The Journal of Finance

What Are the Research Standards for Full Professor of Finance?

Published: 6/1998,  Volume: 53,  Issue: 3  |  DOI: 10.1111/0022-1082.00043  |  Cited by: 65

Raymond P. H. Fishe

Based on a sample of 126 recently promoted faculty, different standards for full professor are observed between top 20 finance departments and lower ranked departments. Full professors affiliated with a top 20 department place an average of 1 out of 3 articles in either Journal of Finance, Review of Financial Studies, or Journal of Financial Economics compared to 1 out of 6 articles for professors at lower‐ranked schools. Total citations and cites per year are also significantly different between top‐ and lower‐ranked departments, but total articles and articles per year are not significantly different between these two groupings.

The Behavior of Bid‐Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999

Published: 11/7/2003,  Volume: 58,  Issue: 6  |  DOI: 10.1046/j.1540-6261.2003.00611.x  |  Cited by: 108

Patrick De Fontnouvelle, Raymond P. H. Fishe, Jeffrey H. Harris

AbstractIn August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple‐listing status by the end of September. Effective and quoted bid–ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that interexchange competition reduces option transaction costs.

FEDERAL RESERVE BEHAVIOR: IDENTIFICATION, RATIONALE, AND IMPLICATIONS*

Published: 12/1971,  Volume: 26,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1971.tb01765.x  |  Cited by: 0

Raymond Lombra

DISCUSSION

Published: 5/1955,  Volume: 10,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1955.tb01269.x  |  Cited by: 0

Raymond E. Hengren

FEDERAL TAXATION OF LIFE INSURANCE COMPANIES: THE SAVINGS INSTITUTION APPROACH*

Published: 9/1960,  Volume: 15,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1960.tb01611.x  |  Cited by: 0

Raymond Francis Valenti

DISCUSSION

Published: 5/1979,  Volume: 34,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1979.tb02114.x  |  Cited by: 0

RAYMOND E. LOMBRA

THE FINANCIAL RESEARCH PROGRAM OF THE NATIONAL BUREAU OF ECONOMIC RESEARCH

Published: 4/1947,  Volume: 2,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1947.tb00786.x  |  Cited by: 1

Raymond J. Saulnier

RANDOM WALK AND PRICE TRENDS: THE LIVE CATTLE FUTURES MARKET

Published: 9/1972,  Volume: 27,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1972.tb01318.x  |  Cited by: 70

Raymond M. Leuthold

VARIATION IN BANK ASSET PORTFOLIOS

Published: 12/1956,  Volume: 11,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1956.tb04086.x  |  Cited by: 0

Raymond H. McEvoy

AN ENDOGENOUS TREATMENT OF THE FEDERAL RESERVE SYSTEM IN A MACRO‐ECONOMETRIC MODEL*

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00546.x  |  Cited by: 0

Raymond G. Torto

FINANCIAL STATEMENTS OF LIFE INSURANCE COMPANIES*

Published: 12/1965,  Volume: 20,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1965.tb02944.x  |  Cited by: 0

Robert Hugh Raymond

REPLY

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01944.x  |  Cited by: 1

Raymond M. Leuthold

INTRODUCTORY REMARKS*

Published: 5/1957,  Volume: 12,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1957.tb04123.x  |  Cited by: 0

Raymond W. Goldsmith

U.S. Direct Investment in Canada: Consequences for the U.S. Economy

Published: 5/1973,  Volume: 28,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1973.tb01786.x  |  Cited by: 0

Sylvia Ostry, Raymond Vernon

A Critique of the Stochastic Discount Factor Methodology

Published: 8/1999,  Volume: 54,  Issue: 4  |  DOI: 10.1111/0022-1082.00145  |  Cited by: 62

Raymond Kan, Guofu Zhou

In this paper, we point out that the widely used stochastic discount factor (SDF) methodology ignores a fully specified model for asset returns. As a result, it suffers from two potential problems when asset returns follow a linear factor model. The first problem is that the risk premium estimate from the SDF methodology is unreliable. The second problem is that the specification test under the SDF methodology has very low power in detecting misspecified models. Traditional methodologies typically incorporate a fully specified model for asset returns, and they can perform substantially better than the SDF methodology.

Trade Credit, Financial Intermediary Development, and Industry Growth

Published: 2/2003,  Volume: 58,  Issue: 1  |  DOI: 10.1111/1540-6261.00527  |  Cited by: 820

Raymond Fisman, Inessa Love

Recent work suggests that financial development is important for economic growth, since financial markets more effectively allocate capital to firms with high value projects. For firms in poorly developed financial markets, implicit borrowing in the form of trade credit may provide an alternative source of funds. We show that industries with higher dependence on trade credit financing exhibit higher rates of growth in countries with weaker financial institutions. Furthermore, consistent with barriers to trade credit access among young firms, we show that most of the effect that we report comes from growth in the size of preexisting firms.

