The Journal of Finance

Sentiment Metrics and Investor Demand

Published: 3/7/2019,  Volume: 74,  Issue: 2  |  DOI: 10.1111/jofi.12754  |  Cited by: 161

LUKE DeVAULT, RICHARD SIAS, LAURA STARKS

Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross‐sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors’ demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between institutions and sentiment.

Institutions and Individuals at the Turn‐of‐the‐Year

Published: 9/1997,  Volume: 52,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1997.tb01120.x  |  Cited by: 134

RICHARD W. SIAS, LAURA T. STARKS

This article evaluates the tax‐loss‐selling hypothesis against the window‐dressing hypothesis as explanations for turn‐of‐the‐year anomalies. We examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former. Controlling for capitalization, we find that in early January (late December), stocks with greater individual investor interest outperform (underperform) stocks with greater institutional investor interest. These results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value. The results are most consistent with the tax‐loss‐selling hypothesis as an explanation for the turn‐of‐the‐year effect.

Herding and Feedback Trading by Institutional and Individual Investors

Published: 12/1999,  Volume: 54,  Issue: 6  |  DOI: 10.1111/0022-1082.00188  |  Cited by: 1180

John R. Nofsinger, Richard W. Sias

We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive‐feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean‐reversion in the year following large changes in institutional ownership—stocks institutional investors purchase subsequently outperform those they sell. Moreover, institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.

Financial Expertise as an Arms Race

Published: 9/12/2012,  Volume: 67,  Issue: 5  |  DOI: 10.1111/j.1540-6261.2012.01771.x  |  Cited by: 108

VINCENT GLODE, RICHARD C. GREEN, RICHARD LOWERY

We show that firms intermediating trade have incentives to overinvest in financial expertise. In our model, expertise improves firms’ ability to estimate value when trading a security. Expertise creates asymmetric information, which, under normal circumstances, works to the advantage of the expert as it deters opportunistic bargaining by counterparties. This advantage is neutralized in equilibrium, however, by offsetting investments by competitors. Moreover, when volatility rises the adverse selection created by expertise triggers breakdowns in liquidity, destroying gains to trade and thus the benefits that firms hope to gain through high levels of expertise.

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Published: 9/1984,  Volume: 39,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1984.tb03897.x  |  Cited by: 1385

RICHARD ROLL

In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market price changes. In fact, given market efficiency, the effective bid‐ask spread can be measured by where “cov” is the first‐order serial covariance of price changes. This implicit measure of the bid‐ask spread is derived formally and is shown empirically to be closely related to firm size.

MONETARY EQUILIBRIUM AND INTERNATIONAL RESERVE FLOWS IN AUSTRALIA

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03133.x  |  Cited by: 6

Richard Zecher

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

Published: 9/1978,  Volume: 33,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1978.tb02047.x  |  Cited by: 291

Richard Roll

IMPUTED RENT OF OWNER‐OCCUPIED DWELLINGS UNDER THE INCOME TAX

Published: 12/1960,  Volume: 15,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1960.tb02766.x  |  Cited by: 19

Richard Goode

CORPORATE BORROWING DECISIONS AND THE EVALUATION OF INTEREST RATE FORECASTS*

Published: 9/1974,  Volume: 29,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1974.tb03113.x  |  Cited by: 0

Richard Kolodny

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03652.x  |  Cited by: 0

RICHARD RUBACK

Industrial Structure and the Comparative Behavior of International Stock Market Indices

Published: 3/1992,  Volume: 47,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1992.tb03977.x  |  Cited by: 502

RICHARD ROLL

Stock Price Indices are compared across countries in an attempt to explain why they exhibit such disparate behavior. Three separate explanatory influences are empirically documented. First, part of the behavior can be attributed to a technical aspect of index construction; some indices are more diversified than others. Second, each country's industrial structure plays a major role in explaining stock price behavior. Third, for the majority of countries, a portion of national equity index behavior can be ascribed to exchange rate behavior. Exchange rates explain a significant portion of common currency denominated national index returns, although the amount explained by exchange rates is less than the amount explained by industrial structure for most countries.

