The Journal of Finance

THE YIELD SPREAD ON NEW ISSUES OF CORPORATE BONDS

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03134.x  |  Cited by: 30

Louis H. Ederington

NEGOTIATED VERSUS COMPETITIVE UNDERWRITINGS OF CORPORATE BONDS

Published: 3/1976,  Volume: 31,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1976.tb03192.x  |  Cited by: 23

Louis H. Ederington

Aspects of the Production of Significant Financial Research

Published: 6/1979,  Volume: 34,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1979.tb02142.x  |  Cited by: 29

LOUIS H. EDERINGTON

The Hedging Performance of the New Futures Markets

Published: 3/1979,  Volume: 34,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1979.tb02077.x  |  Cited by: 1159

LOUIS H. EDERINGTON

How Markets Process Information: News Releases and Volatility

Published: 9/1993,  Volume: 48,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1993.tb04750.x  |  Cited by: 720

LOUIS H. EDERINGTON, JAE HA LEE

We examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. We find these announcements are responsible for most of the observed time‐of‐day and day‐of‐the‐week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. We identify those announcements with the greatest impact on these markets.

Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?

Published: 12/1993,  Volume: 48,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1993.tb05139.x  |  Cited by: 291

JEREMY C. GOH, LOUIS H. EDERINGTON

We examine the reaction of common stock returns to bond rating changes. While recent studies find a significant negative stock response to downgrades, we argue that this reaction should not be expected for all downgrades because: (1) some rating changes are anticipated by market participants and (2) downgrades because of an anticipated move to transfer wealth from bondholders to stockholders should be good news for stockholders. We find that downgrades associated with deteriorating financial prospects convey new negative information to the capital market, but that downgrades due to changes in firms' leverage do not.

Tax Shields, Sample‐Selection Bias, and the Information Content of Conversion‐Forcing Bond Calls

Published: 9/1991,  Volume: 46,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1991.tb04619.x  |  Cited by: 42

CYNTHIA J. CAMPBELL, LOUIS H. EDERINGTON, PRASHANT VANKUDRE

The information content of conversion‐forcing bond calls depends on the after‐tax cash flow to bondholders. If the dividend after conversion exceeds the after‐tax coupon but is less than the before‐tax coupon, the call reveals unanticipated decreases in dividends and/or earnings that reduce the tax shield from interest payments. In contrast, a call when the dividend is less than the after‐tax coupon reveals the timing of an anticipated shift from exceptional firm‐specific positive growth to the industry norm. Efforts to document properties of convertible calls are subject to sample‐selection bias because calls are disproportionately associated with positive pre‐call firm‐specific growth.

Taxes, Default Risk, and Yield Spreads

Published: 9/1985,  Volume: 40,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1985.tb02367.x  |  Cited by: 35

JESS B. YAWITZ, KEVIN J. MALONEY, LOUIS H. EDERINGTON

This paper develops a model of bond prices and yield spreads that incorporates the effect of both taxes and differences in default probabilities. The tax loss consequences of default are recognized. Traditionally, tax‐free (municipal) bond yields have been viewed as linearly related to taxable yields with a slope coefficient equal to one minus the tax rate and the intercept representing differences in default risk. While our model supports the linearity assumption, it implies that the slope and intercept are both functions of both the break‐even tax rate and the default probability(ies). Clientele effects among both municipal and taxable bonds are demonstrated. Finally, the implied marginal tax rates and the implied default probabilities are estimated for different categories of municipal bonds.

THE BURDEN OF THE RESIDENTIAL MORTGAGE DEBT

Published: 5/1956,  Volume: 11,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1956.tb00699.x  |  Cited by: 0

Louis Winnick

FINANCING THE REBUILDING OF OUR CITIES

Published: 5/1962,  Volume: 17,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1962.tb04289.x  |  Cited by: 0

Louis Winnick

Projecting the Financial Condition of a Pension Plan Using Simulation Analysis

Published: 5/1982,  Volume: 37,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1982.tb03579.x  |  Cited by: 12

LOUIS KINGSLAND

THE FISCAL ECONOMICS OF STATE BONUSES FOR VETERANS*

Published: 3/1959,  Volume: 14,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1959.tb00492.x  |  Cited by: 0

Louis Fier

THE REAL‐BALANCE EFFECT: ASPECTS AND EVIDENCE*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00862.x  |  Cited by: 0

Louis Zincone

INFLATION CONTROL THROUGH A NATIONAL WAGE POLICY

Published: 3/1952,  Volume: 7,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1952.tb01524.x  |  Cited by: 0

Louis Siegelman

PRIVATE PROPERTY AND DISPERSION OF OWNERSHIP IN LARGE CORPORATIONS

Published: 9/1973,  Volume: 28,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1973.tb01409.x  |  Cited by: 16

Louis De Alessi

Easy Proofs of Unanimity and Optimality without Spanning: A Pedagogical Note

Published: 9/1985,  Volume: 40,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1985.tb02375.x  |  Cited by: 5

LOUIS MAKOWSKI, LYNNE PEPALL

Changes in Federal Reserve Membership: A Risk‐Return Profitability Analysis

Published: 9/1979,  Volume: 34,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1979.tb03451.x  |  Cited by: 0

LOUIS J. D'ANTONIO, RONALD W. MELICHER

The Behavior of Stock Prices Around Institutional Trades

Published: 9/1995,  Volume: 50,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1995.tb04053.x  |  Cited by: 582

LOUIS K. C. CHAN, JOSEF LAKONISHOK

All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence (“package”) of trades that we interpret as an order. We find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact.

