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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RISK‐PREMIUM CURVES FOR DIFFERENT CLASSES OF LONG‐TERM SECURITIES, 1950–1966
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00364.x | Cited by: 16
Robert M. Soldofsky, Roger L. Miller
REPLY
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01328.x | Cited by: 1
Robert M. Soldofsky, Roger L. Miller
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?
Published: 6/1994, Volume: 49, Issue: 2 | DOI: 10.1111/j.1540-6261.1994.tb05149.x | Cited by: 157
MERTON H. MILLER, JAYARAM MUTHUSWAMY, ROBERT E. WHALEY
Mean reversion in stock index basis changes has been presumed to be driven by the trading activity of stock index arbitragers. We propose here instead that the observed negative autocorrelation in basis changes is mainly a statistical illusion, arising because many stocks in the index portfolio trade infrequently. Even without formal arbitrage, reported basis changes would appear negatively autocorrelated as lagging stocks eventually trade and get updated. The implications of this study go beyond index arbitrage, however. Our analysis suggests that spurious elements may creep in whenever the price‐change or return series of two securities or portfolios of securities are differenced.
Trading Mechanisms and the Components of the Bid‐Ask Spread
Published: 9/1994, Volume: 49, Issue: 4 | DOI: 10.1111/j.1540-6261.1994.tb02462.x | Cited by: 74
JOHN AFFLECK‐GRAVES, SHANTARAM P. HEGDE, ROBERT E. MILLER
We compare the relative magnitudes of the components of the bid‐ask spread for New York Stock Exchange (NYSE)/American Stock Exchange (AMEX) stocks to those of National Association of Securities Dealers Automated Quotations (NASDAQ)/National Market System (NMS) stocks. We find that the order‐processing cost component is smaller, and the adverse selection component is greater on the NYSE/AMEX trading systems than on the NASDAQ/NMS system. The inventory holding component is also greater for exchange‐traded stocks than for NASDAQ/NMS stocks, but this may be attributable to differences in the characteristics of the firms whose stocks trade on the respective systems.
DISCUSSION
Published: 5/1963, Volume: 18, Issue: 2 | DOI: 10.1111/j.1540-6261.1963.tb00726.x | Cited by: 0
Herbert E. Dougall, Merton H. Miller, Robert F. Vandell
Estimating the Gains from Trade in Limit‐Order Markets
Published: 12/2006, Volume: 61, Issue: 6 | DOI: 10.1111/j.1540-6261.2006.01004.x | Cited by: 106
BURTON HOLLIFIELD, ROBERT A. MILLER, PATRIK SANDÅS, JOSHUA SLIVE
We present a method to estimate the gains from trade in limit‐order markets and provide empirical evidence that the limit‐order market is a good market design. Using observations on order submissions and execution and cancellation histories, we estimate both the distribution of traders' unobserved valuations for the stock and latent trader arrival rates. We use the resulting estimates to compute the current gains from trade, the gains from trade in a perfectly liquid market, and the gains from trade with a monopoly liquidity supplier. The current gains are 90% of the maximum gains and 150% of the monopolist gains.
EXPANDED COOPERATION BETWEEN COMMERCIAL BANKS AND FINANCE COMPANIES IN FINANCING CONSUMER CREDITS
Published: 10/1947, Volume: 2, Issue: 2 | DOI: 10.1111/j.1540-6261.1947.tb00797.x | Cited by: 0
Miller Upton
A PROPOSAL FOR A NATIONAL GOALS INSTITUTE
Published: 5/1969, Volume: 24, Issue: 2 | DOI: 10.1111/j.1540-6261.1969.tb01673.x | Cited by: 0
Arjay Miller
MATERIALS AND METHODS OF TEACHING BUSINESS FINANCE: A SYNTHESIS
Published: 9/1950, Volume: 5, Issue: 3 | DOI: 10.1111/j.1540-6261.1950.tb03793.x | Cited by: 0
Miller Upton
TRENDS IN PRIVATE PENSION FUNDS*
Published: 5/1961, Volume: 16, Issue: 2 | DOI: 10.1111/j.1540-6261.1961.tb02830.x | Cited by: 0
Eugene Miller
THE DISTRIBUTIONS OF MEMBER‐BANK RESERVES AMONG THE TWELVE FEDERAL RESERVE DISTRICTS, 1948–1964*
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00310.x | Cited by: 0
L. Charles Miller
RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03317.x | Cited by: 3109
Edward M. Miller
CONCENTRATION IN INSTITUTIONAL COMMON‐STOCK PORTFOLIOS
Published: 3/1961, Volume: 16, Issue: 1 | DOI: 10.1111/j.1540-6261.1961.tb02790.x | Cited by: 2
Norman C. Miller
Leverage
Published: 6/1991, Volume: 46, Issue: 2 | DOI: 10.1111/j.1540-6261.1991.tb02670.x | Cited by: 58
MERTON H. MILLER
Nobel Memorial Prize Lecture for presentation at the Royal Swedish Academy of Sciences in Stockholm, December 7, 1990. Helpful comments on an earlier draft were made by my colleagues Steven Kaplan and Robert Vishny.
