The Journal of Finance

Is Sell‐Side Research More Valuable in Bad Times?

Published: 5/3/2018,  Volume: 73,  Issue: 3  |  DOI: 10.1111/jofi.12611  |  Cited by: 257

ROGER K. LOH, RENÉ M. STULZ

Because uncertainty is high in bad times, investors find it harder to assess firm prospects and hence should value analyst output more. However, higher uncertainty makes analysts’ tasks harder, so it is unclear whether analyst output is more valuable in bad times. We find that in bad times, analyst revisions have a larger stock‐price impact, earnings forecast errors per unit of uncertainty fall, and analyst reports are more frequent and longer. The increased impact of analysts is also more pronounced for harder‐to‐value firms. These results are consistent with analysts working harder and investors relying more on analysts in bad times.

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03656.x  |  Cited by: 0

ROGER CRAINE

Fairly Priced Deposit Insurance and Bank Charter Policy

Published: 12/1995,  Volume: 50,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1995.tb05195.x  |  Cited by: 16

ROGER CRAINE

The thrust of current deposit insurance reform—risk‐based insurance premiums and capital requirements—is an effort to price deposit insurance more fairly. Fairly pricing deposit insurance eliminates inequitable wealth transfers, but it does not lead to an efficient equilibrium. This paper shows that an alternative charter policy results in an efficient separating equilibrium.

AN EVALUATION OF CAPITAL BUDGETING PROCEDURES UNDER UNCERTAINTY*

Published: 3/1975,  Volume: 30,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1975.tb03178.x  |  Cited by: 0

Roger P. Bey

THE OUTLOOK FOR THE STOCK MARKET

Published: 5/1963,  Volume: 18,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1963.tb00733.x  |  Cited by: 0

Roger F. Murray

Can Capital Income Taxes Survive in Open Economies?

Published: 7/1992,  Volume: 47,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1992.tb04009.x  |  Cited by: 129

ROGER H. GORDON

Optimal‐tax theory forecasts that small open economies should not tax capital income. Yet, countries do tax capital income. Why the inconsistency? This paper shows that use of the double‐taxation convention, whereby governments credit taxes paid abroad against domestic taxes, helps explain this inconsistency. In particular, capital income will be taxed if a dominant capital exporter acts as a Stackelberg leader when setting its tax policy. Due to the convention, other countries will then tax capital imports, making it attractive for the dominant capital exporter to tax capital income. Without a dominant capital exporter, however, the model still forecasts no capital‐income taxes.

Expectations of Exchange Rates and Differential Inflation Rates: Further Evidence on Purchasing Power Parity in Efficient Markets

Published: 3/1987,  Volume: 42,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1987.tb02550.x  |  Cited by: 13

ROGER D. HUANG

The paper tests the null hypothesis of ex ante purchasing power parity. The empirical evidence obtained is inconsistent with the null for major industrialized countries over the current floating exchange rate regime. Expected nominal exchange rate changes appear to deviate systematically from expected inflation rate differentials over the same holding period even though real exchange rate changes appear to be serially uncorrelated. This supports the presence of time‐varying risk premia in foreign exchange markets and real determinants of exchange rate movements as suggested by equilibrium theories of international asset markets.

The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility

Published: 3/1981,  Volume: 36,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1981.tb03532.x  |  Cited by: 20

ROGER D. HUANG

The variance bounds on exchange rate movements implied by the monetary approach to exchange rate in an efficient foreign exchange market is shown to be violated by sample data. The paper also presents evidence showing that the forecast errors implied by the monetary model can be forecasted using historical data. The results are interpreted to suggest either the incompatibility of the monetary approach with sample data, or an inefficient foreign exchange market or both.

