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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On the Number of Factors in the Arbitrage Pricing Model
Published: 6/1986, Volume: 41, Issue: 2 | DOI: 10.1111/j.1540-6261.1986.tb05041.x | Cited by: 111
CHARLES TRZCINKA
Recent theory has demonstrated that the Arbitrage Pricing Model with K factors critically depends on whether K eigenvalues dominate the covariance matrix of returns as the number of securities grows large. The purpose of this paper is to test whether sample covariance matrices can be characterized as having K large eigenvalues. Using all available data on the 1983 CRSP tapes, we compute sample covariance matrices of returns in sequentially larger portfolios of securities. Analyzing their eigenvalues, we find evidence that one eigenvalue dominates the covariance matrix indicating that a one‐factor model may describe security pricing. We also find that, for values of K larger than one, there is no obvious way to choose the number of factors. Nevertheless, we find that while only the first eigenvalue dominates the matrix, the first five eigenvalues are growing more distinct.
The Pricing of Tax‐Exempt Bonds and the Miller Hypothesis
Published: 9/1982, Volume: 37, Issue: 4 | DOI: 10.1111/j.1540-6261.1982.tb03588.x | Cited by: 60
CHARLES TRZCINKA
This paper reports a new test of two competing theories of the relation between tax‐exempt and taxable interest rates. The Miller hypothesis predicts that the tax‐exempt rate is 52 percent of the taxable rate, while the institutional demand hypothesis predicts a volatile relationship. The tests in this paper employ a random intercept model to control for the risk of average interest rates. The results favor the Miller hypothesis. Marginal tax rates are found to be close to Miller's predicted 48 percent. The relationship is not influenced by relative demand or supply and the marginal tax rate appears stable over time.
Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors
Published: 12/1990, Volume: 45, Issue: 5 | DOI: 10.1111/j.1540-6261.1990.tb03727.x | Cited by: 34
RAVI SHUKLA, CHARLES TRZCINKA
We examine the cross‐sectional pricing equation of the APT using the elements of eigenvectors and the maximum likelihood factor loadings of the covariance matrix of returns as measures of risk. The results indicate that, for data assumed stationary over twenty years, the first vector is a surprisingly good measure of risk when compared with either a one‐ or a five‐factor model or a five‐vector model. We conclude that in some circumstances principal components analysis may be preferred to factor analysis.
Municipal Bond Pricing and the New York City Fiscal Crisis
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03615.x | Cited by: 23
DAVID S. KIDWELL, CHARLES A. TRZCINKA
This paper's findings suggests that the New York City fiscal crisis by itself did not lead to a fundamental change in risk perceptions of investors, resulting in higher interest rates in the municipal bond market. The monthly prediction errors generated by time series tests were relatively small and none were statistically significant. Only the signs on the prediction errors for June, July, and August were consistent with a New York City effect. Thus, if the New York City default had an impact on aggregate interest rates, it was at most small and of short duration.
The Risk Structure of Interest Rates and the Penn‐Central Crisis
Published: 6/1979, Volume: 34, Issue: 3 | DOI: 10.1111/j.1540-6261.1979.tb02140.x | Cited by: 10
DAVID S. KIDWELL, CHARLES A. TRZCINKA
Do Portfolio Manager Contracts Contract Portfolio Management?
Published: 7/9/2019, Volume: 74, Issue: 5 | DOI: 10.1111/jofi.12823 | Cited by: 39
JUNG HOON LEE, CHARLES TRZCINKA, SHYAM VENKATESAN
Most mutual fund managers have performance‐based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid‐year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk‐shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow‐performance relation, suggesting that risk‐shifting is motivated more by management contracts than by a tournament to capture flows.
