The Journal of Finance

DISCUSSION

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04522.x  |  Cited by: 2

JAMES N. BODURTHA

Efficiency Tests of the Foreign Currency Options Market

Published: 3/1986,  Volume: 41,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1986.tb04496.x  |  Cited by: 36

JAMES N. BODURTHA, GEORGES R. COURTADON

Based on a new options transactions data base from the Philadelphia Stock Exchange Foreign Currency Options Market, this paper examines the importance of the effect of nonsynchronous prices and transaction costs on the usual option market efficiency tests. The tests conducted are based on the transaction cost adjusted early exercise and put‐call parity pricing boundaries applicable to the American foreign currency options market. The test results show that the put‐call parity boundary tests are sensitive to both nonsynchronous prices and transaction costs. The early exercise boundary tests are sensitive to transaction costs but are not very sensitive to simultaneity of the option price and the underlying spot price. Under the no‐transaction costs scenario, a large number of early exercise boundary violations is found even when simultaneous spot and option prices are used. These violations disappear when actual transaction costs are taken into account.

Testing the CAPM with Time‐Varying Risks and Returns

Published: 9/1991,  Volume: 46,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1991.tb04627.x  |  Cited by: 59

JAMES N. BODURTHA, NELSON C. MARK

This paper draws on Engle's autoregressive conditionally heteroskedastic modeling strategy to formulate a conditional CAPM with time‐varying risk and expected returns. The model is estimated by generalized method of moments. A CAPM that allows mean excess returns to shift in January survives generalized method of moments specification tests for a number of omitted variables. However, a residual dividend yield component is found to remain in the excess returns of smaller firms. We find significant monthly and quarterly components in the risk premia and beta estimates.

On Determination of Stochastic Dominance Optimal Sets

Published: 6/1985,  Volume: 40,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1985.tb04965.x  |  Cited by: 86

VIJAY S. BAWA, JAMES N. BODURTHA, M. R. RAO, HIRA L. SURI

Applying Fishburn's [4] conditions for convex stochastic dominance, exact linear programming algorithms are proposed and implemented for assigning discrete return distributions into the first‐ and second‐order stochastic dominance optimal sets. For third‐order stochastic dominance, a superconvex stochastic dominance approach is defined which allows classification of choice elements into superdominated, mixed, and superoptimal sets. For a choice set of 896 security returns treated previously in the literature, 454, 25, and 13 distributions are in the first‐, second‐, and third‐order convex stochastic dominance optimal sets, respectively. These optimal sets compare with admissible first‐, second‐, and third‐order stochastic dominance sets of 682, 35, and 19 distributions, respectively.The applicability of superconvex stochastic dominance for continuous distributions defined over a bounded interval is then shown. The difficulties in identifying the elements of the superdominated set for distributions defined over the entire real line are demonstrated in the determination of the dominated choices for a set of normally distributed mutual fund returns previously examined by Meyer [9]. Specifically, we find that the dominated set determined by Meyer is too large.

The Effect of Voluntary Spin‐off Announcements on Shareholder Wealth

Published: 12/1983,  Volume: 38,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1983.tb03843.x  |  Cited by: 174

JAMES A. MILES, JAMES D. ROSENFELD

This paper presents estimates of the effect of a voluntary spin‐off announcement on shareholder wealth. The results show that spin‐off announcements have a positive influence on stock prices and that the relative increase in share price is greater for large spin‐offs than for small ones.

IS THE “NEUTRALIZED MONEY STOCK” UNBIASED?*: COMMENT

Published: 12/1976,  Volume: 31,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1976.tb03231.x  |  Cited by: 0

James R. Barth, James T. Bennett

The Losses Realized in Bank Failures

Published: 9/1991,  Volume: 46,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1991.tb04616.x  |  Cited by: 303

CHRISTOPHER JAMES

This paper examines the losses realized in bank failures. Losses are measured as the difference between the book value of assets and the recovery value net of the direct expenses associated with the failure. I find the loss on assets is substantial, averaging 30 percent of the failed bank's assets. Direct expenses associated with bank closures average 10 percent of assets. An empirical analysis of the determinants of these losses reveals a significant difference in the value of assets retained by the FDIC and similar assets assumed by acquiring banks.

