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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Working Orders in Limit Order Markets and Floor Exchanges
Published: 8/2007, Volume: 62, Issue: 4 | DOI: 10.1111/j.1540-6261.2007.01252.x | Cited by: 63
KERRY BACK, SHMUEL BARUCH
We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to a block order equilibrium in a limit order market.
Imperfect Competition among Informed Traders
Published: 10/2000, Volume: 55, Issue: 5 | DOI: 10.1111/0022-1082.00282 | Cited by: 270
Kerry Back, C. Henry Cao, Gregory A. Willard
We analyze competition among informed traders in the continuous‐time Kyle(1985) model, as Foster and Viswanathan (1996) do in discrete time. We explicitly describe the unique linear equilibrium when signals are imperfectly correlated and confirm the conjecture of Holden and Subrahmanyam (1992) that there is no linear equilibrium when signals are perfectly correlated. One result is that at some date, and at all dates thereafter, the market would have been more informationally efficient had there been a monopolist informed trader instead of competing traders. The relatively large amount of private information remaining near the end of trading causes the market to approach complete illiquidity.
Discretionary Announcement Timing and Stock Returns
Published: 9/3/2026, Volume: , Issue: | DOI: 10.1111/jofi.70073 | Cited by: 0
KERRY BACK, BRUCE I. CARLIN, SEYED M. KAZEMPOUR, CHLOE L. XIE
Discretionary announcement timing generates high conditional risk premia of stock returns and a pattern of negative drifts followed by positive jumps. Average announcement returns are much larger than unconditional risk premia. Capital Asset Pricing Model alphas turn negative when conditioning on nondisclosure because betas rise faster than risk premia prior to disclosures, but average announcement returns may appear to be too large relative to market risk when betas are estimated from past returns. The effects are amplified when multiple firms exercise discretion over the timing of correlated announcements. We present evidence that firms time earnings announcements in a manner consistent with our model.
DEFAULT RISK UNDER ALTERNATIVE MORTGAGE INSTRUMENTS
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03420.x | Cited by: 47
Kerry D. Vandell
A TIME SERIES ANALYSIS OF POST‐ACCORD INTEREST RATES
Published: 6/1972, Volume: 27, Issue: 3 | DOI: 10.1111/j.1540-6261.1972.tb00986.x | Cited by: 6
V. Kerry Smith, Richard G. Marcis
POST ACCORD INTEREST RATES: A REPLY
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03111.x | Cited by: 1
V. Kerry Smith, Richard G. Marcis
EFFICIENT ESTIMATION OF MULTIVARIATE FINANCIAL RELATIONSHIPS
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03124.x | Cited by: 3
Richard G. Marcis, V. Kerry Smith