The Journal of Finance

PORTFOLIO ANALYSIS, STOCK VALUATION AND CAPITAL BUDGETING DECISION RULES FOR RISKY PROJECTS

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00592.x  |  Cited by: 46

Richard C. Stapleton

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

The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske—Johnson Technique

Published: 6/1997,  Volume: 52,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1997.tb04823.x  |  Cited by: 17

T. S. HO, RICHARD C. STAPLETON, MARTI G. SUBRAHMANYAM

The Geske–Johnson approach provides an efficient and intuitively appealing technique for the valuation and hedging of American‐style contingent claims. Here, we generalize their approach to a stochastic interest rate economy. The method is implemented using options exercisable on one of a finite number of dates. We illustrate how the value of an American‐style option increases with interest rate volatility. The magnitude of this effect depends on the extent to which the option is in the money, the volatilities of the underlying asset and the interest rates, as well as the correlation between them.

Notes on Multiperiod Valuation and the Pricing of Options: A Comment

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03882.x  |  Cited by: 0

R. C. STAPLETON, M. G. SUBRAHMANYAM

The Market Model and Capital Asset Pricing Theory: A Note

Published: 12/1983,  Volume: 38,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1983.tb03846.x  |  Cited by: 35

R. C. STAPLETON, M. G. SUBRAHMANYAM

This note shows that a linear market model is sufficient to derive a linear relationship between beta and expected return. Furthermore, the slope of the relationship will be identical with that of the Capital Asset Pricing Model if the return on the market portfolio is normally distributed. However, results from characterization theory suggest that the linear market model assumption is close to that of multivariate normality.

The Valuation of Options When Asset Returns Are Generated by a Binomial Process

Published: 12/1984,  Volume: 39,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1984.tb04922.x  |  Cited by: 23

R. C. STAPLETON, M. G. SUBRAHMANYAM

This paper values options on assets whose returns, over a finite interval of time, are generated by a binomial process. It shows that a simple valuation relationship, between the option and the underlying stock, obtains if investors have preference functions that belong to a particular class, even if opportunities to hedge do not exist. One particular application of the theory is in the case where the stock price over a finite interval could increase by an amount, fall by the same amount, or stay at the same level. The results in this paper may be viewed as the foundation of the preference‐based approaches to obtaining a risk neutral valuation relationship.

The Valuation of Multivariate Contingent Claims in Discrete Time Models

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03869.x  |  Cited by: 74

R. C. STAPLETON, M. G. SUBRAHMANYAM

There are several examples in the literature of contingent claims whose payoffs depend on the outcomes of two or more stochastic variables. Familiar cases of such claims include options on a portfolio of options, options whose exercise price is stochastic, and options to exchange one asset for another. This paper derives risk neutral valuation relationships (RNVRs) in a discrete time setting that facilitate the pricing of such complex contingent claims in two specific cases: joint lognormally distributed underlying variables and constant proportional risk aversion on the part of investors, and joint normally distributed underlying variables and constant absolute risk aversion preferences, respectively. This methodology is then applied to the valuation of several interesting complex contingent claims such as multiperiod bonds, multicurrency option bonds, and investment options.

MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE

Published: 5/1977,  Volume: 32,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1977.tb03271.x  |  Cited by: 16

Michael Brennan, R. C. Stapleton, M. G. Subrahmanyam

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: 506

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.

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: 109

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.

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

Bankruptcy Risk and Optimal Capital Structure

Published: 12/1983,  Volume: 38,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1983.tb03845.x  |  Cited by: 184

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.

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: 300

Richard Roll

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: 1409

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.

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

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03652.x  |  Cited by: 0

RICHARD RUBACK

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

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

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: 295

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.

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

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: 56

Richard Roll

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

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: 136

Richard Stehle

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: 230

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.

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

R2

Published: 7/1988,  Volume: 43,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1988.tb04591.x  |  Cited by: 632

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.

