The Journal of Finance

Liquidity, Information, and Infrequently Traded Stocks

Published: 9/1996,  Volume: 51,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1996.tb04074.x  |  Cited by: 1253

DAVID EASLEY, NICHOLAS M. KIEFER, MAUREEN O'HARA, JOSEPH B. PAPERMAN

This article investigates whether differences in information‐based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, we estimate the risk of information‐based trading for a sample of New York Stock Exchange (NYSE) listed stocks. We use the information in trade data to determine how frequently new information occurs, the composition of trading when it does, and the depth of the market for different volume‐decile stocks. Our most important empirical result is that the probability of information‐based trading is lower for high volume stocks. Using regressions, we provide evidence of the economic importance of information‐based trading on spreads.

SUPPLEMENTARY SECURITY‐RESERVE REQUIREMENTS RECONSIDERED

Published: 12/1958,  Volume: 13,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1958.tb04216.x  |  Cited by: 1

Joseph Aschheim

REPLY

Published: 12/1959,  Volume: 14,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1959.tb00144.x  |  Cited by: 0

Joseph Aschheim

DISCUSSION

Published: 7/1988,  Volume: 43,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1988.tb04607.x  |  Cited by: 2

JOSEPH WILLIAMS

DISCUSSION

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04541.x  |  Cited by: 0

JOSEPH WILLIAMS

ON MEASURING FISCAL POLICY

Published: 12/1965,  Volume: 20,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1965.tb02937.x  |  Cited by: 0

Joseph Scherer

Efficient Signalling with Dividends, Investment, and Stock Repurchases

Published: 7/1988,  Volume: 43,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1988.tb04605.x  |  Cited by: 80

JOSEPH WILLIAMS

The efficient mix of dissipative dividends, investments in real and financial assets, and repurchases of stock is computed for a continuum of firms with inside information about the return on risky real assets. In the efficient signalling equilibrium, the representative firm optimally distributes dividends, invests in risky real assets to maximize net present value, holds no financial securities, and sells new stock in the market. This firm finances its value‐maximizing investment first from internal funds and second from stock sold to new investors.

Perquisites, Risk, and Capital Structure

Published: 3/1987,  Volume: 42,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1987.tb02548.x  |  Cited by: 94

JOSEPH WILLIAMS

In a corporate agency problem, perquisites and risk interact to produce novel, complex comparative statics. For example, even if additional debt induces risk‐neutral insiders to increase risk, they never seek to increase the market value of their stock; instead, insiders decrease the present value of their subsequent, conditionally optimal perquisites. Also, the firm's optimal capital structure includes a risky bond with an agreement to remove insiders whenever the bond defaults. However, the optimal sharing rule between corporate claimants cannot be supported solely by standard securities such as bonds, stocks, options, and their hybrids.

A METHOD FOR CONSUMER VALUATION OF LIFE INSURANCE POLICIES BY TYPE: COMMENT

Published: 12/1963,  Volume: 18,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1963.tb01640.x  |  Cited by: 0

Joseph M. Belth

DO HIGHER RESERVE REQUIREMENTS DISCOURAGE FEDERAL RESERVE MEMBERSHIP?

Published: 12/1976,  Volume: 31,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1976.tb03225.x  |  Cited by: 5

Chris Joseph Prestopino

THE TERM STRUCTURE OF INTEREST RATES: THEORY, MODELS OF INTEREST‐RATE FORECASTING, AND EMPIRICAL EVIDENCE*

Published: 12/1971,  Volume: 26,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1971.tb01766.x  |  Cited by: 0

Joseph F. Sinkey

Reforming the Global Economic Architecture: Lessons from Recent Crises

Published: 8/1999,  Volume: 54,  Issue: 4  |  DOI: 10.1111/0022-1082.00154  |  Cited by: 106

Joseph E. Stiglitz

INDIVIDUAL INCOME TAX PROVISIONS OF THE REVENUE ACT OF 1964

Published: 5/1965,  Volume: 20,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1965.tb00208.x  |  Cited by: 1

Joseph A. Pechman

SHORT INTEREST: BULLISH OR BEARISH? REPLY

Published: 6/1968,  Volume: 23,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1968.tb00827.x  |  Cited by: 0

