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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Optimal Financial Instruments
Published: 12/1991, Volume: 46, Issue: 5 | DOI: 10.1111/j.1540-6261.1991.tb04638.x | Cited by: 66
JAIME F. ZENDER
Debt and equity are developed as optimal financial instruments in a model where cash flows and control rights are allocated to investors endogenously. When investment decisions must be made by a single party, the debtholder's cash flows are fixed in order to provide the equityholder with efficient incentives for investment. Ownership of control may be transferred to the debtholder to attenuate the impact of asymmetric information, concerning the investment opportunity, on the efficiency of the decision making.
Back to the Beginning: Persistence and the Cross‐Section of Corporate Capital Structure
Published: 7/19/2008, Volume: 63, Issue: 4 | DOI: 10.1111/j.1540-6261.2008.01369.x | Cited by: 1360
MICHAEL L. LEMMON, MICHAEL R. ROBERTS, JAIME F. ZENDER
We find that the majority of variation in leverage ratios is driven by an unobserved time‐invariant effect that generates surprisingly stable capital structures: High (low) levered firms tend to remain as such for over two decades. This feature of leverage is largely unexplained by previously identified determinants, is robust to firm exit, and is present prior to the IPO, suggesting that variation in capital structures is primarily determined by factors that remain stable for long periods of time. We then show that these results have important implications for empirical analysis attempting to understand capital structure heterogeneity.
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
Published: 9/16/2005, Volume: 60, Issue: 5 | DOI: 10.1111/j.1540-6261.2005.00799.x | Cited by: 360
JAIME CASASSUS, PIERRE COLLIN‐DUFRESNE
We characterize a three‐factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time‐varying risk premia. Both may induce mean reversion in spot prices, albeit with very different economic implications. Empirical results show strong evidence for spot‐price level dependence in convenience yields for crude oil and copper, which implies mean reversion in prices under the risk‐neutral measure. Silver, gold, and copper exhibit time variation in risk premia that implies mean reversion of prices under the physical measure.
Term Structure Multiplicity and Clientele in Markets with Transactions Costs and Taxes
Published: 9/1988, Volume: 43, Issue: 4 | DOI: 10.1111/j.1540-6261.1988.tb02611.x | Cited by: 11
JAIME CUEVAS DERMODY, ELIEZER ZEEV PRISMAN
The authors investigate term structure with realistic transactions costs and taxes. Its properties are derived from a certain no‐arbitrage condition via duality theory in convex programming. Transactions costs imply an infinite multiplicity of term structures. A simple example with realistic transactions costs shows that this multiplicity can induce a valuation range of over 277 basis points. Transactions costs also allow equilibrium without short sale restrictions. The authors find the minimum transactions costs that prevent arbitrage. In addition, the exact conditions for weak clientele, in which investors will not buy some bonds and may not sell any that they already hold, are established.