Search results: 50.
DETERMINANTS OF COMMON STOCK PRICES*
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00282.x | Cited by: 1
Martin Jay Gruber
Another Puzzle: The Growth in Actively Managed Mutual Funds
Published: 7/1996, Volume: 51, Issue: 3 | DOI: 10.1111/j.1540-6261.1996.tb02707.x | Cited by: 1474
MARTIN J. GRUBER
Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual funds have grown so fast, when their performance on average has been inferior to that of index funds. One possible explanation of why investors buy actively managed open end funds lies in the fact that they are bought and sold at net asset value, and thus management ability may not be priced. If management ability exists and it is not included in the price of open end funds, then performance should be predictable. If performance is predictable and at least some investors are aware of this, then cash flows into and out of funds should be predictable by the very same metrics that predict performance. Finally, if predictors exist and at least some investors act on these predictors in investing in mutual funds, the return on new cash flows should be better than the average return for all investors in these funds. This article presents empirical evidence on all of these issues and shows that investors in actively managed mutual funds may have been more rational than we have assumed.
REPLY
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00327.x | Cited by: 2
Edwin Elton, Martin Gruber
THE EFFECT OF SHARE REPURCHASE ON THE VALUE OF THE FIRM*
Published: 3/1968, Volume: 23, Issue: 1 | DOI: 10.1111/j.1540-6261.1968.tb03002.x | Cited by: 15
Edwin Elton, Martin Gruber
ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01451.x | Cited by: 51
Edwin J. Elton, Martin J. Gruber
Report of the Managing Editors of the
Journal of Finance
for 1985
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04544.x | Cited by: 0
EDWIN J. ELTON, MARTIN J. GRUBER
Report of the Managing Editors of the Journal of Finance for 1983
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03689.x | Cited by: 0
EDWIN J. ELTON, MARTIN J. GRUBER
THE ECONOMIC VALUE OF THE CALL OPTION*
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01319.x | Cited by: 4
Edwin J. Elton, Martin J. Gruber
Report of the Managing Editors of the Journal of Finance for 1986
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04588.x | Cited by: 2
EDWIN J. ELTON, MARTIN J. GRUBER
THE CURRENT STATUS OF THE CAPITAL ASSET PRICING MODEL (CAPM)
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02029.x | Cited by: 14
Martin J. Gruber, Stephen A. Ross
VALUATION AND ASSET SELECTION UNDER ALTERNATIVE INVESTMENT OPPORTUNITIES
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01904.x | Cited by: 9
Edwin J. Elton, Martin J. Gruber
Report of the Managing Editors of the Journal of Finance for 1984
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05034.x | Cited by: 0
EDWIN J. ELTON, MARTIN J. GRUBER
A Note from the Editors
Published: 9/1983, Volume: 38, Issue: 4 | DOI: 10.1111/j.1540-6261.1983.tb02309.x | Cited by: 0
Edwin J. Elton, Martin J. Gruber
VALUATION AND THE COST OF CAPITAL FOR REGULATED INDUSTRIES
Published: 6/1971, Volume: 26, Issue: 3 | DOI: 10.1111/j.1540-6261.1971.tb01719.x | Cited by: 26
Edwin J. Elton, Martin J. Gruber
BANKRUPTCY COSTS: SOME EVIDENCE
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03274.x | Cited by: 125
Martin J. Gruber, Jerold B. Warner
Non‐Standard C.A.P.M.'s and the Market Portfolio
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03686.x | Cited by: 7
EDWIN J. ELTON, MARTIN J. GRUBER
Report of the Managing Editors of the Journal of Finance for 1987
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04612.x | Cited by: 0
EDWIN J. ELTON, MARTIN J. GRUBER
VALUATION AND THE COST OF CAPITAL FOR REGULATED INDUSTRIES: REPLY
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03033.x | Cited by: 7
Edwin J. Elton, Martin J. Gruber
OPTIMAL INVESTMENT AND FINANCING PATTERNS FOR A FIRM SUBJECT TO REGULATION WITH A LAG
