The Journal of Finance

Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets

Published: 3/1986,  Volume: 41,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1986.tb04494.x  |  Cited by: 139

ROBERT JENNINGS, LAURA STARKS

This paper employs a new approach to study the effects of option trading on the behavior of underlying stock prices. Extant research compares distributional properties of the stock price at two points in time divided by an event in the option market that might affect price behavior. As an alternative, we examine the stock price adjustment to the release of quarterly earnings using samples of firms with and without listed options. We find the two samples exhibit different adjustment processes, with the nonoption firms requiring substantially more time to adjust.

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: 58

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.

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: 155

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.

An Equilibrium Model of Asset Trading with Sequential Information Arrival

Published: 3/1981,  Volume: 36,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1981.tb03540.x  |  Cited by: 288

ROBERT H. JENNINGS, LAURA T. STARKS, JOHN C. FELLINGHAM

In an effort to better understand the dynamic market price adjustment process, this paper develops a model which describes the impact of new information on a financial market. The primary emphasis is on the price change‐volume relationship in the presence of a margin requirement. We find that the margin requirement significantly affects the relation of price change to volume. Furthermore, this relationship is shown to be affected by the number of investors in the market, the degree of information dissemination, differences in interpretation of information and the implicit cost of the margin requirement.

THE FISCAL HISTORY OF VIRGINIA FROM 1860 TO 1870*

Published: 9/1962,  Volume: 17,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1962.tb04325.x  |  Cited by: 0

George Wood Jennings

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

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.

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: 220

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.

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: 117

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.

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: 41

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.

DISCUSSION

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

ROBERT HEINKEL

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.

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: 71

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.

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: 57

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.

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.

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

DISCUSSION

Published: 6/1978,  Volume: 33,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1978.tb00768.x  |  Cited by: 0

Robert Salomon

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

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.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

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

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: 80

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: 29

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: 4421

ROBERT C. MERTON

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

THE STRUCTURE AND ADEQUACY OF WISCONSIN COMMERCIAL BANKING

Published: 12/1963,  Volume: 18,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1963.tb01645.x  |  Cited by: 0

John Robert Pike

ASSESSING CHANGES IN FINANCIAL STATISTICS USING STABLE PARETIAN DISTRIBUTIONS AND INFORMATION THEORY*

Published: 3/1975,  Volume: 30,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1975.tb03180.x  |  Cited by: 0

Robert Alan Leitch

THE AMERICAN FINANCE ASSOCIATION: 1939–1969

Published: 3/1970,  Volume: 25,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1970.tb00409.x  |  Cited by: 5

Robert A. Kavesh

Report of the Editor of The Journal of Finance for the Year 2005

Published: 8/2006,  Volume: 61,  Issue: 4  |  DOI: 10.1111/j.1540-6261.2006.00897.x  |  Cited by: 0

ROBERT F. STAMBAUGH

IMPROVING THE SELECTION OF CREDIT RISKS: AN ANALYSIS OF A COMMERCIAL BANK MINORITY LENDING PROGRAM

Published: 3/1975,  Volume: 30,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1975.tb03159.x  |  Cited by: 12

Robert H. Edelstein

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03672.x  |  Cited by: 0

ROBERT A. EISENBEIS

The Effect of Bankruptcy Protection on Investment: Chapter 11 as a Screening Device

Published: 9/1994,  Volume: 49,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1994.tb02459.x  |  Cited by: 90

ROBERT M. MOORADIAN

Asymmetric information and conflicts of interest between equity and debt holders can force a distressed but efficient firm to liquidate and may enable a distressed inefficient firm to continue. In the extreme, if it is costless for an inefficient firm to mimic an efficient firm in a debt restructuring, efficient and inefficient firms are equally likely to continue or liquidate. This article shows that Chapter 11 procedures impose costs on inefficient firms that would otherwise mimic efficient firms. This separation induces voluntary filing for bankruptcy by inefficient firms and consequently enables efficient firms to continue when they would otherwise be liquidated.

The Effects of Stock Splits on Bid‐Ask Spreads

Published: 9/1990,  Volume: 45,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1990.tb02437.x  |  Cited by: 83

ROBERT M. CONROY, ROBERT S. HARRIS, BRUCE A. BENET

This paper examines the effects of stock splits on bid‐ask spreads for NYSE‐listed companies. Percentage spreads increase after splits, representing a liquidity cost to investors. These spread increases are directly related to decreases in share prices following splits and can explain part, but not all, of the observed increase in return variability after splits. The evidence thus suggests a liquidity cost of stock splits that must be weighed against any other perceived benefits of splits. Such a liquidity cost may validate that stock splits are a signal of favorable information about the firm.

DISCUSSION

Published: 5/1973,  Volume: 28,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1973.tb01804.x  |  Cited by: 0

Robert R. Dince

OUTLOOK FOR MORTGAGE MARKETS*

Published: 5/1960,  Volume: 15,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1960.tb00170.x  |  Cited by: 0

Robert Moore Fisher