Joseph J. Seneca

An Analysis of Yield Curve Notes

Published: 3/1987,  Volume: 42,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1987.tb02552.x  |  Cited by: 10

JOSEPH P. OGDEN

This paper analyzes a new type of security, the yield curve note, which pays interest at a rate that varies inversely with short‐term interest rates. A valuation model for yield curve notes is presented, the parameters of the model are estimated empirically, and the estimated model is used to explore, in simulation, the price behavior and risk characteristics of yield curve notes in comparison with fixed‐rate notes. The risk of a yield curve note is approximately twice as great as a fixed‐rate note with the same maturity. The unique risk characteristics of yield curve notes make them useful (as liabilities) in immunization strategies for financial institutions. Their usefulness in this regard may be the chief rationale for their development.

POPULATION MOVEMENTS AND INVESTMENT (II)*

Published: 3/1952,  Volume: 7,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1952.tb01521.x  |  Cited by: 0

Joseph J. Spengler

A MULTIVARIATE STATISTICAL ANALYSIS OF THE CHARACTERISTICS OF PROBLEM BANKS

Published: 3/1975,  Volume: 30,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1975.tb03158.x  |  Cited by: 271

Joseph F. Sinkey

ADAM SMITH ON USURY LAWS

Published: 9/1977,  Volume: 32,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1977.tb03319.x  |  Cited by: 16

Joseph M. Jadlow

STABILIZATION ATTEMPTS IN AN “OPEN” ECONOMY—AUSTRALIA*

Published: 12/1956,  Volume: 11,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1956.tb04093.x  |  Cited by: 0

Joseph A. Hasson

CUSHIONING THE IMPACT OF UNITED STATES ECONOMIC FLUCTUATIONS ON THE REST OF THE WORLD*

Published: 5/1959,  Volume: 14,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1959.tb01589.x  |  Cited by: 0

Joseph D. Coppock

POPULATION MOVEMENTS AND INVESTMENT. I*

Published: 12/1951,  Volume: 6,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1951.tb04478.x  |  Cited by: 1

Joseph J. Spengler

DISTRIBUTION OF FEDERAL AND STATE INCOME TAXES BY INCOME CLASSES*

Published: 5/1972,  Volume: 27,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1972.tb00953.x  |  Cited by: 0

Joseph A. Pechman

THE SAVING‐INVESTMENT PROCESS IN A THEORY OF FINANCE*

Published: 3/1968,  Volume: 23,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1968.tb03009.x  |  Cited by: 0

Joseph M. Burns

SHORT INTEREST: BEARISH OR BULLISH?^*

Published: 3/1967,  Volume: 22,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1967.tb01655.x  |  Cited by: 22

Joseph J. Seneca

VOTING RIGHTS OF PREFERRED STOCKHOLDERS IN INDUSTRIALS¹

Published: 10/1948,  Volume: 3,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1948.tb01519.x  |  Cited by: 0

Joseph F. Bradley

Pareto Optimality and Competition

Published: 5/1981,  Volume: 36,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1981.tb00437.x  |  Cited by: 85

JOSEPH E. STIGLITZ

DISCUSSION

Published: 5/1970,  Volume: 25,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1970.tb00511.x  |  Cited by: 0

Joseph P. McKenna

AN APPRAISAL OF THE OHIO AXLE‐MILE TRUCK TAX*

Published: 3/1958,  Volume: 13,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1958.tb04183.x  |  Cited by: 0

William Joseph Weiskopf

The Interrelation of Stock and Options Market Trading‐Volume Data

Published: 9/1988,  Volume: 43,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1988.tb02614.x  |  Cited by: 87

JOSEPH H. ANTHONY

This research empirically investigates the relation between common stock and call option trading volumes. The paper hyothesizes and tests a sequential flow of information between the stock and option markets. If information trading for CBOE‐listed firms is predominantly accomplished through option trading, then existing research methodologies may be biased against finding any significant economic consequences in those instances where option listing is an important variable. Results indicate that trading in call options leads trading in the underlying shares, with a one‐day lag.

