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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Mutual Fund Incubation
Published: 7/15/2010, Volume: 65, Issue: 4 | DOI: 10.1111/j.1540-6261.2010.01579.x | Cited by: 592
RICHARD B. EVANS
Incubation is a strategy for initiating new funds, where multiple funds are started privately, and, at the end of an evaluation period, some are opened to the public. Consistent with incubation being used by fund families to increase performance and attract flows, funds in incubation outperform nonincubated funds by 3.5% risk‐adjusted, and when they are opened to the public they attract higher flows. Postincubation, however, this outperformance disappears. This performance reversal imparts an upward bias to returns that is not removed by a fund size filter. Fund age and ticker creation date filters, however, eliminate the bias.
What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives
Published: 1/11/2013, Volume: 68, Issue: 1 | DOI: 10.1111/j.1540-6261.2012.01798.x | Cited by: 224
SUSAN E. K. CHRISTOFFERSEN, RICHARD EVANS, DAVID K. MUSTO
We ask whether mutual funds’ flows reflect the incentives of the brokers intermediating them. The incentives we address are those revealed in statutory filings: the brokers’ shares of sales loads and other revenue, and their affiliation with the fund family. We find significant effects of these payments to brokers on funds’ inflows, particularly when the brokers are not affiliated. Tracking these investments forward, we find load sharing, but not revenue sharing, to predict poor performance, consistent with the different incentives these payments impart. We identify one benefit of captive brokerage, which is the recapture of redemptions elsewhere in the family.
AN ANALYSIS OF PORTFOLIO MAINTENANCE STRATEGIES**
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00522.x | Cited by: 1
John L. Evans
THE THEORETICAL VALUE OF A STOCK RIGHT
Published: 3/1955, Volume: 10, Issue: 1 | DOI: 10.1111/j.1540-6261.1955.tb01560.x | Cited by: 0
George Heberton Evans
Real Rates, Expected Inflation, and Inflation Risk Premia
Published: 2/1998, Volume: 53, Issue: 1 | DOI: 10.1111/0022-1082.75591 | Cited by: 182
Martin D. D. Evans
This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index‐linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time‐varying inflation risk premia throughout the term structure.
Expected Returns, Time‐varying Risk, and Risk Premia
Published: 6/1994, Volume: 49, Issue: 2 | DOI: 10.1111/j.1540-6261.1994.tb05156.x | Cited by: 49
MARTIN D. D. EVANS
A new empirical model for intertemporal capital asset pricing is presented that allows both time‐varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when the stock market is the single factor. Although changes in the covariance of returns induce variations in the betas, most of the predictable movements in returns are attributed to changes in the risk premia.
FX Trading and Exchange Rate Dynamics
Published: 12/2002, Volume: 57, Issue: 6 | DOI: 10.1111/1540-6261.00501 | Cited by: 133
Martin D. D. Evans
I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark/dollar market that prroduces two striking results: (1) Much of the short‐term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; (2) public news is rarely the predominant source of exchange rate movements over any horizon.
DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00315.x | Cited by: 100
John L. Evans, Stephen H. Archer
Do Expected Shifts in Inflation Affect Estimates of the Long‐Run Fisher Relation?
Published: 3/1995, Volume: 50, Issue: 1 | DOI: 10.1111/j.1540-6261.1995.tb05172.x | Cited by: 110
MARTIN D. D. EVANS, KAREN K. LEWIS
Recent empirical studies suggest that nominal interest rates and expected inflation do not move together one‐for‐one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long‐run relationship between nominal interest rates and inflation. Interestingly, we are unable to reject the hypothesis that in the long run nominal interest rates reflect expected inflation one‐for‐one.
Financial Expertise as an Arms Race
Published: 9/12/2012, Volume: 67, Issue: 5 | DOI: 10.1111/j.1540-6261.2012.01771.x | Cited by: 107
VINCENT GLODE, RICHARD C. GREEN, RICHARD LOWERY
We show that firms intermediating trade have incentives to overinvest in financial expertise. In our model, expertise improves firms’ ability to estimate value when trading a security. Expertise creates asymmetric information, which, under normal circumstances, works to the advantage of the expert as it deters opportunistic bargaining by counterparties. This advantage is neutralized in equilibrium, however, by offsetting investments by competitors. Moreover, when volatility rises the adverse selection created by expertise triggers breakdowns in liquidity, destroying gains to trade and thus the benefits that firms hope to gain through high levels of expertise.
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
Published: 12/1997, Volume: 52, Issue: 5 | DOI: 10.1111/j.1540-6261.1997.tb02748.x | Cited by: 289
RICHARD STANTON
This article presents a technique for nonparametrically estimating continuous‐time diffusion processes that are observed at discrete intervals. We illustrate the methodology by using daily three and six month Treasury Bill data, from January 1965 to July 1995, to estimate the drift and diffusion of the short rate, and the market price of interest rate risk. While the estimated diffusion is similar to that estimated by Chan, Karolyi, Longstaff, and Sanders (1992), there is evidence of substantial nonlinearity in the drift. This is close to zero for low and medium interest rates, but mean reversion increases sharply at higher interest rates.
