The Journal of Finance

Option Pricing Bounds in Discrete Time

Published: 6/1984,  Volume: 39,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1984.tb02324.x  |  Cited by: 103

STYLIANOS PERRAKIS, PETER J. RYAN

Upper and lower bounds are derived for call options traded at discrete intervals. These bounds are independent of assumptions on the stock price distribution other than a restriction satisfied by the stock being “non‐negative beta.” The development of the bounds relies on the single‐price law and arbitrage arguments. Both single‐period and multiperiod results are produced, and put option bounds follow by extension. The bounds exist as equilibrium values given a consensus on stock price distribution; they are also valid for empirical studies, being adjustable for dividends and commissions.

Who Finances Durable Goods and Why It Matters: Captive Finance and the Coase Conjecture

Published: 1/15/2019,  Volume: 74,  Issue: 2  |  DOI: 10.1111/jofi.12745  |  Cited by: 35

JUSTIN MURFIN, RYAN PRATT

We propose that, by financing their own product sales through captive finance subsidiaries, durable goods manufacturers commit to higher resale values for their products in future periods. Using data on captive financing by the manufacturers of heavy equipment, we find that captive‐backed models have lower price depreciation. The evidence is consistent with captive finance helping manufacturers commit to ex‐post actions that support used machine prices. This, in turn, conveys higher pledgeability for captive‐backed products, even for individual machines financed by banks. Although motivated as a rent‐seeking device, captive financing generates positive spillovers by relaxing credit constraints.

Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?

Published: 8/2006,  Volume: 61,  Issue: 4  |  DOI: 10.1111/j.1540-6261.2006.00887.x  |  Cited by: 61

MALCOLM BAKER, RYAN TALIAFERRO, JEFFREY WURGLER

Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time‐series version of Schultz's (2003, Journal of Finance 58, 483–517) pseudo market‐timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues.

Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap

Published: 10/1999,  Volume: 54,  Issue: 5  |  DOI: 10.1111/0022-1082.00163  |  Cited by: 728

Ryan Sullivan, Allan Timmermann, Halbert White

In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data‐snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average, and determine the effects of data‐snooping.

Price Discovery without Trading: Evidence from Limit Orders

Published: 4/2/2019,  Volume: 74,  Issue: 4  |  DOI: 10.1111/jofi.12769  |  Cited by: 227

JONATHAN BROGAARD, TERRENCE HENDERSHOTT, RYAN RIORDAN

We analyze the contribution to price discovery of market and limit orders by high‐frequency traders (HFTs) and non‐HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders. HFTs submit the bulk of limit orders and these limit orders provide most of the price discovery. Submissions of limit orders and their contribution to price discovery fall with volatility due to changes in HFTs’ behavior. Consistent with adverse selection arising from faster reactions to public information, HFTs’ informational advantage is partially explained by public information.

Do Market Prices Improve the Accuracy of Court Valuations in Chapter 11?

Published: 2/25/2022,  Volume: 77,  Issue: 2  |  DOI: 10.1111/jofi.13111  |  Cited by: 11

CEM DEMIROGLU, JULIAN FRANKS, RYAN LEWIS

The average difference between the court value and postemergence market value of newly issued stocks in Chapter 11 reorganizations exceeds 50%. We show that public dissemination of transactions in defaulted bonds reduces this difference by 23% and largely eliminates interclaimant wealth transfers. The effects of dissemination are only significant when the bonds are sufficiently traded around the court valuation date and when they receive significant amounts of postemergence equity, indicating that the bond's value is sensitive to the size and allocation of the pie. These findings imply that security prices have real effects: they improve the valuations of bankruptcy participants.

A Tale of Two Runs: Depositor Responses to Bank Solvency Risk

Published: 11/10/2016,  Volume: 71,  Issue: 6  |  DOI: 10.1111/jofi.12424  |  Cited by: 171

RAJKAMAL IYER, MANJU PURI, NICHOLAS RYAN

We examine heterogeneity in depositor responses to solvency risk using depositor‐level data for a bank that faced two different runs. We find that depositors with loans and bank staff are less likely to run than others during a low‐solvency‐risk shock, but are more likely to run during a high‐solvency‐risk shock. Uninsured depositors are also sensitive to bank solvency. In contrast, depositors with older accounts run less, and those with frequent past transactions run more, irrespective of the underlying risk. Our results show that the fragility of a bank depends on the composition of its deposit base.

