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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Search results: 8.
Measuring Innovation and Product Differentiation: Evidence from Mutual Funds
Published: 10/22/2019 | DOI: 10.1111/jofi.12853
LEONARD KOSTOVETSKY, JEROLD B. WARNER
We study innovation and product differentiation using a uniqueness measure based on textual analysis of prospectuses. We find that small and start‐up families have higher start rates than larger families, and their products are more unique. Unique strategies attract more inflows in the first three years, and investors respond more to text‐based uniqueness than other measures such as holdings or returns uniqueness. For established funds, word uniqueness has weak negative power for explaining returns, so investors in competitive equilibrium do not sacrifice much performance to get specialized products. Uniqueness attenuates the flow‐performance relation, reducing the risk of investor outflows.
BANKRUPTCY COSTS: SOME EVIDENCE
Published: 05/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03274.x
Martin J. Gruber, Jerold B. Warner
Why Do Mutual Fund Advisory Contracts Change? Performance, Growth, and Spillover Effects
Published: 01/06/2011 | DOI: 10.1111/j.1540-6261.2010.01632.x
JEROLD B. WARNER, JOANNA SHUANG WU
We examine changes in equity mutual funds' investment advisory contracts. We find substantial advisory compensation rate changes in both directions, with typical percentage fee shifts exceeding one‐fourth. Rate increases are associated with superior past market‐adjusted performance, whereas rate decreases reflect economies of scale associated with growth, and are not associated with extreme poor performance. There are within‐family spillover effects. Superior (e.g., star) performance for individual funds is associated with rate increases for a family's other funds. Rate reductions post‐2004 by family funds involved in market timing scandals do not have large industry spillover effects.
Evaluating Mutual Fund Performance
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00397
S. P. Kothari, Jerold B. Warner
We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes (e.g., three percent per year) of abnormal fund performance, particularly if a fund's style characteristics differ from those of the value‐weighted market portfolio. Power can be substantially improved, however, using event‐study procedures that analyze a fund's stock trades. These procedures are feasible using time‐series data sets on mutual fund portfolio holdings.
Security Issue Timing: What Do Managers Know, and When Do They Know It?
Published: 03/21/2011 | DOI: 10.1111/j.1540-6261.2010.01638.x
DIRK JENTER, KATHARINA LEWELLEN, JEROLD B. WARNER
We study put option sales on company stock by large firms. An often‐cited motivation for these transactions is market timing, and managers' decision to issue puts should be sensitive to whether the stock is undervalued. We provide new evidence that large firms successfully time security sales. In the 100 days following put option issues, there is roughly a 5% abnormal stock return, with much of the abnormal return following the first earnings release date after the sale. Direct evidence on put option exercises reinforces these findings: exercise frequencies and payoffs to put holders are abnormally low.