Search results: 50.
AN EMPIRICAL ANALYSIS OF THE PRICING OF MORTGAGE‐BACKED SECURITIES
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02273.x | Cited by: 3
LEE WAKEMAN, KENNETH B. DUNN, KENNETH J. SINGLETON
A Comparison of Alternative Models for Pricing GNMA Mortgage‐Backed Securities
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00463.x | Cited by: 73
KENNETH B. DUNN, JOHN J. McCONNELL
Valuation of GNMA Mortgage‐Backed Securities
Published: 6/1981, Volume: 36, Issue: 3 | DOI: 10.1111/j.1540-6261.1981.tb00647.x | Cited by: 163
KENNETH B. DUNN, JOHN J. McCONNELL
GNMA mortgage‐backed pass‐through securities are supported by pools of amortizing, callable loans. Additionally, mortgagors often prepay their loans when the market interest rate is above the coupon rate of their loans. This paper develops a model for pricing GNMA securities and uses it to examine the impact of the amortization, call, and prepayment features on the prices, risks and expected returns of GNMA's. The amortization and prepayment features each have a positive effect on price, while the call feature has a negative impact. All three features reduce a GNMA security's interest rate risk and, consequently, its expected return.
Call Options, Points, and Dominance Restrictions on Debt Contracts
Published: 12/1999, Volume: 54, Issue: 6 | DOI: 10.1111/0022-1082.00190 | Cited by: 13
Kenneth B. Dunn, Chester S. Spatt
We analyze the impact of a contract's length, callability, amortization, and original discount by arbitrage methods. Among instruments that are callable without penalty, longer instruments command a higher interest rate because the borrower possesses the option of repaying relatively more slowly. However, the rate on longer self‐amortizing loans cannot be substantially larger than for shorter ones because the payments decrease with contract length. Bounds on the trade‐off between points and rate for callable debt are characterized using the trade‐off for noncallable debt and the property that the value of the prepayment option increases with the loan's interest rate.
An Analysis of Mortgage Contracting: Prepayment Penalties and the Due‐on‐Sale Clause
Published: 3/1985, Volume: 40, Issue: 1 | DOI: 10.1111/j.1540-6261.1985.tb04950.x | Cited by: 12
KENNETH B. DUNN, CHESTER S. SPATT
The due‐on‐sale clause contained in most conventional home mortgage contracts is equivalent to a prepayment penalty equal to the difference between the face value and market value of the loan. We analyze a bilateral game with asymmetric information and show that the bank demands the full penalty unless the market value of the loan is sufficiently low. In that case, the bank demands a prepayment penalty which is independent of the market value of the loan in order to induce additional prepayments. We also demonstrate, by a risk‐sharing argument, that the due‐on‐sale clause is optimal in some settings, even though it eliminates some beneficial home sales.
AN ANALYSIS OF GROUP ANNUITIES*
Published: 3/1954, Volume: 9, Issue: 1 | DOI: 10.1111/j.1540-6261.1954.tb01206.x | Cited by: 0
Kenneth Black
ON THE EFFECTS OF STATUTORY INTEREST RATE CEILINGS: REPLY
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03380.x | Cited by: 0
Kenneth L. Avio
ON THE EFFECTS OF STATUTORY INTEREST RATE CEILINGS
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03121.x | Cited by: 6
Kenneth L. Avio
Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04596.x | Cited by: 220
KENNETH D. WEST
This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter [28] and Shiller [40]. It appears that neither small‐sample bias, rational bubbles nor some standard models for expected returns adequately explain stock price volatility. This suggests a role for some nonstandard models for expected returns. One possibility is a “fads” model in which noise trading by naive investors is important. At present, however, there is little direct evidence that such fads play a significant role in stock price determination.
New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
Published: 6/1989, Volume: 44, Issue: 2 | DOI: 10.1111/j.1540-6261.1989.tb05058.x | Cited by: 218
KENNETH A. FROOT
Survey data on interest rate expectations permit separate testing of the two alternative hypotheses in traditional term structure tests: that the expectations hypothesis fails, and that expected future interest rates are ex post inefficient forecasts. We find that the source of the spread's poor predictions of future interest rates varies with maturity. At short maturities the expectations hypothesis fails. At long maturities, however, changes in the yield curve reflect changes in expected future rates one‐for‐one, an implication of the expectations hypothesis. This result confirms earlier findings that long rates underreact to short rates, but now it cannot be attributed to term premia.
