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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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: 1459
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.
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
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: 13
Edwin Elton, Martin 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
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
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
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
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
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: 48
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
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: 12
Martin J. Gruber, Stephen A. Ross
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 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
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
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
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: 27
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: 105
Martin J. Gruber, Jerold B. Warner
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
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: 3
JAMES BICKSLER, EDWIN ELTON, MARTIN GRUBER, JOEL RENTZLER
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.
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: 24
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.
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: 294
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.
“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
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: 321
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.
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
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
Incentive Fees and Mutual Funds
Published: 3/21/2003, Volume: 58, Issue: 2 | DOI: 10.1111/1540-6261.00545 | Cited by: 323
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.
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: 55
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: 214
Edwin J. Elton, Martin J. Gruber, Manfred W. Padberg
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: 242
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.
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: 0
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: 1150
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
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
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
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: 410
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.
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
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
DISCUSSION
Published: 5/1967, Volume: 22, Issue: 2 | DOI: 10.1111/j.1540-6261.1967.tb00003.x | Cited by: 1
H. Martin Weingartner
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
The Perception of Dependence, Investment Decisions, and Stock Prices
Published: 12/13/2020, Volume: 76, Issue: 2 | DOI: 10.1111/jofi.12993 | Cited by: 44
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.
Spanning with Short‐Selling Restrictions
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04740.x | Cited by: 9
MARTIN RAAB, ROBERT SCHWAGER
In principle, the set of attainable payoff vectors is reduced if assets cannot be sold short. However, we show that the original space of payoff vectors is spanned despite short sale restrictions if there is one additional asset whose payoff is a positively weighted sum of the payoffs of the original assets. For example, this condition is automatically fulfilled if the original assets are stocks and the additional asset is an index future consisting of these stocks.
How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice?
Published: 3/12/2015, Volume: 70, Issue: 2 | DOI: 10.1111/jofi.12231 | Cited by: 512
HANS‐MARTIN VON GAUDECKER
Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that score high on financial literacy or rely on professionals or private contacts for advice achieve reasonable investment outcomes. Compared to these groups, households with below‐median financial literacy that trust their own decision‐making capabilities lose an expected 50 bps on average. All group differences stem from the top of the loss distribution.
The Market for Conflicted Advice
Published: 11/8/2019, Volume: 75, Issue: 2 | DOI: 10.1111/jofi.12848 | Cited by: 22
BRIANA CHANG, MARTIN SZYDLOWSKI
We present a model of the market for advice in which advisers have conflicts of interest and compete for heterogeneous customers through information provision. The competitive equilibrium features information dispersion and partial disclosure. Although conflicted fees lead to distorted information, they are irrelevant for customers' welfare: banning conflicted fees improves only the information quality, not customers' welfare. Instead, financial literacy education for the least informed customers can improve all customers' welfare because of a spillover effect. Furthermore, customers who trade through advisers realize lower average returns, which rationalizes empirical findings.
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.