SOME FINANCIAL ASPECTS OF THE CANADIAN GOVERNMENT HOUSING PROGRAM: HISTORY AND PROSPECTIVE DEVELOPMENTS*

Published: 3/1953,  Volume: 8,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1953.tb01133.x  |  Cited by: 0

James Gillies

BOOKS RECEIVED

Published: 3/1962,  Volume: 17,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1962.tb04263.x  |  Cited by: 0

James Gillies

BOOKS RECEIVED

Published: 12/1963,  Volume: 18,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1963.tb01647.x  |  Cited by: 0

James Gillies

BOOKS RECEIVED

Published: 9/1962,  Volume: 17,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1962.tb04331.x  |  Cited by: 0

James Gillies

DOMESTIC POLICY OBJECTIVES AND THE BALANCE OF PAYMENTS

Published: 5/1966,  Volume: 21,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1966.tb00234.x  |  Cited by: 3

James Duesenberry

Bank Debt Restructurings and the Composition of Exchange Offers in Financial Distress

Published: 6/1996,  Volume: 51,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1996.tb02700.x  |  Cited by: 68

CHRISTOPHER JAMES

This article examines the relation between bank debt forgiveness and the structure of public debt exchange offers in financial distress. I find that the structure of exchange offers and the likelihood of an offer's success are significantly related to whether the bank participates in the restructuring transaction. Exchange offers made in conjunction with bank concessions are characterized by significantly greater reductions in public debt outstanding and significantly less senior debt offered to bondholders. Overall, the results suggest that the structure of a firm's public and private claims significantly affects the firm's ability to modify its capital structure in financial distress.

Relationship‐Specific Assets and the Pricing of Underwriter Services

Published: 12/1992,  Volume: 47,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1992.tb04686.x  |  Cited by: 98

CHRISTOPHER JAMES

This paper investigates the effect of setup costs on the pricing of investment banking services. The existence of setup costs is predicted to result in lower underwriter spreads in IPOs for firms that are expected to issue again. Consistent with this prediction, I find significantly lower spreads for firms that make subsequent issues. I also find that a firm's likelihood of changing underwriters in a subsequent offer is related to the time between offerings and the underwriter's pricing performance in the IPO. These results suggest that the deviations from optimal IPO pricing carry a penalty for the underwriter.

BOOKS RECEIVED

Published: 12/1961,  Volume: 16,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1961.tb04243.x  |  Cited by: 0

James Gillies

THE BURDEN OF THE PUBLIC DEBT: A REVIEW ARTICLE

Published: 12/1965,  Volume: 20,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1965.tb02936.x  |  Cited by: 16

James Tobin

BOOKS RECEIVED

Published: 3/1963,  Volume: 18,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1963.tb01633.x  |  Cited by: 0

James Gillies

The Effect of Common‐Stock Dividend Reductions on the Returns of Nonconvertible Preferred Stocks: A Note

Published: 6/1983,  Volume: 38,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1983.tb02517.x  |  Cited by: 2

JAMES ROSENFELD

An Analysis of Bank Loan Rate Indexation

Published: 6/1982,  Volume: 37,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1982.tb02225.x  |  Cited by: 13

CHRISTOPHER JAMES

This paper examines the economic rationale for the use of bank loan commitments and the effect on the allocation of bank credit of indexing the loan rate offered through the commitment to the prime. A simple model of the loan market is constructed and used to examine the effect changes in loan demand and the cost of bank funds have on the allocation of bank credit under indexation. It is shown that indexing implies changes in the relative cost of borrowing for certain groups of bank customers. For nonprime customers, an increase in the cost of bank funds results in a decline in the relative cost of borrowing under commitments. The pattern of commitment use is found to be consistent with the predictions of the model.