INSIDERS AND MARKET EFFICIENCY

Published: 9/1976,  Volume: 31,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1976.tb01965.x  |  Cited by: 332

Joseph E. Finnerty

COMPARATIVE USAGE OF BOND‐WARRANT AND CONVERTIBLE BOND ISSUES*

Published: 6/1971,  Volume: 26,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1971.tb01738.x  |  Cited by: 0

Joseph Alan Lavely

A STUDY OF CASH PLANNING IN SMALL MANUFACTURING COMPANIES*

Published: 9/1960,  Volume: 15,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1960.tb01610.x  |  Cited by: 0

Joseph C. Schabacker

NONCAPITAL PROGRAMMING: A THEORY OF FINANCIAL INTERDEPENDENCE*

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00940.x  |  Cited by: 0

Joseph A. Hess

Turn‐of‐Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects

Published: 9/1990,  Volume: 45,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1990.tb02435.x  |  Cited by: 125

JOSEPH P. OGDEN

This paper presents and tests a hypothesis that the standardization of payments in the United States at the turn of each calendar month generally induces a surge in stock returns at the turn of each calendar month. The hypothesis also asserts that returns generally will be greater following the month of December and will vary inversely with the stringency of monetary policy. Empirical results using stock index returns for 1969–1986 support the hypothesis. This analysis provides an explanation for the previously documented monthly effect in stock returns and a partial explanation for the January effect.

A STUDY OF REFINEMENTS IN THE INCIDENTS OF BUSINESS OWNERSHIP FROM THE MEDIEVAL PERIOD TO THE TWENTIETH CENTURY*

Published: 3/1953,  Volume: 8,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1953.tb01137.x  |  Cited by: 0

Joseph S. Begando

THE INTER‐FIRM CORPORATE CASH TENDER OFFER: OPERATING, MARKET, AND BID CHARACTERISTICS OF TARGET FIRMS*

Published: 9/1975,  Volume: 30,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1975.tb01035.x  |  Cited by: 0

Fred Joseph Ebeid

THE EFFECT OF FEDERAL RESERVE POLICY ON THE CYCLICAL MOVEMENT OF THE MONEY SUPPLY*

Published: 3/1965,  Volume: 20,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1965.tb00192.x  |  Cited by: 0

Joseph L. Craycraft

ALTERNATIVE OPTIMAL OPEN MARKET STRATEGIES: A SIMULATION APPROACH*

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01400.x  |  Cited by: 0

Joseph M. Crews

Dividends, Dilution, and Taxes: A Signalling Equilibrium

Published: 9/1985,  Volume: 40,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1985.tb02363.x  |  Cited by: 931

KOSE JOHN, JOSEPH WILLIAMS

A signalling equilibrium with taxable dividends is identified. In this equilibrium, corporate insiders with more valuable private information optimally distribute larger dividends and receive higher prices for their stock whenever the demand for cash by both their firm and its current stockholders exceeds its internal supply of cash. In equilibrium, many firms distribute dividends and simultaneously issue new stock, while other firms pay no dividends. Because dividends reveal all private information not conveyed by corporate audits, current stockholders capture in equilibrium all economic rents net of dissipative signalling costs. Both the announcement effect and the relationship between dividends and cum‐dividend market values are derived explicitly.

Effects of the 1970 Bank Holding Company Act: Evidence from Capital Markets

Published: 9/1981,  Volume: 36,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1981.tb04887.x  |  Cited by: 20

JOSEPH AHARONY, ITZHAK SWARY

This study measures the effects of the 1970 amendment to the Bank Holding Company (BHC) Act on the profitability and risk of BHCs using capital market data. Differences in abnormal returns and risk among three portfolios of bank shares which differ in their regulatory status are examined in various periods preceding and following the enactment. No significant differences in performance and no change in the relative risk of any pair of portfolios were observed. Thus, the null hypothesis that the nonbank expansion provisions of the 1970 amendment had no effect on BHCs' risk and profitability cannot be rejected.

Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis

Published: 3/1980,  Volume: 35,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1980.tb03466.x  |  Cited by: 663

JOSEPH AHARONY, ITZHAK SWARY

Worrying about the Stock Market: Evidence from Hospital Admissions

Published: 5/11/2016,  Volume: 71,  Issue: 3  |  DOI: 10.1111/jofi.12386  |  Cited by: 128

JOSEPH ENGELBERG, CHRISTOPHER A. PARSONS

Using individual patient records for every hospital in California from 1983 to 2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, and major depression. The effect is nearly instantaneous (within the same day) for psychological conditions, suggesting that anticipation over future consumption directly influences instantaneous utility.