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03674.x | Cited by: 0
KENNETH R. FRENCH
AN ANALYSIS AND APPRAISAL OF RIGHTS OFFERINGS AS A METHOD OF RAISING EQUITY CAPITAL*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04319.x | Cited by: 0
Kenneth J. Weller
GROSS FLOWS OF FUNDS THROUGH LIFE INSURANCE COMPANIES*
Published: 5/1960, Volume: 15, Issue: 2 | DOI: 10.1111/j.1540-6261.1960.tb00159.x | Cited by: 0
Kenneth M. Wright
ECONOMIC GROWTH AND THE INDIVIDUAL*
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00259.x | Cited by: 2
Kenneth D. Goldin
Report of the Editor of the Journal of Finance for the Year 2015
Published: 7/13/2016, Volume: 71, Issue: 4 | DOI: 10.1111/jofi.12414 | Cited by: 0
KENNETH J. SINGLETON
NONMEMBER BANKS AND EMPIRICAL MEASURES OF THE VARIABILITY OF RESERVES AND MONEY: A THEORETICAL APPRAISAL
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03409.x | Cited by: 2
Kenneth J. Kopecky
A NOTE ON THE INTEREST ELASTICITY OF THE TRANSACTIONS DEMAND FOR CASH*
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03092.x | Cited by: 0
Kenneth A. Lewis
Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?
Published: 7/6/2021, Volume: 76, Issue: 4 | DOI: 10.1111/jofi.13062 | Cited by: 21
KENNETH J. SINGLETON
Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of are explored in depth. Inconsistent with many models with belief dispersion, the relationship between professionals' yield disagreement and their matched disagreements about macroeconomic fundamentals is very weak.
DISCOUNTS AND PREMIUMS ON CLOSED‐END MUTUAL FUNDS: A STUDY IN VALUATION
Published: 5/1973, Volume: 28, Issue: 2 | DOI: 10.1111/j.1540-6261.1973.tb01799.x | Cited by: 60
Kenneth J. Boudreaux
A Specialist's Quoted Depth and the Limit Order Book
Published: 4/1999, Volume: 54, Issue: 2 | DOI: 10.1111/0022-1082.00124 | Cited by: 201
Kenneth A. Kavajecz
By partitioning quoted depth into the specialist's contribution and the limit order book's contribution, the paper investigates whether specialists manage quoted depth to reduce adverse selection risk. The results show that both specialists and limit order traders reduce depth around information events, thereby reducing their exposure to adverse selection costs. Moreover, specialists' quotes may reflect only the limit order book on the side (or sides) of the market where they believe there is a chance of informed trading. Changes in quoted depth are consistent with specialists managing their inventory as well as having knowledge of the stock's future value.
Presidential Address: The Cost of Active Investing
Published: 7/19/2008, Volume: 63, Issue: 4 | DOI: 10.1111/j.1540-6261.2008.01368.x | Cited by: 684
KENNETH R. FRENCH
I compare the fees, expenses, and trading costs society pays to invest in the U.S. stock market with an estimate of what would be paid if everyone invested passively. Averaging over 1980–2006, I find investors spend 0.67% of the aggregate value of the market each year searching for superior returns. Society's capitalized cost of price discovery is at least 10% of the current market cap. Under reasonable assumptions, the typical investor would increase his average annual return by 67 basis points over the 1980–2006 period if he switched to a passive market portfolio.
The Method of Payment in Corporate Acquisitions, Investment Opportunities, and Management Ownership
Published: 9/1996, Volume: 51, Issue: 4 | DOI: 10.1111/j.1540-6261.1996.tb04068.x | Cited by: 410
KENNETH J. MARTIN
This article examines the motives underlying the payment method in corporate acquisitions. The findings support the notion that the higher the acquirer's growth opportunities, the more likely the acquirer is to use stock to finance an acquisition. Acquirer managerial ownership is not related to the probability of stock financing over small and large ranges of ownership, but is negatively related over a middle range. In addition, the likelihood of stock financing increases with higher pre‐acquisition market and acquiring firm stock returns. It decreases with an acquirer's higher cash availability, higher institutional shareholdings and blockholdings, and in tender offers.
