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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Optimum Distribution‐Free Tests and Further Evidence of Heteroscedasticity in the Market Model
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03616.x | Cited by: 22
CARMELO GIACCOTTO, MUKHTAR M. ALI
In this paper several powerful distribution‐free tests for heteroscedasticity are introduced and are used to test the hypothesis of constant variance in the market model. These tests are noted for their flexibility in specifying alternative hypotheses. It is found that the assumption of homoscedasticity is untenable for the majority of stocks analyzed. The implications of this finding for the efficient estimation of the parameters of the market model are also discussed.
Optimal Distribution‐Free Tests and Further Evidence of Heteroscedasticity in the Market Model: A Reply
Published: 6/1985, Volume: 40, Issue: 2 | DOI: 10.1111/j.1540-6261.1985.tb04980.x | Cited by: 1
CARMELO GIACCOTTO, MUKHTAR M. ALI
NEED INTEREST RATES ON BANK LOANS AND DEPOSITS MOVE SYMPATHETICALLY?
Published: 6/1974, Volume: 29, Issue: 3 | DOI: 10.1111/j.1540-6261.1974.tb01494.x | Cited by: 1
Stuart I. Greenbaum, Mukhtar M. Ali
A SPATIAL MODEL OF THE BANKING INDUSTRY
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03326.x | Cited by: 14
Mukhtar M. Ali, Stuart I. Greenbaum
MONETARY POLICY AND BANKING PROFITS
Published: 3/1976, Volume: 31, Issue: 1 | DOI: 10.1111/j.1540-6261.1976.tb03199.x | Cited by: 1
Stuart I. Greenbaum, M. Ali Mukhtar, Randall C. Merris
Session Topic: Finance and Investment: Refereed Papers II
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03066.x | Cited by: 0
Eugene F. Brigham, Stuart I. Greenbaum, Mukhtar M. Ali
Shareholder Benefits from Corporate International Diversification
Published: 12/1984, Volume: 39, Issue: 5 | DOI: 10.1111/j.1540-6261.1984.tb04910.x | Cited by: 191
ALI M. FATEMI
This study provides further evidence on the rates of return realized by the shareholders of multinational firms relative to those of purely domestic firms. The results indicate that the risk‐adjusted returns realized by the shareholders are identical across the two groups except where the MNC operates in competitive foreign markets. In that case, MNC shareholders experience negative abnormal returns. The study also provides further evidence on the risk‐reduction effect of international diversification. The results fail to support the hypothesis that the beta is a convex function of the degree of international involvement. Finally, the paper provides some preliminary evidence on the effect of corporate international diversification on shareholders' returns. It is found that abnormal returns rise by some 18 percent during the 14 months preceding the initial foreign diversification.
Leverage Choice and Credit Spreads when Managers Risk Shift
Published: 11/9/2010, Volume: 65, Issue: 6 | DOI: 10.1111/j.1540-6261.2010.01617.x | Cited by: 66
MURRAY CARLSON, ALI LAZRAK
We model the debt and asset risk choice of a manager with performance‐insensitive pay (cash) and performance‐sensitive pay (stock) to theoretically link compensation structure, leverage, and credit spreads. The model predicts that optimal leverage trades off the tax benefit of debt against the utility cost of ex‐post asset substitution and that credit spreads are increasing in the ratio of cash‐to‐stock. Using a large cross‐section of U.S.‐based corporate credit default swaps (CDS) covering 2001 to 2006, we find a positive association between cash‐to‐stock and CDS rates, and between cash‐to‐stock and leverage ratios.
Fire‐Sale Spillovers in Debt Markets
Published: 9/27/2021, Volume: 76, Issue: 6 | DOI: 10.1111/jofi.13078 | Cited by: 108
ANTONIO FALATO, ALI HORTAÇSU, DAN LI, CHAEHEE SHIN
Fire sales induced by investor redemptions have powerful spillover effects among funds that hold the same assets, hurting peer funds' performance and flows, and leading to further asset sales with negative bond price impact. A one‐standard‐deviation increase in our fire‐sale spillover measure leads to a 45 (90) bp decrease in peer fund returns (flows) and a two percentage point increase in the likelihood of a large bond price drop. The results hold in a regression‐discontinuity design addressing identification concerns. Timing, heterogeneity, instrumental‐variable, and placebo tests further support the price‐impact mechanism. Model‐based counterfactual and stress‐test analyses quantify the financial stability implications.