The Market for Equity Options in the 1870s

Published: 9/1997,  Volume: 52,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1997.tb01128.x  |  Cited by: 23

JOSEPH P. KAIRYS, NICHOLAS VALERIO

The introduction of exchange‐traded options in 1973 led to explosive growth in the stock options market, but put and call options on equity securities have existed for more than a century. Prior to the listing of option contracts, trading was conducted in an order‐driven over‐the‐counter market. From 1873 to 1875, quotes for options contracts were published weekly in The Commercial and Financial Chronicle during a period that saw extensive marketing efforts by a number of brokerage firms. In this article we examine these quotes to determine why this seemingly sophisticated market existed for only a brief period in financial history.

The Informational Content of Initial Public Offerings

Published: 6/1989,  Volume: 44,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1989.tb05066.x  |  Cited by: 40

IAN GALE, JOSEPH E. STIGLITZ

The ability of capital markets to distinguish firms of different value by the size of their initial equity offerings is attenuated when insiders can sell equity more than once. A model is developed in which there is price risk from holding equity between periods. When the uncertainty is small, there must be pooling in the first period. When uncertainty is large, the pooling equilibria dominate the separating equilibrium.

CAPITAL BUDGETING DECISIONS UNDER IMPERFECT MARKET CONDITIONS—A SYSTEMS FRAMEWORK

Published: 9/1969,  Volume: 24,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1969.tb00386.x  |  Cited by: 3

Joseph S. Moag, Eugene M. Lerner

Efficient Signalling with Dividends and Investments

Published: 6/1987,  Volume: 42,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1987.tb02570.x  |  Cited by: 237

RAMASASTRY AMBARISH, KOSE JOHN, JOSEPH WILLIAMS

An efficient signalling equilibrium with dividends and investments or, equivalently, dividends and net new issues of stock is constructed, and its properties are identified. Because corporate insiders can exploit multiple signals, the efficient mix must minimize dissipative costs. In equilibrium, many firms both distribute dividends and deviate from first‐best investment. Also, the impact of dividends on stock prices is positive. By contrast, the announcement effect of new stock is negative for firms with private information primarily about assets in place and positive for firms with inside information mainly about opportunities to invest.

Estimating the Tax Advantage of Corporate Debt

Published: 3/1983,  Volume: 38,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1983.tb03628.x  |  Cited by: 37

JOSEPH J. CORDES, STEVEN M. SHEFFRIN

This paper presents estimates of the effective tax value of incremental interest deductions for corporations taking into account that they may not be able to utilize all their interest deductions fully because of either insufficient taxable income or the availability of nondebt tax shields. After describing particular features of the tax code which may drive a wedge between statutory and effective tax rates for debt finance, we present estimates using the Treasury Corporate Tax Model of effective tax rates for a variety of industry groupings. Our estimates suggest that the after‐tax cost of debt varies widely across industries.

In Search of Attention

Published: 9/21/2011,  Volume: 66,  Issue: 5  |  DOI: 10.1111/j.1540-6261.2011.01679.x  |  Cited by: 2907

ZHI DA, JOSEPH ENGELBERG, PENGJIE GAO

We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the year. It also contributes to the large first‐day return and long‐run underperformance of IPO stocks.

EVALUATING INVESTMENTS IN ACCOUNTS RECEIVABLE: A WEALTH MAXIMIZING FRAMEWORK

Published: 5/1978,  Volume: 33,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1978.tb04857.x  |  Cited by: 53

Yong H. Kim, Joseph C. Atkins

The Long‐Run Stock Returns Following Bond Ratings Changes

Published: 2/2001,  Volume: 56,  Issue: 1  |  DOI: 10.1111/0022-1082.00322  |  Cited by: 463

Ilia D. Dichev, Joseph D. Piotroski

Using essentially all Moody's bond ratings changes between 1970 and 1997, we find no reliable abnormal returns following upgrades. However, we find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. Additional results reveal that this underperformance is especially pronounced for small, low‐credit‐quality firms. Also, downgrades underperform in nearly all years in the sample, and a large part of the abnormal returns occur at subsequent earnings announcements. Thus, the evidence suggests that the poor returns result from an underreaction to the announcement of downgrades, rather than from lower systematic risk.