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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Debt Financing under Asymmetric Information
Published: 6/1995, Volume: 50, Issue: 2 | DOI: 10.1111/j.1540-6261.1995.tb04798.x | Cited by: 47
GAUTAM GOSWAMI, THOMAS NOE, MICHAEL REBELLO
We analyze the optimal design of debt maturity, coupon payments, and dividend payout restrictions under asymmetric information. We show that, if the asymmetry of information is concentrated around long‐term cash flows, firms finance with coupon‐bearing long‐term debt that partially restricts dividend payments. If the asymmetry of information is concentrated around near‐term cash flows and there exists considerable refinancing risk, firms finance with coupon‐bearing long‐term debt that does not restrict dividend payments. Finally, if the asymmetry of information is uniformly distributed across dates, firms finance with short‐term debt.
Asymmetric Information, Managerial Opportunism, Financing, and Payout Policies
Published: 6/1996, Volume: 51, Issue: 2 | DOI: 10.1111/j.1540-6261.1996.tb02697.x | Cited by: 65
THOMAS H. NOE, MICHAEL J. REBELLO
We examine corporate issuance and payout policies in the presence of both adverse selection (in capital markets) and managerial opportunism. Our results establish the importance of the locus of decision control in the firm. When shareholders determine policies, debt financing is always optimal in the presence of either adverse selection or managerial opportunism. However, when both of these problems are simultaneously present, equity issuance can become an optimal signaling mechanism. Shareholders' most preferred signaling mechanism is restricting dividends, followed by equity financing, and finally underpricing securities. When managers determine policies, a reversed hierarchy may be obtained.
The Evolution of Security Designs
Published: 9/19/2006, Volume: 61, Issue: 5 | DOI: 10.1111/j.1540-6261.2006.01052.x | Cited by: 12
THOMAS H. NOE, MICHAEL J. REBELLO, JUN WANG
We consider a competitive and perfect financial market in which agents have heterogeneous cash flow valuations. Instead of assuming that agents are endowed with rational expectations, we model their behavior as the product of adaptive learning. Our results demonstrate that adaptive learning affects security design profoundly, with securities mispriced even in the long run and optimal designs trading off underpricing against intrinsic value maximization. The evolutionary dominant security design calls for issuing securities that engender large losses with a small but positive probability, but that otherwise produce stable payoffs, almost the exact opposite of the pure state claims that are optimal in the rational expectations framework.
Corporate Financing: An Artificial Agent‐based Analysis
Published: 5/6/2003, Volume: 58, Issue: 3 | DOI: 10.1111/1540-6261.00554 | Cited by: 35
Thomas H. Noe, Michael J. Rebello, Jun Wang
AbstractWe examine corporate security choice by simulating an economy populated by adaptive agents who learn about the structure of security returns and prices through experience. Through a process of evolutionary selection, each agent gravitates toward strategies that generate the highest payoffs. Despite the fact that markets are perfect and agents maximize value, a financing hierarchy emerges in which straight debt dominates other financing choices. Equity and convertible debt display significant underpricing. In general, the smaller the probability of loss to outside investors, the more likely the firm is to issue the security and the smaller the security's underpricing.
Corporate Board Composition, Protocols, and Voting Behavior: Experimental Evidence
Published: 9/11/2003, Volume: 58, Issue: 5 | DOI: 10.1111/1540-6261.00595 | Cited by: 89
Ann B. Gillette, Thomas H. Noe, Michael J. Rebello
AbstractWe examine voting by a board designed to mitigate conflicts of interest between privately informed insiders and owners. Our model demonstrates that, as argued by researchers and the business press, boards with a majority of trustworthy but uninformed “watchdogs” can implement institutionally preferred policies. Our laboratory experiments strongly support this conclusion. Our model also highlights the necessity of penalties on insiders when there is dissension among board members. However, penalties for dissent appeared to have little impact on the experimental outcomes.
