The Journal of Finance

Default Risk in Futures Markets: The Customer‐Broker Relationship

Published: 7/1990,  Volume: 45,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1990.tb05112.x  |  Cited by: 14

JAMES V. JORDAN, GEORGE EMIR MORGAN

The traditional view of the futures clearinghouse as an insurer that eliminates the need for customers to evaluate default risk is inaccurate. A clearinghouse member default in 1985 confirms that the clearinghouse only guarantees payment from member to member, not from customer to customer or member to customer. Thus, non‐defaulting customers are subject to losses as a result of the action of individuals with whom thay have no contractual obligations. This study models the behavior of customers choosing a futures commission merchant (FCM) given the current legal position of the clearinghouse. In a single‐period model with symmetric information, customers can eliminate their exposure to defaults of other customers or of their FCM only by choosing to trade through “boutique” (undiversified) FCMs. In practice, monitoring and rebalancing costs may impede the attainment of zero default risk. However, FCM diversification remains an important factor in customer choice of an FCM. When setting capital requirements, clearinghouses and government regulators need to consider the implications of diversification for both customer and market protection.

Maturity Intermediation and Intertemporal Lending Policies of Financial Intermediaries

Published: 9/1987,  Volume: 42,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1987.tb03925.x  |  Cited by: 10

GEORGE EMIR MORGAN, STEPHEN D. SMITH

This paper considers the maturity intermediation and intertemporal lending decisions of risk‐averse financial intermediaries. In particular, the maturity mismatch problem and the fixed‐versus‐variable‐rate lending decision are modeled when the major source of risk involves uncertain future interest rates. The results imply that the strategy of matching the maturity of assets and liabilities is not generally optimal or even minimum risk. This is due primarily to the “built‐in” hedge that the intermediary has as a result of rolling over short‐term loans while continuing to finance long‐term loans. Intertemporal dependencies between loan demand and costs (or both) also have an effect on the optimal degree of maturity mismatching and provide one rationale for making loans at rates below current marginal cost.

Optimal Futures Positions for Large Banking Firms

Published: 3/1988,  Volume: 43,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1988.tb02596.x  |  Cited by: 21

GEORGE EMIR MORGAN, DILIP K. SHOME, STEPHEN D. SMITH

In this paper, we extend earlier work on hedging models so that uncertainty about both deposit supply and loan demand is incorporated as well as random rates of return on loans and CD's. Our model suggests that the optimal forward position is the sum of three ratios that should be estimated simultaneously. Using bank‐specific data, the optimal hedge ratios are estimated in both the pre‐deregulation and deregulation subperiods. Our results show that previous studies of bank hedging with interest rate futures have greatly overstated (a) the volume of short futures positions that banks should take and (b) the degree of homogeneity of optimal hedge ratios across the banking system. Similarly, deregulation has not uniformly affected the interest rate risk borne by different institutions.

CORPORATE DEBT AND THE EVALUATION OF CORPORATE EARNINGS*

Published: 3/1967,  Volume: 22,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1967.tb01668.x  |  Cited by: 0

Bruce W. Morgan

Dividends and Capital Asset Prices

Published: 9/1982,  Volume: 37,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1982.tb03599.x  |  Cited by: 24

I. G. MORGAN

Tax based dividend models of capital asset pricing assume that dividends are known at the time prices are set. Dividends which are announced and paid in the same month, and dividends which were expected but cancelled in the month constitute surprises which interfere with many empirical tests of the effects of expected dividend yield on returns. This paper avoids these problems by relating returns to forecasts of dividend yield obtained from past data.

GROUPING PROCEDURES FOR PORTFOLIO FORMATION

Published: 12/1977,  Volume: 32,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1977.tb03370.x  |  Cited by: 2

I. G. Morgan

THE EFFECT OF CASH BUYING AND CREDIT BUYING ON CONSUMER LIQUID SAVINGS*

Published: 3/1962,  Volume: 17,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1962.tb04251.x  |  Cited by: 0

Jacob Cohen, James N. Morgan

PROJECTING MARKET STRUCTURE BY MONTE CARLO SIMULATION: A STUDY OF BANK EXPANSION IN NEW JERSEY

Published: 12/1972,  Volume: 27,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1972.tb03027.x  |  Cited by: 0

George R. Juncker, George S. Oldfield

INTRODUCTION

Published: 5/1965,  Volume: 20,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1965.tb00201.x  |  Cited by: 0

George Garvy

OPEN MARKET OPERATIONS, THE RATE OF INTEREST, AND THE PRICE LEVEL: AN ESSAY IN THE PURE THEORY OF INTEREST AND MONEY*

Published: 12/1955,  Volume: 10,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1955.tb01302.x  |  Cited by: 0

George Horwich

Deposit Insurance and the Discount Window: Pricing under Asymmetric Information

Published: 6/1986,  Volume: 41,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1986.tb05047.x  |  Cited by: 19

GEORGE KANATAS

The risk‐sensitive pricing of deposit insurance and the discount window is determined in an environment where banks have private information concerning their financial conditions. The two facilities are managed jointly; an incentive‐compatible policy is designed such that banks' choice of terms at which they can obtain insurance and access to discount window credit will reveal their asset quality. The function of the discount window is to be a risk‐neutral “lender of last resort” to banks in a market dominated by risk‐averse depositors.

