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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The Effects of Stock Repurchases on Rival Firms
Published: 6/1991, Volume: 46, Issue: 2 | DOI: 10.1111/j.1540-6261.1991.tb02681.x | Cited by: 44
MICHAEL G. HERTZEL
This paper investigates the stock price behavior of rival firms in the same industry as firms announcing stock repurchase tender offers. Using a sample of 134 repurchase announcements, I find that rival firms on average realize insignificant announcement period abnormal returns. Negative rival stock price performance is detected over longer intervals surrounding the announcement period and for a subset of announcements which ex ante were identified as most likely to affect rivals. This evidence, however, is statistically weak and does little to alter the overall conclusion that the information in repurchase announcements is primarily firm‐specific.
Market Discounts and Shareholder Gains for Placing Equity Privately
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04723.x | Cited by: 391
MICHAEL HERTZEL, RICHARD L. SMITH
Despite selling at substantial discounts, private placements of equity are associated with positive abnormal returns. We find evidence that discounts reflect information costs borne by private investors and abnormal returns reflect favorable information about firm value. Results are consistent with the role of private placements as a solution to the Myers and Majluf underinvestment problem and with the use of private placements to signal undervaluation. We also find some evidence of anticipated monitoring benefits from private sales of equity. For the smaller firms that comprise our sample, information effects appear to be relatively more important than ownership effects.
Long‐Run Performance following Private Placements of Equity
Published: 12/2002, Volume: 57, Issue: 6 | DOI: 10.1111/1540-6261.00507 | Cited by: 282
Michael Hertzel, Michael Lemmon, James S. Linck, Lynn Rees
Public firms that place equity privately experience positive announcements effects, with negative post‐announcement stock‐price performance. This finding is inconsistent with the underreaction hypothesis. Instead, it suggests that investors are overoptimistic about the prospects of firms issuing equity, regardless of the method of issuance. Further, in contrast to public offerings, private issues follow periods of relatively poor operating performance. Thus, investor overoptimism at the time of private issues is not due to the behavioral tendency to overweight recent experience at the expense of long‐term averages.
The Market Impact of Trends and Sequences in Performance: New Evidence
Published: 9/16/2005, Volume: 60, Issue: 5 | DOI: 10.1111/j.1540-6261.2005.00807.x | Cited by: 45
GREGORY R. DURHAM, MICHAEL G. HERTZEL, J. SPENCER MARTIN
Bloomfield and Hales (2002) find strong evidence that experimental market subjects are influenced by trends and patterns in a manner supportive of the shifting regimes model of Barberis, Shleifer, and Vishny (1998). We subject the model to further empirical scrutiny using the football wagering market as our price laboratory. Sports betting markets have several advantages over traditional capital markets as an empirical setting, and commonalities with traditional markets allow for useful insights. We find scant evidence that investors behave in accordance with the model.
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
CLO Performance
Published: 4/10/2023, Volume: 78, Issue: 3 | DOI: 10.1111/jofi.13224 | Cited by: 29
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.
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
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.
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
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
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
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.
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, 1986
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04587.x | Cited by: 0
Michael Keenan
Minutes of the Annual Membership Meeting
Published: 8/1998, Volume: 53, Issue: 4 | DOI: 10.1111/0022-1082.00058 | 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: 7/1991, 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.
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
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 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: 7/1990, Volume: 45, Issue: 3 | DOI: 10.1111/j.1540-6261.1990.tb05115.x | 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 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
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: 226
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.
Bank Capital and Lending Relationships
Published: 2/13/2018, Volume: 73, Issue: 2 | DOI: 10.1111/jofi.12604 | Cited by: 362
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.
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
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
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
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
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: 7/1993, 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: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04542.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
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
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
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
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
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
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 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
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: 7/1991, Volume: 46, Issue: 3 | DOI: 10.1111/j.1540-6261.1991.tb03779.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
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
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: 213
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.
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: 133
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.