The Journal of Finance

Measuring Corporate Bond Mortality and Performance

Published: 9/1989,  Volume: 44,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1989.tb02630.x  |  Cited by: 203

EDWARD I. ALTMAN

This study develops an alternative way to measure default risk and suggests an appropriate method to assess the performance of fixed‐income investors over the entire spectrum of credit‐quality classes. The approach seeks to measure the expected mortality of bonds and the consequent loss rates in a manner similar to the way actuaries assess mortality of human beings. The results show that all bond ratings outperform riskless Treasuries over a ten‐year horizon and that, despite relatively high mortality rates, B‐rated and CCC‐rated securities outperform all other rating categories for the first four years after issuance, with BB‐rated securities outperforming all others thereafter.

A Further Empirical Investigation of the Bankruptcy Cost Question

Published: 9/1984,  Volume: 39,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1984.tb03893.x  |  Cited by: 644

EDWARD I. ALTMAN

In this paper, empirical evidence with respect to both the direct and indirect costs of bankruptcy is assessed. This should be of interest for three related reasons. First, there is a need to provide further evidence as to the size of bankruptcy costs. Second, for the first time a proxy methodology for measuring indirect costs of bankruptcy is presented and actually measured. Third, a simple format for measuring the present value of expected bankruptcy costs is compared with the present value of expected tax benefits from interest payments on leverage. This comparison has important implications for the continuing debate as to whether or not an optimum capital structure exists for corporations.

DISCUSSION

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02259.x  |  Cited by: 1

EDWARD I. ALTMAN

RAILROAD BANKRUPTCY PROPENSITY

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00901.x  |  Cited by: 27

Edward I. Altman

THE PREDICTION OF CORPORATE BANKRUPTCY: A DISCRIMINANT ANALYSIS*

Published: 3/1968,  Volume: 23,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1968.tb03007.x  |  Cited by: 13

Edward I. Altman

REPLY

Published: 6/1972,  Volume: 27,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1972.tb00996.x  |  Cited by: 1

Edward I. Altman

FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00843.x  |  Cited by: 12134

Edward I. Altman

A REPLY

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00880.x  |  Cited by: 3

Edward I. Altman

A Financial Early Warning System For Over‐The‐Counter Broker‐Dealers

Published: 9/1976,  Volume: 31,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1976.tb01969.x  |  Cited by: 30

Edward I. Altman, Bettina Loris

VOLATILITY BEHAVIOR OF INDUSTRIAL STOCK PRICE INDICES

Published: 9/1973,  Volume: 28,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1973.tb01418.x  |  Cited by: 20

Robert A. Schwartz, Edward I. Altman

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03131.x  |  Cited by: 10

Edward I. Altman, Bertrand Jacquillat, Michel Levasseur

Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress

Published: 3/1985,  Volume: 40,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1985.tb04949.x  |  Cited by: 456

HALINA FRYDMAN, EDWARD I. ALTMAN, DUEN‐LI KAO

The purpose of this study is to present a new classification procedure, Recursive Partitioning Algorithm (RPA), for financial analysis and to compare it with discriminant analysis within the context of firm financial distress. RPA is a computerized, nonparametric technique based on pattern recognition which has attributes of both the classical univariate classification approach and multivariate procedures. RPA is found to outperform discriminant analysis in most original sample and holdout comparisons. We also observe that additional information can be derived by assessing both RPA and discriminant analysis results.

The Equity Performance of Firms Emerging from Bankruptcy

Published: 10/1999,  Volume: 54,  Issue: 5  |  DOI: 10.1111/0022-1082.00169  |  Cited by: 88

Allan C. Eberhart, Edward I. Altman, Reena Aggarwal

This study assesses the stock return performance of 131 firms emerging from Chapter 11. Using differing estimates of expected returns, we consistently find evidence of large, positive excess returns in 200 days of returns following emergence. We also examine the reaction of our sample firms' equity returns to their earnings announcements after emergence from Chapter 11. The positive and significant reactions suggest that our results are driven by the market's expectational errors, not mismeasurement of risk. The results provide an interesting contrast, but not a contradiction, to previous work that has documented poor operating performance for firms emerging from Chapter 11.