VALUATION PARAMETERS OF PROPERTY‐LIABILITY COMPANIES

Published: 6/1977,  Volume: 32,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1977.tb01991.x  |  Cited by: 12

George Foster

ELEMENTS OF TIMING AND RESPONSE IN THE BALANCE SHEET OF BANKING, 1953–55*

Published: 5/1957,  Volume: 12,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1957.tb04133.x  |  Cited by: 0

George Horwich

TIGHT MONEY, MONETARY RESTRAINT, AND THE PRICE LEVEL*

Published: 3/1966,  Volume: 21,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1966.tb02952.x  |  Cited by: 2

George Horwich

TIGHT MONEY AS A CAUSE OF INFLATION: REPLY

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00600.x  |  Cited by: 1

George Horwich

Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880–1940

Published: 12/1998,  Volume: 53,  Issue: 6  |  DOI: 10.1111/0022-1082.00090  |  Cited by: 208

George Bittlingmayer

Why does stock volatility increase when output declines? The theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though cause and effect are typically hard to separate, the transition from Imperial to Weimar Germany offers a natural experiment because major political events left clear traces on stock prices. Current and past increases in volatility are associated with output declines, consistent with U.S. experience. However, political events are more clearly the source of volatility, and the results support the view that the relationship between volatility and output reflects the joint effects of political factors.

THE LONG‐RUN EFFECTS UPON THE UNITED STATES OF THE INDUSTRIAL DEVELOPMENT OF THE FAR EAST*

Published: 12/1952,  Volume: 7,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1952.tb02488.x  |  Cited by: 0

George Rosen

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb04997.x  |  Cited by: 0

GEORGE TAUCHEN

Stock Returns, Real Activity, and the Trust Question

Published: 12/1992,  Volume: 47,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1992.tb04680.x  |  Cited by: 24

GEORGE BITTLINGMAYER

Periodic antitrust attacks on corporations may have influenced stock prices. For the period 1904 to 1944, each antitrust case filed is associated with a 0.5 to 1.9 percent drop of the Dow, and each unexpected case with even larger drops. Other aspects of antitrust besides actual filings may help account for other movements, in particular the 1929 Crash. Historical evidence bears on the question of whether antitrust is exogenous and also links antitrust and the “corporation problem.” These results illustrate the sorts of real factors aside from changes in concurrent output that may account for stock price volatility.

Externalities and Financial Reporting

Published: 5/1980,  Volume: 35,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1980.tb02183.x  |  Cited by: 47

GEORGE FOSTER

“IS THE FEDERAL RESERVE SYSTEM REALLY NECESSARY?”: COMMENT

Published: 9/1965,  Volume: 20,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1965.tb02913.x  |  Cited by: 1

George G. Kaufman

LAND DEVELOPMENT‐VALUE PROBLEMS AND THE TOWN AND COUNTRY PLANNING ACT OF 1947*

Published: 12/1955,  Volume: 10,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1955.tb01307.x  |  Cited by: 0

George G. Sause

A GENERAL GRANT FOR THE STATES: A CONSIDERATION OF ITS OBJECTIVES, JUSTIFICATION, AND EFFECTS*

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00946.x  |  Cited by: 0

George Paul Roniger

CONVERTIBILITY—THE CURRENT APPROACH*

Published: 5/1955,  Volume: 10,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1955.tb01262.x  |  Cited by: 0

George H. Willis

FINANCING WITH CONVERTIBLE PREFERRED STOCK, 1960–1967

Published: 3/1970,  Volume: 25,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1970.tb00413.x  |  Cited by: 2

George E. Pinches

BRANCH BANKING AND ECONOMIES OF SCALE

Published: 5/1965,  Volume: 20,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1965.tb00212.x  |  Cited by: 227

George J. Benston

Minutes of the Annual Membership Meeting December 29, 1959

Published: 5/1960,  Volume: 15,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1960.tb00174.x  |  Cited by: 0

George E. Hassett

RESPONSES OF SELECTED COMMERCIAL BANKS TO FEDERAL RESERVE POLICY, JANUARY, 1957, TO APRIL, 1959*

Published: 3/1963,  Volume: 18,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1963.tb01627.x  |  Cited by: 0

George G. Kaufman

AN EVALUATION OF MUNICIPAL “BANKRUPTCY” LAWS AND PROCEDURES

Published: 12/1973,  Volume: 28,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1973.tb01462.x  |  Cited by: 5

