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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ON THE ASSESSMENT OF RISK
Published: 03/01/1971 | DOI: 10.1111/j.1540-6261.1971.tb00584.x
Marshall E. Blume
DISCUSSION
Published: 05/01/1972 | DOI: 10.1111/j.1540-6261.1972.tb00963.x
Marshall E. Blume
BETAS AND THEIR REGRESSION TENDENCIES
Published: 06/01/1975 | DOI: 10.1111/j.1540-6261.1975.tb01850.x
Marshall E. Blume
PRICE, BETA, AND EXCHANGE LISTING
Published: 05/01/1973 | DOI: 10.1111/j.1540-6261.1973.tb01772.x
Marshall E. Blume, Frank Husic
Quotes, Order Flow, and Price Discovery
Published: 04/18/2012 | DOI: 10.1111/j.1540-6261.1997.tb03814.x
MARSHALL E. BLUME, MICHAEL A. GOLDSTEIN
The goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes. Non‐NYSE markets attract a significant portion of their volume when they are posting inferior bids or offers, indicating they obtain order flow for other reasons, such as “payment for order flow.” Yet, when a non‐NYSE market does post a better bid or offer, it does attract additional order flow.
The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00057
Marshall E. Blume, Felix Lim, A. Craig Mackinlay
In recent years, the number of downgrades in corporate bond ratings has exceeded the number of upgrades, leading some to conclude that the credit quality of U.S. corporate debt has declined. However, an alternative explanation of this apparent decline in credit quality is that the rating agencies are now using more stringent standards in assigning ratings. An ordered probit analysis of a panel of firms from 1978 through 1995 suggests that rating standards have indeed become more stringent, implying that at least part of the downward trend in ratings is the result of changing standards.
Order Imbalances and Stock Price Movements on October 19 and 20, 1987
Published: 09/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02626.x
MARSHALL E. BLUME, A. CRAIG MACKINLAY, BRUCE TERKER
On October 19, 1987, NYSE stocks in the S&P index declined seven percentage points more than NYSE stocks not in this index. In the first hour of trading on October 20, the S&P stocks virtually recovered to the level of the non‐S&P stocks. There is a strong relation between order imbalances and stock price movements, both in analyses of time series and cross‐sections. Thus, in addition to the breakdown in the linkage between future prices and the spot index on these two days, there were also breakdowns in the linkage among NYSE stocks.
Returns and Volatility of Low‐Grade Bonds 1977–1989
Published: 03/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb03745.x
MARSHALL E. BLUME, DONALD B. KEIM, SANDEEP A. PATEL
This paper examines the risks and returns of long‐term low‐grade bonds for the period 1977–1989. We find: (1) low‐grade bonds realized higher returns than higher‐grade bonds and lower returns than common stocks, and low‐grade bonds exhibited less volatility than higher‐grade bonds due to their call features and high coupons; (2) there is no relation between the age of low‐grade bonds and their realized returns; cyclical factors explain much of the observed relation between default rates and bond age; and (3) low‐grade bonds behave like both bonds and stocks. Despite this complexity there is no evidence that low‐grade bonds are systematically over‐ or under‐priced.