The Capitalization of Consumer Financing into Durable Goods Prices

Published: 10/10/2020,  Volume: 76,  Issue: 1  |  DOI: 10.1111/jofi.12977  |  Cited by: 24

BRONSON ARGYLE, TAYLOR NADAULD, CHRISTOPHER PALMER, RYAN PRATT

Using loan‐level data on millions of used‐car transactions across hundreds of lenders, we study the consumer response to exogenous variation in credit terms. Borrowers offered shorter maturity decrease expenditures enough to offset 60% to 90% of the monthly payment increase. Most of this is driven by shifting toward lower‐quality cars, but affected borrowers offset 20% to 30% of a monthly payment shock by negotiating lower prices for equivalent cars. Our results suggest that durable goods prices adjust to reflect credit terms even at the individual level, with one year of additional loan maturity increasing a car's price by 2.8%.

A Note on the Pricing of Commodity‐Linked Bonds

Published: 9/1987,  Volume: 42,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1987.tb03928.x  |  Cited by: 13

PETER CARR

CALL FOR PAPERS FOR THE SEVENTH ANNUAL MEETING OF THE EUROPEAN FINANCE ASSOCIATION (EFA)

Published: 3/1980,  Volume: 35,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1980.tb03487.x  |  Cited by: 0

Peter Swoboda

The Effect of SOX Section 404: Costs, Earnings Quality, and Stock Prices

Published: 5/7/2010,  Volume: 65,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2010.01564.x  |  Cited by: 440

PETER ILIEV

This paper exploits a natural quasi‐experiment to isolate the effects that were uniquely due to the Sarbanes–Oxley Act (SOX): U.S. firms with a public float under $75 million could delay Section 404 compliance, and foreign firms under $700 million could delay the auditor's attestation requirement. As designed, Section 404 led to conservative reported earnings, but also imposed real costs. On net, SOX compliance reduced the market value of small firms.

ANALYSIS OF THE LEASE‐OR‐BUY DECISION: COMMENT

Published: 9/1973,  Volume: 28,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1973.tb01425.x  |  Cited by: 2

Peter Lusztig

REPLY

Published: 6/1975,  Volume: 30,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1975.tb01868.x  |  Cited by: 0

Peter Fortune

The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry

Published: 6/1998,  Volume: 53,  Issue: 3  |  DOI: 10.1111/0022-1082.00042  |  Cited by: 197

Peter Tufano

This paper studies the exposure of North American gold mining firms to changes in the price of gold. The average mining stock moves 2 percent for each 1 percent change in gold prices, but exposures vary considerably over time and across firms. As predicted by valuation models, gold firm exposures are significantly negatively related to the firm's hedging and diversification activities and to gold prices and gold return volatility, and are positively related to firm leverage. Simple discounted cash flow models produce useful exposure predictions but they systematically overestimate exposures, possibly due to their failure to reflect managerial flexibility.

Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry

Published: 9/1996,  Volume: 51,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1996.tb04064.x  |  Cited by: 1013

PETER TUFANO

This article examines a new database that details corporate risk management activity in the North American gold mining industry. I find little empirical support for the predictive power of theories that view risk management as a means to maximize shareholder value. However, firms whose managers hold more options manage less gold price risk, and firms whose managers hold more stock manage more gold price risk, suggesting that managerial risk aversion may affect corporate risk management policy. Further, risk management is negatively associated with the tenure of firms' CFOs, perhaps reflecting managerial interests, skills, or preferences.

DEPOSIT‐RUN MODEL OF MEMBER BANK BORROWINGS*

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00540.x  |  Cited by: 0

Peter Formuzis

THE EFFECT OF FHLB BOND OPERATIONS ON SAVINGS INFLOWS AT SAVINGS AND LOAN ASSOCIATIONS: COMMENT

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01939.x  |  Cited by: 5

Peter Fortune

The Valuation of Sequential Exchange Opportunities

Published: 12/1988,  Volume: 43,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1988.tb03967.x  |  Cited by: 180

PETER CARR

Sequential exchange opportunities are valued using the techniques of modern option‐pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented.