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04993.x | Cited by: 0
KENNETH J. SINGLETON
Nonmember Banks and Monetary Control: Reply
Published: 6/1980, Volume: 35, Issue: 3 | DOI: 10.1111/j.1540-6261.1980.tb03503.x | Cited by: 0
KENNETH J. KOPECKY
THE ROLE OF NET GOVERNMENT CONTRIBUTION TO INCOME IN THE RECESSION AND REVIVAL OF 1937–38*
Published: 3/1951, Volume: 6, Issue: 1 | DOI: 10.1111/j.1540-6261.1951.tb04437.x | Cited by: 0
Kenneth D. Roose
Report of the Editor of the Journal of Finance for the Year 2013
Published: 7/18/2014, Volume: 69, Issue: 4 | DOI: 10.1111/jofi.12175 | Cited by: 0
KENNETH J. SINGLETON
FEDERAL GRANTS‐IN‐AID AND STATE TAXES* A STUDY OF THEIR EFFECT UPON MAINE INDUSTRY
Published: 3/1959, Volume: 14, Issue: 1 | DOI: 10.1111/j.1540-6261.1959.tb00490.x | Cited by: 0
Kenneth G. Ainsworth
INVARIANCE AND SCALING IN THE PER SHARE ANALYSIS OF FINANCIAL DATA: REPLY
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb02004.x | Cited by: 0
E. G. Davis, D. M. Dunn, W. H. Williams
AMBIGUITIES IN THE CROSS‐SECTION ANALYSIS OF PER SHARE FINANCIAL DATA
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01453.x | Cited by: 2
E. G. Davis, D. M. Dunn, W. H. Williams
Free Cash Flow and Stockholder Gains in Going Private Transactions
Published: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04390.x | Cited by: 739
KENNETH LEHN, ANNETTE POULSEN
We investigate the source of stockholder gains in going private transactions. We find support for the hypothesis advanced by Jensen that a major source of these gains is the mitigation of agency problems associated with free cash flow. Using a sample of 263 going private transactions from 1980 through 1987, our results indicate a significant relationship between undistributed cash flow and a firm's decision to go private. In addition, we find that premiums paid to stockholders are significantly related to undistributed cash flow. These results are especially strong for firms that went private between 1984 and 1987 and also for firms whose managers owned relatively little equity before the going private transaction.
REPLY
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01946.x | Cited by: 0
JAMES MONAHAN, KENNETH MONAHAN
Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period
Published: 9/1988, Volume: 43, Issue: 4 | DOI: 10.1111/j.1540-6261.1988.tb02613.x | Cited by: 236
RICHARD MEESE, KENNETH ROGOFP
In this paper, we explore the relationship between real exchange rates and real interest rate differentials in the United States, Germany, Japan, and the United Kingdom. Contrary to theories based on the joint hypothesis that domestic prices are sticky and monetary disturbances are predominant, we find little evidence of a stable relationship between real interest rates and real exchange rates. We consider both in‐sample and out‐of‐sample tests. One hypothesis that is consistent with our findings is that real disturbances (such as productivity shocks) may be a major source of exchange rate volatility.
Specification Analysis of Affine Term Structure Models
Published: 10/2000, Volume: 55, Issue: 5 | DOI: 10.1111/0022-1082.00278 | Cited by: 1337
Qiang Dai, Kenneth J. Singleton
This paper explores the structural differences and relative goodness‐of‐fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade‐off is formalized by our classification of N‐factor affine family into non‐nested subfamilies of models. Specializing to three‐factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.
Effects of Capital Gains Taxation on Life‐Cycle Investment and Portfolio Management
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04583.x | Cited by: 14
YVES BALCER, KENNETH L. JUDD
We examine the impact of capital income taxation, both accrual forms of taxation and taxation of realized capital gains, on total savings and the demand for corporate financial instruments. We find that investors may hold both debt and equity in the face of effective collection of capital gains taxation even in a flat tax system. We also find that the two taxes will have substantially different effects on saving and consumption behavior, making it unlikely that the tax structure can be summarized by any single equivalent accrual tax rate.
An Econometric Model of the Term Structure of Interest‐Rate Swap Yields
Published: 9/1997, Volume: 52, Issue: 4 | DOI: 10.1111/j.1540-6261.1997.tb01111.x | Cited by: 357
DARRELL DUFFIE, KENNETH J. SINGLETON
This article develops a multi‐factor econometric model of the term structure of interest‐rate swap yields. The model accommodates the possibility of counterparty default, and any differences in the liquidities of the Treasury and Swap markets. By parameterizing a model of swap rates directly, we are able to compute model‐based estimates of the defaultable zero‐coupon bond rates implicit in the swap market without having to specify a priori the dependence of these rates on default hazard or recovery rates. The time series analysis of spreads between zero‐coupon swap and treasury yields reveals that both credit and liquidity factors were important sources of variation in swap spreads over the past decade.