REPLY

Published: 9/1966,  Volume: 21,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1966.tb00257.x  |  Cited by: 0

James Tobin

Agency Costs and Ownership Structure

Published: 2/2000,  Volume: 55,  Issue: 1  |  DOI: 10.1111/0022-1082.00201  |  Cited by: 1853

James S. Ang, Rebel A. Cole, James Wuh Lin

We provide measures of absolute and relative equity agency costs for corporations under different ownership and management structures. Our base case is Jensen and Meckling's (1976) zero agency‐cost firm, where the manager is the firm's sole shareholder. We utilize a sample of 1,708 small corporations from the FRB/NSSBF database and find that agency costs (i) are significantly higher when an outsider rather than an insider manages the firm; (ii) are inversely related to the manager's ownership share; (iii) increase with the number of nonmanager shareholders, and (iv) to a lesser extent, are lower with greater monitoring by banks.

Theory and Behavior of Multiple Unit Discriminative Auctions

Published: 9/1984,  Volume: 39,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1984.tb03888.x  |  Cited by: 44

JAMES C. COX, VERNON L. SMITH, JAMES M. WALKER

This paper reports the results of controlled experiments designed to test the Harris‐Raviv generalization of the Vickrey theory of bidding in multiple unit discriminative auctions. The paper also discusses further development of the theory—in a way suggested by the experimental results—to include bidders with distinct risk preferences.

PRICE‐EXPECTATIONS EFFECTS ON INTEREST RATES: COMMENT*

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01395.x  |  Cited by: 1

James F. McCollum

THE STIMULATORY EFFECT OF GRANTS‐IN‐AID*

Published: 12/1969,  Volume: 24,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1969.tb01715.x  |  Cited by: 0

James A. Wilde

ON THE THEORY OF CONGLOMERATE MERGERS

Published: 9/1977,  Volume: 32,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1977.tb03323.x  |  Cited by: 61

James H. Scott

THE ORGANIZATION STRUCTURE OF COMMERCIAL BANKS*

Published: 9/1959,  Volume: 14,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1959.tb00130.x  |  Cited by: 0

James B. Boulden

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb04999.x  |  Cited by: 0

JAMES D. MACBETH

100% MARGINS: COMBATING SPECULATION IN INDIVIDUAL SECURITY ISSUES

Published: 9/1973,  Volume: 28,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1973.tb01419.x  |  Cited by: 23

James A. Largay

DETERMINANTS OF TERM PREMIUMS IN THE MARKET FOR UNITED STATES TREASURY BILLS

Published: 12/1975,  Volume: 30,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1975.tb01058.x  |  Cited by: 6

James E. Pesando

A SPECTRAL ANALYSIS OF CYCLICAL FLUCTUATIONS IN MONEY AND BUSINESS*

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00938.x  |  Cited by: 0

James T. Bennett

Investment Risk, Bankruptcy Risk, and Pension Reform in Canada

Published: 6/1982,  Volume: 37,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1982.tb02220.x  |  Cited by: 5

JAMES E. PESANDO

The wealth redistributive effects of retroactive termination insurance together with the difficulty of determining insurance premiums suggest that an alternative response, such as improved disclosure of worker benefits in the event of plan wind‐up, may be preferred if the government remains concerned about the security of benefits in underfunded plans. Members of money purchase plans may well be less subject to investment risk than members of defined benefit plans, contrary to the claim of many. In Canada, defined benefit plans appear to have been transformed into defined benefit/money purchase hybrids, and this has several important implications.

ON CORPORATE DEBT MATURITY STRATEGIES

Published: 3/1976,  Volume: 31,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1976.tb03193.x  |  Cited by: 186

James R. Morris

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03664.x  |  Cited by: 0

JAMES L. BICKSLER

AN APPROACH TO THE ANALYSIS OF THE DIFFERENTIAL EFFECTS OF MONETARY POLICY*

Published: 3/1967,  Volume: 22,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1967.tb01663.x  |  Cited by: 0

James W. Christian

BOOKS RECEIVED

Published: 9/1963,  Volume: 18,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1963.tb02863.x  |  Cited by: 0

