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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Currency Hedging for International Portfolios
Published: 12/1993, Volume: 48, Issue: 5 | DOI: 10.1111/j.1540-6261.1993.tb05131.x | Cited by: 210
JACK GLEN, PHILIPPE JORION
This paper examines the benefits from currency hedging, both for speculative and risk minimization motives, in international bond and equity portfolios. The risk‐return performances of globally diversified portfolios are compared with and without forward contracts. Over the period 1974 to 1990, inclusion of forward contracts results in statistically significant improvements in the performance of unconditional portfolios containing bonds. Conditional strategies are also implemented, both in sample and out of sample, and are shown to both significantly improve the risk‐return tradeoff of global portfolios and to outperform unconditional hedging strategies.
Evaluating the Performance of International Mutual Funds
Published: 6/1990, Volume: 45, Issue: 2 | DOI: 10.1111/j.1540-6261.1990.tb03700.x | Cited by: 263
ROBERT E. CUMBY, JACK D. GLEN
In this paper, we examine the performance of a sample of fifteen U.S.‐based internationally diversified mutual funds between 1982 and 1988. Two performance measures are used, the Jensen measure and the positive period weighting measure proposed by Grinblatt and Titman. We find no evidence that the funds, either individually or as a whole, provide investors with performance that surpasses that of a broad, international equity index over this sample period.
Market Segmentation and Stock Prices: Evidence from an Emerging Market
Published: 7/1997, Volume: 52, Issue: 3 | DOI: 10.1111/j.1540-6261.1997.tb02725.x | Cited by: 170
IAN DOMOWITZ, JACK GLEN, ANANTH MADHAVAN
We examine the relationship between stock prices and market segmentation induced by ownership restrictions in Mexico. The focus is on multiple classes of equity that differentiate between foreign and domestic traders, and between domestic individuals and institutions. Significant stock price premia are documented for shares not restricted to a particular investor group. We analyze the theoretical and empirical determinants of premia across firms and over time. In addition to economy‐wide factors, segmentation reflects the relative scarcity of unrestricted shares. The results provide additional support for Stulz and Wasserfallen's (1995) hypothesis that firms discriminate between investor groups with different demand elasticities.
International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market
Published: 12/1998, Volume: 53, Issue: 6 | DOI: 10.1111/0022-1082.00081 | Cited by: 280
Ian Domowitz, Jack Glen, Ananth Madhavan
Policymakers in emerging markets are increasingly concerned about the consequences for the domestic equity market when companies list stock abroad. We show that the effects of cross‐listing depend on the quality of intermarket information linkages. We investigate these issues with unique data from the Mexican equity market. The impact of cross‐listing is complex—balancing the costs of order flow migration against the benefits of increased intermarket competition. These effects are exacerbated by equity investment barriers that induce segmentation of the domestic equity market. Consequently, the benefits and costs of cross‐listing are not evenly spread over all classes of shareholders.
The Impact of Large Portfolio Insurers on Asset Prices
Published: 12/1993, Volume: 48, Issue: 5 | DOI: 10.1111/j.1540-6261.1993.tb05135.x | Cited by: 18
R. GLEN DONALDSON, HARALD UHLIG
We develop a simple model in which the presence of portfolio insurers in a market of risk‐averse traders leads to multiple equilibria for the pricing of financial assets and can cause an increase in volatility, including insurance‐induced price drops. We demonstrate, however, that centralized portfolio insurance firms may actually reduce, not increase, volatility, even if the existence of these firms increases the total amount of funds under insurance.
MORTGAGE WAREHOUSING
Published: 12/1957, Volume: 12, Issue: 4 | DOI: 10.1111/j.1540-6261.1957.tb04158.x | Cited by: 4
Jack Guttentag
FINANCIAL DISINTERMEDIATION IN A MACROECONOMIC FRAMEWORK: COMMENT
Published: 9/1973, Volume: 28, Issue: 4 | DOI: 10.1111/j.1540-6261.1973.tb01429.x | Cited by: 1
Jack Vernon
Mean‐Variance Efficient Sets and Expected Utility
Published: 12/1979, Volume: 34, Issue: 5 | DOI: 10.1111/j.1540-6261.1979.tb00067.x | Cited by: 2
JACK MEYER
DISCUSSION
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00515.x | Cited by: 1
Jack Treynor
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02035.x | Cited by: 0
Jack Guttentag
Equity Volatility and Corporate Bond Yields
Published: 11/7/2003, Volume: 58, Issue: 6 | DOI: 10.1046/j.1540-6261.2003.00607.x | Cited by: 994
John Y. Campbell, Glen B. Taksler
Abstract
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm‐level volatility can explain as much cross‐sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields.
