Search results: 50.
A Nonlinear Factor Analysis of S&P 500 Index Option Returns
Published: 9/19/2006, Volume: 61, Issue: 5 | DOI: 10.1111/j.1540-6261.2006.01059.x | Cited by: 138
CHRISTOPHER S. JONES
Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and that at least part of this abnormal performance is attributable to volatility and jump risk premia. This paper asks whether such priced risk factors are alone sufficient to explain these average returns. To provide an answer in as general as possible a setting, I estimate a flexible class of nonlinear models using all S&P 500 Index futures options traded between 1986 and 2000. The results show that priced factors contribute to these expected returns but are insufficient to explain their magnitudes, particularly for short‐term out‐of‐the‐money puts.
Option Mispricing around Nontrading Periods
Published: 1/16/2018, Volume: 73, Issue: 2 | DOI: 10.1111/jofi.12603 | Cited by: 35
CHRISTOPHER S. JONES, JOSHUA SHEMESH
We find that option returns are significantly lower over nontrading periods, the vast majority of which are weekends. Our evidence suggests that nontrading returns cannot be explained by risk, but rather are the result of widespread and highly persistent option mispricing driven by the incorrect treatment of stock return variance during periods of market closure. The size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading effects. Our study further suggests how alternative industry practices could improve the efficiency of option markets in a meaningful way.
Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium
Published: 7/17/2024, Volume: 79, Issue: 5 | DOI: 10.1111/jofi.13365 | Cited by: 28
JEFFERSON DUARTE, CHRISTOPHER S. JONES, JUNBO L. WANG
The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out‐of‐the‐money call options on stocks is −116 basis points per day. Second, Fama‐MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta‐hedged at‐the‐money calls (puts) is −23 (−30) basis points. Fourth, the variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and robustness in empirical work with options.
Identification of Maximal Affine Term Structure Models
Published: 4/2008, Volume: 63, Issue: 2 | DOI: 10.1111/j.1540-6261.2008.01331.x | Cited by: 101
PIERRE COLLIN‐DUFRESNE, ROBERT S. GOLDSTEIN, CHRISTOPHER S. JONES
Building on Duffie and Kan (1996), we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable. Further, this representation has more identifiable parameters than the “maximal” model of Dai and Singleton (2000). We implement this new representation for select three‐factor models and find that model‐independent estimates for the state vector can be estimated directly from yield curve data, which present advantages for the estimation and interpretation of multifactor models.
Option Momentum
Published: 10/3/2023, Volume: 78, Issue: 6 | DOI: 10.1111/jofi.13279 | Cited by: 53
STEVEN L. HESTON, CHRISTOPHER S. JONES, MEHDI KHORRAM, SHUAIQI LI, HAITAO MO
This paper investigates the performance of option investments across different stocks by computing monthly returns on at‐the‐money straddles on individual equities. We find that options with high historical returns continue to significantly outperform options with low historical returns over horizons ranging from 6 to 36 months. This phenomenon is robust to including out‐of‐the‐money options or delta‐hedging the returns. Unlike stock momentum, option return continuation is not followed by long‐run reversal. Significant returns remain after factor risk adjustment and after controlling for implied volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits.
