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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A MODEL OF COMMERCIAL BANKING SYSTEM BEHAVIOR: AN ECONOMETRIC PREDICTIVE TEST*
Published: 9/1967, Volume: 22, Issue: 3 | DOI: 10.1111/j.1540-6261.1967.tb02986.x | Cited by: 0
John A. Doukas
The Effect of Corporate Multinationalism on Shareholders' Wealth: Evidence from International Acquisitions
Published: 12/1988, Volume: 43, Issue: 5 | DOI: 10.1111/j.1540-6261.1988.tb03962.x | Cited by: 401
JOHN DOUKAS, NICKOLAOS G. TRAVLOS
This study presents direct evidence on the effect of international acquisitions on stock prices of U.S. bidding firms. Shareholders of MNCs not operating in the target firm's country experience significant positive abnormal returns at the announcement of international acquisitions. Shareholders of U.S. firms expanding internationally for the first time experience insignificant positive abnormal returns, while shareholders of MNCs operating already in the target firm's country experience insignificant negative abnormal returns. The abnormal returns are larger when firms expand into new industry and geographic markets—especially those less developed than the U.S. economy. The evidence is consistent with the theory of corporate multinationalism, predicting an increase in the firm's market value from the expansion of its existing multinational network.
A Test of the Errors‐in‐Expectations Explanation of the Value/Glamour Stock Returns Performance: Evidence from Analysts' Forecasts
Published: 10/2002, Volume: 57, Issue: 5 | DOI: 10.1111/1540-6261.00491 | Cited by: 105
John A. Doukas, Chansog (Francis) Kim, Christos Pantzalis
Several empirical studies show that investment strategies that favor the purchase of stocks with low prices relative to conventional measures of value yield higher returns. Some of these studies imply that investors are too optimistic about (glamour) stocks that have had good performance in the recent past and too pessimistic about (value) stocks that have performed poorly. We examine whether investors systematically overestimate (underestimate) the future earnings performance of glamour (value) stocks over the 1976 to 1997 period. Our results fail to support the extrapolation hypothesis that posits that the superior performance of value stocks is because investors make systematic errors in predicting future growth in earnings of out‐of‐favor stocks.
What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns
Published: 3/1993, Volume: 48, Issue: 1 | DOI: 10.1111/j.1540-6261.1993.tb04700.x | Cited by: 381
JOHN Y. CAMPBELL, JOHN AMMER
This paper uses a vector autoregressive model to decompose excess stock and 10‐year bond returns into changes in expectations of future stock dividends, inflation, short‐term real interest rates, and excess stock and bond returns. In monthly postwar U.S. data, stock and bond returns are driven largely by news about future excess stock returns and inflation, respectively. Real interest rates have little impact on returns, although they do affect the short‐term nominal interest rate and the slope of the term structure. These findings help to explain the low correlation between excess stock and bond returns.
Top‐Management Compensation and Capital Structure
Published: 7/1993, Volume: 48, Issue: 3 | DOI: 10.1111/j.1540-6261.1993.tb04026.x | Cited by: 410
TERESA A. JOHN, KOSE JOHN
The interrelationship between top‐management compensation and the design and mix of external claims issued by a firm is studied. The optimal managerial compensation structures depend on not only the agency relationship between shareholders and management, but also the conflicts of interests which arise in the other contracting relationships for which the firm serves as a nexus. We analyze in detail the optimal management compensation for the cases when the external claims are (1) equity and risky debt, and (2) equity and convertible debt. In addition to the role of aligning managerial incentives with shareholder interests, managerial compensation in a
levered
firm also serves as a precommitment device to minimize the agency costs of debt. The optimal management compensation derived has
low
pay‐performance sensitivity. With convertible debt, instead of straight debt, the corresponding optimal managerial compensation has high pay‐to‐performance sensitivity. A
negative
relationship between pay‐performance sensitivity and leverage is derived. Our results provide a reconciliation of the puzzling evidence of Jensen and Murphy (
1990
) with agency theory. Other testable implications include (1) a relationship between the risk premium in corporate bond yields and top‐management compensation structures, and (2) the announcement effect of adoption of executive stock option plans on bond prices. The model yields implications for management compensation in banks and Federal Deposit Insurance reform. Our results explain the dynamics of top‐management compensation in firms going through financial distress and reorganization.