PENSION FUNDS IN THE AMERICAN ECONOMY

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00808.x  |  Cited by: 0

Roger F. Murray

INVESTMENT ASPECTS OF THE ACCUMULATION OF PENSION FUNDS

Published: 5/1952,  Volume: 7,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1952.tb01534.x  |  Cited by: 0

Roger F. Murray

The Quality of ECN and Nasdaq Market Maker Quotes

Published: 6/2002,  Volume: 57,  Issue: 3  |  DOI: 10.1111/1540-6261.00461  |  Cited by: 227

Roger D. Huang

This paper compares the quality of quotes submitted by electronic communication networks (ECNs) and by traditional market makers to the Nasdaq quote montage. An analysis of the most active Nasdaq stocks shows that ECNs not only post informative quotes, but also, compared to market makers, ECNs post quotes rapidly and are more often at the inside. Additionally, ECN quoted spreads are smaller than dealer quoted spreads. The evidence suggests that the proliferation of alternative trading venues, such as ECNs, may promote quote quality rather than fragmenting markets. Moreover, the results suggest that a more open book contributes to quote quality.

MARKET ACCESS, UNCERTAINTY, AND RESERVE‐POSITION ADJUSTMENTS OF LARGE COMMERCIAL BANKS IN THE 1960's

Published: 3/1974,  Volume: 29,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1974.tb00023.x  |  Cited by: 1

Roger H. Hinderliter

The Effect of Fuel Adjustment Clauses on the Systematic Risk and Market Values of Electric Utilities

Published: 5/1980,  Volume: 35,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1980.tb02164.x  |  Cited by: 25

ROGER G. CLARKE

PREFACE

Published: 5/1964,  Volume: 19,  Issue: S2  |  DOI: 10.1111/j.1540-6261.1964.tb00175.x  |  Cited by: 0

Roger F. Murray

MOTIVATING FACTORS GUIDING THE COMMON‐STOCK INVESTOR*

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00887.x  |  Cited by: 0

Roger E. Potter

THE MARKET FOR EQUITIES

Published: 5/1964,  Volume: 19,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1964.tb00781.x  |  Cited by: 0

Roger F. Murray

THE PENN CENTRAL DEBACLE: LESSONS FOR FINANCIAL ANALYSIS

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00900.x  |  Cited by: 9

Roger F. Murray

An Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts

Published: 3/1989,  Volume: 44,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1989.tb02411.x  |  Cited by: 8

ROGER D. HUANG

An asset‐pricing model with an unobservable time‐varying risk premium is used to price forward foreign exchange contracts. Specifically, the term spectrum of forward foreign exchange contracts is examined in order to focus on country‐specific and maturity‐specific information. The testable restrictions imposed by the model are consistent with both cross‐country and cross‐maturity forward contracts except at the short end of the maturity spectrum for cross‐country forward exchange rates. This indicates that the intertemporal model is relatively robust in valuing forward contracts of different maturities and for different exchange rates but that it may fail when there are significant short‐term country‐specific shocks.

Transformed Securities and Alternative Factor Structures

Published: 3/1992,  Volume: 47,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1992.tb03992.x  |  Cited by: 2

ROGER D. HUANG, HOJE JO

Grinblatt and Titman (1985) reformulate a result of Chamberlain and Rothschild (1983) to show that the approximate factor structure of Chamberlain and Rothschild is asymptotically equivalent to the strict factor structure of Ross (1976) as long as investors can always repackage securities into an equal number of arbitrary portfolios. This paper uses a Procrustes rotation methodology that is compatible with the repackaging interpretation of Grinblatt and Titman to show that the empirical structure of stock prices is consistent with the convergency hypothesis.

A General Equilibrium Simulation Study of Subsidies to Municipal Expenditures

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02268.x  |  Cited by: 6

ROGER H. GORDON, JOEL SLEMROD

ON SOME DEFINITIONAL PROBLEMS WITH THE METHOD OF CERTAINTY EQUIVALENTS

Published: 12/1977,  Volume: 32,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1977.tb03366.x  |  Cited by: 6

Sasson Bar‐Yosef, Roger Mesznik

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

Risk Aversion Revisited

Published: 9/1983,  Volume: 38,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1983.tb02291.x  |  Cited by: 248

ROGER‐A. MORIN, A. FERNANDEZ SUAREZ

In order to supply additional empirical evidence of the effect of wealth on relative risk aversion, this study investigates households' demand for risky assets, using analysis of covariance techniques applied to the asset holdings of Canadian individual households. The extent and pattern of life‐cycle effects are also examined. Results generally point to decreasing relative risk aversion when housing is either excluded from the definition of wealth or treated as a riskless asset. The investor's life‐cycle plays a prominent role in portfolio selection behavior, with risk aversion increasing uniformly with age. Tax differentials do not seem to be an important element in investment decisions with respect to risk. When the sample and wealth definitions are censored in order to approximate those of previous empirical studies, their findings on relative risk aversion are generally corroborated.