THE AMERICAN CAPITAL MARKET, 1846–1914: A STUDY OF THE EFFECTS OF PUBLIC POLICY ON ECONOMIC DEVELOPMENT*

Published: 9/1970,  Volume: 25,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1970.tb00579.x  |  Cited by: 1

Richard Sylla

Bankruptcy Risk and Optimal Capital Structure

Published: 12/1983,  Volume: 38,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1983.tb03845.x  |  Cited by: 180

RICHARD CASTANIAS

This study finds shortcomings in empirical tests of the capital structure irrelevance hypothesis. The alternative hypothesis is that firms choose value maximizing mixes of debt and equity on account of bankruptcy costs and the tax deductibility of interest payments. Based upon the cross‐sectional implications of the tax shelter‐bankruptcy cost hypothesis, an alternative test of the irrelevance hypothesis is performed. The test examines the relationship between failure rates and leverage ratios for 36 lines of business. The results are inconsistent with the irrelevance hypothesis.

BALANCE‐OF‐PAYMENTS PROBLEMS OF DEVELOPING COUNTRIES*

Published: 3/1954,  Volume: 9,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1954.tb01207.x  |  Cited by: 0

Richard Perlman

INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES

Published: 5/1972,  Volume: 27,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1972.tb00958.x  |  Cited by: 55

Richard Roll

THE REFUNDING DECISION IN NEAR PERFECT MARKETS

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03128.x  |  Cited by: 2

Richard Kolodny

AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS

Published: 5/1977,  Volume: 32,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1977.tb03287.x  |  Cited by: 133

Richard Stehle

SOME CONSIDERATIONS ON THE INCIDENCE OF THE CORPORATION INCOME TAX (Discussion)

Published: 6/1951,  Volume: 6,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1951.tb04458.x  |  Cited by: 0

Richard Goode

A Possible Explanation of the Small Firm Effect

Published: 9/1981,  Volume: 36,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1981.tb04890.x  |  Cited by: 227

RICHARD ROLL

Recent empirical studies have found that small listed firms yield higher average returns than large firms even when their riskiness is equal. The riskiness of small firms, however, has been improperly measured. Apparently, the error is due to auto‐correlation in portfolio returns caused by infrequent trading. Other anomalous predictors of riskadjusted returns, such as price/earnings ratios and dividend yields, may also derive some of their apparent power from this spurious source.

DEPOSIT COMPOSITION AND COMMERCIAL BANK EARNINGS*

Published: 12/1971,  Volume: 26,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1971.tb01762.x  |  Cited by: 0

Richard Bond

R2

Published: 7/1988,  Volume: 43,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1988.tb04591.x  |  Cited by: 610

RICHARD ROLL

Even with hindsight, the ability to explain stock price changes is modest. s were calculated for the returns of large stocks as explained by systematic economic influences, by the returns on other stocks in the same industry, and by public firm‐specific news events. The average adjusted is only about .35 with monthly data and .20 with daily data. There is little relation between explanatory power and either the firm's size or its industry. There is little improvement in from eliminating all dates surrounding news reports in the financial press. However, the sample kurtosis is quite different when such news events are eliminated, thereby revealing a mixture of return distributions. Non‐news dates also indicate the presence of a distributional mixture, perhaps due to traders acting on private information.

EVIDENCE ON THE “GROWTH‐OPTIMUM” MODEL

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01378.x  |  Cited by: 17

Richard Roll

INVESTMENT DIVERSIFICATION AND BOND MATURITY

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00588.x  |  Cited by: 34

Richard Roll

A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

Published: 12/1997,  Volume: 52,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1997.tb02748.x  |  Cited by: 289

RICHARD STANTON

This article presents a technique for nonparametrically estimating continuous‐time diffusion processes that are observed at discrete intervals. We illustrate the methodology by using daily three and six month Treasury Bill data, from January 1965 to July 1995, to estimate the drift and diffusion of the short rate, and the market price of interest rate risk. While the estimated diffusion is similar to that estimated by Chan, Karolyi, Longstaff, and Sanders (1992), there is evidence of substantial nonlinearity in the drift. This is close to zero for low and medium interest rates, but mean reversion increases sharply at higher interest rates.