Evaluating and Comparing Projects: Simple Detection of False Alarms
Published: 12/1979, Volume: 34, Issue: 5 | DOI: 10.1111/j.1540-6261.1979.tb00068.x | Cited by: 11
JOHN W. PRATT, JOHN S. HAMMOND
Explaining the Poor Performance of Consumption‐based Asset Pricing Models
Published: 12/2000, Volume: 55, Issue: 6 | DOI: 10.1111/0022-1082.00310 | Cited by: 207
John Y. Campbell, John H. Cochrane
We show that the external habit‐formation model economy of Campbell and Cochrane (1999) can explain why the Capital Asset Pricing Model (CAPM) and its extensions are betterapproximate asset pricing models than is the standard onsumption‐based model. The model economy produces time‐varying expected eturns, tracked by the dividend–price ratio. Portfolio‐based models capture some of this variation in state variables, which a state‐independent function of consumption cannot capture. Therefore, though the consumption‐based model and CAPM are both perfect conditional asset pricing models, the portfolio‐based models are better approximate unconditional asset pricing models.
Asset Writedowns: Managerial Incentives and Security Returns
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04574.x | Cited by: 241
JOHN S. STRONG, JOHN R. MEYER
DISCUSSION
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00972.x | Cited by: 1
John Lintner
INFLATION AND SECURITY RETURNS*
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01809.x | Cited by: 66
John Lintner
MONETARY POLICY AND EXTERNAL SURPLUSES: THE GERMAN EXPERIENCE, 1955–61*
Published: 9/1963, Volume: 18, Issue: 3 | DOI: 10.1111/j.1540-6261.1963.tb02855.x | Cited by: 0
John Hein
WEALTH, WELFARE, AND THE PRICE OF RISK
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00970.x | Cited by: 12
John Long
Efficient Funds in a Financial Market with Options: a New Irrelevance Proposition
Published: 6/1981, Volume: 36, Issue: 3 | DOI: 10.1111/j.1540-6261.1981.tb00653.x | Cited by: 13
KOSE JOHN
Under the same assumptions that Ross used to assert the existence of an efficient fund (on which a spanning set of options can be written) we prove that almost any portfolio is an efficient fund. From a constructive point of view, a randomly chosen vector of portfolio weights yields an efficient fund. When the Ross assumptions are relaxed, a limited notion of efficiency‐maximal efficiency‐is the best attainable. The maximally efficient funds are also everywhere dense in the portfolio space. Some implications are discussed and illustrative examples given.
CORPORATE DEBT DECISIONS: A NEW ANALYTICAL FRAMEWORK
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03421.x | Cited by: 4
John Caks
THE COST OF CAPITAL AND OPTIMAL FINANCING OF CORPORATE GROWTH
Published: 5/1963, Volume: 18, Issue: 2 | DOI: 10.1111/j.1540-6261.1963.tb00725.x | Cited by: 44
John Lintner
Risk Adjusted Equity Performance Measurement
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03576.x | Cited by: 1
JOHN NAGORNIAK
The Case for Intervening in Bankers’ Pay
Published: 5/21/2012, Volume: 67, Issue: 3 | DOI: 10.1111/j.1540-6261.2012.01736.x | Cited by: 116
JOHN THANASSOULIS
This paper studies the default risk of banks generated by investment and remuneration pressures. Competing banks prefer to pay their banking staff in bonuses and not in fixed wages as risk sharing on the remuneration bill is valuable. Competition for bankers generates a negative externality, driving up market levels of banker remuneration and hence rival banks’ default risk. Optimal financial regulation involves an appropriately structured limit on the proportion of the balance sheet used for bonuses. However, stringent bonus caps are value destroying, default risk enhancing, and suboptimal for regulators who control only a small number of banks.
