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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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: 346
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.
Financial Intermediaries and Liquidity Creation
Published: 3/1990, Volume: 45, Issue: 1 | DOI: 10.1111/j.1540-6261.1990.tb05080.x | Cited by: 667
GARY GORTON, GEORGE PENNACCHI
Trading losses associated with information asymmetries can be mitigated by designing securities which split the cash flows of underlying assets. These securities, which can arise endogenously, have values that do not depend on the information known only to informed agents. Bank debt (deposits) is an example of this type of liquid security which protect relatively uninformed agents, and we provide a rationale for deposit insurance in this content. High‐grade corporate debt and government bonds are other examples, implying that a money market mutual fund‐based payments system may be an alternative to one based on insured bank deposits.
On Equilibrium When Contingent Capital Has a Market Trigger: A Correction to Sundaresan and Wang
Journal of Finance
(2015)
Published: 3/8/2019, Volume: 74, Issue: 3 | DOI: 10.1111/jofi.12762 | Cited by: 25
GEORGE PENNACCHI, ALEXEI TCHISTYI
This paper identifies an error in Sundaresan and Wang (2015, hereafter SW) that invalidates its Theorem 1. The paper develops a model of contingent capital (CC) with a stock price trigger that is consistent with SW's framework and yields closed‐form solutions for stock and CC prices. Yet, the model shows that unique stock price equilibria exist for a broader range of CC contractual terms than those required by SW. Specifically, when conversion terms benefit CC investors and penalize shareholders, a unique equilibrium can exist rather than the multiple equilibria stated in SW.
Bank Deposit Rate Clustering: Theory and Empirical Evidence
Published: 12/1999, Volume: 54, Issue: 6 | DOI: 10.1111/0022-1082.00185 | Cited by: 95
Charles Kahn, George Pennacchi, Ben Sopranzetti
Like security prices, retail deposit interest rates cluster around integers and “even” fractions. However, explanations for security price clustering are incompatible with deposit rate clustering. A theory based on the limited recall of retail depositors is proposed. It predicts that banks tend to set rates at integers and that rates are “sticky” at these levels. The propensity for integer rates increases with the level of wholesale interest rates and deposit market concentration. When banks set noninteger rates, rates are more likely to be just above, rather than just below, integers. The paper finds substantial empirical support for the theory's implications.
Corporate Taxes and Securitization
Published: 5/11/2015, Volume: 70, Issue: 3 | DOI: 10.1111/jofi.12157 | Cited by: 73
JOONGHO HAN, KWANGWOO PARK, GEORGE PENNACCHI
Most banks pay corporate income taxes, but securitization vehicles do not. Our model shows that, when a bank faces strong loan demand but limited deposit market power, this tax asymmetry creates an incentive to sell loans despite less‐efficient screening and monitoring of sold loans. Moreover, loan‐selling increases as a bank's corporate income tax rate and capital requirement rise. Our empirical tests show that U.S. commercial banks sell more of their mortgages when they operate in states that impose higher corporate income taxes. A policy implication is that tax‐induced loan‐selling will rise if banks’ required equity capital increases.
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
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04997.x | Cited by: 0
GEORGE TAUCHEN
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
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
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
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.
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
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
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.
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
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.