A THEORY OF OPTIMAL LIFE INSURANCE: DEVELOPMENT AND TESTS

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01381.x  |  Cited by: 17

Peter Fortune

The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment

Published: 5/11/2016,  Volume: 71,  Issue: 3  |  DOI: 10.1111/jofi.12312  |  Cited by: 70

PETER KOUDIJS

What explains short‐term fluctuations of stock prices? This paper exploits a natural experiment from the 18 century in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence suggests that this was largely the result of the revelation of (long‐lived) private information and the (transitory) impact of uninformed liquidity trades on intermediaries' risk premia.

RESERVE SETTLEMENT PERIODS OF MEMBER BANKS: COMMENT

Published: 3/1964,  Volume: 19,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1964.tb00747.x  |  Cited by: 1

Peter D. Sternlight

HIGHER INTEREST RATES ON TIME DEPOSITS: REPLY

Published: 3/1965,  Volume: 20,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1965.tb00187.x  |  Cited by: 0

H. Peter Gray

ON THE METHODOLOGY OF TESTING FOR INDEPENDENCE IN FUTURE PRICES: COMMENT

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01942.x  |  Cited by: 11

Peter D. Praetz

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05005.x  |  Cited by: 2

PETER L. BERNSTEIN

DETERMINANTS OF THE AGGREGATE PROFIT MARGIN: COMMENT

Published: 3/1976,  Volume: 31,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1976.tb03209.x  |  Cited by: 0

H. Peter Gray

UNITED STATES CREDIT POLICY IN THE 1954–57 PERIOD*

Published: 3/1961,  Volume: 16,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1961.tb02800.x  |  Cited by: 0

Peter D. Sternlight

BANKING SERVICES, MINIMUM CASH BALANCES, AND THE FIRM'S DEMAND FOR MONEY

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00866.x  |  Cited by: 8

Peter A. Frost

Common Stock Offerings and Earnings Expectations: A Test of the Release of Unfavorable Information

Published: 9/1992,  Volume: 47,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1992.tb04668.x  |  Cited by: 88

PETER ALAN BROUS

This paper examines the revisions of analysts' forecasts of future earnings around announcements of common stock offerings. The forecasts of the current year earnings are, on average, decreased when firms announce plans to issue additional common stock. The size of the decrease is significantly related to announcement period abnormal stock returns. In contrast, forecasts of the five‐year growth rate of earnings are, on average, unchanged. We interpret these results as being consistent with the claim that equity offering announcements convey unfavorable information regarding the firm's short‐term but not its long‐term earnings prospects.

COMPENSATORY CYCLICAL BANK ASSET ADJUSTMENTS: COMMENT

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04338.x  |  Cited by: 0

H. Peter Gray

On Option Pricing Bounds

Published: 9/1985,  Volume: 40,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1985.tb02373.x  |  Cited by: 109

PETER H. RITCHKEN

The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single‐period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black‐Scholes prices in a lognormal securities market, is presented.

EVALUATING THE INVESTMENT PERFORMANCE OF NONINSURED PENSION FUNDS*

Published: 12/1965,  Volume: 20,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1965.tb02942.x  |  Cited by: 0

Peter O. Dietz

On The Predictability of Corporate Earnings Per Share Behavior

Published: 3/1980,  Volume: 35,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1980.tb03467.x  |  Cited by: 20

PETER D. CHANT

COMPONENTS OF A MEASUREMENT MODEL: RATE OF RETURN, RISK, AND TIMING

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00802.x  |  Cited by: 17

Peter O. Dietz

Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices

Published: 4/2000,  Volume: 55,  Issue: 2  |  DOI: 10.1111/0022-1082.00219  |  Cited by: 853

Peter Blair Henry

A stock market liberalization is a decision by a country's government to allow foreigners to purchase shares in that country's stock market. On average, a country's aggregate equity price index experiences abnormal returns of 3.3 percent per month in real dollar terms during an eight‐month window leading up to the implementation of its initial stock market liberalization. This result is consistent with the prediction of standard international asset pricing models that stock market liberalization may reduce the liberalizing country's cost of equity capital by allowing for risk sharing between domestic and foreign agents.

