The Journal of Finance

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

Published: 1/6/2011,  Volume: 66,  Issue: 1  |  DOI: 10.1111/j.1540-6261.2010.01630.x  |  Cited by: 277

DION BONGAERTS, FRANK DE JONG, JOOST DRIESSEN

We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short‐sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive‐net‐supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller. The effect of liquidity risk is significant but economically small.

WHAT SHOULD U.S. HOUSING POLICIES BE?

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03080.x  |  Cited by: 1

FRANK DE LEEUW

Going for Broke: Bank Reputation and the Performance of Opaque Securities

Published: 10/6/2025,  Volume: 80,  Issue: 6  |  DOI: 10.1111/jofi.13503  |  Cited by: 2

ABE DE JONG, TIM KOOIJMANS, PETER KOUDIJS

Can banks’ reputational concerns improve the quality of opaque, off‐balance sheet securities, such as mortgage‐backed securities? We study this question in a uniquely parsimonious setting. In the 1760s, Dutch banking partnerships securitized West‐Indian plantation mortgages that were risky and opaque. High‐reputation banks originated better mortgages and issued securities that, on average, retained 17.5% more of their value during a market collapse. Reputational effects are attenuated when the managing partners were married into wealth or received a large share of profits in the short term, suggesting that bank reputation only works if bankers are personally exposed to (long‐run) reputational losses.

FREE RESERVES, INTEREST RATES, AND DEPOSITS A SYNTHESIS

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00525.x  |  Cited by: 8

Patric H. Hendershott, Frank DE Leeuw

THE CHANNELS OF MONETARY POLICY: A FURTHER REPORT ON THE FEDERAL RESERVE—M.I.T. MODEL

Published: 5/1969,  Volume: 24,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1969.tb01681.x  |  Cited by: 5

Frank de Leeuw, Edward M. Gramlich

SECURITY AND INVESTMENT: MORE EVIDENCE

Published: 9/1970,  Volume: 25,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1970.tb00554.x  |  Cited by: 0

Frank Defelice

THE FOREIGN BRANCH OPERATIONS OF AMERICAN BANKS AND U.S. MONETARY CONTROL: A QUANTITATIVE ANALYSIS*

Published: 6/1971,  Volume: 26,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1971.tb01740.x  |  Cited by: 0

Frank Mastrapasqua

EARNINGS VARIABILITY, FINANCIAL STRUCTURE AND THE VALUE OF THE FIRM*

Published: 12/1964,  Volume: 19,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1964.tb02902.x  |  Cited by: 0

Ronald Frank Wippeen

EXCHANGE RATES: BOUND OR FREE?*

Published: 3/1949,  Volume: 4,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1949.tb02334.x  |  Cited by: 1

Frank D. Graham

THE DETERMINANTS OF THE DEGREE OF INSUFFICIENCY OF BANK CREDIT TO SMALL BUSINESS*

Published: 12/1963,  Volume: 18,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1963.tb01643.x  |  Cited by: 2

Frank Chifeng Jen

An Aggregate Model of the Credit Union Industry

Published: 5/1981,  Volume: 36,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1981.tb00472.x  |  Cited by: 19

Frank J. Navratil

AN INVESTIGATION INTO THE PROBLEM OF LOAN CONCENTRATION AND FUND MOBILITY WITHIN A BRANCH BANKING ORGANIZATION*

Published: 9/1955,  Volume: 10,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1955.tb01287.x  |  Cited by: 0

Frank L. Greenway

DISCUSSION

Published: 5/1969,  Volume: 24,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1969.tb01687.x  |  Cited by: 0

Frank C. Jen

UNITED STATES EXPERIENCE

Published: 5/1961,  Volume: 16,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1961.tb02815.x  |  Cited by: 0

Frank A. Southard

INVESTMENT POLICY AND PERFORMANCE OF BANK‐ADMINISTERED POOLED EQUITY FUNDS FOR EMPLOYEE BENEFIT PLANS*

Published: 9/1967,  Volume: 22,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1967.tb02992.x  |  Cited by: 0

Frank L. Voorheis

DISCUSSION

Published: 5/1970,  Volume: 25,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1970.tb00674.x  |  Cited by: 0

Frank C. Jen

FEDERAL REVENUES FROM TAXING MUNICIPALS

Published: 9/1961,  Volume: 16,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1961.tb02837.x  |  Cited by: 0

Henry J. Frank

Information Uncertainty and Stock Returns

Published: 1/20/2006,  Volume: 61,  Issue: 1  |  DOI: 10.1111/j.1540-6261.2006.00831.x  |  Cited by: 1565

X. FRANK ZHANG

There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.