George H. Hempel

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05003.x  |  Cited by: 1

GEORGE M. CONSTANTINIDES

REVENUE SHARING: PRIORITIES AND POLICY INSTRUMENTS

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00800.x  |  Cited by: 0

George F. Break

PROPERTY TAXATION IN RELATION TO INVESTMENT IN URBAN AREAS

Published: 6/1951,  Volume: 6,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1951.tb04459.x  |  Cited by: 0

George W. Mitchell

FINANCING WITH CONVERTIBLE PREFERRED STOCK, 1960–1967: REPLY

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00598.x  |  Cited by: 0

George E. Pinches

DISCUSSION

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03065.x  |  Cited by: 1

George C. Pinches

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb04987.x  |  Cited by: 1

GEORGE M. CONSTANTINIDES

Minutes of the Annual Membership Meeting December 29, 1960

Published: 5/1961,  Volume: 16,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1961.tb02833.x  |  Cited by: 0

George E. Hassett

Loan Sales and the Cost of Bank Capital

Published: 6/1988,  Volume: 43,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1988.tb03945.x  |  Cited by: 347

GEORGE G. PENNACCHI

This paper considers a model where banks may improve the returns on loans by monitoring borrowers. Bank regulation, together with competitive deposit and equity financing, can give banks an incentive to sell loans, but the extent of their loan selling is limited by a moral‐hazard problem. A solution is given for the optimal design of the bank‐loan buyer contract that alleviates this moral‐hazard problem. An explanation is also given as to why some banks might buy loans and why loan sales volume has recently increased.

THE PROXIMATE IMPACT OF MONETARY POLICY ON FLOWS OF FUNDS THROUGH FINANCIAL INTERMEDIARIES*

Published: 9/1966,  Volume: 21,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1966.tb00263.x  |  Cited by: 0

William George Nelson

THE CAPITAL STRUCTURE IN AMERICAN BANKING

Published: 12/1954,  Volume: 9,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1954.tb01253.x  |  Cited by: 3

George Taylor Harris

Beatrice: A Study in the Creation and Destruction of Value

Published: 7/1992,  Volume: 47,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1992.tb04006.x  |  Cited by: 63

GEORGE P. BAKER

This paper chronicles the history of the Beatrice company from its founding in 1891 as a small creamery, through its growth by acquisition into a diversified consumer and industrial products firm, and its subsequent leveraged buyout and sell‐off. The paper analyzes the value consequences the firm's acquisition and divestiture policies, its organizational strategy, and its governance. The analysis sheds light on a number of issues in organization theory, strategy, and corporate finance, including the sources of value in diversifying aquisitions, the cost of over‐centralization and weak corporate governance, and the mechanisms of value creation in the market for corporate control.

RESIDENTIAL MORTGAGE LENDERS

Published: 3/1952,  Volume: 7,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1952.tb01522.x  |  Cited by: 1

George W. McKinney

AN ANALYSIS AND EVALUATION OF ALTERNATIVE RESERVE REQUIREMENT PLANS

Published: 12/1969,  Volume: 24,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1969.tb01697.x  |  Cited by: 2

George J. Benston

THE THEORETICAL VALUE OF A STOCK RIGHT

Published: 3/1955,  Volume: 10,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1955.tb01560.x  |  Cited by: 1

George Heberton Evans

DISCUSSION

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02248.x  |  Cited by: 0

GEORGE R. HALL

INTEREST RATES VERSUS INTEREST CEILINGS IN THE ALLOCATION OF CREDIT FLOWS

Published: 5/1967,  Volume: 22,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1967.tb00012.x  |  Cited by: 0

George W. Mitchell

FEDERAL TAXING AND SPENDING IN VIRGINIA: A QUANTITATIVE STUDY

Published: 3/1951,  Volume: 6,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1951.tb04446.x  |  Cited by: 0

George W. McKinney

“A MULTIVARIATE ANALYSIS OF INDUSTRIAL BOND RATINGS” AND THE ROLE OF SUBORDINATION: REPLY

Published: 3/1978,  Volume: 33,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1978.tb03412.x  |  Cited by: 5

George E. Pinches

COMMERCIAL BANK PRICE DISCRIMINATION AGAINST SMALL LOANS: AN EMPIRICAL STUDY*

Published: 12/1964,  Volume: 19,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1964.tb02889.x  |  Cited by: 0

George J. Benston

SEASONAL MOVEMENTS IN THE FLOW OF FUNDS*

Published: 3/1965,  Volume: 20,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1965.tb00198.x  |  Cited by: 0

George J. Viksnins

A FURTHER NOTE ON TIME DEPOSIT INTEREST RATES

Published: 3/1959,  Volume: 14,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1959.tb00488.x  |  Cited by: 0

George R. Morrison