The Journal of Finance

Determinants of Financial Structure: a New Methodological Approach

Published: 6/1979,  Volume: 34,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1979.tb02130.x  |  Cited by: 270

MICHAEL G. FERRI, WESLEY H. JONES

Short‐Selling Prior to Earnings Announcements

Published: 8/2004,  Volume: 59,  Issue: 4  |  DOI: 10.1111/j.1540-6261.2004.00681.x  |  Cited by: 478

Stephen E. Christophe, Michael G. Ferri, James J. Angel

This paper examines short‐sales transactions in the five days prior to earnings announcements of 913 Nasdaq‐listed firms. The tests provide evidence of informed trading in pre‐announcement short‐selling because they reveal that abnormal short‐selling is significantly linked to post‐announcement stock returns. Also, the tests indicate that short‐sellers typically are more active in stocks with low book‐to‐market valuations or low SUEs. The levels of pre‐announcement short‐selling, however, mostly appear to reflect firm‐specific information rather than these fundamental financial characteristics. We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short‐selling to investors.

A Note on Unsuccessful Tender Offers and Stockholder Returns

Published: 12/1988,  Volume: 43,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1988.tb03970.x  |  Cited by: 11

FRANK J. FABOZZI, MICHAEL G. FERRI, T. DESSA FABOZZI, JULIA TUCKER

Recent research shows that unsuccessful tender offers may affect target share returns for two years past the offer's announcement. This note examines target returns in the interim between the announcement and one year after the offer's withdrawal. Analyzing a recent sample of targets that did not get another bid in the year following a failed tender offer, this study reaches two conclusions. First, all of an offer's premium disappears by the time failure becomes public. Second, excess returns are zero in the post‐failure year. An explanation that is based on the causes of the tender offers' failures is presented.

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: 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: 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

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

CLO Performance

Published: 4/10/2023,  Volume: 78,  Issue: 3  |  DOI: 10.1111/jofi.13224  |  Cited by: 34

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.

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

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: 7/1986,  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: 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: 135

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

Published: 7/1991,  Volume: 46,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1991.tb03778.x  |  Cited by: 0

Michael Kennan

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

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: 267

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.

Minutes of the Annual Membership Meeting

Published: 8/1998,  Volume: 53,  Issue: 4  |  DOI: 10.1111/0022-1082.00058  |  Cited by: 0

Michael Keenan

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: 214

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.

AN INVESTIGATION OF FACTORS ASSOCIATED WITH VARIATIONS IN THE RELATIVE IMPORTANCE OF COMMERCIAL‐BANK RESIDENTIAL REAL‐ESTATE LOANS*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00859.x  |  Cited by: 0

Michael Palmer

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: 229

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.

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

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: 7/1993,  Volume: 48,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1993.tb04031.x  |  Cited by: 0

Michael Keenan

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: 383

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: 7/1986,  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: 7/1996,  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

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

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

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

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

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: 7/1993,  Volume: 48,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1993.tb04032.x  |  Cited by: 0

Michael Keenan