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03349.x | Cited by: 6
Edwin J. Elton, Martin J. Gruber
PORTFOLIO THEORY WHEN INVESTMENT RELATIVES ARE LOGNORMALLY DISTRIBUTED
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03103.x | Cited by: 29
Edwin J. Elton, Martin J. Gruber
The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation*
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02261.x | Cited by: 4
JAMES BICKSLER, EDWIN ELTON, MARTIN GRUBER, JOEL RENTZLER
The Ex‐Dividend Day Behavior of Stock Prices; A Re‐Examination of the Clientele Effect: A Comment
Published: 6/1984, Volume: 39, Issue: 2 | DOI: 10.1111/j.1540-6261.1984.tb02328.x | Cited by: 25
EDWIN J. ELTON, MARTIN J. GRUBER, JOEL RENTZLER
The Structure of Spot Rates and Immunization
Published: 6/1990, Volume: 45, Issue: 2 | DOI: 10.1111/j.1540-6261.1990.tb03708.x | Cited by: 46
EDWIN J. ELTON, MARTIN J. GRUBER, RONI MICHAELY
Empirical studies of the modern theories of bond pricing typically choose proxies for the state variables in a rather arbitrary fashion. This paper empirically analyzes the question of the optimal spot rates to use as state variables. Our findings indicate that the four‐year spot rate serves as the best proxy in the one‐state‐variable model. In the case of the two‐state‐variables model, the six‐year rate and eight‐month rate are identified as best. Tests of the out‐of‐sample prediction ability indicate that our model is superior to Macaulay's duration model and alternative proxies for state variables.
Discrete Expectational Data and Portfolio Performance
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04534.x | Cited by: 114
EDWIN J. ELTON, MARTIN J. GRUBER, SETH GROSSMAN
In this article we examine the information content in analysts' recommendations which are made on a five‐point buy, hold, or sell scale. Our data set includes data on 10,000 forecasts per month. Unlike most prior studies, our data set does not suffer from selection or survivorship bias. We find information in analysts' changes in recommendations. Approximately 4.5% extra return can be earned by purchasing new buys rather than new sells.
A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases
Published: 12/2001, Volume: 56, Issue: 6 | DOI: 10.1111/0022-1082.00410 | Cited by: 324
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake
This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database (CRSP, 1998) and compares returns contained in it to those in Morningstar. The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP, return data is missing for many and the characteristics of these funds differ from the populations. The CRSP return data is biased upward and merger months are inaccurately recorded about half the time. Differences in returns in Morningstar and CRSP are a problem for older data and small funds.
“ARE BETAS BEST?”†
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03426.x | Cited by: 23
Edwin J. Elton, Martin J. Gruber, Thomas J. Urich
Simple Rules for Optimal Portfolio Selection In Stable Paretian Markets
Published: 9/1979, Volume: 34, Issue: 4 | DOI: 10.1111/j.1540-6261.1979.tb03457.x | Cited by: 37
VIJAY S. BAWA, EDWIN J. ELTON, MARTIN J. GRUBER
Fundamental Economic Variables, Expected Returns, and Bond Fund Performance
Published: 9/1995, Volume: 50, Issue: 4 | DOI: 10.1111/j.1540-6261.1995.tb04056.x | Cited by: 298
EDWIN J. ELTON, MARTIN J. GRUBER, CHRISTOPHER R. BLAKE
In this article, we develop relative pricing (APT) models that are successful in explaining expected returns in the bond market. We utilize indexes as well as unanticipated changes in economic variables as factors driving security returns. An innovation in this article is the measurement of the economic factors as changes in forecasts. The return indexes are the most important variables in explaining the time series of returns. However, the addition of the economic variables leads to a large improvement in the explanation of the cross‐section of expected returns. We utilize our relative pricing models to examine the performance of bond funds.