James M. Gillies

MERGERS, ANTITRUST LAW ENFORCEMENT AND STOCKHOLDER RETURNS

Published: 5/1976,  Volume: 31,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1976.tb01916.x  |  Cited by: 107

James C. Ellert

DISCUSSION

Published: 2/1948,  Volume: 3,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1948.tb01013.x  |  Cited by: 1

James K. Hall

THE EFFECT OF AN ACTIVE MARKET IN FEDERAL FUNDS ON THE TRANSMISSION OF MONETARY POLICY*

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00882.x  |  Cited by: 0

James Murray Boughton

DEFAULT RISK AND THE LOAN MARKET*

Published: 12/1960,  Volume: 15,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1960.tb02780.x  |  Cited by: 0

James P. Quirk

A POSITIVE PROGRAM FOR FEDERAL DEBT MANAGEMENT*

Published: 9/1953,  Volume: 8,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1953.tb01179.x  |  Cited by: 0

James B. Ludtke

THE DEMAND FUNCTIONS OF THE HOUSEHOLD SECTOR FOR FINANCIAL ASSETS: AN ECONOMETRIC STUDY*

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00943.x  |  Cited by: 0

James V. Koch

DISCUSSION

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04531.x  |  Cited by: 0

JAMES A. BRICKLEY

Additional Evidence on the Relation Between Divestiture Announcements and Shareholder Wealth

Published: 12/1984,  Volume: 39,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1984.tb04916.x  |  Cited by: 140

JAMES D. ROSENFELD

This paper presents estimates of the effect of voluntary divestiture announcements on shareholder wealth. The results show that both spin‐off and sell‐off announcements tend to have a positive influence on the stock prices of the divesting firms, and that the spin‐offs “outperform” the sell‐offs on the day of the event. We also find that the economic gains to the shareholders of the selling and acquiring firms are nearly identical, suggesting that the sell‐off decision is perceived by both investor groups as a positive net present value (NPV) transaction.

THE INTEREST SENSITIVITY OF THE FLOW OF FUNDS THROUGH LIFE INSURANCE COMPANIES: AN ECONOMETRIC ANALYSIS

Published: 9/1974,  Volume: 29,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1974.tb03089.x  |  Cited by: 29

James E. Pesando

Competition on the Nasdaq and the Impact of Recent Market Reforms

Published: 12/2000,  Volume: 55,  Issue: 6  |  DOI: 10.1111/0022-1082.00300  |  Cited by: 120

James P. Weston

This paper examines the effect of recent market reforms on the competitive structure of the Nasdaq. Our results show that changes in inventory and information costs cannot explain the post‐reform decrease in bid‐ask spreads. We interpret this as evidence that the reforms have reduced Nasdaq dealers' rents. Additionally, we find that the difference between NYSE and Nasdaq spreads have been greatly diminished with the new rules. Further, the reforms have resulted in an exit, ceteris paribus , from the industry for market making. Overall, our results provide strong evidence that the reforms have improved competition on the Nasdaq.

THE TWO FACES OF BOND REFUNDING

Published: 6/1975,  Volume: 30,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1975.tb01856.x  |  Cited by: 9

James S. Ang

THE DEVELOPMENT OF A GENERAL QUASI‐REORGANIZATION CONCEPT*

Published: 9/1956,  Volume: 11,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1956.tb00113.x  |  Cited by: 0

James S. Schindler

PROCESS OF ECONOMIC ADAPTATION IN A WORLD WAR II NEUTRAL: A CASE STUDY OF SWEDEN*

Published: 9/1961,  Volume: 16,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1961.tb02841.x  |  Cited by: 0

Daniel James Edwards

THE REPETITIVE BIDDING PROCESS IN MUNICIPAL BOND UNDERWRITING, A CHANCE‐CONSTRAINED PROGRAMMING APPROACH*

Published: 9/1974,  Volume: 29,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1974.tb03112.x  |  Cited by: 0

James Michael Kelly

DISCUSSION

Published: 5/1976,  Volume: 31,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1976.tb01884.x  |  Cited by: 0

James L. Bicksler