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.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 9.
TRADING IN WARRANTS BY MECHANICAL SYSTEMS
Published: 03/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03244.x
Richard J. Rogalski
DISCUSSION
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03676.x
RICHARD J. ROGALSKI
New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note
Published: 12/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb04927.x
RICHARD J. ROGALSKI
This paper decomposes daily close to close returns into trading day and non‐trading day returns. We discover that all of the average negative returns from Friday close to Monday close documented in the literature for stock market indexes occurs during the non‐trading period from Friday close to Monday open. In addition, average trading day returns (open to close) are identical for all days of the week. January/firm size/turn‐of‐the‐year anomalies are shown to be interrelated with day‐of‐the‐week returns.
Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04936.x
N. BULENT GULTEKIN, RICHARD J. ROGALSKI
Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 1960–1979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent with the APT. Our sample data in the U.S. Treasury securities market are also not consistent with either version of the CAPM. One‐month‐ahead forecasts of excess returns using factor‐generating models are compared with corresponding naive predictions or predictions using the “market model” with various market portfolios.