RECONCILING MONETARY MANAGEMENT AND DEBT MANAGEMENT POLICIES
Published: 12/1950, Volume: 5, Issue: 4 | DOI: 10.1111/j.1540-6261.1950.tb03801.x | Cited by: 1
Donald C. Miller
REPORT OF THE PROGRAM CHAIRMAN OF THE 34TH ANNUAL MEETING OF THE AMERICAN FINANCE ASSN
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01880.x | Cited by: 0
Merton H. Miller
CONFERENCE ON THE TEACHING OF BUSINESS FINANCE*
Published: 9/1949, Volume: 4, Issue: 3 | DOI: 10.1111/j.1540-6261.1949.tb02354.x | Cited by: 0
R. Miller Upton
LONG‐TERM SMALL BUSINESS FINANCING FROM THE UNDERWRITER'S POINT OF VIEW*
Published: 5/1961, Volume: 16, Issue: 2 | DOI: 10.1111/j.1540-6261.1961.tb02826.x | Cited by: 1
Glenn R. Miller
A SIMPLE MODEL OF INFORMATION AND LENDING BEHAVIOR: COMMENT
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03257.x | Cited by: 1
Stephen M. Miller
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
DEBT AND TAXES*
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03267.x | Cited by: 746
Merton H. Miller
Dividend Policy under Asymmetric Information
Published: 9/1985, Volume: 40, Issue: 4 | DOI: 10.1111/j.1540-6261.1985.tb02362.x | Cited by: 2117
MERTON H. MILLER, KEVIN ROCK
We extend the standard finance model of the firm's dividend/investment/financing decisions by allowing the firm's managers to know more than outside investors about the true state of the firm's current earnings. The extension endogenizes the dividend (and financing) announcement effects amply documented in recent research. But once trading of shares is admitted to the model along with asymmetric information, the familiar Fisherian criterion for optimal investment becomes time inconsistent: the market's belief that the firm is following the Fisher rule creates incentives to violate the rule.We show that an informationally consistent signalling equilibrium exists under asymmetric information and the trading of shares that restores the time consistency of investment policy, but leads in general to lower levels of investment than the optimum achievable under full information and/or no trading. Contractual provisions that change the information asymmetry or the possibility of profiting from it could eliminate both the time inconsistency and the inefficiency in investment policies, but these contractual provisions too are likely to involve dead‐weight costs. Establishing which route or combination of routes serves in practice to maintain consistency remains for future research.
DISCUSSION
Published: 5/1959, Volume: 14, Issue: 2 | DOI: 10.1111/j.1540-6261.1959.tb01579.x | Cited by: 0
Donald C Miller, Elmer Wood
THE DEMAND FOR MONEY BY FIRMS: EXTENSIONS OF ANALYTIC RESULTS
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00314.x | Cited by: 46
Merton H. Miller, Daniel Orr
International Cross‐Listing, Firm Performance, and Top Management Turnover: A Test of the Bonding Hypothesis
Published: 7/19/2008, Volume: 63, Issue: 4 | DOI: 10.1111/j.1540-6261.2008.01377.x | Cited by: 200
UGUR LEL, DARIUS P. MILLER
We examine a primary outcome of corporate governance, namely, the ability to identify and terminate poorly performing CEOs, to test the effectiveness of U.S. investor protections in improving the corporate governance of cross‐listed firms. We find that firms from weak investor protection regimes that are cross‐listed on a major U.S. Exchange are more likely to terminate poorly performing CEOs than non‐cross‐listed firms. Cross‐listings on exchanges that do not require the adoption of stringent investor protections (OTC, private placements, and London listings) are not associated with a higher propensity to remove poorly performing CEOs.
Margin Regulation and Stock Market Volatility
Published: 3/1990, Volume: 45, Issue: 1 | DOI: 10.1111/j.1540-6261.1990.tb05078.x | Cited by: 149
DAVID A. HSIEH, MERTON H. MILLER
Using daily and monthly stock returns we find no convincing evidence that Federal Reserve margin requirements have served to dampen stock market volatility. The contrary conclusion, expressed in recent papers by Hardouvelis (1988a, b), is traced to flaws in his test design. We do detect the expected negative relation between margin requirements and the amount of margin credit outstanding. We also confirm the recent finding by Schwert (1988) that changes in margin requirements by the Fed have tended to follow rather than lead changes in market volatility.
