The Journal of Finance

In Defense of Technical Analysis

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05000.x  |  Cited by: 83

JACK L. TREYNOR, ROBERT FERGUSON

Many investors occasionally receive what they believe to be nonpublic information about a security. Others feel that by applying superior analytical skills to public information, they are able to arrive at valuable insights that are not generally appreciated. In either case, there is a substantial opportunity for profit if the investor is correct. The investor must be correct on two counts. First, the estimate of the worth of the information must be reasonably accurate in terms of its impact on the price of the stock, and second, the investor must make a realistic assessment of the likelihood that the market already has received the information or insight in question. This paper is concerned only with the latter problem. The probability distribution of the date on which the market receives information already in the hands of the investor is calculated for a simple model of information propagation. It is then shown how this probability distribution can be brought to bear on the management of a portfolio.

What Constitutes Evidence of Discrimination in Lending?

Published: 6/1995,  Volume: 50,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1995.tb04803.x  |  Cited by: 40

MICHAEL F. FERGUSON, STEPHEN R. PETERS

We analyze a simple model of bank lending in order to ascertain what can be inferred from relative denial and default rates about lending discrimination. We show that if minority applicants are of lower average creditworthiness than majority applicants, then, contrary to a popular argument, a uniform, nondiscriminatory credit policy cannot simultaneously produce (i) higher denial rates for minority applicants, and (ii) equal default rates for minority and majority applicants. Moreover, we show that equality of denial or default rates always implies discrimination. In particular, equal denial (default) rates imply discrimination against majority (minority) applicants.

Equilibrium “Anomalies”

Published: 11/7/2003,  Volume: 58,  Issue: 6  |  DOI: 10.1046/j.1540-6261.2003.00615.x  |  Cited by: 139

Michael F. Ferguson, Richard L. Shockley

AbstractMany empirical “anomalies” are actually consistent with the single beta capital asset pricing model if the empiricist utilizes an equity‐only proxy for the true market portfolio. Equity betas estimated against this particular inefficient proxy will be understated, with the error increasing with the firm's leverage. Thus, firm‐specific variables that correlate with leverage (such as book‐to‐market and size) will appear to explain returns after controlling for proxy beta simply because they capture the missing beta risk. Loadings on portfolios formed on relative leverage and relative distress completely subsume the powers of the Fama and French (1993) returns to small minus big market capitalization (SMB) portfolios and returns to high minus low book‐to‐market (HML) portfolios factors in explaining cross‐sectional returns.

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

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.

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.

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

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.

The Relationship between Arbitrage and First Order Stochastic Dominance

Published: 9/1986,  Volume: 41,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1986.tb04556.x  |  Cited by: 65

ROBERT JARROW

This paper joins together two fields of research in financial economics. The first field studies stochastic dominance, while the second field studies arbitrage pricing. The two fields are linked together through the derivation and the proof of a characterization theorem. The characterization theorem gives necessary and sufficient conditions for the existence of arbitrage opportunities in terms of the existence of two assets, one of which first order stochastically dominates the other and the price of a particular contingent claim. Examples are provided to demonstrate the theorem's content.

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

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

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

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.tb00768.x  |  Cited by: 0

Robert Salomon

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.

JUSTIFICATION FOR DIRECT REGULATION OF CONSUMER CREDIT REAPPRAISED

Published: 5/1953,  Volume: 8,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1953.tb01167.x  |  Cited by: 0

Robert Bartels

Potential Competition And Actual Competition In Equity Options

Published: 7/1987,  Volume: 42,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1987.tb04566.x  |  Cited by: 40

ROBERT NEAL

The Meaning of Internal Rates of Return

Published: 12/1981,  Volume: 36,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1981.tb01072.x  |  Cited by: 56

ROBERT DORFMAN

Nearly one hundred years after Irving Fisher' persuasive argument that net present value is the fundamental criterion for appraising investment projects, businessmen and bankers continue to consider the internal rate of return. Business practice is justified in some circumstances. It has long been recognized that a firm will grow asymptotically at a rate equal to the largest real positive root of an individual project' rate of return equation if the net cash flows are continually reinvested in projects of the same type. That same root also controls the firm' asymptotic growth rate if any fixed proportion of the cash flows is reinvested. The other roots of the equation are important also, since the stability of the firm' growth path depends on them.

DISCUSSION

Published: 5/1969,  Volume: 24,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1969.tb01690.x  |  Cited by: 0

Robert Solomon

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05025.x  |  Cited by: 0

ROBERT HEINKEL

THE CONCEPT OF YIELD ON COMMON STOCK

Published: 5/1964,  Volume: 19,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1964.tb00762.x  |  Cited by: 1

Robert Ortner

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb04991.x  |  Cited by: 1

ROBERT SHILLER

FINANCIAL INTERMEDIARIES, CREDIT AVAILABILITY, AND AGGREGATE DEMAND*

Published: 9/1966,  Volume: 21,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1966.tb00247.x  |  Cited by: 0

Robert Shapiro

Benefits of Bank Diversification: The Evidence from Shareholder Returns

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03682.x  |  Cited by: 26

ROBERT A. EISENBEIS, ROBERT S. HARRIS, JOSEF LAKONISHOK

A Test of the Relative Pricing Effects of Dividends and Earnings: Evidence from Simultaneous Announcements in Japan

Published: 6/2000,  Volume: 55,  Issue: 3  |  DOI: 10.1111/0022-1082.00245  |  Cited by: 79

Robert M. Conroy, Kenneth M. Eades, Robert S. Harris

We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations from analysts' forecasts, we find that share price reactions are significantly affected by earnings surprises, especially management forecasts of next year's earnings. The information content of dividends is marginal and is restricted to announcements of next year's dividends. Consistent with Modigliani and Miller's dividend irrelevance proposition, current dividend surprises have no material impact on stock prices in Japan.