OWNERSHIP AND CONTROL AMONG LARGE MEMBER BANKS
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00529.x | Cited by: 8
Jack R. Vernon
CONTINUOUS BORROWING FROM THE FEDERAL RESERVE SYSTEM: SOME EMPIRICAL EVIDENCE
Published: 3/1969, Volume: 24, Issue: 1 | DOI: 10.1111/j.1540-6261.1969.tb00340.x | Cited by: 0
Jack L. Cooper
INVESTMENT DECISIONS AND THE ELECTRIC POWER INDUSTRY*
Published: 3/1960, Volume: 15, Issue: 1 | DOI: 10.1111/j.1540-6261.1960.tb04845.x | Cited by: 0
Jack Allyn McEnroe
EUROPE'S MONEY GAME*
Published: 9/1952, Volume: 7, Issue: 3 | DOI: 10.1111/j.1540-6261.1952.tb00095.x | Cited by: 0
Jack F. Bennett
FOREIGN PRIVATE INVESTMENT AND THE GOVERNMENT'S EFFORTS TO REDUCE THE PAYMENTS DEFICIT
Published: 5/1966, Volume: 21, Issue: 2 | DOI: 10.1111/j.1540-6261.1966.tb00227.x | Cited by: 0
Jack N. Behrman
THE HISTORY OF SAVINGS AND LOAN IN TEXAS*
Published: 3/1957, Volume: 12, Issue: 1 | DOI: 10.1111/j.1540-6261.1957.tb04117.x | Cited by: 0
Jack W. Cashin
THE AVOIDANCE OF FEDERAL PERSONAL INCOME TAXES IN THE UNITED STATES*
Published: 3/1958, Volume: 13, Issue: 1 | DOI: 10.1111/j.1540-6261.1958.tb04176.x | Cited by: 0
Jack E. Gelfand
MEMBER‐BANK BORROWING FROM THE FEDERAL RESERVE BANK OF CHICAGO, 1951–1966*
Published: 9/1968, Volume: 23, Issue: 4 | DOI: 10.1111/j.1540-6261.1968.tb00855.x | Cited by: 0
Jack Lee Cooper
APPRAISING PERFORMANCE OF INVESTMENT PORTFOLIOS
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00521.x | Cited by: 1
Jack E. Gaumnitz
APPLICATION OF THE DECOMPOSITION PRINCIPLE TO THE CAPITAL BUDGETING PROBLEM IN A DECENTRALIZED FIRM
Published: 6/1974, Volume: 29, Issue: 3 | DOI: 10.1111/j.1540-6261.1974.tb01485.x | Cited by: 8
Willard T. Carleton, Glen Kendall, Sanjiv Tandon
Credit Rationing and Financial Disorder
Published: 12/1984, Volume: 39, Issue: 5 | DOI: 10.1111/j.1540-6261.1984.tb04912.x | Cited by: 61
JACK GUTTENTAG, RICHARD HERRING
We develop a model of lender behavior in the presence of default risk and moral hazard that determines default premiums and identifies the conditions under which borrowers are rationed. A hypothesis regarding a cognitive bias in the formation of expectations provides a dynamic component to our analysis and allows us to explain how an economy becomes vulnerable to a financial crisis and why vulnerability may increase over time.