ON THE DISTRIBUTIONAL IMPACT OF FEDERAL INTEREST RATE RESTRICTIONS
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03399.x | Cited by: 4
Charles Clotfelter, Charles Lieberman
HOW THE UNITED STATES FINANCED WORLD WAR I*
Published: 12/1955, Volume: 10, Issue: 4 | DOI: 10.1111/j.1540-6261.1955.tb01303.x | Cited by: 0
Charles Gilbert
AN INVESTIGATION OF THE SHORT RUN EFFECTS OF CAPITAL GAINS ON HOUSEHOLD CONSUMPTION AND SAVING*
Published: 9/1975, Volume: 30, Issue: 4 | DOI: 10.1111/j.1540-6261.1975.tb01039.x | Cited by: 0
Charles Lieberman
THE FISCAL IMPACTS OF INTERGOVERNMENTAL AID ON LOCAL GOVERNMENTS IN ONONDAGA COUNTY, NEW YORK*
Published: 12/1970, Volume: 25, Issue: 5 | DOI: 10.1111/j.1540-6261.1970.tb00890.x | Cited by: 0
Charles Waldauer
DISCUSSION
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb00577.x | Cited by: 1
Charles Upton
COMMERCIAL‐BANK HOLDINGS OF MORTGAGES INSURED BY THE FEDERAL HOUSING ADMINISTRATION*
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00608.x | Cited by: 0
Charles Huegy
Performance Hypothesis Testing with the Sharpe and Treynor Measures: A Comment
Published: 12/1986, Volume: 41, Issue: 5 | DOI: 10.1111/j.1540-6261.1986.tb02541.x | Cited by: 16
CHARLES BRAM CADSBY
INFLATION AND RATES OF RETURN ON COMMON STOCKS
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01900.x | Cited by: 380
Charles R. Nelson
INFLATION AND CAPITAL BUDGETING
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01934.x | Cited by: 35
Charles R. Nelson
A STUDY OF DISTRIBUTED LAGS AND BUSINESS FIXED INVESTMENT*
Published: 12/1969, Volume: 24, Issue: 5 | DOI: 10.1111/j.1540-6261.1969.tb01707.x | Cited by: 0
Charles W. Bischoff
GROSS FLOWS OF FUNDS THROUGH SAVINGS AND LOAN ASSOCIATIONS
Published: 5/1960, Volume: 15, Issue: 2 | DOI: 10.1111/j.1540-6261.1960.tb00160.x | Cited by: 1
CHARLES M. TORRANCE
AVERAGE INTEREST CHARGES, THE LOAN MIX, AND MEASURES OF COMPETITION: SIXTH FEDERAL RESERVE DISTRICT EXPERIENCE
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00317.x | Cited by: 1
Charles T. Taylor
THE VALUE OF QUARTERLY INFORMATION IN PREDICTING FUTURE STOCK PRICE CHANGES*
Published: 9/1971, Volume: 26, Issue: 4 | DOI: 10.1111/j.1540-6261.1971.tb00942.x | Cited by: 0
Charles P. Jones
THE ADEQUACY OF FEDERAL RESERVE POWERS TO DISCHARGE RESPONSIBILITIES*
Published: 5/1959, Volume: 14, Issue: 2 | DOI: 10.1111/j.1540-6261.1959.tb01576.x | Cited by: 0
Charles F. Haywood
THE IMPLEMENTATION OF MONETARY POLICY WITH SPECIAL ATTENTION TO THE AVAILABILITY OF CREDIT*
Published: 12/1956, Volume: 11, Issue: 4 | DOI: 10.1111/j.1540-6261.1956.tb04094.x | Cited by: 0
Charles Foster Haywood
CHURCH FINANCING BY FINANCIAL INSTITUTIONS IN THE UNITED STATES, 1946–52*
Published: 12/1955, Volume: 10, Issue: 4 | DOI: 10.1111/j.1540-6261.1955.tb01300.x | Cited by: 0
Charles N. Millican
DEMAND FOR SHORT TERM GOVERNMENT DEBT*
Published: 3/1972, Volume: 27, Issue: 1 | DOI: 10.1111/j.1540-6261.1972.tb00638.x | Cited by: 0
Charles I. Smith
INTEREST‐RATE REGULATION ON COMMERCIAL‐BANK DEPOSITS: ITS EVOLUTION AND IMPACT IN THE STATE OF INDIANA*
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00309.x | Cited by: 0
Charles M. Linke
AN ANALYSIS OF THE KENTUCKY INCOME TAX*
Published: 9/1955, Volume: 10, Issue: 3 | DOI: 10.1111/j.1540-6261.1955.tb01290.x | Cited by: 0
Charles R. Lockyer
OLD AND NEW IDEAS ON RESERVE REQUIREMENTS
Published: 5/1953, Volume: 8, Issue: 2 | DOI: 10.1111/j.1540-6261.1953.tb01156.x | Cited by: 0
Charles R. Whittlesey
NOTES ON FEDERAL RESERVE POLICY, AUGUST, 1945—JUNE, 1948
Published: 6/1949, Volume: 4, Issue: 2 | DOI: 10.1111/j.1540-6261.1949.tb02339.x | Cited by: 0
Charles C. Abbott
A SIMPLIFIED RECONCILIATION OF ECONOMIC AND ACCOUNTING DETERMINANTS OF DEPRECIATION COST*
Published: 9/1958, Volume: 13, Issue: 3 | DOI: 10.1111/j.1540-6261.1958.tb04206.x | Cited by: 0
Charles E. Gilliland
A COMMENT ON “THE FEDERAL HOME LOAN BANK SYSTEM AND THE CONTROL OF CREDIT”
Published: 12/1958, Volume: 13, Issue: 4 | DOI: 10.1111/j.1540-6261.1958.tb04221.x | Cited by: 0
Charles F. Haywood
QUANTIFICATION AND MEASUREMENT OF RISK: AN EMPIRICAL STUDY OF SELECTED COMMON STOCKS*
Published: 9/1967, Volume: 22, Issue: 3 | DOI: 10.1111/j.1540-6261.1967.tb02987.x | Cited by: 0
Charles Griffiths Ferreira
Call and Continuous Trading Mechanisms Under Asymmetric Information: An Experimental Investigation
Published: 6/1996, Volume: 51, Issue: 2 | DOI: 10.1111/j.1540-6261.1996.tb02696.x | Cited by: 85
CHARLES R. SCHNITZLEIN
I examine the relative performance of call and continuous auctions under asymmetric information by manipulating trading rules and information sets in laboratory asset markets. I find significant differences in an environment that extends the Kyle (1985) framework to permit the exogenous liquidity trading motive to have a natural economic interpretation. The adverse selection costs incurred by noise traders are significantly lower under the call auction, despite no significant reduction in average price efficiency. This result suggests that discussions of the costs and benefits of insider trading should take place within the context of a specific trading mechanism.