THE INTEGRATION OF EUROPEAN CAPITAL MARKETS

Published: 5/1965,  Volume: 20,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1965.tb00204.x  |  Cited by: 2

Oscar L. Altman

CORPORATE BANKRUPTCY POTENTIAL, STOCKHOLDER RETURNS AND SHARE VALUATION

Published: 12/1969,  Volume: 24,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1969.tb01700.x  |  Cited by: 23

Edwakd I. Altman

The Expected Utility of the Doubling Strategy

Published: 6/1989,  Volume: 44,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1989.tb05071.x  |  Cited by: 2

EDWARD OMBERG

It has been noted that a certain continuous‐time trading strategy, termed the “doubling strategy”, generates a positive net return on borrowed funds, with probability one and within a finite period of time. Since the doubling strategy seems to represent a “free lunch” or arbitrage opportunity, a variety of constraints to render it infeasible have been proposed. In this paper, we show that the doubling strategy generates infinite disutility for a large class of utility functions, and we can think of no utility function for a risk‐averse agent which is a counterexample.

BUSINESS INVESTMENT IN PLANT AND EQUIPMENT AN EMPIRICAL STUDY*

Published: 3/1963,  Volume: 18,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1963.tb01626.x  |  Cited by: 0

Edward Greenberg

FINANCIAL POLICY UNDER ALTERNATIVE EXCHANGE‐RATE SYSTEMS*

Published: 6/1971,  Volume: 26,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1971.tb01743.x  |  Cited by: 0

Edward Tower

THE EFFECTIVENESS OF CANADIAN FISCAL POLICY

Published: 12/1952,  Volume: 7,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1952.tb02483.x  |  Cited by: 0

Edward Marcus

DOMESTIC AND INTERNATIONAL OBJECTIVES OF UNITED STATES MONETARY POLICY*

Published: 5/1963,  Volume: 18,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1963.tb00714.x  |  Cited by: 1

Edward Bernstein

A Note on the Convergence of Binomial‐Pricing and Compound‐Option Models

Published: 6/1987,  Volume: 42,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1987.tb02578.x  |  Cited by: 25

EDWARD OMBERG

REPLY

Published: 12/1969,  Volume: 24,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1969.tb01706.x  |  Cited by: 0

Edward L. Whalen

DISCUSSION

Published: 6/1978,  Volume: 33,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1978.tb00771.x  |  Cited by: 0

Edward F. Denison

THE VALUATION OF CLOSELY HELD INDUSTRIAL SHARES FOR FEDERAL TAX PURPOSES*

Published: 9/1956,  Volume: 11,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1956.tb00114.x  |  Cited by: 0

Adolph Edward Grunewald

Technological and Regulatory Forces in the Developing Fusion of Financial‐Services Competition

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03667.x  |  Cited by: 7

EDWARD J. KANE

Product lines of traditionally heterogeneous financial institutions are rapidly fusing into a homogeneous blend. Institutions and market structures are reshaping themselves to lower the cost of serving customer demand for financial services. This paper contends that contemporary adaptations exploit scope economies rooted in technological change and deposit‐insurance subsidies to innovative forms of risk‐bearing.As they reorient work flows, financial firms are simultaneously restructuring their organizations to lower net burdens from government regulation. Alternative state and federal regulatory and legislative bodies compete vigorously for the regulatory business of developing institutional hybrids. Evolution of Federal Reserve policy toward “nonbank banks” exemplifies the process.

AN EXTENSION OF THE BAUMOL‐TOBIN APPROACH TO THE TRANSACTIONS DEMAND FOR CASH

Published: 3/1968,  Volume: 23,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1968.tb03001.x  |  Cited by: 13

Edward L. Whalen

A NOTE ON THE REVIVAL OF FEDERAL RESERVE DISCOUNT POLICY

Published: 12/1956,  Volume: 11,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1956.tb04083.x  |  Cited by: 1

Edward C. Simmons

CHANGING CHARACTER OF THE REAL ESTATE MORTGAGE MARKETS

Published: 5/1964,  Volume: 19,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1964.tb00770.x  |  Cited by: 0

Edward E. Edwards

A PORTFOLIO—BALANCE MODEL OF CORPORATE WORKING CAPITAL

Published: 5/1978,  Volume: 33,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1978.tb04866.x  |  Cited by: 2

Edward E. Yardeni

MUTUAL FUND MANAGEMENT FEE RATES*

Published: 5/1963,  Volume: 18,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1963.tb00729.x  |  Cited by: 4

Edward S. Herman

THE ANALYTICS OF MULTIBANK HOLDING COMPANY BEHAVIOR*

Published: 9/1975,  Volume: 30,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1975.tb01034.x  |  Cited by: 0