Out‐of‐Town Home Buyers and City Welfare
Published: 6/3/2021, Volume: 76, Issue: 5 | DOI: 10.1111/jofi.13057 | Cited by: 72
JACK FAVILUKIS, STIJN VAN NIEUWERBURGH
Many cities have attracted a flurry of out‐of‐town (OOT) home buyers. Such capital inflows affect house prices, rents, construction, labor income, wealth, and ultimately welfare. We develop an equilibrium model to quantify the welfare effects of OOT home buyers for the typical U.S. metropolitan area. When OOT investors buy 10% of the housing in the city center and 5% in the suburbs, welfare among residents falls by 0.61% in consumption‐equivalent units. House prices and rents rise substantially, resulting in welfare gains for owners and losses for renters. Policies that tax OOT buyers or mandate renting out vacant property mitigate welfare losses.
In Defense of Technical Analysis
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05000.x | Cited by: 83
JACK L. TREYNOR, ROBERT FERGUSON
Many investors occasionally receive what they believe to be nonpublic information about a security. Others feel that by applying superior analytical skills to public information, they are able to arrive at valuable insights that are not generally appreciated. In either case, there is a substantial opportunity for profit if the investor is correct. The investor must be correct on two counts. First, the estimate of the worth of the information must be reasonably accurate in terms of its impact on the price of the stock, and second, the investor must make a realistic assessment of the likelihood that the market already has received the information or insight in question. This paper is concerned only with the latter problem. The probability distribution of the date on which the market receives information already in the hands of the investor is calculated for a simple model of information propagation. It is then shown how this probability distribution can be brought to bear on the management of a portfolio.
ARE COMPENSATING BALANCE REQUIREMENTS IRRATIONAL?*
Published: 3/1962, Volume: 17, Issue: 1 | DOI: 10.1111/j.1540-6261.1962.tb04252.x | Cited by: 1
Richard G. Davis, Jack M. Guttentag
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
Published: 12/1979, Volume: 34, Issue: 5 | DOI: 10.1111/j.1540-6261.1979.tb00069.x | Cited by: 86
FRANK J. FABOZZI, JACK C. FRANCIS
STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03312.x | Cited by: 196
Frank J. Fabozzi, Jack Clark Francis
DEFENSIVE AND DYNAMIC OPEN MARKET OPERATIONS, DISCOUNTING, AND THE FEDERAL RESERVE SYSTEM's CRISIS‐PREVENTION RESPONSIBILITIES
Published: 5/1969, Volume: 24, Issue: 2 | DOI: 10.1111/j.1540-6261.1969.tb01680.x | Cited by: 2
William C. Freund, Jack M. Guttentag
The Illiquidity of Corporate Bonds
Published: 5/23/2011, Volume: 66, Issue: 3 | DOI: 10.1111/j.1540-6261.2011.01655.x | Cited by: 903
JACK BAO, JUN PAN, JIANG WANG
This paper examines the illiquidity of corporate bonds and its asset‐pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market‐level illiquidity explain a substantial part of the time variation in yield spreads of high‐rated (AAA through A) bonds, overshadowing the credit risk component. In the cross‐section, the bond‐level illiquidity measure explains individual bond yield spreads with large economic significance.
THE PRINCIPLES OF CORPORATE PENSION FINANCE
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03300.x | Cited by: 13
William F. Sharpe, Jack L. Treynor
VALUE AND YIELD RISK ON OUTSTANDING INSURED RESIDENTIAL MORTGAGES
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03279.x | Cited by: 14
Anthony J. Curley, Jack M. Guttentag
DISCUSSION
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00816.x | Cited by: 0
Donald E. Farrar, Jack L. Treynor
DO LARGE BANKS NEGLECT SMALL BUSINESS?
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00253.x | Cited by: 1
Jack M. Guttentag, Edward S. Herman
A NEGATIVE VIEW OF THE NEGATIVE MONEY MULTIPLIER: COMMENT
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03381.x | Cited by: 1
Robert D. Auerbach, Jack L. Rutner
Session Topic: Individual Investors and Mutual Funds
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03054.x | Cited by: 4
Jack L. Treynor, Fischer Black, Myron Scholes
Summary. The modern theory of finance suggests that most investors should put part or all of their money into a “market portfolio” mixed with borrowing or lending. Empirical evidence generally supports the theory, but there are some unanswered questions about the composition of the best market portfolio, about the apparent attractiveness of low risk stocks relative to high risk stocks, and about ways of minimizing transaction costs. Attempts to create a fund based on these principles and to make it available to a large number of investors have uncovered some important problems. Legal costs due to government regulation, the costs of managing a fund, and especially the costs of selling it are all much higher than one might expect. Despite these problems, efforts to create such funds seem destined for eventual success.
