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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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: 57
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: 85
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: 173
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
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: 12/1961, Volume: 16, Issue: 4 | DOI: 10.1111/j.1540-6261.1961.tb04243.x | Cited by: 0
James Gillies
The Losses Realized in Bank Failures
Published: 9/1991, Volume: 46, Issue: 4 | DOI: 10.1111/j.1540-6261.1991.tb04616.x | Cited by: 294
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: 3/1963, 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.
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
REPLY
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00257.x | Cited by: 0
James Tobin
BOOKS RECEIVED
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04331.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: 15
James Tobin
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: 67
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: 96
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.
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
A MODEL OF STATE AND LOCAL GOVERNMENT PORTFOLIO AND REAL‐EXPENDITURE BEHAVIOR: 1952–1965*
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00538.x | Cited by: 0
James A. Chalmers
THE EQUAL CREDIT OPPORTUNITY ACT OF 1974: A COST/BENEFIT ANALYSIS
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03298.x | Cited by: 9
James F. Smith
THE CHANGING ROLE OF BANKS IN THE MARKET FOR EQUITIES
Published: 5/1965, Volume: 20, Issue: 2 | DOI: 10.1111/j.1540-6261.1965.tb00216.x | Cited by: 1
A. James Meigs
ASPECTS OF INSTRUMENT/TARGET LINKS IN CANADIAN MONETARY POLICY*
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00047.x | Cited by: 0
James W. Dean
ANNOUNCEMENT
Published: 9/1959, Volume: 14, Issue: 3 | DOI: 10.1111/j.1540-6261.1959.tb00137.x | Cited by: 0
James J. O'Leary
Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange
Published: 3/1979, Volume: 34, Issue: 1 | DOI: 10.1111/j.1540-6261.1979.tb02078.x | Cited by: 52
JAMES L. HAMILTON
ON THE THEORY OF CONGLOMERATE MERGERS
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03323.x | Cited by: 58
James H. Scott
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: 173
James R. Morris
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 Forecasting Long‐Term Interest Rates: Is the Success of the No‐Change Prediction Surprising?
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03521.x | Cited by: 4
JAMES E. PESANDO
A FURTHER ANALYSIS OF THE OBJECTIVES OF AMERICAN MONETARY POLICY
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00820.x | Cited by: 10
James W. Christian
REGIONAL DIFFERENCES IN MORTGAGE FINANCING COSTS: A REEXAMINATION
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03372.x | Cited by: 13
James R. Ostas
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
Agency Costs and Ownership Structure
Published: 2/2000, Volume: 55, Issue: 1 | DOI: 10.1111/0022-1082.00201 | Cited by: 1792
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.
THE OUTLOOK FOR THE BOND MARKET
Published: 5/1963, Volume: 18, Issue: 2 | DOI: 10.1111/j.1540-6261.1963.tb00734.x | Cited by: 0
James J. O'Leary
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: 136
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: 22
James E. Pesando