LINEAR PROGRAMMING AND SHORT‐TERM FINANCIAL PLANNING*
Published: 9/1969, Volume: 24, Issue: 4 | DOI: 10.1111/j.1540-6261.1969.tb00406.x | Cited by: 0
Charles W. Young
THE DISTRIBUTIONS OF MEMBER‐BANK RESERVES AMONG THE TWELVE FEDERAL RESERVE DISTRICTS, 1948–1964*
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00310.x | Cited by: 0
L. Charles Miller
MEETING THE LONG‐TERM CAPITAL REQUIREMENTS OF SMALL BUSINESS*
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04452.x | Cited by: 3
Charles H. Schmidt
The Hedging Performance of the New Futures Markets: Comment
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02211.x | Cited by: 65
CHARLES T. FRANCKLE
THE FINANCIAL POLICIES OF CHURCHES
Published: 12/1951, Volume: 6, Issue: 4 | DOI: 10.1111/j.1540-6261.1951.tb04483.x | Cited by: 1
Charles N. Millican
TAXES, THE COST OF CAPITAL, AND THE FIRM'S INVESTMENT DECISIONS
Published: 9/1971, Volume: 26, Issue: 4 | DOI: 10.1111/j.1540-6261.1971.tb00927.x | Cited by: 1
Charles W. Haley
THE CENTRALIZATION OF GOVERNMENTAL EXPENDITURES FOR EDUCATION AND HIGHWAYS IN NORTH CAROLINA, 1929–52
Published: 9/1956, Volume: 11, Issue: 3 | DOI: 10.1111/j.1540-6261.1956.tb00116.x | Cited by: 0
Charles E. Ratliff
FEDERAL CREDIT UNIONS IN THE UNITED STATES AN ANALYSIS*
Published: 3/1959, Volume: 14, Issue: 1 | DOI: 10.1111/j.1540-6261.1959.tb00497.x | Cited by: 0
Charles F. Meehling
Growth, Consolidation and Mergers in Banking: Comment
Published: 9/1976, Volume: 31, Issue: 4 | DOI: 10.1111/j.1540-6261.1976.tb01973.x | Cited by: 0
R. Charles Moyer
DISCUSSION
Published: 5/1967, Volume: 22, Issue: 2 | DOI: 10.1111/j.1540-6261.1967.tb00014.x | Cited by: 0
Charles M. Linke
THE INFLUENCE OF GROWTH DURATION ON SHARE PRICES*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04300.x | Cited by: 7
Charles C. Holt
THE TREATMENT OF SECURITY HOLDERS UNDER THE ABSOLUTE PRIORITY RULE IN CHAPTER X REORGANIZATIONS*
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00281.x | Cited by: 0
Charles B. Franklin
CORPORATE SAVING BEHAVIOR: A STUDY OF INTERNAL FINANCING*
Published: 12/1960, Volume: 15, Issue: 4 | DOI: 10.1111/j.1540-6261.1960.tb02775.x | Cited by: 0
Charles W. Howe
DISCUSSION
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00801.x | Cited by: 0
Charles J. Goetz
CHANGES IN RAILROAD FINANCIAL STRUCTURES 1929–1958*
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04347.x | Cited by: 0
Charles A. D'Ambrosio
THE DICHOTOMY BETWEEN MONETARY AND VALUE THEORY IN CLASSICAL AND NEOCLASSICAL ECONOMICS*
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00537.x | Cited by: 0
Charles W. Baird
Nonparametric Estimates of LDC Repayment Prospects
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02105.x | Cited by: 6
CHARLES FISK, FRANK RIMLINGER
Ownership Structure, Speculation, and Shareholder Intervention
Published: 2/1998, Volume: 53, Issue: 1 | DOI: 10.1111/0022-1082.45483 | Cited by: 554
Charles Kahn, Andrew Winton
An institution holding shares in a firm can use information about the firm both for trading (“speculation”) and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervention. We examine key factors that affect the intervention decision, the usefulness of “short‐swing” provisions and restricted shares in encouraging institutional intervention, and implications for ownership structure across different firms.
Market Integration and Price Execution for NYSE‐Listed Securities
Published: 7/1993, Volume: 48, Issue: 3 | DOI: 10.1111/j.1540-6261.1993.tb04028.x | Cited by: 71
CHARLES M. C. LEE
For New York Stock Exchange (NYSE) listed securities, the price execution of seemingly comparable orders differs systematically by location. In general, executions at the Cincinnati, Midwest, and New York stock exchanges are most favorable to trade initiators, while executions at the National Association of Security Dealers (NASD) are least favorable. These intermarket price differences depend on trade size, with the smallest trades exhibiting the biggest per share price difference. Collectively, these results raise questions about the adequacy of the existing intermarket quote system (ITS), the broker's fiduciary responsibility for “best execution,” and the propriety of order flow inducements.