LEASING, BUYING, AND THE COST OF CAPITAL SERVICES
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01922.x | Cited by: 181
MERTON H. MILLER, CHARLES W. UPTON
The Pricing of Oil and Gas: Some Further Results
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05030.x | Cited by: 42
MERTON H. MILLER, CHARLES W. UPTON
The Hotelling Valuation Principle (HVP) implies that the unit value of an exhaustible natural resource can be written as a function of its current price, net of extraction costs; other variables such as interest rates have no additional explanatory power. The results of earlier tests using data from 1979–1981 strongly support the HVP. This paper presents a series of follow‐up tests using time‐series cross‐section data covering the period August 1981 to December 1983. Because the variance of petroleum prices in this period was substantially less than in the earlier period, the follow‐up sample proved generally noninformative. The sample also contains some observations on oil and gas royalty trusts. Tests of the HVP using these trust data yielded generally satisfactory results, although—given the limited sample size—the results must be viewed with caution.
Liquidity and Market Structure
Published: 7/1988, Volume: 43, Issue: 3 | DOI: 10.1111/j.1540-6261.1988.tb04594.x | Cited by: 1244
SANFORD J. GROSSMAN, MERTON H. MILLER
Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period between the arrival of final buyers and sellers. In the long run the number of market makers adjusts to equate the supply and demand for immediacy. This determines the equilibrium level of liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity.
Social Security and Trends in Wealth Inequality
Published: 4/7/2025, Volume: 80, Issue: 3 | DOI: 10.1111/jofi.13440 | Cited by: 15
SYLVAIN CATHERINE, MAX MILLER, NATASHA SARIN
Recent influential work finds large increases in inequality in the United States based on measures of wealth concentration that notably exclude the value of social insurance programs. This paper shows that top wealth shares have not changed much over the last three decades when Social Security is properly accounted for. This is because Social Security wealth increased substantially from $7.2 trillion in 1989 to $40.6 trillion in 2019 and now represents nearly 50% of the wealth of the bottom 90% of the wealth distribution. This finding is robust to potential changes to taxes and benefits in response to system financing concerns.
DISCUSSION
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00960.x | Cited by: 3
Merton H. Miller, William Poole, Alvin Marty
ALTERNATIVE THEORIES AND TESTS OF U.S. SHORT‐TERM FOREIGN INVESTMENT
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01446.x | Cited by: 3
Norman C. Miller, Marina V. N. Whitman
FACTORS AFFECTING PRICE, VOLUME AND CREDIT RISK IN THE CONSUMER FINANCE INDUSTRY
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00676.x | Cited by: 5
Robert W. Johnson, Robert P. Shay
Toward a National Market System for U.S. Exchange–listed Equity Options
Published: 3/25/2004, Volume: 59, Issue: 2 | DOI: 10.1111/j.1540-6261.2004.00653.x | Cited by: 102
Robert Battalio, Brian Hatch, Robert Jennings
In its response to the 1975 Congressional mandate to implement a national market system for financial securities, the Securities and Exchange Commission (SEC) initially exempted the option market. Recent dramatic changes in the structure of the option market prompted the SEC to revisit this issue. We examine a sample of actively traded, multiply listed equity options to ask whether this market's characteristics appear consistent with the goals of producing economically efficient transactions and facilitating “best execution.” We find marked changes between June 2000, when quotes are often ignored, and January 2002, when the market more closely resembles a national market.
Asset Price Volatility, Bubbles, and Process Switching
Published: 9/1986, Volume: 41, Issue: 4 | DOI: 10.1111/j.1540-6261.1986.tb04551.x | Cited by: 54
ROBERT P. FLOOD, ROBERT J. HODRICK
Evidence of excess volatilities of asset prices compared with those of market fundamentals is often attributed to speculative bubbles. This study demonstrates that bubbles could in theory lead to excess volatility, but it shows that certain variance bounds tests preclude bubbles as an explanation. The evidence ought to be attributed to model misspecification or inappropriate statistical tests. One important misspecification occurs if a researcher incorrectly specifies the time series properties of market fundamentals. A bubble‐free example economy characterized by a potential switch in government policies produces asset prices that would appear, to an unwary researcher, to contain bubbles.
Reputation Effects in Trading on the New York Stock Exchange
Published: 5/8/2007, Volume: 62, Issue: 3 | DOI: 10.1111/j.1540-6261.2007.01235.x | Cited by: 57
ROBERT BATTALIO, ANDREW ELLUL, ROBERT JENNINGS
Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocating with the stock obtain lower trading costs than brokers not moving and brokers beginning trading post‐move. Our results suggest that reputation plays an important role in the NYSE's liquidity provision process.
