The Journal of Finance

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05019.x  |  Cited by: 0

LARRY MERVILLE

An Empirical Examination of the Black‐Scholes Call Option Pricing Model

Published: 12/1979,  Volume: 34,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1979.tb00063.x  |  Cited by: 195

JAMES D. MACBETH, LARRY J. MERVILLE

STOCK PRICE DEPENDENCIES AND THE VALUATION OF RISKY ASSETS WITH DISCONTINUOUS TEMPORAL RETURNS

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03126.x  |  Cited by: 1

Jeffrey F. Jaffe, Larry J. Merville

Tests of the Black‐Scholes and Cox Call Option Valuation Models

Published: 5/1980,  Volume: 35,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1980.tb02157.x  |  Cited by: 90

JAMES D. MACBETH, LARRY J. MERVILLE

An Analysis of Divestiture Effects Resulting from Deregulation

Published: 12/1986,  Volume: 41,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1986.tb02527.x  |  Cited by: 15

ANDREW H. CHEN, LARRY J. MERVILLE

Capital market data were used to examine the divestiture effects pertaining to deregulation, the dropping of antitrust charges, and the reversing of the co‐insurance effect associated with the recent breakup of AT&T. The empirical results of the study indicate that significant economic events took place during the breakup process, which led to transfers of wealth from various parties to the securityholders of AT&T. The results also indicate that the buffering effect of regulation was reduced as AT&T went through the total deregulation process. This is in accordance with Peltzman's prediction.

A GENERALIZED MODEL FOR CAPITAL INVESTMENT

Published: 3/1973,  Volume: 28,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1973.tb01349.x  |  Cited by: 6

L. J. Merville, L. A. Tavis

Callable Bonds: A Risk‐Reducing Signalling Mechanism—A Comment

Published: 9/1988,  Volume: 43,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1988.tb02624.x  |  Cited by: 4

LARRY D. WALL

THE DETERMINANTS OF MUNICIPAL BOND YIELDS*

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00607.x  |  Cited by: 0

K. Larry Hastie

A Note on Information in the Loan Evaluation Process

Published: 12/1979,  Volume: 34,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1979.tb00072.x  |  Cited by: 2

BRYAN STANHOUSE, LARRY SHERMAN

Ambiguity, Information Quality, and Asset Pricing

Published: 1/10/2008,  Volume: 63,  Issue: 1  |  DOI: 10.1111/j.1540-6261.2008.01314.x  |  Cited by: 640

LARRY G. EPSTEIN, MARTIN SCHNEIDER

When ambiguity‐averse investors process news of uncertain quality, they act as if they take a worst‐case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent negative effects on prices even if fundamentals do not change.

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

Capital Asset Prices and the Temporal Resolution of Uncertainty*

Published: 6/1980,  Volume: 35,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1980.tb03488.x  |  Cited by: 14

LARRY G. EPSTEIN, STUART M. TURNBULL

An Empirical Test of the Impact of Managerial Self‐Interest on Corporate Capital Structure

Published: 6/1988,  Volume: 43,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1988.tb03938.x  |  Cited by: 403

IRWIN FRIEND, LARRY H. P. LANG

This paper provides a test of whether capital structure decisions are at least in part motivated by managerial self‐interest. It is shown that the debt ratio is negatively related to management's shareholding, reflecting the greater nondiversifiable risk of debt to management than to public investors for maintaining a low debt ratio. Unless there is a nonmanagerial principal stockholder, no substantial increase of debt can be realized, which may suggest that the existence of large nonmanagerial stockholders might make the interests of managers and public investors coincide.

Insider Trading around Dividend Announcements: Theory and Evidence

Published: 9/1991,  Volume: 46,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1991.tb04621.x  |  Cited by: 251

KOSE JOHN, LARRY H. P. LANG

The informational role of strategic insider trading around corporate dividend announcements is studied based on the efficient equilibrium in a signalling model with endogenous insider trading. Insider trading immediately prior to the announcement of dividend initiations has significant explanatory power. For firms with insider selling prior to the dividend initiation announcement, the excess returns are negative and significantly lower than for the remaining firms (with no insider trading or just insider buying) as implied by our model. Another implication is that dividend increases may elicit a positive or negative stock price response depending on the firm's investment opportunities.

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

Published: 6/1990,  Volume: 45,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1990.tb03705.x  |  Cited by: 115

LARRY J. LOCKWOOD, SCOTT C. LINN

This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.

An Analysis of the Impact of Deposit Rate Ceilings on the Market Values of Thrift Institutions

Published: 12/1982,  Volume: 37,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1982.tb03617.x  |  Cited by: 24

LARRY Y. DANN, CHRISTOPHER M. JAMES

This paper examines the impact of changes in deposit interest rate regulations on the common stock values of savings and loan institutions. The analysis indicates that stockholder‐owned savings and loans (S & L's) have experienced statistically significant declines in equity market values at the announcement of the removal of ceilings on certain consumer (small saver) certificate accounts and the introduction of short term variable rate money market certificates. We find the evidence to be consistent with the hypothesis that S & L's have earned economic rents from restrictions on interest rates paid to small saver accounts, and that relaxation of interest rate ceilings has reduced these rents.