SOME ASPECTS OF DEMAND FOR CONSUMER DURABLE GOODS*
Published: 5/1954, Volume: 9, Issue: 2 | DOI: 10.1111/j.1540-6261.1954.tb01216.x | Cited by: 0
Homer Jones
THE DEVELOPMENT OF AN EFFECTIVE SECONDARY MORTGAGE MARKET*
Published: 5/1962, Volume: 17, Issue: 2 | DOI: 10.1111/j.1540-6261.1962.tb04288.x | Cited by: 4
Oliver Jones
INVESTMENT IN EQUITIES BY LIFE INSURANCE COMPANIES*
Published: 6/1950, Volume: 5, Issue: 2 | DOI: 10.1111/j.1540-6261.1950.tb02478.x | Cited by: 0
Homer Jones
INVESTMENT PROSPECTS
Published: 4/1947, Volume: 2, Issue: 1 | DOI: 10.1111/j.1540-6261.1947.tb00787.x | Cited by: 0
Homer Jones
THE FLOW OF SAVINGS. II*
Published: 3/1949, Volume: 4, Issue: 1 | DOI: 10.1111/j.1540-6261.1949.tb02335.x | Cited by: 0
Homer Jones
THE EUROPEAN MONETARY AGREEMENT, THE EUROPEAN PAYMENTS UNION, AND CONVERTIBILITY
Published: 9/1957, Volume: 12, Issue: 3 | DOI: 10.1111/j.1540-6261.1957.tb04142.x | Cited by: 2
Dallas Jones
THE FLOW OF SAVINGS—I*
Published: 10/1948, Volume: 3, Issue: 3 | DOI: 10.1111/j.1540-6261.1948.tb01514.x | Cited by: 0
Homer Jones
PRIVATE SECONDARY MARKET FACILITIES
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00812.x | Cited by: 15
Oliver Jones
THE ROLE AND VIABILITY OF MUTUAL BANKS (Abstract)
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01840.x | Cited by: 0
Oliver H. Jones, Lawrence D. Jones, R. Richardson Pettit
The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights
Published: 4/1999, Volume: 54, Issue: 2 | DOI: 10.1111/0022-1082.00120 | Cited by: 406
Mark Britten‐Jones
This paper presents an exact finite‐sample statistical procedure for testing hypotheses about the weights of mean‐variance efficient portfolios. The estimation and inference procedures on efficient portfolio weights are performed in the same way as for the coefficients in an OLS regression. OLS t‐ and F‐statistics can be used for tests on efficient weights, and when returns are multivariate normal, these statistics have exact t and F distributions in a finite sample. Using 20 years of data on 11 country stock indexes, we find that the sampling error in estimates of the weights of a global efficient portfolio is large.
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 SECONDARY MARKET FOR URBAN RESIDENTIAL MORTGAGES*
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04343.x | Cited by: 0
Oliver Hastings Jones
TEST OF PORTFOLIO BUILDING RULES: COMMENT
Published: 9/1971, Volume: 26, Issue: 4 | DOI: 10.1111/j.1540-6261.1971.tb00936.x | Cited by: 0
Irwin E. Jones
Fed Policy, Financial Market Efficiency, and Capital Flows
Published: 8/1999, Volume: 54, Issue: 4 | DOI: 10.1111/0022-1082.00153 | Cited by: 0
David M. Jones
THE REGIONAL IMPACT OF FEDERAL FISCAL POLICY*
Published: 3/1957, Volume: 12, Issue: 1 | DOI: 10.1111/j.1540-6261.1957.tb04106.x | Cited by: 0
Norman H. Jones
THE MORTGAGE MARKET
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00780.x | Cited by: 0
Oliver H. Jones
An Analysis of Bank Loan Rate Indexation
Published: 6/1982, Volume: 37, Issue: 3 | DOI: 10.1111/j.1540-6261.1982.tb02225.x | Cited by: 13
CHRISTOPHER JAMES
This paper examines the economic rationale for the use of bank loan commitments and the effect on the allocation of bank credit of indexing the loan rate offered through the commitment to the prime. A simple model of the loan market is constructed and used to examine the effect changes in loan demand and the cost of bank funds have on the allocation of bank credit under indexation. It is shown that indexing implies changes in the relative cost of borrowing for certain groups of bank customers. For nonprime customers, an increase in the cost of bank funds results in a decline in the relative cost of borrowing under commitments. The pattern of commitment use is found to be consistent with the predictions of the model.
The Losses Realized in Bank Failures
Published: 9/1991, Volume: 46, Issue: 4 | DOI: 10.1111/j.1540-6261.1991.tb04616.x | Cited by: 294
CHRISTOPHER JAMES
This paper examines the losses realized in bank failures. Losses are measured as the difference between the book value of assets and the recovery value net of the direct expenses associated with the failure. I find the loss on assets is substantial, averaging 30 percent of the failed bank's assets. Direct expenses associated with bank closures average 10 percent of assets. An empirical analysis of the determinants of these losses reveals a significant difference in the value of assets retained by the FDIC and similar assets assumed by acquiring banks.
