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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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.
The Reversal of Large Stock‐Price Decreases
Published: 6/1991, Volume: 46, Issue: 2 | DOI: 10.1111/j.1540-6261.1991.tb02684.x | Cited by: 144
MARC BREMER, RICHARD J. SWEENEY
Extremely large negative 10‐day rates of return are followed on average by larger‐than‐expected positive rates of return over following days. This price adjustment lasts approximately 2 days and is observed in a sample of firms that is largely devoid of methodological problems that might explain the reversal phenomenon. While perhaps not representing abnormal profit opportunities, these reversals present a puzzle as to the length of the price adjustment period. Such a slow recovery is inconsistent with the notion that market prices quickly reflect relevant information.
‘WHITE‐NOISE’ IN IMPERFECT MARKETS: THE CASE OF THE FRANC/DOLLAR EXCHANGE RATE
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb01986.x | Cited by: 11
Dennis E. Logue, Richard James Sweeney
Term Premia on Euro Rates
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03665.x | Cited by: 1
DENNIS E. LOGUE, RICHARD JAMES SWEENEY
Does the Bond Market Predict Bankruptcy Settlements?
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04001.x | Cited by: 21
ALLAN C. EBERHART, RICHARD J. SWEENEY
This study shows the extent to which deviations from the absolute priority rule increase or decrease the bankruptcy emergence payoff to traded (i.e., usually junior claimants) bondholders. The data indicate that, on average, bondholders benefit, albeit slightly, from absolute priority rule (APR) violations. This paper also examines the degree to which the bond market, in the bankruptcy filing month, anticipates departures from the APR and other influences on the payoff to bondholders. In other words, we investigate the informational efficiency of the market for bankrupt bonds. Overall, despite the complex and lengthy nature of bankruptcy proceedings, the results support efficiency.
The Pricing of Interest‐Rate Risk: Evidence from the Stock Market
Published: 6/1986, Volume: 41, Issue: 2 | DOI: 10.1111/j.1540-6261.1986.tb05044.x | Cited by: 139
RICHARD J. SWEENEY, ARTHUR D. WARGA
This paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest‐rate changes. A two‐factor APT model with the market and changes in the yield on long‐term government bonds as factors is employed. The paper shows that, empirically, most of the interest‐sensitive stocks are in the utility industries, and that there is reasonable evidence that the interest factor is priced in the sense of the APT. Several sources for the interest sensitivity are considered, and regulatory lags are focused on as a likely candidate.
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: 108
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.
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03652.x | Cited by: 0
RICHARD RUBACK
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
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: 1385
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.
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: 502
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.
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: 55
Richard Roll
Bankruptcy Risk and Optimal Capital Structure
Published: 12/1983, Volume: 38, Issue: 5 | DOI: 10.1111/j.1540-6261.1983.tb03845.x | Cited by: 180
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.
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
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
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 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
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
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: 227
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.
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
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: 34
Richard Roll
R2
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04591.x | Cited by: 608
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.
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
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.
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
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
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
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
Macroinformation and the Variability of Stock Market Prices
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02107.x | Cited by: 42
RICHARD P. CASTANIAS
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
Yield Approximations: A Historical Perspective: A Correction
Published: 6/1983, Volume: 38, Issue: 3 | DOI: 10.1111/j.1540-6261.1983.tb02521.x | Cited by: 0
RICHARD P. BRIEF
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02167.x | Cited by: 0
Richard S. Bower
THE POSTWAR RISE IN THE VELOCITY OF MONEY A SECTORAL ANALYSIS*
Published: 12/1961, Volume: 16, Issue: 4 | DOI: 10.1111/j.1540-6261.1961.tb04235.x | Cited by: 6
Richard T. Selden
COMMENT ON “PUTS AND CALLS: A FACTUAL SURVEY”
Published: 3/1959, Volume: 14, Issue: 1 | DOI: 10.1111/j.1540-6261.1959.tb00486.x | Cited by: 1
Richard J. Kruizenga
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
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.
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: 37
Richard H. Pettway
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