Gregory Edward Boczar

Accelerating Inflation, Technological Innovation, and the Decreasing Effectiveness of Banking Regulation

Published: 5/1981,  Volume: 36,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1981.tb00449.x  |  Cited by: 119

EDWARD J. KANE

AN INVESTIGATION INTO THE CHARACTERISTICS OF THE MUTUAL SAVINGS BANK RESIDENTIAL MORTGAGE*

Published: 3/1970,  Volume: 25,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1970.tb00425.x  |  Cited by: 0

Steven Edward Bolten

CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR

Published: 3/1977,  Volume: 32,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1977.tb03250.x  |  Cited by: 94

Edward A. Dyl

THE TERM STRUCTURE OF INTEREST RATES: AN ATTEMPT TO RECONCILE TEACHING WITH PRACTICE

Published: 5/1970,  Volume: 25,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1970.tb00514.x  |  Cited by: 7

Edward J. Kane

FINANCING THE FLOW OF MAJOR HOME APPLIANCES*

Published: 12/1957,  Volume: 12,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1957.tb04163.x  |  Cited by: 0

Edward L. Rada

The Recognition Lag of the Federal Advisory Council

Published: 3/1979,  Volume: 34,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1979.tb02083.x  |  Cited by: 0

EDWARD B. SELBY

A CROSS‐SECTION STUDY OF BUSINESS DEMAND FOR CASH*

Published: 9/1965,  Volume: 20,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1965.tb02907.x  |  Cited by: 6

Edward L. Whalen

THE FISCAL IMPACT OF THE FEDERAL BUDGET*

Published: 3/1966,  Volume: 21,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1966.tb02967.x  |  Cited by: 0

Edward M. Gramlich

ADMINISTRATION OF THE PURCHASING FUNCTION IN STATE GOVERNMENT*

Published: 12/1957,  Volume: 12,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1957.tb04162.x  |  Cited by: 0

Edward S. Lynn

SALES OF GOVERNMENT SECURITIES TO FEDERAL RESERVE BANKS UNDER REPURCHASE AGREEMENTS

Published: 3/1954,  Volume: 9,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1954.tb01203.x  |  Cited by: 7

Edward C. Simmons

AN ECONOMIC ANALYSIS OF FINANCING AN INTERSTATE HIGHWAY SYSTEM*

Published: 3/1962,  Volume: 17,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1962.tb04260.x  |  Cited by: 0

Frederick Edward Kottke

THE HISTORY, ORGANIZATION, AND POLICIES OF THE BANK OF AMERICA NATIONAL TRUST AND SAVINGS ASSOCIATION*

Published: 12/1953,  Volume: 8,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1953.tb01191.x  |  Cited by: 0

Edward P. Shaw

Principal‐Agent Problems in S&L Salvage

Published: 7/1990,  Volume: 45,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1990.tb05104.x  |  Cited by: 87

EDWARD J. KANE

New legislation and traditional FDIC insolvency‐resolution procedures transform and intensify the principal‐agent problems most responsible for the FSLIC mess. These problems explain counterproductive constraints on the governance and operating policies of the agency responsible for rescuing and salvaging assets in insolvent thrifts: the RTC. The constraints slow insolvency resolution, increase interim financing costs, and undermine RTC recovery of asset value. Operationalizing its task as preserving evanescent and economically misconceived “franchise values,” the RTC allows insolvents to seek financing on an unconsolidated basis, initiates bidding for one institution at a time, holds back seriously troubled assets, and recruits an overly narrow range of bidders.

MONETARY POLICY AND SALES‐FINANCE AND SMALL‐LOAN COMPANIES' FUNDS, 1949–54*

Published: 12/1959,  Volume: 14,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1959.tb00149.x  |  Cited by: 0

Ray Edward Dawson

MONEY, PRICES AND OUTPUT

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01937.x  |  Cited by: 0

EDWARD F. RENSHAW

Market Incompleteness and Divergences Between Forward and Futures Interest Rates*

Published: 5/1980,  Volume: 35,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1980.tb02150.x  |  Cited by: 16

EDWARD J. KANE

THE INTERREGIONAL FLOW OF FUNDS IN THE UNITED STATES, 1955–58*

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04351.x  |  Cited by: 0

Edward J. Kane

BLACK BANKING—PROBLEMS AND PROSPECTS

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00906.x  |  Cited by: 1

Edward D. Irons

RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION

Published: 9/1977,  Volume: 32,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1977.tb03317.x  |  Cited by: 3101

Edward M. Miller