IMPUTED RENT OF OWNER‐OCCUPIED DWELLINGS UNDER THE INCOME TAX
Published: 12/1960, Volume: 15, Issue: 4 | DOI: 10.1111/j.1540-6261.1960.tb02766.x | Cited by: 19
Richard Goode
EVIDENCE ON THE “GROWTH‐OPTIMUM” MODEL
Published: 6/1973, Volume: 28, Issue: 3 | DOI: 10.1111/j.1540-6261.1973.tb01378.x | Cited by: 17
Richard Roll
SOME CONSIDERATIONS ON THE INCIDENCE OF THE CORPORATION INCOME TAX (Discussion)
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04458.x | Cited by: 0
Richard Goode
INVESTMENT DIVERSIFICATION AND BOND MATURITY
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00588.x | Cited by: 34
Richard Roll
MONETARY EQUILIBRIUM AND INTERNATIONAL RESERVE FLOWS IN AUSTRALIA
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03133.x | Cited by: 6
Richard Zecher
BALANCE‐OF‐PAYMENTS PROBLEMS OF DEVELOPING COUNTRIES*
Published: 3/1954, Volume: 9, Issue: 1 | DOI: 10.1111/j.1540-6261.1954.tb01207.x | Cited by: 0
Richard Perlman
AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03287.x | Cited by: 133
Richard Stehle
AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE
Published: 9/1978, Volume: 33, Issue: 4 | DOI: 10.1111/j.1540-6261.1978.tb02047.x | Cited by: 291
Richard Roll
THE AMERICAN CAPITAL MARKET, 1846–1914: A STUDY OF THE EFFECTS OF PUBLIC POLICY ON ECONOMIC DEVELOPMENT*
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00579.x | Cited by: 1
Richard Sylla
A Possible Explanation of the Small Firm Effect
Published: 9/1981, Volume: 36, Issue: 4 | DOI: 10.1111/j.1540-6261.1981.tb04890.x | Cited by: 226
RICHARD ROLL
Recent empirical studies have found that small listed firms yield higher average returns than large firms even when their riskiness is equal. The riskiness of small firms, however, has been improperly measured. Apparently, the error is due to auto‐correlation in portfolio returns caused by infrequent trading. Other anomalous predictors of riskadjusted returns, such as price/earnings ratios and dividend yields, may also derive some of their apparent power from this spurious source.
Bankruptcy Risk and Optimal Capital Structure
Published: 12/1983, Volume: 38, Issue: 5 | DOI: 10.1111/j.1540-6261.1983.tb03845.x | Cited by: 179
RICHARD CASTANIAS
This study finds shortcomings in empirical tests of the capital structure irrelevance hypothesis. The alternative hypothesis is that firms choose value maximizing mixes of debt and equity on account of bankruptcy costs and the tax deductibility of interest payments. Based upon the cross‐sectional implications of the tax shelter‐bankruptcy cost hypothesis, an alternative test of the irrelevance hypothesis is performed. The test examines the relationship between failure rates and leverage ratios for 36 lines of business. The results are inconsistent with the irrelevance hypothesis.
CORPORATE BORROWING DECISIONS AND THE EVALUATION OF INTEREST RATE FORECASTS*
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03113.x | Cited by: 0
Richard Kolodny
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03652.x | Cited by: 0
RICHARD RUBACK
R2
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04591.x | Cited by: 609
RICHARD ROLL
Even with hindsight, the ability to explain stock price changes is modest. s were calculated for the returns of large stocks as explained by systematic economic influences, by the returns on other stocks in the same industry, and by public firm‐specific news events. The average adjusted is only about .35 with monthly data and .20 with daily data. There is little relation between explanatory power and either the firm's size or its industry. There is little improvement in from eliminating all dates surrounding news reports in the financial press. However, the sample kurtosis is quite different when such news events are eliminated, thereby revealing a mixture of return distributions. Non‐news dates also indicate the presence of a distributional mixture, perhaps due to traders acting on private information.
Industrial Structure and the Comparative Behavior of International Stock Market Indices
Published: 3/1992, Volume: 47, Issue: 1 | DOI: 10.1111/j.1540-6261.1992.tb03977.x | Cited by: 501
RICHARD ROLL
Stock Price Indices are compared across countries in an attempt to explain why they exhibit such disparate behavior. Three separate explanatory influences are empirically documented. First, part of the behavior can be attributed to a technical aspect of index construction; some indices are more diversified than others. Second, each country's industrial structure plays a major role in explaining stock price behavior. Third, for the majority of countries, a portion of national equity index behavior can be ascribed to exchange rate behavior. Exchange rates explain a significant portion of common currency denominated national index returns, although the amount explained by exchange rates is less than the amount explained by industrial structure for most countries.
DEPOSIT COMPOSITION AND COMMERCIAL BANK EARNINGS*
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01762.x | Cited by: 0
Richard Bond
THE REFUNDING DECISION IN NEAR PERFECT MARKETS
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03128.x | Cited by: 2
Richard Kolodny
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
Published: 9/1984, Volume: 39, Issue: 4 | DOI: 10.1111/j.1540-6261.1984.tb03897.x | Cited by: 1384
RICHARD ROLL
In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market price changes. In fact, given market efficiency, the effective bid‐ask spread can be measured by where “cov” is the first‐order serial covariance of price changes. This implicit measure of the bid‐ask spread is derived formally and is shown empirically to be closely related to firm size.
INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00958.x | Cited by: 55
Richard Roll
AN ANALYSIS OF THE USE OF COST‐OF‐CAPITAL CONCEPTS IN NATURAL‐GAS‐PIPELINE RATE REGULATION*
Published: 9/1968, Volume: 23, Issue: 4 | DOI: 10.1111/j.1540-6261.1968.tb00858.x | Cited by: 0
Richard A. Oppedahl
A PORTFOLIO MODEL OF INTERNATIONAL CAPITAL FLOWS*
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01331.x | Cited by: 0
Richard D. Haas
THE PERMANENT INCOME‐WEALTH APPROACH TO THE DEMAND FOR MONEY: ANALYTICAL AND EMPIRICAL ASPECTS*
Published: 3/1967, Volume: 22, Issue: 1 | DOI: 10.1111/j.1540-6261.1967.tb01669.x | Cited by: 0
Richard H. Puckett
RISK‐PREMIUM CURVES FOR DIFFERENT CLASSES OF LONG‐TERM SECURITIES, 1950–1966: COMMENT
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01327.x | Cited by: 1
Richard W. McEnally
Report of the Editor of The Journal of Finance for the year 2000
Published: 8/2001, Volume: 56, Issue: 4 | DOI: 10.1111/0022-1082.00382 | Cited by: 0
Richard C. Green
TRADING IN WARRANTS BY MECHANICAL SYSTEMS
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03244.x | Cited by: 1
Richard J. Rogalski
A NOTE ON THE RETURN BEHAVIOR OF HIGH RISK COMMON STOCKS
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00035.x | Cited by: 32
Richard W. McEnally
ADMINISTERED PRICES AND THE MARKET REACTION: THE CASE OF URBAN CORE PROPERTY INSURANCE
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01352.x | Cited by: 2
Richard F. Syron
DISCUSSION
Published: 5/1969, Volume: 24, Issue: 2 | DOI: 10.1111/j.1540-6261.1969.tb01686.x | Cited by: 1
Richard S. Bower
DISCUSSION
Published: 3/1950, Volume: 5, Issue: 1 | DOI: 10.1111/j.1540-6261.1950.tb00098.x | Cited by: 0
Richard C. Youngdahl
THE DYNAMICS OF CORPORATE CAPITAL BUDGETING
Published: 6/1974, Volume: 29, Issue: 3 | DOI: 10.1111/j.1540-6261.1974.tb01486.x | Cited by: 8
Richard R. Spies
Benchmark Portfolio Inefficiency and Deviations from the Security Market Line
Published: 6/1986, Volume: 41, Issue: 2 | DOI: 10.1111/j.1540-6261.1986.tb05037.x | Cited by: 23
RICHARD C. GREEN
This paper theoretically evaluates the robustness of the Security Market Line relationship when the market proxy employed is not mean‐variance efficient. The analysis focuses on the behavior of the “benchmark errors,” the deviations of assets and portfolios from the Security Market Line. First, we characterize how the location of an asset in mean‐variance space determines its benchmark error. Then the continuity properties of the benchmark errors are studied. The results indicate that the magnitudes of the errors exhibit continuous but not uniformly continuous behaviors. The relative rankings based on deviations from the Security Market Line, however, exhibit some severe discontinuities. In fact, these can be exactly reversed for two proxies arbitrarily close in mean‐variance space.
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03676.x | Cited by: 2
RICHARD J. ROGALSKI
CAPITAL BUDGETING UNDER UNCERTAINTY: A REFORMATION: COMMENT
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03141.x | Cited by: 5
Richard C. Stapleton
Beating the Foreign Exchange Market
Published: 3/1986, Volume: 41, Issue: 1 | DOI: 10.1111/j.1540-6261.1986.tb04497.x | Cited by: 286
RICHARD J. SWEENEY
Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home‐foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy‐and‐hold.
Report of the Editor of The Journal of Finance for the Year 2002
Published: 7/15/2003, Volume: 58, Issue: 4 | DOI: 10.1111/1540-6261.00585 | Cited by: 0
Report of the Editor of The Journal of Finance for the Year 2001
Published: 8/2002, Volume: 57, Issue: 4 | DOI: 10.1111/1540-6261.00481 | Cited by: 0
Richard C. Green
AN INVESTIGATION INTO THE EFFECTS OF LISTING ON THE MARKET PRICE OF COMMON STOCKS*
Published: 3/1970, Volume: 25, Issue: 1 | DOI: 10.1111/j.1540-6261.1970.tb00428.x | Cited by: 0
Richard Wells Furst
FELLOW OF THE AMERICAN FINANCE ASSOCIATION FOR 2009
Published: 9/28/2009, Volume: 64, Issue: 5 | DOI: 10.1111/j.1540-6261.2009.01521_2.x | Cited by: 0
Richard H. Thaler