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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Search results: 7.
Discussion
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00372
Matthew Richardson
DotCom Mania: The Rise and Fall of Internet Stock Prices
Published: 05/06/2003 | DOI: 10.1111/1540-6261.00560
Eli Ofek, Matthew Richardson
This paper explores a model based on agents with heterogenous beliefs facing short sales restrictions, and its explanation for the rise, persistence, and eventual fall of Internet stock prices. First, we document substantial short sale restrictions for Internet stocks. Second, using data on Internet holdings and block trades, we show a link between heterogeneity and price effects for Internet stocks. Third, arguing that lockup expirations are a loosening of the short sale constraint, we document average, long‐run excess returns as low as −33 percent for Internet stocks postlockup. We link the Internet bubble burst to the unprecedented level of lockup expirations and insider selling.
Using Generalized Method of Moments to Test Mean‐Variance Efficiency
Published: 06/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb02672.x
A. CRAIG MACKINLAY, MATTHEW P. RICHARDSON
This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can be sensitive to the test considered.
Industry Returns and the Fisher Effect
Published: 12/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb04774.x
JACOB BOUDOUKH, MATTHEW RICHARDSON, ROBERT F. WHITELAW
We investigate the cross‐sectional relation between industry‐sorted stock returns and expected inflation, and we find that this relation is linked to cyclical movements in industry output. Stock returns of noncyclical industries tend to covary positively with expected inflation, while the reverse holds for cyclical industries. From a theoretical perspective, we describe a model that captures both (i) the cross‐sectional variation in these relations across industries, and (ii) the negative and positive relation between stock returns and inflation at short and long horizons, respectively. The model is developed in an economic environment in which the spirit of the Fisher model is preserved.
Ex Ante Bond Returns and the Liquidity Preference Hypothesis
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00140
Jacob Boudoukh, Matthew Richardson, Tom Smith, Robert F. Whitelaw
We provide a formal test of the liquidity preference hypothesis (LPH), that is, the monotonicity of ex ante term premiums, using nonparametric estimates that do not require a structural model for conditional expected returns. Although the point estimates of the term premiums are consistent with previous conclusions in the literature regarding violations of the LPH, the test statistics are generally insignificant, even when powerful conditioning information is used. These results illustrate the importance of correctly accounting for correlations across maturities and of formally testing the inequality restrictions implied by the LPH.
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
Published: 03/20/2007 | DOI: 10.1111/j.1540-6261.2007.01226.x
JACOB BOUDOUKH, RONI MICHAELY, MATTHEW RICHARDSON, MICHAEL R. ROBERTS
We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor.
Optimal Risk Management Using Options
Published: 05/06/2003 | DOI: 10.1111/0022-1082.00108
Dong‐Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert F. Whitelaw
This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value‐at‐Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired by the institution. Moreover, the costs associated with a suboptimal choice of exercise price are economically significant.