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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Equilibrium Block Trading and Asymmetric Information
Published: 3/1990, Volume: 45, Issue: 1 | DOI: 10.1111/j.1540-6261.1990.tb05081.x | Cited by: 178
DUANE J. SEPPI
This paper investigates the existence of equilibria with information‐based block trading in a multiperiod market when no investor is constrained to block trade. Attention is restricted to equilibria in which a strategic uninformed institution (i.e., one which is forced to rebalance its portfolio but is free to choose an optimal rebalancing strategy) is willing to trade a block rather than “break up” the block into a series of smaller trades. Examples of such equilibria are found and analyzed.
Futures Manipulation with “Cash Settlement”
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04666.x | Cited by: 49
Praveen Kumar, DUANE J. SEPPI
This paper investigates the susceptibility of futures markets to price manipulation in a two‐period model with asymmetric information and “cash settlement” futures contracts. Without “physical delivery,” strategies based on “corners” or “squeezes” are infeasible. However, uninformed investors still earn positive expected profits by establishing a futures position and then trading in the spot market to manipulate the spot price used to compute the cash settlement at delivery. We also show that as the number of manipulators grows, profits from manipulation fall to zero. However, even in the limit, manipulation still has a nontrivial impact on market liquidity. More broadly, we interpret manipulation as a form of endogenous “noise trading” which can arise in multiperiod security markets.
Equilibrium Forward Curves for Commodities
Published: 6/2000, Volume: 55, Issue: 3 | DOI: 10.1111/0022-1082.00248 | Cited by: 347
Bryan R. Routledge, Duane J. Seppi, Chester S. Spatt
We develop an equilibrium model of the term structure of forward prices for storable commodities. As a consequence of a nonnegativity constraint on inventory, the spot commodity has an embedded timing option that is absent in forward contracts. This option's value changes over time due to both endogenous inventory and exogenous transitory shocks to supply and demand. Our model makes predictions about volatilities of forward prices at different horizons and shows how conditional violations of the ‘Samuelson effect’ occur. We extend the model to incorporate a permanent second factor and calibrate the model to crude oil futures data.
SOME EVIDENCE ON DIFFERENTIAL LENDING PRACTICES AT COMMERCIAL BANKS
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01459.x | Cited by: 2
Duane G. Harris
THE EMPIRICS OF THE EQUILIBRIUM BALANCED GROWTH MODEL*
Published: 9/1975, Volume: 30, Issue: 4 | DOI: 10.1111/j.1540-6261.1975.tb01036.x | Cited by: 0
Duane B. Graddy
THE DEVELOPMENT OF THE FLOW OF INSTITUTIONAL SAVINGS IN THE ANALYSIS OF TREASURY BORROWING PROBLEMS
Published: 5/1956, Volume: 11, Issue: 2 | DOI: 10.1111/j.1540-6261.1956.tb00708.x | Cited by: 0
R. Duane Saunders
Affiliated Bank Performance and the Simultaneity of Financial Decision‐Making
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03512.x | Cited by: 6
DUANE B. GRADDY, REUBEN KYLE
AbstractThe remarkable growth of bank holding companies (BHCs) during the last decade has aroused a great deal of interest and controversy among academic economists and bank regulators. One of the important issues discussed has been the impact of holding company affiliation on the operating performance of the acquired banks. Subsequent empirical testing of the question has produced a wide array of results. Nevertheless, a recent survey of the literature by the staff of the Federal Reserve Board [18] concluded that while not entirely unambiguous, the findings are “relatively consistent and conclusive.” Such a sweeping generalization seems premature at best.In a recent issue of this Journal [4], we proposed an empirical model designed to test the interdependency between financial decision‐making and bank performance. The purpose of this note is to examine the implications of that investigation for the BHC performance issue. The impact of affiliation on bank performance has been analyzed in several different ways; however, no study has considered the important theoretical and statistical implications of the simultaneity question.
Municipal Bond Demand Premiums and Bond Price Volatility: A Note
Published: 6/1984, Volume: 39, Issue: 2 | DOI: 10.1111/j.1540-6261.1984.tb02326.x | Cited by: 4
DUANE STOCK, EDWARD L. SCHREMS
The behavior of different components of municipal bond yields may have a significant impact upon bond price behavior. Specifically, demand premiums created by banks may stabilize bond yields in some maturity ranges but not in others; for example, short‐term municipals may be stabilized but not long‐term. This research implies that bank demand behavior may create demand premiums that stabilize prices of short‐term municipal bonds relative to those of Treasury bonds of like maturity. While this implication is inconsistent with the residual theory of bank demand, it is consistent with the tax‐shield theory attributed to Hendershott and Koch [3, 4].
The Simultaneity of Bank Decision‐making, Market Structure, and Bank Performance
Published: 3/1979, Volume: 34, Issue: 1 | DOI: 10.1111/j.1540-6261.1979.tb02067.x | Cited by: 11
DUANE B. GRADDY, REUBEN KYLE