THE PORTFOLIO BEHAVIOUR OF SELECTED CANADIAN FINANCIAL INTERMEDIARIES: AN ECONOMETRIC ANALYSIS

Published: 3/1973,  Volume: 28,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1973.tb01369.x  |  Cited by: 0

Peter G. Kirkham

A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability

Published: 12/1991,  Volume: 46,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1991.tb04644.x  |  Cited by: 110

Y. PETER CHUNG

This paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for The Chicago Board of Trade's Major Market Index contracts. The spot value of the index is computed with transactions prices for the component shares of the index obtained from the Fitch database. The tests account for transaction costs, execution lags, and the uptick rule for short sales of stocks. Results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time.

THE BALANCE OF PAYMENTS AND POLICY MIX: SIMULATIONS BASED ON A U.S. MODEL

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03076.x  |  Cited by: 0

PETER B. KENEN

THE EFFECTS ON MONETARY POLICY OF RISING COSTS IN COMMERCIAL BANKS*

Published: 3/1963,  Volume: 18,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1963.tb01620.x  |  Cited by: 0

H. Peter Gray

“THE PAYMENTS IMPACT OF FOREIGN INVESTMENT CONTROLS: REPLY.”

Published: 12/1976,  Volume: 31,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1976.tb03230.x  |  Cited by: 0

Peter H. Lindert

BANKS' DEMAND FOR EXCESS RESERVES*

Published: 6/1968,  Volume: 23,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1968.tb00831.x  |  Cited by: 0

Peter A. Frost

CIGARETTES AS CURRENCY

Published: 9/1951,  Volume: 6,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1951.tb04473.x  |  Cited by: 2

Peter R. Senn

Is Disinflation Good for the Stock Market?

Published: 8/2002,  Volume: 57,  Issue: 4  |  DOI: 10.1111/1540-6261.00473  |  Cited by: 24

Peter Blair Henry

The stock market appreciates by an average of 24 percent in real dollar terms when countries attempt to stabilize annual inflation rates that are greater than 40 percent. In contrast, the average market response is 0 when the prestabilization rate of inflation is less than 40 percent. These results suggest that the potential long‐run benefits of stabilization may dominate shortrun costs at high levels of inflation, but at low to moderate levels of inflation, benefits may be offset by costs in a present value sense. Stock market responses also help predict the change in inflation and output in the year following all 81 stabilization efforts.

DISCUSSION

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00903.x  |  Cited by: 0

Peter L. Bernstein

MEMBER BANK RESERVE SETTLEMENT PERIODS: A FURTHER COMMENT

Published: 9/1964,  Volume: 19,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1964.tb02872.x  |  Cited by: 0

Peter D. Sternlight

Testing for a Flat Spectrum on Efficient Market Price Data

Published: 6/1979,  Volume: 34,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1979.tb02131.x  |  Cited by: 21

PETER D. PRAETZ

COMPANY CONTRIBUTIONS TO DISCRETIONARY PROFIT‐SHARING PLANS: COMMENT

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01945.x  |  Cited by: 1

ULF PETER WELAM

A STUDY OF BANK MERGERS IN MARION COUNTY, INDIANA, 1945 TO 1960*

Published: 3/1968,  Volume: 23,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1968.tb03008.x  |  Cited by: 0

Peter W. Bacon

PREREQUISITES FOR THE GROWTH OF CONSUMER INSTALMENT CREDIT

Published: 5/1958,  Volume: 13,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1958.tb04187.x  |  Cited by: 1

Peter G. Fousek

FOREIGN CENTRAL BANKING, 1946–1957: THE INSTRUMENTS AND EFFECTIVENESS OF MONETARY POLICY*

Published: 12/1960,  Volume: 15,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1960.tb02773.x  |  Cited by: 0

Peter G. Fousek

SOME EVIDENCE ON TWO IMPLICATIONS OF HIGHER INTEREST‐RATES ON TIME DEPOSITS

Published: 3/1964,  Volume: 19,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1964.tb00745.x  |  Cited by: 6

H. Peter Gray