PAPERS AND PROCEEDINGS FIFTY‐SECOND ANNUAL MEETING AMERICAN FINANCE ASSOCIATION
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb03995.x | Cited by: 0
MICHAEL C. JENSEN, MICHAEL KEENAN
Minutes of the Annual Membership Meeting
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04542.x | Cited by: 0
Michael Keenan
THE COST OF CAPITAL AND VALUATION OF A TWO‐COUNTRY FIRM: REPLY
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03335.x | Cited by: 1
Michael Adler
Report of the Executive Secretary and Treasurer: for the Year Ending September 30, 1986
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04587.x | Cited by: 0
Michael Keenan
Report of the Executive Secretary and Treasurer
Published: 7/1995, Volume: 50, Issue: 3 | DOI: 10.1111/j.1540-6261.1995.tb04045.x | Cited by: 0
Michael Keenan
The Use of Electronic Funds Transfers to Capture the Effects of Cash Management Practices on the Demand for Demand Deposits: A Note
Published: 12/1985, Volume: 40, Issue: 5 | DOI: 10.1111/j.1540-6261.1985.tb02397.x | Cited by: 6
MICHAEL DOTSEY
The rapidly increasing use of more sophisticated cash management practices is a factor influencing the demand for money that is not considered in standard models of money demand. Within the framework of an inventory theoretic model of money demand, this paper provides theoretical grounds for using the number of electronic funds transfers as an indication of increasing cash management sophistication. Specifically, the demand for demand deposits is determined from the solution of a simultaneous equation system that also determines the optimal level of cash management. Therefore, the level of cash management services influences transactions costs, implying that transactions costs are endogenous. The number of electronic funds transfers is closely linked to the level of cash management services and is therefore related to transactions costs. Models of money demand that treat transactions costs as exogenous and fixed are therefore misspecified and will not perform well when transactions costs are changing. By explicitly incorporating the changing nature of transactions costs through the use of electronic funds transfers, the problems of instability and poor predictive power associated with the demand for money in the 1970's are overcome.
Report of the Executive Secretary and Treasurer
Published: 8/1999, Volume: 54, Issue: 4 | DOI: 10.1111/1467-6419.00062-i1 | Cited by: 0
Michael Keenan
Report on the 1987 Membership Survey
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04609.x | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting
Published: 7/1990, Volume: 45, Issue: 3 | DOI: 10.1111/j.1540-6261.1990.tb05115.x | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04012.x | Cited by: 1
Michael Keenan
Fifty Years of the American Finance Association
Published: 7/1991, Volume: 46, Issue: 3 | DOI: 10.1111/j.1540-6261.1991.tb03781.x | Cited by: 3
MICHAEL KEENAN
The American Finance Association was organized 50 years ago. This paper reflects on recent trends in Officers and Directors, Membership, Association Meetings, the Journal of Finance, and other activities. Appendix Tables provide historical data for the Association for the past 25 years.
Minutes of the Annual Membership Meeting
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04608.x | Cited by: 0
Michael Keenan
Report of the Executive Secretary and Treasurer for the Year Ending September 30, 1987
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04610.x | Cited by: 0
Michael Keenan
Report of the Executive Secretary and Treasurer
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04013.x | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting
Published: 7/1995, Volume: 50, Issue: 3 | DOI: 10.1111/j.1540-6261.1995.tb04044.x | Cited by: 0
Michael Keenan
A NOTE ON DIVIDEND IRRELEVANCE AND THE GORDON VALUATION MODEL*
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01752.x | Cited by: 15
Michael Brennan
Minutes of the Annual Membership Meeting
Published: 7/1993, Volume: 48, Issue: 3 | DOI: 10.1111/j.1540-6261.1993.tb04031.x | Cited by: 0
Michael Keenan
STATISTICAL TESTS OF THE KEYNESIAN DEMAND FUNCTION FOR MONEY: COMMENT
Published: 9/1968, Volume: 23, Issue: 4 | DOI: 10.1111/j.1540-6261.1968.tb00851.x | Cited by: 0
Michael Hudson
SOME CHARACTERISTICS OF TREASURY BILL DEALERS IN THE AUCTION MARKET*
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00183.x | Cited by: 1
Michael Rieber
LEVERAGE, DIVIDEND POLICY AND THE COST OF CAPITAL: A COMMENT
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00561.x | Cited by: 4
Michael Davenport
Report of the Executive Secretary and Treasurer for the Year Ending September 30, 1989
Published: 7/1990, Volume: 45, Issue: 3 | DOI: 10.1111/j.1540-6261.1990.tb05116.x | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting
Published: 7/1996, Volume: 51, Issue: 3 | DOI: 10.1111/j.1540-6261.1996.tb02716.x | Cited by: 1
Michael Keenan
Report of the Executive Secretary and Treasurer
Published: 8/1998, Volume: 53, Issue: 4 | DOI: 10.1111/0022-1082.00059 | Cited by: 0
Michael Keenan
SYNERGISM IN MERGERS: SOME BRITISH RESULTS*
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04878.x | Cited by: 7
Michael Firth
THE INFORMATION CONTENT OF LARGE INVESTMENT HOLDINGS
Published: 12/1975, Volume: 30, Issue: 5 | DOI: 10.1111/j.1540-6261.1975.tb01054.x | Cited by: 5
Michael Firth
Minutes of the Annual Membership Meeting
Published: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04392.x | Cited by: 0
Michael Keenan
Report of the Executive Secretary and Treasurer
Published: 7/1991, Volume: 46, Issue: 3 | DOI: 10.1111/j.1540-6261.1991.tb03779.x | Cited by: 0
Michael Keenan
Does Borrowing from Banks Cost More than Borrowing from the Market?