THE COUPON EFFECT ON YIELD TO MATURITY
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03245.x | Cited by: 24
John Caks
BANK RESERVE REQUIREMENTS AND HOW THEIR EFFECTIVENESS AS AN INSTRUMENT OF MONETARY CONTROL MAY BE ENHANCED*
Published: 3/1956, Volume: 11, Issue: 1 | DOI: 10.1111/j.1540-6261.1956.tb00690.x | Cited by: 0
John Livingston
A NOTE ON THE GIRO TRANSFER SYSTEM
Published: 12/1959, Volume: 14, Issue: 4 | DOI: 10.1111/j.1540-6261.1959.tb00145.x | Cited by: 6
John Hein
Nontransferable Interest‐Bearing National Debt
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03518.x | Cited by: 2
JOHN BRYANT
A NOTE ON THE USE OF INDEX CLAUSES ABROAD
Published: 12/1960, Volume: 15, Issue: 4 | DOI: 10.1111/j.1540-6261.1960.tb02768.x | Cited by: 0
John Hein
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
Published: 12/1965, Volume: 20, Issue: 4 | DOI: 10.1111/j.1540-6261.1965.tb02930.x | Cited by: 475
John Lintner
DISCUSSION
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00443.x | Cited by: 0
JOHN LINTNER
TOWARD A THEORY OF WORKING CAPITAL MANAGEMENT
Published: 5/1955, Volume: 10, Issue: 2 | DOI: 10.1111/j.1540-6261.1955.tb01259.x | Cited by: 24
John Sagan
Risk‐Shifting Incentives and Signalling Through Corporate Capital Structure
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04573.x | Cited by: 36
KOSE JOHN
This paper examines optimal corporate financing arrangements under asymmetric information for different patterns of temporal resolution of uncertainty in the underlying technology. An agency problem, a signalling problem and an agency‐signalling problem arise as special cases. The associated informational equilibria and the optimal financing arrangements are characterized and compared. In the agency‐signalling equilibrium the private information of corporate insiders at the time of financing is signalled through capital structure choices which deviate optimally from agency‐cost minimizing financing arrangements, which in turn induce risk‐shifting incentives in the investment policy. In the pure signalling case the equilibrium is characterized by direct contractual precommitments to implement investment policies which are riskier than pareto‐optimal levels. Empirical implications for debt covenants and the announcement effect of investment policies and leverage increasing transactions on existing stock and bond prices are explicitly derived.
Competition and Misconduct
Published: 4/12/2023, Volume: 78, Issue: 4 | DOI: 10.1111/jofi.13227 | Cited by: 18
JOHN THANASSOULIS
Misconduct is widespread. Practices such as misselling, pump and dump, and money laundering cause harm while raising profits. This paper presents a mechanism that can determine what sorts of misconduct can be sustained in competitive equilibrium in concentrated markets, oligopoly settings, and markets with many small competing firms. The model studied allows general demand and distinguishes types of ethical dilemma using current psychological understanding. The paper shows, for example, that markets with many small competing firms are not vulnerable to misconduct if firms respond to entry with niche strategies or if the ethical dilemma draws an emotional response.
The Volatility and Price Sensitivities of Managerial Stock Option Portfolios and Corporate Hedging
Published: 4/2002, Volume: 57, Issue: 2 | DOI: 10.1111/1540-6261.00442 | Cited by: 341
John D. Knopf, Jouahn Nam, John H. Thornton
We use estimates of the Black—Scholes sensitivity of managers' stock option portfolios to stock return volatility and the sensitivity of managers' stock and stock option portfolios to stock price to test the relationship between managers' risk preferences and hedging activities. We find that as the sensitivity of managers' stock and stock option portfolios to stock price increases, firms tend to hedge more. However, as the sensitivity of managers' stock option portfolios to stock return volatility increases, firms tend to hedge less.
DISCUSSION
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00508.x | Cited by: 0
John P. Shelton
THE INTERNATIONAL ECONOMIC POSITION OF MEXICO, 1900 TO 1949*
Published: 12/1952, Volume: 7, Issue: 4 | DOI: 10.1111/j.1540-6261.1952.tb02490.x | Cited by: 0
John William Simpson
THE AVAILABILITY OF CREDIT AND CORPORATE INVESTMENT*
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00541.x | Cited by: 0
John H. Hand
CONSUMER CREDIT INSURANCE IN NEBRASKA*
Published: 3/1960, Volume: 15, Issue: 1 | DOI: 10.1111/j.1540-6261.1960.tb04846.x | Cited by: 1
John B. Minick
Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach
Published: 4/1998, Volume: 53, Issue: 2 | DOI: 10.1111/0022-1082.235793 | Cited by: 331
John T. Scruggs
The existing empirical literature fails to agree on the nature of the intertemporal relation between risk and return. This paper attempts to resolve the issue by estimating a conditional two‐factor model motivated by Merton's intertemporal capital asset pricing model. When long‐term government bond returns are included as a second factor, thepartialrelation between the market risk premium and conditional market variance is found to be positive and significant. The paper also helps explain the convoluted empirical relation between the market risk premium, conditional market variance, and the nominal risk‐free rate previously reported in the literature.
