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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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: 1019
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.
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: 199
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.
Costly Search and Mutual Fund Flows
Published: 10/1998, Volume: 53, Issue: 5 | DOI: 10.1111/0022-1082.00066 | Cited by: 2563
Erik R. Sirri, Peter Tufano
This paper studies the flows of funds into and out of equity mutual funds. Consumers base their fund purchase decisions on prior performance information, but do so asymmetrically, investing disproportionately more in funds that performed very well the prior period. Search costs seem to be an important determinant of fund flows. High performance appears to be most salient for funds that exert higher marketing effort, as measured by higher fees. Flows are directly related to the size of the fund's complex as well as the current media attention received by the fund, which lower consumers' search costs.
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
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
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
REPLY
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01868.x | Cited by: 0
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.
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: 442
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.
The Valuation of Sequential Exchange Opportunities
Published: 12/1988, Volume: 43, Issue: 5 | DOI: 10.1111/j.1540-6261.1988.tb03967.x | Cited by: 182
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.
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
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
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
“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
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: 18
Peter O. Dietz
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
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
RATES OF RETURN ON FILTER TESTS
Published: 3/1976, Volume: 31, Issue: 1 | DOI: 10.1111/j.1540-6261.1976.tb03197.x | Cited by: 11
Peter D. Praetz
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: 111
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.
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
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
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01750.x | Cited by: 6
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
Presidential Address: Collateral and Commitment
Published: 7/15/2019, Volume: 74, Issue: 4 | DOI: 10.1111/jofi.12782 | Cited by: 89
PETER M. DEMARZO
Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade‐off setting with shareholder‐debtholder agency conflicts, full commitment counterfactually predicts the firm would rely almost exclusively on debt financing. Conversely, absent commitment a Modigliani‐Miller‐like value irrelevance and policy indeterminacy result holds. Thus, the content of dynamic trade‐off theory must depend on the commitment technology. In this context, collateral is valuable as a low‐cost commitment device. Because ex ante optimal commitments are likely to be suboptimal ex post, observed capital structure dynamics will exhibit hysteresis and depart significantly from standard predictions.
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
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
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
INFORMATION EXCHANGE IN SECURITY MARKETS AND THE ASSUMPTION OF “HOMOGENEOUS BELIEFS”*
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03099.x | Cited by: 0
Peter S. Albin
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05005.x | Cited by: 3
PETER L. BERNSTEIN
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
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
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.
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
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.
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
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
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
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.
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
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
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
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
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
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: 864
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.
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
An Exploration of Neo‐Austrian Theory Applied to Financial Markets
Published: 6/2001, Volume: 56, Issue: 3 | DOI: 10.1111/0022-1082.00353 | Cited by: 17
Harald Benink, Peter Bossaerts
We attempt to translate Neo‐Austrian ideas about the workings of financial markets, as originally advanced by F. A. Hayek, into the standard probabilistic language of modern finance. We focus on an apparent paradox, namely the insistence of Neo‐Austrians on order (i.e., stationarity) together with ever‐reemerging inefficiencies. The paper's findings have implications beyond Neo‐Austrian theory: They demonstrate how easy it is to reject market efficiency, but how much more difficult it is to discern the nature of the inefficiency. We illustrate our findings with price data from the U.S. Treasury bill market over the period 1962 to 1999. There is ample evidence that the price of a three‐month Treasury bill is not a random walk, yet the sign of the average price change is erratic, so that inference about the nature of the inefficiency is unreliable.
Venturing beyond the IPO: Financing of Newly Public Firms by Venture Capitalists
Published: 2/24/2020, Volume: 75, Issue: 3 | DOI: 10.1111/jofi.12879 | Cited by: 75
PETER ILIEV, MICHELLE LOWRY
Contrary to conventional wisdom, we document that approximately 15% of venture capitalist (VC)‐backed firms raise additional capital from VCs in the five years after going public. We propose two explanations for why firms revert to VC financing post‐IPO (initial public offering). First, we hypothesize that VC participation in post‐IPO financing represents an efficient solution to informational problems that would otherwise constrain firms’ abilities to exploit value‐increasing investments. Analyses of firm and VC characteristics, together with the finding that these investments are value‐increasing for both VCs and the underlying companies, support this hypothesis. We find no support for the alternative that agency conflicts motivate these investments.
A NOTE ON INVESTMENT EVALUATIONS IN LIGHT OF UNCERTAIN FUTURE OPPORTUNITIES
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03026.x | Cited by: 5
Bernhard Schwab, Peter Lusztig