Bank Debt Restructurings and the Composition of Exchange Offers in Financial Distress
Published: 6/1996, Volume: 51, Issue: 2 | DOI: 10.1111/j.1540-6261.1996.tb02700.x | Cited by: 67
CHRISTOPHER JAMES
This article examines the relation between bank debt forgiveness and the structure of public debt exchange offers in financial distress. I find that the structure of exchange offers and the likelihood of an offer's success are significantly related to whether the bank participates in the restructuring transaction. Exchange offers made in conjunction with bank concessions are characterized by significantly greater reductions in public debt outstanding and significantly less senior debt offered to bondholders. Overall, the results suggest that the structure of a firm's public and private claims significantly affects the firm's ability to modify its capital structure in financial distress.
Relationship‐Specific Assets and the Pricing of Underwriter Services
Published: 12/1992, Volume: 47, Issue: 5 | DOI: 10.1111/j.1540-6261.1992.tb04686.x | Cited by: 96
CHRISTOPHER JAMES
This paper investigates the effect of setup costs on the pricing of investment banking services. The existence of setup costs is predicted to result in lower underwriter spreads in IPOs for firms that are expected to issue again. Consistent with this prediction, I find significantly lower spreads for firms that make subsequent issues. I also find that a firm's likelihood of changing underwriters in a subsequent offer is related to the time between offerings and the underwriter's pricing performance in the IPO. These results suggest that the deviations from optimal IPO pricing carry a penalty for the underwriter.
SOME PORTFOLIO ADJUSTMENT THEOREMS FOR THE CASE OF NON‐NEGATIVITY CONSTRAINTS ON SECURITY HOLDINGS
Published: 6/1971, Volume: 26, Issue: 3 | DOI: 10.1111/j.1540-6261.1971.tb01730.x | Cited by: 1
M. W. Jones-Lee
OPTIMAL LIFE INSURANCE: COMMENT
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01866.x | Cited by: 1
M. W. Jones‐Lee
Bids and Allocations in European IPO Bookbuilding
Published: 10/2004, Volume: 59, Issue: 5 | DOI: 10.1111/j.1540-6261.2004.00700.x | Cited by: 158
TIM JENKINSON, HOWARD JONES
This paper uses evidence from a data set of 27 European IPOs to analyze how investors bid and the factors that influence their allocations. We also make use of a unique ranking of investor quality, associated with the likelihood of flipping the IPO. We find that investors perceived to be long‐term holders of the stock are consistently favored in allocation and in out‐turn profits. In contrast to Cornelli and Goldreich (2001), we find little evidence that more informative bids receive larger allocations or higher profits. Our results cast doubt upon the extent of information production during the bookbuilding period.
DISCUSSION
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00469.x | Cited by: 0
CHRISTOPHER A. SIMS
FEDERAL RESERVE POLICY, 1955–58*
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00329.x | Cited by: 0
Christopher L. Bach
Taxable vs. Tax‐Exempt Bonds: A Note on the Effect of Uncertain Taxable Income
Published: 6/1987, Volume: 42, Issue: 2 | DOI: 10.1111/j.1540-6261.1987.tb02576.x | Cited by: 1
CHRISTOPHER D. PIROS
The Geography of Equity Analysis
Published: 3/2/2005, Volume: 60, Issue: 2 | DOI: 10.1111/j.1540-6261.2005.00744.x | Cited by: 750
CHRISTOPHER J. MALLOY
I provide evidence that geographically proximate analysts are more accurate than other analysts. Stock returns immediately surrounding forecast revisions suggest that local analysts impact prices more than other analysts. These effects are strongest for firms located in small cities and remote areas. Collectively these results suggest that geographically proximate analysts possess an information advantage over other analysts, and that this advantage translates into better performance. The well‐documented underwriter affiliation bias in stock recommendations is concentrated among distant affiliated analysts; recommendations by local affiliated analysts are unbiased. This finding reveals a geographic component to the agency problems in the industry.