A TIME SERIES ANALYSIS OF POST‐ACCORD INTEREST RATES: COMMENT
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03110.x | Cited by: 2
John E. Pippenger
RISK, RETURN AND THE COMPETITIVE STRUCTURE OF COMMERCIAL BANKING*
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00572.x | Cited by: 0
John Thomas Emery
A STRUCTURAL STUDY OF THE INCOME VELOCITY OF CIRCULATION
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03087.x | Cited by: 0
John M. Mason
THE EVEN KEEL POLICY OF THE FEDERAL RESERVE SYSTEM‐ORIGIN, DEFINITION, IMPLEMENTATION AND IMPORT*
Published: 6/1973, Volume: 28, Issue: 3 | DOI: 10.1111/j.1540-6261.1973.tb01402.x | Cited by: 0
John D. Markese
AN EXAMINATION OF THE YIELDS OF CORPORATE BONDS AND STOCKS: COMMENT
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03255.x | Cited by: 1
John S. McCallum
TIGHT MONEY AS A CAUSE OF INFLATION: COMMENT
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00599.x | Cited by: 2
John H. Hotson
PORTFOLIO THEORY AND THE PROBLEM OF FOREIGN EXCHANGE RISK
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04865.x | Cited by: 33
John H. Makin
DISCRIMINATION AMONG ECONOMIC MODELS: A BAYESIAN ANALYSIS WITH APPLICATION TO AGGREGATE DEMAND FOR MONEY*
Published: 3/1972, Volume: 27, Issue: 1 | DOI: 10.1111/j.1540-6261.1972.tb00640.x | Cited by: 0
John C. Wiginton
MONETARY POLICY AND THE PUBLIC DEBT*
Published: 12/1958, Volume: 13, Issue: 4 | DOI: 10.1111/j.1540-6261.1958.tb04228.x | Cited by: 0
John H. Kareken
THE ROLE OF SALES AND EXCISE TAXATION IN THE OVER‐ALL TAX STRUCTURE
Published: 5/1956, Volume: 11, Issue: 2 | DOI: 10.1111/j.1540-6261.1956.tb00702.x | Cited by: 0
John F. Due
CRITERIA OF “ADEQUATE” GOVERNMENTAL EXPENDITURE AND THEIR IMPLICATIONS
Published: 3/1951, Volume: 6, Issue: 1 | DOI: 10.1111/j.1540-6261.1951.tb04438.x | Cited by: 0
Alice John Vandermeulen
THE CAPITAL DECISION IN COMMERCIAL BANKS
Published: 6/1974, Volume: 29, Issue: 3 | DOI: 10.1111/j.1540-6261.1974.tb01483.x | Cited by: 24
John J. Pringle
Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
Published: 3/1991, Volume: 46, Issue: 1 | DOI: 10.1111/j.1540-6261.1991.tb03750.x | Cited by: 525
JOHN H. COCHRANE
This paper describes a production‐based asset pricing model. It is analogous to the standard consumption‐based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production‐based model is used to examine forecasts of stock returns by business‐cycle related variables and the association of stock returns with subsequent economic activity.
FRENCH MUTUAL FUND PERFORMANCE: EVALUATION OF INTERNATIONALLY‐DIVERSIFIED PORTFOLIOS
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01448.x | Cited by: 21
John G. McDonald
SOURCES OF CONSUMER CREDIT: INSTALMENT DEBT AMONG INSTITUTIONAL CREDITORS
Published: 12/1960, Volume: 15, Issue: 4 | DOI: 10.1111/j.1540-6261.1960.tb02767.x | Cited by: 0
John T. Croteau
Report on Helping C.I.S. Soviet Republics Finance Professionals Modernize
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04016.x | Cited by: 0
John Tepper Marlin
AMERICAN AND CANADIAN EXPERIENCE WITH THE SALES TAX*
Published: 9/1952, Volume: 7, Issue: 3 | DOI: 10.1111/j.1540-6261.1952.tb00097.x | Cited by: 0
John F. Due