Incentive Fees and Mutual Funds
Published: 3/21/2003, Volume: 58, Issue: 2 | DOI: 10.1111/1540-6261.00545 | Cited by: 335
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake
This paper examines the effect of incentive fees on the behavior of mutual fund managers. Funds with incentive fees exhibit positive stock selection ability, but a beta less than one results in funds not earning positive fees. From an investor's perspective, positive alphas plus lower expense ratios make incentive‐fee funds attractive. However, incentive‐fee funds take on more risk than non‐incentive‐fee funds, and they increase risk after a period of poor performance. Incentive fees are useful marketing tools, since more new cash flows go into incentive‐fee funds than into non‐incentive‐fee funds, ceteris paribus.
DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00910.x | Cited by: 8
Alexander A. Robichek, Edwin J. Elton, Martin J. Gruber
Are Investors Rational? Choices among Index Funds
Published: 2/2004, Volume: 59, Issue: 1 | DOI: 10.1111/j.1540-6261.2004.00633.x | Cited by: 247
Edwin J. Elton, Martin J. Gruber, Jeffrey A. Busse
S&P 500 index funds represent one of the simplest vehicles for examining rational behavior. They hold virtually the same securities, yet their returns differ by more than 2 percent per year. Although the relative returns of alternative S&P 500 funds are easily predictable, the relationship between cash flows and performance is weaker than rational behavior would lead us to expect. We show that selecting funds based on low expenses or high past returns outperforms the portfolio of index funds selected by investors. Our results exemplify the fact that, in a market where arbitrage is not possible, dominated products can prosper.
SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION: TRACING OUT THE EFFICIENT FRONTIER
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03407.x | Cited by: 56
Edwin J. Elton, Martin J. Gruber, Manfred W. Padberg
SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION
Published: 12/1976, Volume: 31, Issue: 5 | DOI: 10.1111/j.1540-6261.1976.tb03217.x | Cited by: 217
Edwin J. Elton, Martin J. Gruber, Manfred W. Padberg
VALUATION, OPTIMUM INVESTMENT AND FINANCING FOR THE FIRM SUBJECT TO REGULATION
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01819.x | Cited by: 1
Franco Modigliani, Edwin J. Elton, Martin J. Gruber, Zvi Lieber
Explaining the Rate Spread on Corporate Bonds
Published: 2/2001, Volume: 56, Issue: 1 | DOI: 10.1111/0022-1082.00324 | Cited by: 1172
Edwin J. Elton, Martin J. Gruber, Deepak Agrawal, Christopher Mann
The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Both our time series and cross‐sectional tests support the existence of a risk premium on corporate bonds.
COMPETITIVE EQUILIBRIUM CONTINGENT COMMODITIES AND INFORMATION*
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03253.x | Cited by: 0
Martin Shubik
DISCUSSION
Published: 5/1967, Volume: 22, Issue: 2 | DOI: 10.1111/j.1540-6261.1967.tb00003.x | Cited by: 1
H. Martin Weingartner
AN INVESTOR EXPECTATIONS STOCK PRICE PREDICTIVE MODEL USING CLOSED‐END FUND PREMIUMS
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01346.x | Cited by: 102
Martin E. Zweig
A STUDY OF CREDITORS' PRACTICES IN THE FINANCING OF RELIGIOUS INSTITUTIONS*
Published: 12/1959, Volume: 14, Issue: 4 | DOI: 10.1111/j.1540-6261.1959.tb00147.x | Cited by: 0
Mother Martin Byrne
MONETARY POLICY AND INTERNATIONAL PAYMENTS*
Published: 3/1963, Volume: 18, Issue: 1 | DOI: 10.1111/j.1540-6261.1963.tb01617.x | Cited by: 0
William McChesney Martin
CAPITAL RATIONING: n AUTHORS IN SEARCH OF A PLOT
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03345.x | Cited by: 41
H. Martin Weingartner
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: 424
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.
