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: 393
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: 370
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: 407
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.
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: 239
JOHN S. STRONG, JOHN R. MEYER
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: 203
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.
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: 437
John Lintner
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
INFLATION AND SECURITY RETURNS*
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01809.x | Cited by: 64
John Lintner
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: 33
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.
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
Competition and Misconduct
Published: 4/12/2023, Volume: 78, Issue: 4 | DOI: 10.1111/jofi.13227 | Cited by: 17
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.
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
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
DISCUSSION
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00972.x | Cited by: 1
John Lintner
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: 35
John Lintner
DISCUSSION
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00443.x | Cited by: 0
JOHN LINTNER
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: 23
John Caks
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
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: 23
John Sagan
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.
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
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.
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
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: 335
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
“STRICT” RANDOM WALKS: A FRAMEWORK FOR RESEARCH
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00384.x | Cited by: 0
John Michael Murphy
SOME THEORETICAL AND EMPIRICAL CONSIDERATIONS RELATIVE TO THE TERM STRUCTURE OF INTEREST RATES*
Published: 9/1969, Volume: 24, Issue: 4 | DOI: 10.1111/j.1540-6261.1969.tb00403.x | Cited by: 0
John A. Naylor
RISK IN THE EVALUATION OF PENSION FUND PERFORMANCE
Published: 12/1969, Volume: 24, Issue: 5 | DOI: 10.1111/j.1540-6261.1969.tb01718.x | Cited by: 0
John Michael Murphy
Signaling and Takeover Deterrence with Stock Repurchases: Dutch Auctions versus Fixed Price Tender Offers
Published: 9/1994, Volume: 49, Issue: 4 | DOI: 10.1111/j.1540-6261.1994.tb02458.x | Cited by: 34
JOHN C. PERSONS
This article presents a model of repurchase tender offers in which firms choose between the Dutch auction method and the fixed price method. Dutch auction repurchases are more effective takeover deterrents, while fixed price repurchases are more effective signals of undervaluation. The model yields empirical implications regarding price effects of repurchases, likelihood of takeover, managerial compensation, and cross‐sectional differences in the elasticity of the supply curve for shares.
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02177.x | Cited by: 0
John J. McConnell
CAPITAL APPROPRIATIONS AND BUSINESS FIXED INVESTMENT IN MANUFACTURING: AN ECONOMETRIC ANALYSIS*
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00374.x | Cited by: 0
John C. Hambor
MONETARY POLICY AND THE FORWARD EXCHANGE MARKET
Published: 12/1961, Volume: 16, Issue: 4 | DOI: 10.1111/j.1540-6261.1961.tb04236.x | Cited by: 1
John H. Auten
Estimating the Strategic Value of Long‐Term Forward Purchase Contracts Using Auction Models
Published: 9/1989, Volume: 44, Issue: 4 | DOI: 10.1111/j.1540-6261.1989.tb02634.x | Cited by: 3
JOHN E. PARSONS
We demonstrate how an auction model can be used in a traditional capital budgeting context to assign a value to the strategic advantage of long‐term forward contracts. Research in the field of industrial organization has pointed to the danger of ex post opportunistic bargaining as a motivation for the use of forward contracts in natural resources and manufactured products, but no operational procedure exists for estimating the value secured by these contracts. Arbitrage methods for valuing forward contracts assume a competitive market in which the factors creating the bargaining problem and motivating the use of long‐term contracts are not present. Use of the model is illustrated in the case of take‐or‐pay contracts for natural gas.
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
MORTGAGE COMPANIES: A FINANCIAL MODEL AND EVALUATION OF THEIR RESIDENTIAL REAL ESTATE LENDING ACTIVITIES*
Published: 9/1975, Volume: 30, Issue: 4 | DOI: 10.1111/j.1540-6261.1975.tb01040.x | Cited by: 0
John J. McConnell
ALLOCATION OF MULTISTATE INCOME UNDER STATE CORPORATE NET INCOME TAXES*
Published: 9/1958, Volume: 13, Issue: 3 | DOI: 10.1111/j.1540-6261.1958.tb04211.x | Cited by: 0
John Alwyn Wilkie
A STATISTICAL ANALYSIS OF MEMBER BANK PROFITABILITY DIFFERENCES*
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00308.x | Cited by: 0
John A. Haslem
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
REGULATORY INFLUENCE ON BANK CAPITAL INVESTMENT
Published: 9/1975, Volume: 30, Issue: 4 | DOI: 10.1111/j.1540-6261.1975.tb01026.x | Cited by: 36
John J. Mingo
A Mean‐Variance Benchmark for Intertemporal Portfolio Theory
Published: 1/7/2014, Volume: 69, Issue: 1 | DOI: 10.1111/jofi.12099 | Cited by: 80
JOHN H. COCHRANE
Mean‐variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have nonmarketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuity—the risk‐free payoff—and a long‐run mean‐variance efficient payoff. “Long‐run” moments sum over time as well as states of nature. In equilibrium, long‐run expected returns vary with long‐run market betas and outside‐income betas. State‐variable hedges do not appear.
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
THE EXISTENCE OF ECONOMIES OF STRUCTURE AND OF SCALE IN COMMERCIAL BANKING*
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00837.x | Cited by: 0
John A. Powers
SOME ASPECTS OF THE PERFORMANCE OF NON‐CONVERTIBLE PREFERRED STOCKS
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01450.x | Cited by: 12
John S. Bildersee
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: 328
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.
THEORIES OF INFLATION AND CONSUMER INSTALMENT CREDIT*
Published: 9/1960, Volume: 15, Issue: 3 | DOI: 10.1111/j.1540-6261.1960.tb01607.x | Cited by: 0
John R. Kreidle
A COST STUDY OF OHIO CREDIT UNIONS*
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00605.x | Cited by: 1
John J. Dran