Published: 10/30/2019, Volume: 75, Issue: 2 | DOI: 10.1111/jofi.12849 | Cited by: 134
MICHAEL SCHWERT
This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date. After accounting for seniority, lenders earn a large premium relative to the bond‐implied credit spread. In a sample of secured term loans to noninvestment‐grade firms, the average premium is 140 to 170 bps or about half of the all‐in‐drawn spread. This is the first direct evidence of firms' willingness to pay for bank credit and raises questions about the nature of competition in the loan market.
Report of the Executive Secretary and Treasurer
Published: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04393.x | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting December 29, 1986
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04586.x | Cited by: 0
Michael Keenan
FROM THE EXSEC'S NOTEBOOK
Published: 12/1997, Volume: 52, Issue: 5 | DOI: 10.1111/j.1540-6261.1997.tb02740.x | Cited by: 0
Michael Keenan
ON RISK‐ADJUSTED CAPITALIZATION RATES AND VALUATION BY INDIVIDUALS
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00556.x | Cited by: 3
Michael Adler
Municipal Bond Liquidity and Default Risk
Published: 6/13/2017, Volume: 72, Issue: 4 | DOI: 10.1111/jofi.12511 | Cited by: 256
MICHAEL SCHWERT
This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax‐exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi‐natural experiment that estimates changes in default risk around pre‐refunding events. The price of default risk is high given the rare incidence of municipal default and implies a high risk premium.
CLO Performance
Published: 4/10/2023, Volume: 78, Issue: 3 | DOI: 10.1111/jofi.13224 | Cited by: 32
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.
Report of the Executive Secretary and Treasurer
Published: 7/1993, Volume: 48, Issue: 3 | DOI: 10.1111/j.1540-6261.1993.tb04032.x | Cited by: 0
Michael Keenan
Report of the Executive Secretary and Treasurer
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04543.x | Cited by: 0
Michael Keenan
THE COST OF CAPITAL AND VALUATION OF A TWO‐COUNTRY FIRM
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00028.x | Cited by: 15
Michael Adler
The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models
Published: 2/2004, Volume: 59, Issue: 1 | DOI: 10.1111/j.1540-6321.2004.00632.x | Cited by: 380
Michael Johannes
This paper analyzes the role of jumps in continuous‐time short rate models. I first develop a test to detect jump‐induced misspecification and, using Treasury bill rates, find evidence for the presence of jumps. Second, I specify and estimate a nonparametric jump‐diffusion model. Results indicate that jumps play an important statistical role. Estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps. Finally, I investigate the pricing implications of jumps. Jumps generally have a minor impact on yields, but they are important for pricing interest rate options.
Report of the Executive Secretary and Treasurer
Published: 7/1996, Volume: 51, Issue: 3 | DOI: 10.1111/j.1540-6261.1996.tb02717.x | Cited by: 0
Michael Keenan
From the ExSec's Notebook
Published: 12/1998, Volume: 53, Issue: 6 | DOI: 10.1111/0022-1082.00094 | Cited by: 0
Michael Keenan
The Relationship Between Stock Market Returns and Rates of Inflation
Published: 6/1979, Volume: 34, Issue: 3 | DOI: 10.1111/j.1540-6261.1979.tb02139.x | Cited by: 65
MICHAEL FIRTH
A Simple Nonparametric Approach to Derivative Security Valuation
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05220.x | Cited by: 227
MICHAEL STUTZER
Canonical valuation
uses historical time series to predict the probability distribution of the discounted value of primary assets' discounted prices plus accumulated dividends at any future date. Then the axiomatically‐rationalized
maximum entropy principle
is used to estimate risk‐neutral (equivalent martingale) probabilities that correctly price the primary assets, as well as any predesignated subset of derivative securities whose payoffs occur at this date. Valuation of other derivative securities proceeds by calculation of its discounted, risk‐neutral expected value. Both simulation and empirical evidence suggest that canonical valuation has merit.
REGULATION OF THE NEW YORK STATE CONSUMER FINANCE INDUSTRY*
Published: 9/1965, Volume: 20, Issue: 3 | DOI: 10.1111/j.1540-6261.1965.tb02921.x | Cited by: 0
Michael Kawaja
Investor Recognition of Corporation International Diversification: Comment
Published: 3/1981, Volume: 36, Issue: 1 | DOI: 10.1111/j.1540-6261.1981.tb03543.x | Cited by: 5
MICHAEL ADLER