Forward and Futures Prices: Evidence from the Foreign Exchange Markets
Published: 9/1990, Volume: 45, Issue: 4 | DOI: 10.1111/j.1540-6261.1990.tb02442.x | Cited by: 14
CAROLYN W. CHANG, JACK S. K. CHANG
Cornell and Reinganum (1981), hereafter CR, report that price differentials for future contracts and forward contracts are statistically insignificant in foreign exchange markets. Based on this finding, CR conclude that marking‐to‐market is insignificant in the formulation of currency futures prices. This note identifies two potential concerns with the CR tests. One problem relates to the timing of delivery dates for “matched” contracts. A second problem relates to the time period for the CR study. We show that correcting for these problems does not affect the overall conclusions of the CR study; marking‐to‐market does not appear to have a significant effect on currency futures prices.
RECENT RESEARCH ON INDEXATION AND THE HOUSING MARKET
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01894.x | Cited by: 2
Jack Guttentag, Richard A. Cohn, Donald R. Lessard
International Stock Return Predictability: What Is the Role of the United States?
Published: 7/16/2013, Volume: 68, Issue: 4 | DOI: 10.1111/jofi.12041 | Cited by: 666
DAVID E. RAPACH, JACK K. STRAUSS, GUOFU ZHOU
We investigate lead‐lag relationships among monthly country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non‐U.S. industrialized countries, while lagged non‐U.S. returns display limited predictive ability with respect to U.S. returns. We estimate a news‐diffusion model, and the results indicate that return shocks arising in the United States are only fully reflected in equity prices outside of the United States with a lag, consistent with a gradual information diffusion explanation of the predictive power of lagged U.S. returns.
Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage‐Backed Securities
Published: 11/19/2012, Volume: 67, Issue: 6 | DOI: 10.1111/j.1540-6261.2012.01782.x | Cited by: 195
JIE (JACK) HE, JUN (QJ) QIAN, PHILIP E. STRAHAN
Initial yields on both AAA‐rated and non‐AAA rated mortgage‐backed security (MBS) tranches sold by large issuers are higher than yields on similar tranches sold by small issuers during the market boom years of 2004 to 2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004 to 2006. These results suggest that investors price the risk that large issuers received more inflated ratings than small issuers, especially during boom periods.
Can Tax‐Loss Selling Explain the January Effect? A Note
Published: 6/1987, Volume: 42, Issue: 2 | DOI: 10.1111/j.1540-6261.1987.tb02577.x | Cited by: 39
CHARLES P. JONES, DOUGLAS K. PEARCE, JACK W. WILSON
Does Corporate Diversification Destroy Value?
Published: 4/2002, Volume: 57, Issue: 2 | DOI: 10.1111/1540-6261.00439 | Cited by: 508
John R. Graham, Michael L. Lemmon, Jack G. Wolf
We analyze several hundred firms that expand via acquisition and/or increase their number of business segments. The combined market reaction to acquisition announcements is positive but acquiring firm excess values decline after the diversifying event. Much of the excess value reduction occurs because our sample firms acquire already discounted business units, and not because diversifying destroys value. This implies that the standard assumption that conglomerate divisions can be benchmarked to typical stand‐alone firms should be carefully reconsidered. We also show that excess value does not decline when firms increase their number of business segments because of pure reporting changes.
THE COMMISSION ON MONEY AND CREDIT'S RESEARCH STUDIES: A COLLECTIVE REVIEW ARTICLE
Published: 9/1964, Volume: 19, Issue: 3 | DOI: 10.1111/j.1540-6261.1964.tb02870.x | Cited by: 1
David A. Alhadeff, Peter L. Bernstein, Colin D. Campbell, Lester V. Chandler, Edward C. Ettin, Victor R. Farhi, Jack M. Guttentag, Henry A. Latané, Kenyon E. Poole