EVIDENCE REGARDING A SEGMENTED STOCK MARKET*

Published: 6/1972,  Volume: 27,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1972.tb00987.x  |  Cited by: 4

Frank K. Reilly

IMPACT OF MONETARY POLICY ON STATE AND LOCAL GOVERNMENTS: AN EMPIRICAL STUDY

Published: 5/1960,  Volume: 15,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1960.tb00165.x  |  Cited by: 2

Frank E. Morris

DISCUSSION

Published: 6/1978,  Volume: 33,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1978.tb00766.x  |  Cited by: 0

Frank K. Reilly

THE NEW JERSEY PROPERTY TAX—SUBSTITUTE FOR STATE AID?*

Published: 9/1960,  Volume: 15,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1960.tb01605.x  |  Cited by: 0

Henry J. Frank

MONEY AND INCOME: THE VIEW FROM THE GOVERNMENT BUDGET RESTRAINT

Published: 9/1974,  Volume: 29,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1974.tb03091.x  |  Cited by: 2

Frank G. Steindl

GERMAN EXCHANGE CONTROL—1931–38*

Published: 3/1955,  Volume: 10,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1955.tb01568.x  |  Cited by: 0

Frank Clayton Child

THE BEHAVIOR OF INDIVIDUALS IN SECURITY INVESTMENT DECISIONS*

Published: 9/1970,  Volume: 25,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1970.tb00574.x  |  Cited by: 0

Frank R. Keller

NEGATIVE VIEW OF THE NEGATIVE MONEY MULTIPLIER: REPLY

Published: 12/1977,  Volume: 32,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1977.tb03382.x  |  Cited by: 0

Frank G. Steindl

A NOTE ON FINANCIAL ANALYST EVALUATION

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01391.x  |  Cited by: 1

Frank Mastrapasqua, Steven Bolten

Trading Activity and Price Volatility in the Municipal Bond Market

Published: 3/25/2004,  Volume: 59,  Issue: 2  |  DOI: 10.1111/j.1540-6261.2004.00652.x  |  Cited by: 100

Chris Downing, Frank Zhang

Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume–volatility relation in the municipal bond market. We find a positive relation between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a negative relation between average deal size and price volatility. These results are found to be robust throughout the sample. Our results are inconsistent with current theoretical models of the volume–volatility relation. These inconsistencies may arise because current models fail to account for the effects of overall market liquidity on the costs of large transactions.

Robust Inference for Consumption‐Based Asset Pricing

Published: 11/12/2019,  Volume: 75,  Issue: 1  |  DOI: 10.1111/jofi.12855  |  Cited by: 85

FRANK KLEIBERGEN, ZHAOGUO ZHAN

The reliability of traditional asset pricing tests depends on: (i) the correlations between asset returns and factors; (ii) the time series sample size T compared to the number of assets N . For macro‐risk factors, like consumption growth, (i) and (ii) are often such that traditional tests cannot be trusted. We extend the Gibbons‐Ross‐Shanken statistic to test identification of risk premia and construct their 95% confidence sets. These sets are wide or unbounded when T and N are close, but show that average returns are not fully spanned by betas when T exceeds N considerably. Our findings indicate when meaningful empirical inference is feasible.

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

Valuation of Safe Harbor Tax Benefit Transfer Leases

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02269.x  |  Cited by: 0

FRANK J. FABOZZI, UZI YAARI

PRICE, BETA, AND EXCHANGE LISTING

Published: 5/1973,  Volume: 28,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1973.tb01772.x  |  Cited by: 80

Marshall E. Blume, Frank Husic

Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Published: 6/2004,  Volume: 59,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2004.00662.x  |  Cited by: 1952

Werner Antweiler, Murray Z. Frank

Financial press reports claim that Internet stock message boards can move markets. We study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging Bull about the 45 companies in the Dow Jones Industrial Average and the Dow Jones Internet Index. Bullishness is measured using computational linguistics methods. Wall Street Journal news stories are used as controls. We find that stock messages help predict market volatility. Their effect on stock returns is statistically significant but economically small. Consistent with Harris and Raviv (1993) , disagreement among the posted messages is associated with increased trading volume.

ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION

Published: 5/1978,  Volume: 33,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1978.tb04861.x  |  Cited by: 36

Stanley J. Kon, Frank C. Jen

IMPUTED YIELDS OF A SINKING FUND BOND AND THE TERM STRUCTURE OF INTEREST RATES

Published: 12/1966,  Volume: 21,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1966.tb00275.x  |  Cited by: 8

Frank C. Jen, James E. Wert

THE EFFECT OF CALL RISK ON CORPORATE* BOND YIELDS

Published: 12/1967,  Volume: 22,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1967.tb00298.x  |  Cited by: 3

Frank C. Jen, James E. Wert

Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange

Published: 9/1997,  Volume: 52,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1997.tb01123.x  |  Cited by: 47

CHARLES CAO, HYUK CHOE, FRANK HATHEWAY

This article tests for differences in execution costs among specialist firms for New York Stock Exchange listed securities. Execution cost differences provide a measure of the relative performance of specialist firms. We find a substantial difference in effective spreads and order processing costs across specialist firms, controlling for stock characteristics. While economically significant, the differences in execution costs between specialist firms are much smaller than the cross‐market differences reported by Huang and Stoll (1996). Within a specialist firm, there is a positive relation between order processing costs and trading activity that is consistent with the hypothesis that active stocks subsidize inactive stocks.