Estimation and Evaluation of Conditional Asset Pricing Models
Published: 5/23/2011, Volume: 66, Issue: 3 | DOI: 10.1111/j.1540-6261.2011.01654.x | Cited by: 123
STEFAN NAGEL, KENNETH J. SINGLETON
We find that several recently proposed consumption‐based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model‐implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these conclusions, we construct an optimal Generalized Method of Moments (GMM) estimator for models in which the stochastic discount factor (SDF) is a conditionally affine function of a set of priced risk factors, and we show that there is an optimal choice of managed portfolios to use in testing a null model against a proposed alternative generalized SDF.
Taxes and the Pricing of Stock Index Futures
Published: 6/1983, Volume: 38, Issue: 3 | DOI: 10.1111/j.1540-6261.1983.tb02496.x | Cited by: 105
BRADFORD CORNELL, KENNETH R. FRENCH
Stock index futures prices are generally below the level predicted by simple arbitrage models. This paper suggests that the discrepancy between the actual and predicted prices is caused by taxes. Capital gains and losses are not taxed until they are realized. As Constantinides demonstrates in a recent paper, this gives stockholders a valuable timing option. If the stock price drops, the investor can pass part of the loss on to the government by selling the stock. On the other hand, if the stock price rises, the investor can postpone the tax by not realizing the gain. Since this option is not available to stock index futures traders, the futures prices will be lower than standard no‐tax models predict.
THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00591.x | Cited by: 146
Herbert G. Grubel, Kenneth Fadner
Who Writes the News? Corporate Press Releases during Merger Negotiations
Published: 1/7/2014, Volume: 69, Issue: 1 | DOI: 10.1111/jofi.12109 | Cited by: 434
KENNETH R. AHERN, DENIS SOSYURA
Firms have an incentive to manage media coverage to influence their stock prices during important corporate events. Using comprehensive data on media coverage and merger negotiations, we find that bidders in stock mergers originate substantially more news stories after the start of merger negotiations, but before the public announcement. This strategy generates a short‐lived run‐up in bidders' stock prices during the period when the stock exchange ratio is determined, which substantially impacts the takeover price. Our results demonstrate that the timing and content of financial media coverage may be biased by firms seeking to manipulate their stock price.
The Importance of Industry Links in Merger Waves
Published: 3/17/2014, Volume: 69, Issue: 2 | DOI: 10.1111/jofi.12122 | Cited by: 420
KENNETH R. AHERN, JARRAD HARFORD
We represent the economy as a network of industries connected through customer and supplier trade flows. Using this network topology, we find that stronger product market connections lead to a greater incidence of cross‐industry mergers. Furthermore, mergers propagate in waves across the network through customer‐supplier links. Merger activity transmits to close industries quickly and to distant industries with a delay. Finally, economy‐wide merger waves are driven by merger activity in industries that are centrally located in the product market network. Overall, we show that the network of real economic transactions helps to explain the formation and propagation of merger waves.
Currency Returns, Intrinsic Value, and Institutional‐Investor Flows
Published: 5/3/2005, Volume: 60, Issue: 3 | DOI: 10.1111/j.1540-6261.2005.00769.x | Cited by: 229
KENNETH A. FROOT, TARUN RAMADORAI
We decompose currency returns into (permanent) intrinsic‐value shocks and (transitory) expected‐return shocks. We explore interactions between these shocks, currency returns, and institutional‐investor currency flows. Intrinsic‐value shocks are: dwarfed by expected‐return shocks (yet currency returns overreact to them); unrelated to flows (although expected‐return shocks correlate with flows); and related positively to forecasted cumulated‐interest differentials. These results suggest flows are related to short‐term currency returns, while fundamentals better explain long‐term returns and values. They also rationalize the long‐observed poor performance of exchange‐rate models: by ignoring the distinction between permanent and transitory exchange‐rate changes, prior tests obscure the connection between currencies and fundamentals.