Tobin's
Q
, Debt Overhang, and Investment
Published: 8/2004, Volume: 59, Issue: 4 | DOI: 10.1111/j.1540-6261.2004.00677.x | Cited by: 302
Christopher A. Hennessy
Incorporating debt in a dynamic real options framework, we show that underinvestment stems from truncation of equity's horizon at default. Debt overhang distorts both the level and composition of investment, with underinvestment being more severe for long‐lived assets. An empirical proxy for the shadow price of capital to equity is derived. Use of this proxy yields a structural test for debt overhang and its mitigation through issuance of additional secured debt. Using measurement error‐consistent GMM estimators, we find a statistically significant debt overhang effect regardless of firms' ability to issue additional secured debt.
Initial Public Offering Underpricing: The Issuer's View—A Comment
Published: 9/1989, Volume: 44, Issue: 4 | DOI: 10.1111/j.1540-6261.1989.tb02642.x | Cited by: 41
CHRISTOPHER B. BARRY
I consider the underpricing of initial public offerings (IPOs) and the wealth transfers implicit in that underpricing. I find that initial returns properly measure the “issue cost” effect of underpricing as a fraction of offer size, as in Ritter (1987). I present a measure of the wealth effect of underpricing per share retained. In general, the wealth effects on existing shareholders depend on the extent to which they participate in the offering. From the perspective of issuer's wealth, I find that Dawson's (1987) measure is appropriate only in the special case in which all of the prior owners'; shares are sold in the IPO.
PORTFOLIO ANALYSIS UNDER UNCERTAIN MEANS, VARIANCES, AND COVARIANCES
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03064.x | Cited by: 114
Christopher B. Barry
Oil and the Stock Markets
Published: 6/1996, Volume: 51, Issue: 2 | DOI: 10.1111/j.1540-6261.1996.tb02691.x | Cited by: 1265
CHARLES M. JONES, GAUTAM KAUL
We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows
or
by changing expected returns.
Option Prices, Implied Price Processes, and Stochastic Volatility
Published: 4/2000, Volume: 55, Issue: 2 | DOI: 10.1111/0022-1082.00228 | Cited by: 730
Mark Britten‐Jones, Anthony Neuberger
This paper characterizes all continuous price processes that are consistent with current option prices. This extends
Derman and Kani (1994)
,
Dupire (1994
,
1997
), and
Rubinstein (1994)
, who only consider processes with deterministic volatility. Our characterization implies a volatility forecast that does not require a specific model, only current option prices. We show how arbitrary volatility processes can be adjusted to fit current option prices exactly, just as interest rate processes can be adjusted to fit bond prices exactly. The procedure works with many volatility models, is fast to calibrate, and can price exotic options efficiently using familiar lattice techniques.
Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation
Published: 12/1994, Volume: 49, Issue: 5 | DOI: 10.1111/j.1540-6261.1994.tb04776.x | Cited by: 222
CRAIG HIEMSTRA, JONATHAN D. JONES
Linear and nonlinear Granger causality tests are used to examine the dynamic relation between daily Dow Jones stock returns and percentage changes in New York Stock Exchange trading volume. We find evidence of significant bidirectional nonlinear causality between returns and volume. We also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by
Clark's (1973)
latent common‐factor model. After controlling for volatility persistence in returns, we continue to find evidence of nonlinear causality from volume to returns.
Putting the Price in Asset Pricing
Published: 10/9/2024, Volume: 79, Issue: 6 | DOI: 10.1111/jofi.13391 | Cited by: 14
THUMMIM CHO, CHRISTOPHER POLK
We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time‐series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long‐horizon returns. We apply our techniques to study the cross‐section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, adjusted value, provides a parsimonious model of CAPM‐implied abnormal price.
Bank Information Monopolies and the Mix of Private and Public Debt Claims
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05229.x | Cited by: 582
JOEL HOUSTON, CHRISTOPHER JAMES
This article examines the determinants of the mix of private and public debt using detailed information on the debt structure of 250 publicly traded corporations from 1980 through 1990. We find that the relationship between bank borrowing and the importance of growth opportunities depends on the number of banks the firm uses and whether the firm has public debt outstanding. For firms with a single bank relationship, the reliance on bank debt is negatively related to the importance of growth opportunities. In contrast, among firms borrowing from multiple banks, the relationship is positive.