Are the Discounts on Closed‐End Funds a Sentiment Index?
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04741.x | Cited by: 115
NAI‐FU CHEN, RAYMOND KAN, MERTON H. MILLER
Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality
Published: 9/14/2016, Volume: 71, Issue: 5 | DOI: 10.1111/jofi.12422 | Cited by: 154
ROBERT BATTALIO, SHANE A. CORWIN, ROBERT JENNINGS
We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers’ best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order routing designed to maximize liquidity rebates does not maximize limit order execution quality and thus brokers cannot have it all.
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02198.x | Cited by: 215
ROBERT JARROW
Under heterogeneous expectations, the mean–variance model of capital market equilibrium is employed to determine the effect restricting short sales has on equilibrium asset prices. Two equivalent markets differing only with respect to short sale restrictions are compared. It is shown that, in general, risky asset prices can either rise or fall due to short sale constraints. However, under a homogeneity of beliefs for the covariance matrix of future prices, short sale constraints will only increase risky asset prices.
SHORT‐RUN EFFECTS OF STOCK MARKET SERVICES ON STOCK PRICES
Published: 3/1958, Volume: 13, Issue: 1 | DOI: 10.1111/j.1540-6261.1958.tb04173.x | Cited by: 3
Robert Ferber
A Theory of Capital Structure Relevance under Imperfect Information
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03608.x | Cited by: 113
ROBERT HEINKEL
Firms raise debt and equity capital to finance a positive net present value project in perfectly competitive capital markets; firm insiders know the function generating the random firm cash flow but potential capital suppliers do not. Taking into account the incentives of insiders to misrepresent their firm type, capital suppliers attempt to design financing mixes of debt and equity that eliminate the adverse incentives of insiders and correctly price securities. Necessary conditions for a costless separating equilibrium are developed to show that the amount of debt used by a firm is monotonically related to its unobservable true value.
Error Rates in CRSP and COMPUSTAT: A Second Look
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02210.x | Cited by: 33
ROBERT BENNIN
Debt Financing and Tax Status: Tests of the Substitution Effect and the Tax Exhaustion Hypothesis Using Firms' Responses to the Economic Recovery Tax Act of 1981
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04670.x | Cited by: 70
ROBERT TREZEVANT
This study tests the joint prediction of the substitution effect and the tax exhaustion hypothesis that an increase in non‐debt tax shields leads to a decrease in leverage. Controls are introduced for the debt securability effect, the pecking order theory of financing, and the probability of losing tax shields. Using the relationship between changes in investment tax shields and changes in debt tax shields of firms in response to the Economic Recovery Tax Act of 1981, strong empirical support is found for predictions based on the substitution effect and the tax exhaustion hypothesis.
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02019.x | Cited by: 1
Robert Willig
Discussion
Published: 8/2000, Volume: 55, Issue: 4 | DOI: 10.1111/0022-1082.00270 | Cited by: 0
Robert Marquez
THE PRICING OF OPTIONS WITH STOCHASTIC DIVIDEND YIELD
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04871.x | Cited by: 40
Robert Geske
A formula is derived in discrete time for pricing options when the underlying stock has a stochastic dividend yield. The result implies that regarding the dividend yield as certain when it is not results in misestimation of the variance of the underlying stock. Comparative statics indicate that this adjustment could diminish a bias of the Black‐Scholes model. This model systematically underprices deep‐out‐of‐the‐money options. A numerical example demonstrates that this stochastic adjustment may be more important for longer‐lived options and warrants.
POSTWAR DEVELOPMENTS IN THE MARKET FOR CONSUMER INSTALMENT CREDIT*
Published: 5/1956, Volume: 11, Issue: 2 | DOI: 10.1111/j.1540-6261.1956.tb00705.x | Cited by: 0
Robert Shay
THE INFLATIONARY IMPACT OF EIGHT FEDERAL AID AGENCIES DURING THE YEARS 1946–1950*
Published: 12/1954, Volume: 9, Issue: 4 | DOI: 10.1111/j.1540-6261.1954.tb01252.x | Cited by: 0
Robert Freedman
Quotes, Prices, and Estimates in a Laboratory Market
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05226.x | Cited by: 45
ROBERT BLOOMFIELD
This study examines the behavior of laboratory markets in which two uninformed market makers compete to trade with heterogeneously informed investors. The data provide three main results. First, market makers set quotes to protect against adverse selection and to control inventory. Second, when investors are less well‐informed, their trades are less reliable measures of their information, and market makers respond to those trades with greater skepticism. Third, errors in market makers' reactions to trades cause the time‐series behavior of quotes and prices to depend on the information environment in ways beyond those captured in extant theory.
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb00768.x | Cited by: 0
Robert Salomon