Institutional Equity Trading Costs: NYSE Versus Nasdaq

Published: 6/1997,  Volume: 52,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1997.tb04819.x  |  Cited by: 151

LOUIS K. C. CHAN, JOSEF LAKONISHOK

We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in cost generally conform to each market's area of specialization. Controlling for firm size, trade size, and the money management firm's identity, costs are lower on Nasdaq for trades in comparatively smaller firms, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period.

A Re‐Examination of the Market Reaction to Failed Mergers

Published: 9/1989,  Volume: 44,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1989.tb02640.x  |  Cited by: 35

WALLACE N. DAVIDSON, DIPA DUTIA, LOUIS CHENG

This study examines the revaluation of shares surrounding the cancellation of mergers over the years 1976–1985. The results are first categorized according to the party cancelling the merger and then by subsequent merger activity. The results are as expected: target firms that become involved in merger activity, subsequent to the cancellation, experience positive cumulative prediction errors (CPEs). Targets that do not become involved in subsequent merger activity have CPEs that return to pre‐merger announcement levels. These results do not vary when bidders or targets cancel the merger.

Earnings Management and Firm Performance Following Open‐Market Repurchases

Published: 4/2008,  Volume: 63,  Issue: 2  |  DOI: 10.1111/j.1540-6261.2008.01336.x  |  Cited by: 273

GUOJIN GONG, HENOCK LOUIS, AMY X. SUN

Both post‐repurchase abnormal returns and reported improvement in operating performance are driven, at least in part, by pre‐repurchase downward earnings management rather than genuine growth in profitability. The downward earnings management increases with both the percentage of the company that managers repurchase and CEO ownership. Pre‐repurchase abnormal accruals are also negatively associated with future performance, with the association driven mainly by those firms that report the largest income‐decreasing abnormal accruals. The study suggests that one reason firms experience post‐repurchase abnormal returns is that post‐repurchase realized earnings growth exceeds expectations formed on the basis of pre‐repurchase deflated earnings numbers.

The Level and Persistence of Growth Rates

Published: 3/21/2003,  Volume: 58,  Issue: 2  |  DOI: 10.1111/1540-6261.00540  |  Cited by: 248

Louis K. C. Chan, Jason Karceski, Josef Lakonishok

Expectations about long‐term earnings growth are crucial to valuation models and cost of capital estimates. We analyze historical long‐term growth rates across a broad cross section of stocks using several indicators of operating performance. We test for persistence and predictability in growth. While some firms have grown at high rates historically, they are relatively rare instances. There is no persistence in long‐term earnings growth beyond chance, and there is low predictability even with a wide variety of predictor variables. Specifically, IBES growth forecasts are overly optimistic and add little predictive power. Valuation ratios also have limited ability to predict future growth.

Momentum Strategies

Published: 12/1996,  Volume: 51,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1996.tb05222.x  |  Cited by: 1494

LOUIS K. C. CHAN, NARASIMHAN JEGADEESH, JOSEF LAKONISHOK

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book–to–market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information.

Fundamentals and Stock Returns in Japan

Published: 12/1991,  Volume: 46,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1991.tb04642.x  |  Cited by: 851

LOUIS K. C. CHAN, YASUSHI HAMAO, JOSEF LAKONISHOK

This paper relates cross‐sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market ratio, and cash flow yield. Alternative statistical specifications and various estimation methods are applied to a comprehensive, high‐quality data set that extends from 1971 to 1988. The sample includes both manufacturing and nonmanufacturing firms, companies from both sections of the Tokyo Stock Exchange, and also delisted securities. Our findings reveal a significant relationship between these variables and expected returns in the Japanese market. Of the four variables considered, the book to market ratio and cash flow yield have the most significant positive impact on expected returns.

The Stock Market Valuation of Research and Development Expenditures

Published: 12/2001,  Volume: 56,  Issue: 6  |  DOI: 10.1111/0022-1082.00411  |  Cited by: 1418

Louis K. C. Chan, Josef Lakonishok, Theodore Sougiannis

We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards, financial statements do not report intangible assets and R&D spending is expensed. Nonetheless, the average historical stock returns of firms doing R&D matches the returns of firms without R&D. However, the market is apparently too pessimistic about beaten‐down R&D‐intensive technology stocks' prospects. Companies with high R&D to equity market value (which tend to have poor past returns) earn large excess returns. A similar relation exists between advertising and stock returns. R&D intensity is positively associated with return volatility.

Contributing Authors and Institutions to the Journal of Finance: 1946–1985

Published: 12/1986,  Volume: 41,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1986.tb02535.x  |  Cited by: 46

J. LOUIS HECK, PHILIP L. COOLEY, CARL M. HUBBARD

Publication of the December 1985 issue of the Journal of Finance completed the Journal's first 40 years of contributions to the profession. This study identifies and summarizes the contributing authors, where they earned their doctoral degrees, and their employers at the time of publication. The authors, degree‐granting institutions, and employers appearing most frequently in the Journal are ordered for the entire 40‐year period and for various subperiods. Where possible, the present findings are compared with those of previously published studies.