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

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

INVESTMENT DIVERSIFICATION AND BOND MATURITY

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00588.x  |  Cited by: 40

Richard Roll

EXPECTATIONS, RISK, AND THE TERM STRUCTURE OF INTEREST RATES*

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00545.x  |  Cited by: 1

Richard C. Sutch

DEPOSIT COMPOSITION AND COMMERCIAL BANK EARNINGS

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00587.x  |  Cited by: 5

Richard E. Bond

A Note on Capital Budgeting Techniques and the Reinvestment Rate

Published: 12/1979,  Volume: 34,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1979.tb00070.x  |  Cited by: 10

RICHARD L. MEYER

A General Diversification Theorem: A Note

Published: 6/1984,  Volume: 39,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1984.tb02327.x  |  Cited by: 13

RICHARD D. MacMINN

INITIAL AND INVESTMENT ALLOWANCES UNDER THE BRITISH INCOME TAX AND COUNTER‐CYCLICAL POLICY*

Published: 9/1962,  Volume: 17,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1962.tb04304.x  |  Cited by: 0

Richard Miller Bird

A NOTE ON THE COST OF TRADE CREDIT AND THE DISCRIMINATORY EFFECTS OF MONETARY POLICY

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03140.x  |  Cited by: 1

Richard H. Keehn

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

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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

A NOTE ON THE IMPLICATIONS OF PERIODIC “CASH FLOW”

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04341.x  |  Cited by: 0

M. Richard Sussman

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05029.x  |  Cited by: 0

RICHARD P. CASTANIAS

INTEREST RATES, CONTRACT TERMS, AND THE ALLOCATION OF MORTGAGE FUNDS*

Published: 3/1962,  Volume: 17,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1962.tb04249.x  |  Cited by: 2

Richard F. Muth

RETIREMENT OF NON‐CALLABLE PREFERRED STOCK

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00875.x  |  Cited by: 3

Richard A. Stevenson

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

DISCUSSION

Published: 5/1969,  Volume: 24,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1969.tb01686.x  |  Cited by: 1

Richard S. Bower

Forward Markets, Stock Markets, and the Theory of the Firm

Published: 12/1987,  Volume: 42,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1987.tb04359.x  |  Cited by: 17

RICHARD D. MacMINN

This paper models a competitive financial market economy in which there are forward markets as well as stock and bond markets. Although there are separation theorems in the stock and forward markets literatures, this analysis shows that neither separation theorem survives in this integrated financial market economy. Next, the analysis shows that the separation results hold and are equivalent if the manager has an appropriate compensation package. Then the model is modified to allow for depreciation charges and tax credits. A positive theory of hedging is developed that shows that the corporation can preserve deductions and credits by hedging and so increase corporate value.

SOME VALUE‐ADDED TAX IMPACTS ON THE INTERNATIONAL COMPETITIVENESS OF PRODUCERS

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00848.x  |  Cited by: 0

Richard W. Lindholm

DISCUSSION

Published: 3/1950,  Volume: 5,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1950.tb00098.x  |  Cited by: 0

Richard C. Youngdahl

MARKET TESTS OF CAPITAL ADEQUACY OF LARGE COMMERCIAL BANKS

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01929.x  |  Cited by: 40

Richard H. Pettway

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

ON THE EFFECTS OF STATUTORY INTEREST RATE CEILINGS: COMMENT

Published: 12/1977,  Volume: 32,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1977.tb03379.x  |  Cited by: 3

Richard L. Peterson

Positively Weighted Portfolios on the Minimum‐Variance Frontier

Published: 12/1986,  Volume: 41,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1986.tb02530.x  |  Cited by: 29

RICHARD C. GREEN

Duality theory is employed to provide necessary and sufficient conditions for portfolios on the minimum‐variance frontier to have positive investment proportions in all assets. These conditions involve the feasibility of portfolios that have non‐negative correlation with all assets and positive correlation with at least one. Using these results, several “qualitative” results concerning the signs of investment proportions in efficient portfolios are proved. It is argued that the conditions that ensure all‐positive weights in efficient portfolios are intuitively compelling and are not unique to the CAPM. With large numbers of assets, however, the signs of weights in minimum‐variance portfolios can be very sensitive to slight departures from these conditions due to, for example, sampling error.