SOME SUGGESTED CHANGES IN THE CORPORATE TAX STRUCTURE

Published: 12/1950,  Volume: 5,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1950.tb03804.x  |  Cited by: 4

Eli Schwartz, Roger C. Van Tassel

DISCUSSION

Published: 5/1961,  Volume: 16,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1961.tb02832.x  |  Cited by: 0

Paul P. Harbrect, Roger F. Murray

AN EVALUATION OF THE EMPIRICAL SIGNIFICANCE OF OPTIMAL SEEKING ALGORITHMS IN PORTFOLIO SELECTION*

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03129.x  |  Cited by: 2

R. Buss Porter, Roger P. Bey

“HOT ISSUE” MARKETS

Published: 9/1975,  Volume: 30,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1975.tb01019.x  |  Cited by: 182

Roger G. Ibbotson, Jeffrey F. Jaffe

Stock Market Returns and Real Activity: A Note

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03875.x  |  Cited by: 22

ROGER D. HUANG, WILLIAM A. KRACAW

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

How Much Do Taxes Discourage Incorporation?

Published: 6/1997,  Volume: 52,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1997.tb04810.x  |  Cited by: 88

JEFFREY K. MACKIE‐MASON, ROGER H. GORDON

The double taxation of corporate income should discourage firms from incorporating. We investigate the extent to which the aggregate allocation of assets and taxable income in the United States between corporate and noncorporate firms responds to the size of this tax distortion during the period 1959–1986. In theory, profitable firms should shift out of the corporate sector when the tax distortion is large, and conversely for firms with tax losses. Our empirical results provide strong support for these forecasts, and imply that the resulting excess burden equals 16 percent of business tax revenue.

The Role of Options in the Resolution of Agency Problems: A Comment

Published: 12/1986,  Volume: 41,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1986.tb02539.x  |  Cited by: 22

ROGER E. A. FARMER, RALPH A. WINTER

Regulation, Regulatory Lag, and the Use of Futures Markets

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02246.x  |  Cited by: 1

ROBERT W. KOLB, ROGER A. MORIN, GERALD D. GAY

DISCUSSION

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00807.x  |  Cited by: 0

Roger S. Barrett, David I. Fand, Robert C. Mayer

Market Timing Strategies in Convertible Debt Financing

Published: 3/1979,  Volume: 34,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1979.tb02076.x  |  Cited by: 9

GORDON J. ALEXANDER, ROGER D. STOVER, DAVID B. KUHNAU

On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option

Published: 12/2001,  Volume: 56,  Issue: 6  |  DOI: 10.1111/0022-1082.00403  |  Cited by: 103

John M. R. Chalmers, Roger M. Edelen, Gregory B. Kadlec

Economic distortions can arise when financial claims trade at prices set by an intermediary rather than direct negotiation between principals. We demonstrate the problem in a specific context, the exchange of open‐end mutual fund shares. Mutual funds typically set fund share price (NAV) using an algorithm that fails to account for nonsynchronous trading in the fund's underlying securities. This results in predictable changes in NAV, which lead to exploitable trading opportunities. A modification to the pricing algorithm that corrects for nonsynchronous trading eliminates much of the predictability. However, there are many other potential sources of distortion when intermediaries set prices.

DISCUSSION

Published: 5/1959,  Volume: 14,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1959.tb01585.x  |  Cited by: 0

John F. Childs, Douglas A. Hayes, Corliss D. Anderson, Roger W. Valentine