SOME CONTRIBUTIONS OF THE INSTITUTIONAL INVESTOR STUDY
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00961.x | Cited by: 0
Kenneth M. Wright, Lawrence D. Jones
Crisis Interventions in Corporate Insolvency
Published: 1/30/2025, Volume: 80, Issue: 2 | DOI: 10.1111/jofi.13421 | Cited by: 5
SAMUEL ANTILL, CHRISTOPHER CLAYTON
We model the optimal resolution of insolvent firms in general equilibrium. Collateral‐constrained banks lend to (i) solvent firms to finance investments and (ii) distressed firms to avoid liquidation. Liquidations create negative fire‐sale externalities. Liquidations also relieve bank balance–sheet congestion, enabling new firm loans that generate positive collateral externalities by lowering bank borrowing rates. Socially optimal interventions encourage liquidation when firms have high operating losses, high leverage, or low productivity. Surprisingly, larger fire sales promote interventions encouraging more liquidations. We study synergies between insolvency interventions and macroprudential regulation, bailouts, deferred loss recognition, and debt subordination. Our model elucidates historical crisis interventions.
A NOTE ON THE SIMULTANEOUS NATURE OF FINANCE METHODOLOGY
Published: 3/1972, Volume: 27, Issue: 1 | DOI: 10.1111/j.1540-6261.1972.tb00625.x | Cited by: 4
Michael A. Simkowitz, Charles P. Jones
Determinants of Financial Structure: a New Methodological Approach
Published: 6/1979, Volume: 34, Issue: 3 | DOI: 10.1111/j.1540-6261.1979.tb02130.x | Cited by: 265
MICHAEL G. FERRI, WESLEY H. JONES
Connected Stocks
Published: 5/8/2014, Volume: 69, Issue: 3 | DOI: 10.1111/jofi.12149 | Cited by: 396
MIGUEL ANTÓN, CHRISTOPHER POLK
We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross‐sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experiment—the 2003 mutual fund trading scandal. These results motivate a novel cross‐stock‐reversal trading strategy exploiting information contained in ownership connections. We show that long‐short hedge fund index returns covary negatively with this strategy, suggesting these funds may exacerbate this excess comovement.
Why Don't U.S. Issuers Demand European Fees for IPOs?
Published: 11/14/2011, Volume: 66, Issue: 6 | DOI: 10.1111/j.1540-6261.2011.01699.x | Cited by: 97
MARK ABRAHAMSON, TIM JENKINSON, HOWARD JONES
We compare fees charged by investment banks for conducting IPOs in the United States and Europe. In recent years, the “7% solution,” as documented by
Chen and Ritter (2000)
, has become even more prevalent in the United States, and is now the norm for IPOs raising up to $250 million. The same banks dominate both markets, but European IPO fees are roughly three percentage points lower, are much more variable, and have been falling. We review explanations for the gap in spreads and find the evidence consistent with strategic pricing. U.S. issuers could have saved over $1 billion a year by paying European fees.
Standardized Unexpected Earnings—1971–77
Published: 6/1979, Volume: 34, Issue: 3 | DOI: 10.1111/j.1540-6261.1979.tb02136.x | Cited by: 23
HENRY A. LATANÉ, CHARLES P. JONES
QUARTERLY EARNINGS REPORTS AND INTERMEDIATE STOCK PRICE TRENDS
Published: 3/1970, Volume: 25, Issue: 1 | DOI: 10.1111/j.1540-6261.1970.tb00420.x | Cited by: 99
Charles P. Jones, Robert H. Litzenberger
THE CAPITAL STRUCTURE AND THE COST OF CAPITAL: COMMENT
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00531.x | Cited by: 2
Robert H. Litzenberger, Charles P. Jones
STANDARDIZED UNEXPECTED EARNINGS—A PROGRESS REPORT
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03347.x | Cited by: 11
Henry A. Latané, Charles P. Jones