Money Market Mutual Funds: An Experiment in Ad Hoc Deregulation: A Note
Published: 6/1983, Volume: 38, Issue: 3 | DOI: 10.1111/j.1540-6261.1983.tb02516.x | Cited by: 6
KENNETH T. ROSEN, LARRY KATZ
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
Published: 9/10/2008, Volume: 63, Issue: 5 | DOI: 10.1111/j.1540-6261.2008.01399.x | Cited by: 661
JUN PAN, KENNETH J. SINGLETON
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival rates of credit events , but also the loss rates given credit events. Applying our framework to Mexico, Turkey, and Korea, we show that a single‐factor model with following a lognormal process captures most of the variation in the term structures of spreads. The risk premiums associated with unpredictable variation in are found to be economically significant and co‐vary importantly with several economic measures of global event risk, financial market volatility, and macroeconomic policy.
CEO Turnover after Acquisitions: Are Bad Bidders Fired?
Published: 8/2006, Volume: 61, Issue: 4 | DOI: 10.1111/j.1540-6261.2006.00889.x | Cited by: 309
KENNETH M. LEHN, MENGXIN ZHAO
We examine the relation between bidder returns and the probability of chief executive officer (CEO) turnover in acquiring firms. Using a sample of 714 acquisitions during 1990 to 1998, we find that 47% of CEOs of acquiring firms are replaced within 5 years, including 27% by internal governance, 16% by takeovers, and 4% by bankruptcy. A significant inverse relation exists between bidder returns and the likelihood of CEO turnover. This relation is not associated with governance structure. It also is not significantly different in stock versus cash acquisitions, which appears to be inconsistent with Shleifer and Vishny's theory of “stock market driven” acquisitions.
ESTIMATES OF THE EFFECTIVENESS OF STABILIZATION POLICIES FOR THE MORTGAGE AND HOUSING MARKETS1
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02033.x | Cited by: 4
Dwight M. Jaffee, Kenneth T. Rosen
On Unit Roots and the Empirical Modeling of Exchange Rates
Published: 9/1982, Volume: 37, Issue: 4 | DOI: 10.1111/j.1540-6261.1982.tb03595.x | Cited by: 243
RICHARD A. MEESE, KENNETH J. SINGLETON
Tests are conducted for the presence of unit roots in the autoregressive representations of the logarithms of spot and forward exchange rates. The results from these tests provide one explanation for some of the conflicting conclusions which emerge from recent empirical papers on the foreign exchange market.
Does the Scope of the Sell‐Side Analyst Industry Matter? An Examination of Bias, Accuracy, and Information Content of Analyst Reports
Published: 4/21/2017, Volume: 72, Issue: 3 | DOI: 10.1111/jofi.12485 | Cited by: 190
KENNETH MERKLEY, RONI MICHAELY, JOSEPH PACELLI
We examine changes in the scope of the sell‐side analyst industry and whether these changes impact information dissemination and the quality of analysts’ reports. Our findings suggest that changes in the number of analysts covering an industry impact analyst competition and have significant spillover effects on other analysts’ forecast accuracy, bias, report informativeness, and effort. These spillover industry effects are incremental to the effects of firm level changes in analyst coverage. Overall, a more significant sell‐side analyst industry presence has positive externalities that can result in better functioning capital markets.
Value versus Growth: The International Evidence
Published: 12/1998, Volume: 53, Issue: 6 | DOI: 10.1111/0022-1082.00080 | Cited by: 1399
Eugene F. Fama, Kenneth R. French
Value stocks have higher returns than growth stocks in markets around the world. For the period 1975 through 1995, the difference between the average returns on global portfolios of high and low book‐to‐market stocks is 7.68 percent per year, and value stocks outperform growth stocks in twelve of thirteen major markets. An international capital asset pricing model cannot explain the value premium, but a two‐factor model that includes a risk factor for relative distress captures the value premium in international returns.
BOND REFUNDING: ONE OR TWO FACES?
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03414.x | Cited by: 4
Thomas H. Mayor, Kenneth G. McCoin
Taxes, Financing Decisions, and Firm Value
Published: 6/1998, Volume: 53, Issue: 3 | DOI: 10.1111/0022-1082.00036 | Cited by: 632
Eugene F. Fama, Kenneth R. French
We use cross‐sectional regressions to study how a firm's value is related to dividends and debt. With a good control for profitability, the regressions can measure how the taxation of dividends and debt affects firm value. Simple tax hypotheses say that value is negatively related to dividends and positively related to debt. We find the opposite. We infer that dividends and debt convey information about profitability (expected net cash flows) missed by a wide range of control variables. This information about profitability obscures any tax effects of financing decisions.