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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Stock Splits: Evidence from Mutual Funds
Published: 12/17/2002 | DOI: 10.1111/0022-1082.125499
Michael S. Rozeff
Mutual fund splits occur in high‐priced funds after unusually high returns. Split factors are related to the deviation of a fund's price from the mean of all fund prices. Post‐split prices are below the mean of other funds' prices. Post‐split numbers of shareholders and assets do not increase compared with funds having similar rates of asset growth. However, I find evidence that mutual fund splits bring per account shareholdings back up to normal levels. I argue that signaling, liquidity, and tick size theories do not apply to mutual fund splits.
Ratings, Commercial Paper, and Equity Returns
Published: 09/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb02460.x
NANDKUMAR NAYAR, MICHAEL S. ROZEFF
We present the first evidence that initial ratings of commercial paper influence common stock returns. Highly‐rated industrial issues of commercial paper, unaccompanied by bank letters of credit, are associated with significantly positive abnormal returns; lower‐rated issues are not. The stock price effects of changes in commercial paper ratings also demonstrate the relevance of ratings to the financing of firms. Rating downgrades, especially those that imply an exit from the commercial paper market, produce significantly negative abnormal returns; upgrades have no effects. Initial commercial paper ratings and subsequent reratings appear to help investors sort firms by their future prospects.
Long‐run Performance after Stock Splits: 1927 to 1996
Published: 05/06/2003 | DOI: 10.1111/1540-6261.00558
Jinho Byun, Michael S. Rozeff
We measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book‐to‐market reference portfolios with bootstrapping, and calendar‐time abnormal returns combined with factor models. Between 1927 and 1996, neither method applied to splits 25 percent or larger finds performance significantly different from zero. Over selected subperiods, subsamples of 2–1 splits restricted by book‐to‐market availability requirements display positive abnormal returns using some methods. However, these samples show small or negligible abnormal returns using the calendar‐time method. Overall, the stock split evidence against market efficiency is neither pervasive nor compelling.
Overreaction and Insider Trading: Evidence from Growth and Value Portfolios
Published: 12/17/2002 | DOI: 10.1111/0022-1082.275500
Michael S. Rozeff, Mir A. Zaman
Insider transactions are not random across growth and value stocks. We find that insider buying climbs as stocks change from growth to value categories. Insider buying also is greater after low stock returns, and lower after high stock returns. These findings are consistent with a version of overreaction which says that prices of value stocks tend to lie below fundamental values, and prices of growth stocks tend to lie above fundamental values.