Two‐Pass Tests of Asset Pricing Models with Useless Factors

Published: 2/1999,  Volume: 54,  Issue: 1  |  DOI: 10.1111/0022-1082.00102  |  Cited by: 238

Raymond Kan, Chu Zhang

In this paper we investigate the properties of the standard two‐pass methodology of testing beta pricing models with misspecified factors. In a setting where a factor is useless, defined as being independent of all the asset returns, we provide theoretical results and simulation evidence that the second‐pass cross‐sectional regression tends to find the beta risk of the useless factor priced more often than it should. More surprisingly, this misspecification bias exacerbates when the number of time series observations increases. Possible ways of detecting useless factors are also examined.

Financial Development and Intersectoral Allocation: A New Approach

Published: 12/2004,  Volume: 59,  Issue: 6  |  DOI: 10.1111/j.1540-6261.2004.00716.x  |  Cited by: 102

RAYMOND FISMAN, INESSA LOVE

This paper uses a new methodology based on industry comovement to examine the role of financial market development in intersectoral allocation. Based on the assumption that there exist common global shocks to growth opportunities, we hypothesize that country pairs should have correlated patterns of sectoral growth if they are able to respond to these shocks. Consistent with financial markets promoting responsiveness to shocks, countries have more highly correlated growth rates across sectors when both countries have well‐developed financial markets. This effect is stronger between country pairs at similar levels of economic development, which are more likely to experience similar growth shocks.

Insider Holdings and Perceptions of Information Asymmetry: A Note

Published: 9/1988,  Volume: 43,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1988.tb02622.x  |  Cited by: 146

RAYMOND CHIANG, P. C. VENKATESH

AN ESTIMATE OF BANK‐ADMINISTERED PERSONAL TRUST FUNDS*

Published: 3/1959,  Volume: 14,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1959.tb00482.x  |  Cited by: 0

Raymond W. Goldsmith, Eli Shapiro

CAPITAL MOVEMENTS AMONG MAJOR OECD COUNTRIES: SOME PRELIMINARY RESULTS

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00896.x  |  Cited by: 4

William H. Branson, Raymond D. Hill

Fundamentals or Noise? Evidence from the Professional Basketball Betting Market

Published: 9/1993,  Volume: 48,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1993.tb04751.x  |  Cited by: 43

WILLIAM O. BROWN, RAYMOND D. SAUER

This paper uses the betting market for professional basketball games to address the issue of unexplained asset price volatility. A pricing model is presented which identifies two components in point spreads for professional basketball games. Both components—the market's estimate of relative team abilities and an idiosyncratic factor—are essentially unobserved, but can be identified ex post. The structure of this market enables tests of competing hypotheses about point spread variation. The tests reject the hypothesis that variation in the two components represents irrelevant noise. The hypothesis that unobserved fundamentals account for this variation is consistent with the data.

DISCUSSION

Published: 5/1955,  Volume: 10,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1955.tb01265.x  |  Cited by: 0

Raymond F. Mikesell, Frank A. Southard

DISCUSSION

Published: 5/1952,  Volume: 7,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1952.tb00249.x  |  Cited by: 0

Raymond W. Goldsmith, J. Fred Weston

Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology

Published: 11/12/2013,  Volume: 68,  Issue: 6  |  DOI: 10.1111/jofi.12035  |  Cited by: 236

RAYMOND KAN, CESARE ROBOTTI, JAY SHANKEN

Over the years, many asset pricing studies have employed the sample cross‐sectional regression (CSR) R 2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R 2 differences that are not statistically significant. A version of the intertemporal capital asset pricing model (CAPM) exhibits the best overall performance, followed by the Fama–French three‐factor model. Interestingly, the performance of prominent consumption CAPMs is sensitive to variations in experimental design.

Patterns of Productivity in the Finance Literature: A Study of the Bibliometric Distributions

Published: 3/1990,  Volume: 45,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1990.tb05095.x  |  Cited by: 106

KEE H. CHUNG, RAYMOND A. K. COX

This study finds a bibliometric regularity in the finance literature that the number of authors publishing n papers is about of those publishing one paper. We find that the finance literature conforms very well to the inverse square law if data are taken from a large collection of journals. When applied to individual finance journals, we find that values of c range from 1.95 to 3.26. We also find that top‐rated journals have higher concentrations among their contributors. This implies that the phenomenon “success breeds success” is more common in higher quality publications.

A Rejoinder

Published: 6/1993,  Volume: 48,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1993.tb04743.x  |  Cited by: 9

Nai‐Fu Chen, Raymond Kan, Merton H. Miller

Tests of the Relations Among Marketwide Factors, Firm‐Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model

Published: 12/1996,  Volume: 51,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1996.tb05230.x  |  Cited by: 22

JIA HE, RAYMOND KAN, LILIAN NG, CHU ZHANG

In this article we generalize Harvey's (1989) empirical specification of conditional asset pricing models to allow for both time‐varying covariances between stock returns and marketwide factors and time‐varying reward‐to‐covariabilities. The model is then applied to examine the effects of firm size and book‐to‐market equity ratios. We find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stock returns predicted by firm size and book‐to‐market equity ratios. The results indicate that allowing time‐varying covariances and time‐varying reward‐to‐covariabilities does little to salvage the traditional asset pricing models.

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