CLO Performance

Published: 4/10/2023,  Volume: 78,  Issue: 3  |  DOI: 10.1111/jofi.13224  |  Cited by: 28

LARRY CORDELL, MICHAEL R. ROBERTS, MICHAEL SCHWERT

We study the performance of collateralized loan obligations (CLOs) to understand the market imperfections giving rise to these vehicles and their corresponding economic costs. CLO equity tranches earn positive abnormal returns from the risk‐adjusted price differential between leveraged loans and CLO debt tranches. Debt tranches offer higher returns than similarly rated corporate bonds, making them attractive to banks and insurers that face risk‐based capital requirements. Temporal variation in equity performance highlights the resilience of CLOs to market volatility due to their closed‐end structure, long‐term funding, and embedded options to reinvest principal proceeds.

The Voluntary Restructuring of Large Firms In Response to Performance Decline

Published: 7/1992,  Volume: 47,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1992.tb03999.x  |  Cited by: 212

KOSE JOHN, LARRY H. P. LANG, JEFFRY NETTER

Much of the research on corporate restructuring has examined the causes and aftermath of extreme changes in corporate governance such as takeovers and bankruptcy. In contrast, we study restructurings initiated in response to product market pressures by “normal” corporate governance mechanisms. Such “voluntary” restructurings, motivated by the discipline of the product market and internal corporate controls, will play a relatively more important role in the 1990s due to a weakening in the discipline of the takeover market. Our data suggest that the firms retrenched quickly and, on average, increased their focus. There is no evidence of abnormally high levels of forced turnover in top managers. There is, however, a significant and rapid cut of 5% in the labor force. Further, the cost of goods sold to sales and labor costs to sales ratios both decline rapidly, more than 5% in the first two years after the negative earnings. The firms cut research and development, increased investment, and also reduced their debt/asset level by over 8% in the first year after the negative earnings. We also document the reasons management and analysis reported for the negative earnings. Overwhelmingly the firms blame bad economic conditions and, to a lesser extent, foreign competition.

Consequences of Deregulation for Commercial Banking

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03671.x  |  Cited by: 10

GEORGE G. KAUFMAN, LARRY R. MOTE, HARVEY ROSENBLUM

In recent years, many of the restrictions on banking activities adopted following the banking collapse of the 1930s have been eroded by improvements in technology and high interest rates, which led to increasing direct competition from unregulated institutions. Beginning in the 1970s, the regulatory agencies, state legislatures, and the Congress have moved to liberalize these restrictions. Based on research on economies of scale and scope, the experience of the conglomerate merger movement of the 1950s and 1960s, the observed effects of changes in state laws governing branches and holding companies, foreign experience, and experience in other industries that underwent deregulation, banking deregulation is likely to lead to reductions in the number of banks and increases in their efficiency, geographic scope, and product diversification. Such an outcome is consistent with the survival of a large number and variety of financial institutions and need not endanger the safety of the banking system.

Managerial Opportunism? Evidence from Directors' and Officers' Insurance Purchases

Published: 4/2002,  Volume: 57,  Issue: 2  |  DOI: 10.1111/1540-6261.00436  |  Cited by: 201

John M. R. Chalmers, Larry Y. Dann, Jarrad Harford

We analyze a sample of 72 IPO firms that went public between 1992 and 1996 for which we have detailed proprietary information about the amount and cost of D&O liability insurance. If managers of IPO firms are exploiting superior inside information, we hypothesize that the amount of insurance coverage chosen will be related to the post‐offering performance of the issuing firm's shares. Consistent with the hypothesis, we find a significant negative relation between the three‐year post‐IPO stock price performance and the insurance coverage purchased in conjunction with the IPO. One plausible interpretation is that, like insider securities transactions, D&O insurance decisions reveal opportunistic behavior by managers. This provides some motivation to argue that disclosure of the details of D&O insurance decisions, as is required in some other countries, is valuable.

Does Money Explain Asset Returns? Theory and Empirical Analysis

Published: 3/1996,  Volume: 51,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1996.tb05212.x  |  Cited by: 18

K. C. CHAN, SILVERIO FORESI, LARRY H. P. LANG

A cash‐in‐advance model of a monetary economy is used to derive a money‐based CAPM (M‐CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross‐sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of the consumption CAPM (C‐CAPM) and pricing errors of the M‐CAPM tend to be smaller than those of the C‐CAPM.

Disentangling the Incentive and Entrenchment Effects of Large Shareholdings

Published: 12/2002,  Volume: 57,  Issue: 6  |  DOI: 10.1111/1540-6261.00511  |  Cited by: 2737

Stijn Claessens, Simeon Djankov, Joseph P. H. Fan, Larry H. P. Lang

This article disentangles the incentive and entrenchment effects of large ownership. Using data for 1,301 publicly traded corporations in eight East Asian economies, we find that firm value increases with the cash‐flow ownership of the largest shareholder, consistent with a positive incentive effect. But firm value falls when the control rights of the largest shareholder exceed its cash‐flow ownership, consistent with an entrenchment effect. Given that concentrated corporate ownership is predominant in most countries, these findings have relevance for corporate governance across the world.