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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Diversification, Integration and Emerging Market Closed‐End Funds
Published: 7/1996, Volume: 51, Issue: 3 | DOI: 10.1111/j.1540-6261.1996.tb02709.x | Cited by: 110
GEERT BEKAERT, MICHAEL S. URIAS
We study a new class of unconditional and conditional mean‐variance spanning tests that exploits the duality between Hansen‐Jagannathan bounds (1991) and mean‐standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.‐traded closed‐end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom.
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
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
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
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
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: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04393.x | Cited by: 0
Michael Keenan
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
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: 254
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.
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
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.
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: 7/1986, 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
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
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.
Hedging or Market Timing? Selecting the Interest Rate Exposure of Corporate Debt
Published: 3/2/2005, Volume: 60, Issue: 2 | DOI: 10.1111/j.1540-6261.2005.00751.x | Cited by: 212
MICHAEL FAULKENDER
This paper examines whether firms are hedging or timing the market when selecting the interest rate exposure of their new debt issuances. I use a more accurate measure of the interest rate exposure chosen by firms by combining the initial exposure of newly issued debt securities with their use of interest rate swaps. The results indicate that the final interest rate exposure is largely driven by the slope of the yield curve at the time the debt is issued. These results suggest that interest rate risk management practices are primarily driven by speculation or myopia, not hedging considerations.
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
Bank Capital and Lending Relationships
Published: 2/13/2018, Volume: 73, Issue: 2 | DOI: 10.1111/jofi.12604 | Cited by: 368
MICHAEL SCHWERT
This paper investigates the mechanisms behind the matching of banks and firms in the loan market and the implications of this matching for lending relationships, bank capital, and credit provision. I find that bank‐dependent firms borrow from well‐capitalized banks, while firms with access to the bond market borrow from banks with less capital. This matching of bank‐dependent firms with stable banks smooths cyclicality in aggregate credit provision and mitigates the effects of bank shocks on the real economy.
Minutes of the Annual Membership Meeting
Published: 8/1998, Volume: 53, Issue: 4 | DOI: 10.1111/0022-1082.00058 | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting
Published: 7/1997, Volume: 52, Issue: 3 | DOI: 10.1111/j.1540-6261.1997.tb02731.x | Cited by: 0
Michael Keenan
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
Minutes of the Annual Membership Meeting
Published: 7/1991, Volume: 46, Issue: 3 | DOI: 10.1111/j.1540-6261.1991.tb03778.x | Cited by: 0
Michael Kennan
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: 7/1993, Volume: 48, Issue: 3 | DOI: 10.1111/j.1540-6261.1993.tb04032.x | Cited by: 0
Michael Keenan
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 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
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, 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.
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 December 29, 1986
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04586.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