper's results is provided by the analysis of the information concerning the mean and standard deviation of market returns contained in the prices of S&P 100 Index Options.
Disappearing Call Delay and Dividend‐Protected Convertible Bonds
Published: 10/13/2015 | DOI: 10.1111/jofi.12363
BRUCE D. GRUNDY, PATRICK VERWIJMEREN
Firms do not historically call their convertible bonds as soon as conversion can be forced. A number of explanations for the delay rely on the size of the dividends that bondholders forgo so long as they do not convert. We investigate an important change in convertible security design, namely, dividend protection of convertible bond issues. Dividend protection means that the conversion value of the convertible bond is unaffected by dividend payments and thus dividend‐related rationales for call delay become moot. We document that call delay is near zero for dividend‐protected convertible bonds.
General Properties of Option Prices
Published: 12/01/1996 | DOI: 10.1111/j.1540-6261.1996.tb05218.x
YAACOV Z. BERGMAN, BRUCE D. GRUNDY, ZVI WIENER
When the underlying price process is a one‐dimensional diffusion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), the claim's price is a convex (concave) function of the underlying asset's value. However, when volatility is less specialized, or when the underlying process is discontinuous or non‐Markovian, a call's price can be a decreasing, concave function of the underlying price over some range, increasing with the passage of time, and decreasing in the level of interest rates.