PRICING A BANKING SERVICE—THE SPECIAL CHECKING ACCOUNT
Published: 9/1960, Volume: 15, Issue: 3 | DOI: 10.1111/j.1540-6261.1960.tb01601.x | Cited by: 0
Martin H. Seiden
Expected Returns, Time‐varying Risk, and Risk Premia
Published: 6/1994, Volume: 49, Issue: 2 | DOI: 10.1111/j.1540-6261.1994.tb05156.x | Cited by: 49
MARTIN D. D. EVANS
A new empirical model for intertemporal capital asset pricing is presented that allows both time‐varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when the stock market is the single factor. Although changes in the covariance of returns induce variations in the betas, most of the predictable movements in returns are attributed to changes in the risk premia.
The Perception of Dependence, Investment Decisions, and Stock Prices
Published: 12/13/2020, Volume: 76, Issue: 2 | DOI: 10.1111/jofi.12993 | Cited by: 47
MICHAEL UNGEHEUER, MARTIN WEBER
How do investors perceive dependence between stock returns; and how does their perception of dependence affect investments and stock prices? We show experimentally that investors understand differences in dependence, but not in terms of correlation. Participants invest as if applying a simple counting heuristic for the frequency of comovement. They diversify more when the frequency of comovement is lower even if correlation is higher due to dependence in the tails. Building on our experimental findings, we empirically analyze U.S. stock returns. We identify a robust return premium for stocks with high frequencies of comovement with the market return.
Repo over the Financial Crisis
Published: 2/10/2025, Volume: 80, Issue: 2 | DOI: 10.1111/jofi.13406 | Cited by: 3
ADAM COPELAND, ANTOINE MARTIN
This paper uses new data to provide a comprehensive view of repo activity during the 2007 global financial crisis. We show that activity declined much more in the bilateral segment of the market than in the tri‐party segment. Surprisingly, a large share of the decline in activity is driven by repos backed by Treasury securities. Further, a disproportionate share of the decline in repo activity is connected to securities dealer's market‐making activity. In particular, the evidence suggests that at least part of the decline is not driven by clients pulling away from securities dealers because of counterparty credit concerns.
Should Derivatives Be Privileged in Bankruptcy?
Published: 11/12/2015, Volume: 70, Issue: 6 | DOI: 10.1111/jofi.12201 | Cited by: 63
PATRICK BOLTON, MARTIN OEHMKE
Derivatives enjoy special status in bankruptcy: they are exempt from the automatic stay and effectively senior to virtually all other claims. We propose a corporate finance model to assess the effect of these exemptions on a firm's cost of borrowing and incentives to engage in derivative transactions. While derivatives are value‐enhancing risk management tools, seniority for derivatives can lead to inefficiencies: it transfers credit risk to debtholders, even though this risk is borne more efficiently in the derivative market. Seniority for derivatives is efficient only if it provides sufficient cross‐netting benefits to derivative counterparties that provide hedging services.
Pension Funding, Share Prices, and National Savings
Published: 9/1981, Volume: 36, Issue: 4 | DOI: 10.1111/j.1540-6261.1981.tb04885.x | Cited by: 78
MARTIN FELDSTEIN, STEPHANIE SELIGMAN
This paper examines empirically the effect of unfunded pension obligations on corporate share prices and discusses the implications of these estimates for national saving, the decline of the stock market in recent years, and the rationality of corporate financial behavior. The analysis uses the information on inflation‐adjusted income and assets which large firms were required to provide for 1976 and subsequent years.The evidence for a sample of nearly 200 manufacturing firms is consistent with the conclusion that share prices fully reflect the value of unfunded pension obligations. Since the conventional accounting measure of the unfunded pension liability has a number of problems (which we examine in the paper), it would be more accurate to say that the data are consistent with the conclusion that shareholders accept the conventional measure as the best available information and reduce share prices by a corresponding amount.The most important implication of the share price response is that the existence of unfunded private pension liabilities does not necessarily entail a reduction in total private saving. Because the pension liability reduces the equity value of the firm, shareholders are given notice of its existence and an incentive to save more themselves. For this reason, unfunded private pensions differ fundamentally from the unfunded Social Security pension and the other unfunded federal government civilian and military pensions.