Economies of Scale in Credit Unions: Further Evidence

Published: 6/1980,  Volume: 35,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1980.tb03497.x  |  Cited by: 30

JOHN D. WOLKEN, FRANK J. NAVRATIL

STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS

Published: 9/1977,  Volume: 32,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1977.tb03312.x  |  Cited by: 196

Frank J. Fabozzi, Jack Clark Francis

The Economic Impact of the Federal Credit Union Usury Ceiling

Published: 12/1981,  Volume: 36,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1981.tb01082.x  |  Cited by: 11

JOHN D. WOLKEN, FRANK J. NAVRATIL

This study measures the impact of the Federal credit union usury ceiling on consumer credit availability and loan rates. When binding, the ceiling keeps loan rates low, but it reduces credit union lending. There is also evidence that a binding loan rate ceiling affects the competitiveness of credit unions in the market for deposits. Although the Federal Credit Union Act specifically mandates federally chartered credit unions to be a source of low cost consumer credit and to promote thriftiness, it is not at all clear that the intent of the Act is served by a binding usury ceiling.

THE ASSOCIATION BETWEEN MARKET‐DETERMINED RISK MEASURES FOR BONDS AND BOND RATINGS*

Published: 12/1976,  Volume: 31,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1976.tb03220.x  |  Cited by: 8

Frank K. Reilly, Michael D. Joehnk

Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

Published: 12/1979,  Volume: 34,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1979.tb00069.x  |  Cited by: 86

FRANK J. FABOZZI, JACK C. FRANCIS

Price Discovery without Trading: Evidence from the Nasdaq Preopening

Published: 6/2000,  Volume: 55,  Issue: 3  |  DOI: 10.1111/0022-1082.00249  |  Cited by: 190

Charles Cao, Eric Ghysels, Frank Hatheway

This paper studies Nasdaq market makers' activities during the one and one‐half hour preopening period. Price discovery during the preopening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades, Nasdaq dealers use crossed and locked inside quotes to signal to other market makers which direction the price should move. Furthermore, we find evidence of price leadership among market makers that bears little resemblance to their IPO/SEO lead underwriter participation.

DISCUSSION

Published: 5/1955,  Volume: 10,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1955.tb01265.x  |  Cited by: 0

Raymond F. Mikesell, Frank A. Southard

AN ANALYTIC APPROACH TO SENSITIVITY ANALYSIS OF THE INTERNAL RATE OF RETURN MODEL

Published: 5/1978,  Volume: 33,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1978.tb04875.x  |  Cited by: 2

Frank S. T. Hsiao, W. James Smith

The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation

Published: 7/1993,  Volume: 48,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1993.tb04029.x  |  Cited by: 142

T. DANIEL COGGIN, FRANK J. FABOZZI, SHAFIQUR RAHMAN

This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta‐analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk‐adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.

Hedge Fund Activism, Corporate Governance, and Firm Performance

Published: 7/19/2008,  Volume: 63,  Issue: 4  |  DOI: 10.1111/j.1540-6261.2008.01373.x  |  Cited by: 1308

ALON BRAV, WEI JIANG, FRANK PARTNOY, RANDALL THOMAS

Using a large hand‐collected data set from 2001 to 2006, we find that activist hedge funds in the United States propose strategic, operational, and financial remedies and attain success or partial success in two‐thirds of the cases. Hedge funds seldom seek control and in most cases are nonconfrontational. The abnormal return around the announcement of activism is approximately 7%, with no reversal during the subsequent year. Target firms experience increases in payout, operating performance, and higher CEO turnover after activism. Our analysis provides important new evidence on the mechanisms and effects of informed shareholder monitoring.

Market Uncertainty and the Least‐Cost Offering Method of Public Utility Debt: A Note

Published: 9/1988,  Volume: 43,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1988.tb02620.x  |  Cited by: 1

FRANK J. FABOZZI, EILEEN MORAN, CHRISTOPHER K. MA

Holiday Trading in Futures Markets

Published: 3/1994,  Volume: 49,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1994.tb04432.x  |  Cited by: 45

FRANK J. FABOZZI, CHRISTOPHER K. MA, JAMES E. BRILEY

In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange‐closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange‐open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: The magnitude of excess holiday returns is the largest among all seasonal variations.

THE JOINT DETERMINATION OF PORTFOLIO AND TRANSACTION DEMANDS FOR MONEY

Published: 3/1974,  Volume: 29,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1974.tb00033.x  |  Cited by: 5

Andrew H. Y. Chen, Frank C. Jen, Stanley Zionts