INTRODUCTION
Published: 5/1965, Volume: 20, Issue: 2 | DOI: 10.1111/j.1540-6261.1965.tb00201.x | Cited by: 0
George Garvy
THE POSTWAR QUALITY OF MUNICIPAL BONDS*
Published: 9/1965, Volume: 20, Issue: 3 | DOI: 10.1111/j.1540-6261.1965.tb02919.x | Cited by: 0
George H. Hempel
THE COST OF BANKING OPERATIONS: A STATISTICAL STUDY*
Published: 3/1964, Volume: 19, Issue: 1 | DOI: 10.1111/j.1540-6261.1964.tb00751.x | Cited by: 1
George J. Benston
CAPITAL BUDGETING, CIRCA 1915*
Published: 9/1965, Volume: 20, Issue: 3 | DOI: 10.1111/j.1540-6261.1965.tb02910.x | Cited by: 0
George A. Wing
DISCUSSION
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03065.x | Cited by: 1
George C. Pinches
DIVIDEND REMITTANCE BEHAVIOR WITHIN THE INTERNATIONAL FIRM: A THEORETICAL AND EMPIRICAL ANALYSIS*
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01332.x | Cited by: 0
George F. Kopits
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02248.x | Cited by: 0
GEORGE R. HALL
THE DYNAMICS OF CORPORATE DEBT MANAGEMENT*
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01764.x | Cited by: 0
George M. Frankfurter
Merton H. Miller
Published: 8/2001, Volume: 56, Issue: 4 | DOI: 10.1111/0022-1082.00362 | Cited by: 0
George M. Constantinides
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 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
MAJOR TRENDS IN THE MARKET FOR TAX‐EXEMPT SECURITIES*, 1
Published: 5/1954, Volume: 9, Issue: 2 | DOI: 10.1111/j.1540-6261.1954.tb01222.x | Cited by: 0
George E. Lent
DIRECT PLACEMENTS
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04448.x | Cited by: 0
George T. Conklin
RESIDENTIAL REAL ESTATE FINANCE IN THE 1960'S*†
Published: 5/1960, Volume: 15, Issue: 2 | DOI: 10.1111/j.1540-6261.1960.tb00166.x | Cited by: 0
W. George Pinnell
FINANCING CORPORATE MERGERS AND ACQUISITIONS WITH CONVERTIBLE PREFERRED STOCK*
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00334.x | Cited by: 0
George E. Pinches
Managerial Preference, Asymmetric Information, and Financial Structure
Published: 9/1987, Volume: 42, Issue: 4 | DOI: 10.1111/j.1540-6261.1987.tb03915.x | Cited by: 37
GEORGE W. BLAZENKO
If firm performance affects managers' wealth or reputation, preferences of managers dominate firms' financing decisions. When information about real asset investment is symmetric, managers finance exclusively with equity. If managers know more about asset quality than do investors and if managers are sufficiently risk averse, they signal high‐quality projects with debt. Increases in collateral value decrease risky debt use. Increases in interest rates that do not change productive opportunities increase debt use. The explanation for these and further results is based on underpricing of equity and overpricing of debt at the margin.
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
Rational Asset Prices
Published: 8/2002, Volume: 57, Issue: 4 | DOI: 10.1111/1540-6261.00471 | Cited by: 103
George M. Constantinides
The mean, covariability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean premium by introducing prior beliefs about the stationarity of the price–dividend ratio and the (non)forecastability of the long‐term dividend growth and price—dividend ratio. Recognition that idiosyncratic income shocks are uninsurable and concentrated in recessions contributes toward an explanation. Also borrowing constraints over the investors' life cycle that shift the stock market risk to the saving middle‐aged consumers contribute toward an explanation.
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
GRADUATED INTEREST RATE CEILINGS AND OPERATING COSTS BY SIZE OF SMALL CONSUMER CASH LOANS
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb01981.x | Cited by: 7
George J. Benston
A MICROECONOMIC APPROACH TO BANKING COMPETITION: COMMENT
Published: 6/1972, Volume: 27, Issue: 3 | DOI: 10.1111/j.1540-6261.1972.tb00997.x | Cited by: 3
George J. Benston
ON THE DEDUCTIBILITY OF CAPITAL LOSSES UNDER THE INCOME TAX
Published: 5/1952, Volume: 7, Issue: 2 | DOI: 10.1111/j.1540-6261.1952.tb01532.x | Cited by: 0
George F. Break
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
CORPORATE BOND MARKET
Published: 5/1961, Volume: 16, Issue: 2 | DOI: 10.1111/j.1540-6261.1961.tb02824.x | Cited by: 2
George T. Conklin
ECONOMIC ASPECTS OF REVENUE BOND FINANCING
Published: 5/1955, Volume: 10, Issue: 2 | DOI: 10.1111/j.1540-6261.1955.tb01268.x | Cited by: 0
George W. Mitchell
BUSINESS PROCEEDINGS, AMERICAN FINANCE ASSOCIATION
Published: 5/1959, Volume: 14, Issue: 2 | DOI: 10.1111/j.1540-6261.1959.tb01592.x | Cited by: 0
George E. Hassett
MARKET RISK ADJUSTMENT IN PROJECT VALUATION
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04870.x | Cited by: 139
George M. Constantinides
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
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 FISCAL HISTORY OF VIRGINIA FROM 1860 TO 1870*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04325.x | Cited by: 0
George Wood Jennings
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 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