FINANCING BUSINESS EXPANSION SINCE KOREA

Published: 5/1952,  Volume: 7,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1952.tb01540.x  |  Cited by: 0

Robert P. Ulin

SELECTED PROBLEMS FACED BY FIRE AND CASUALTY INSURERS UNDER STATE AND LOCAL TAXATION*

Published: 3/1961,  Volume: 16,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1961.tb02801.x  |  Cited by: 0

Robert S. Felton

DISCUSSION

Published: 5/1977,  Volume: 32,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1977.tb03299.x  |  Cited by: 0

Robert P. Shay

COMPARATIVE RETURNS AND RISK OF CONVERTIBLE BONDS AND THEIR UNDERLYING EQUITY, DEBT, AND OPTION VALUES IN THE POSTWAR PERIOD*

Published: 3/1975,  Volume: 30,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1975.tb03179.x  |  Cited by: 0

Robert L. Felheim

Report of the Executive Secretary and Treasurer for the Year Ending September 30, 1981

Published: 5/1982,  Volume: 37,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1982.tb00894.x  |  Cited by: 0

Robert G. Hawkins

ECONOMIC RATIONALE OF THE UNIFORM CONSUMER CREDIT CODE

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00805.x  |  Cited by: 1

Robert W. Johnson

GROWTH, DIVIDEND POLICY AND CAPITAL COSTS IN THE ELECTRIC UTILITY INDUSTRY

Published: 9/1974,  Volume: 29,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1974.tb03096.x  |  Cited by: 28

Robert C. Higgins

A Simple Model of Capital Market Equilibrium with Incomplete Information

Published: 7/1987,  Volume: 42,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1987.tb04565.x  |  Cited by: 4303

ROBERT C. MERTON

PROPERTY TAXATION IN RELATION TO INVESTMENT IN URBAN AREAS (Discussion)

Published: 6/1951,  Volume: 6,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1951.tb04460.x  |  Cited by: 0

Robert S. Ford

Report of the AFA Representative to the National Bureau of Economic Research*

Published: 7/1995,  Volume: 50,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1995.tb04048.x  |  Cited by: 0

Robert S. Hamada

DISCUSSION

Published: 5/1970,  Volume: 25,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1970.tb00664.x  |  Cited by: 1

Robert A. Schwartz

Presidential Address: Investment Noise and Trends

Published: 7/18/2014,  Volume: 69,  Issue: 4  |  DOI: 10.1111/jofi.12174  |  Cited by: 158

ROBERT F. STAMBAUGH

During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index‐like investing. I develop an equilibrium model linking these investment trends to the decline in individual ownership, interpreting the latter as a reduction in noise trading. Active management corrects most noise trader–induced mispricing, and the fraction left uncorrected shrinks as noise traders' stake in the market declines. Less mispricing then dictates a smaller footprint for active management.

DISCUSSION

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02239.x  |  Cited by: 0

ROBERT S. HARRIS

INTEREST RATES AND FOREIGN DOLLAR BALANCES

Published: 9/1961,  Volume: 16,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1961.tb02835.x  |  Cited by: 2

Robert F. Gemmill

THE STRUCTURE OF FOREIGN INVESTMENT: REPLY

Published: 12/1967,  Volume: 22,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1967.tb00300.x  |  Cited by: 0

Robert E. Krainer

ATTRITION AMONG STOCK COMPANIES IN THE PROPERTY‐LIABILITY INSURANCE INDUSTRY*

Published: 3/1970,  Volume: 25,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1970.tb00432.x  |  Cited by: 0

Robert E. Nelson

On the Cross‐Sectional Relation between Expected Returns, Betas, and Size

Published: 4/1999,  Volume: 54,  Issue: 2  |  DOI: 10.1111/0022-1082.00125  |  Cited by: 15

Robert R. Grauer

In this paper, I set up scenarios where the mean‐variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. I show that the coefficients from either ordinary least squares or generalized least squares regressions do not allow us to tell whether the model is true or false.

RELATIVE STRENGTH AS A CRITERION FOR INVESTMENT SELECTION

Published: 12/1967,  Volume: 22,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1967.tb00295.x  |  Cited by: 128

Robert A. Levy

UNIONS AND PENSION FUNDS*

Published: 3/1964,  Volume: 19,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1964.tb00750.x  |  Cited by: 0

H. Robert Bartell