RETIREMENT OF NON‐CALLABLE PREFERRED STOCK

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00875.x  |  Cited by: 3

Richard A. Stevenson

TRADING IN WARRANTS BY MECHANICAL SYSTEMS

Published: 3/1977,  Volume: 32,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1977.tb03244.x  |  Cited by: 1

Richard J. Rogalski

DISCUSSION

Published: 5/1969,  Volume: 24,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1969.tb01686.x  |  Cited by: 1

Richard S. Bower

SOME VALUE‐ADDED TAX IMPACTS ON THE INTERNATIONAL COMPETITIVENESS OF PRODUCERS

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00848.x  |  Cited by: 0

Richard W. Lindholm

DISCUSSION

Published: 3/1950,  Volume: 5,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1950.tb00098.x  |  Cited by: 0

Richard C. Youngdahl

EXPECTATIONS, RISK, AND THE TERM STRUCTURE OF INTEREST RATES*

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00545.x  |  Cited by: 1

Richard C. Sutch

DEPOSIT COMPOSITION AND COMMERCIAL BANK EARNINGS

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00587.x  |  Cited by: 5

Richard E. Bond

A Note on Capital Budgeting Techniques and the Reinvestment Rate

Published: 12/1979,  Volume: 34,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1979.tb00070.x  |  Cited by: 10

RICHARD L. MEYER

A General Diversification Theorem: A Note

Published: 6/1984,  Volume: 39,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1984.tb02327.x  |  Cited by: 13

RICHARD D. MacMINN

DISCUSSION

Published: 5/1981,  Volume: 36,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1981.tb00473.x  |  Cited by: 2

RICHARD L. PETERSON

REPLY

Published: 3/1977,  Volume: 32,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1977.tb03256.x  |  Cited by: 0

Richard L. Norgaard

CORPORATE INVESTMENT, DIVIDENDS, AND FINANCE: A SIMULTANEOUS APPROACH*

Published: 9/1973,  Volume: 28,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1973.tb01438.x  |  Cited by: 0

Richard R. Spies

ADMINISTERED PRICES AND THE MARKET REACTION: THE CASE OF URBAN CORE PROPERTY INSURANCE

Published: 3/1973,  Volume: 28,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1973.tb01352.x  |  Cited by: 2

Richard F. Syron

U.S. MONETARY POLICY AND THE BALANCE OF PAYMENTS, 1950–60*

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04348.x  |  Cited by: 0

Richard A. Ward

Benchmark Portfolio Inefficiency and Deviations from the Security Market Line

Published: 6/1986,  Volume: 41,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1986.tb05037.x  |  Cited by: 23

RICHARD C. GREEN

This paper theoretically evaluates the robustness of the Security Market Line relationship when the market proxy employed is not mean‐variance efficient. The analysis focuses on the behavior of the “benchmark errors,” the deviations of assets and portfolios from the Security Market Line. First, we characterize how the location of an asset in mean‐variance space determines its benchmark error. Then the continuity properties of the benchmark errors are studied. The results indicate that the magnitudes of the errors exhibit continuous but not uniformly continuous behaviors. The relative rankings based on deviations from the Security Market Line, however, exhibit some severe discontinuities. In fact, these can be exactly reversed for two proxies arbitrarily close in mean‐variance space.

INTEREST RATES, CONTRACT TERMS, AND THE ALLOCATION OF MORTGAGE FUNDS*

Published: 3/1962,  Volume: 17,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1962.tb04249.x  |  Cited by: 2

Richard F. Muth

AN ANALYSIS OF THE USE OF COST‐OF‐CAPITAL CONCEPTS IN NATURAL‐GAS‐PIPELINE RATE REGULATION*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00858.x  |  Cited by: 0

Richard A. Oppedahl

Macroinformation and the Variability of Stock Market Prices

Published: 5/1979,  Volume: 34,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1979.tb02107.x  |  Cited by: 42

RICHARD P. CASTANIAS

THE PERMANENT INCOME‐WEALTH APPROACH TO THE DEMAND FOR MONEY: ANALYTICAL AND EMPIRICAL ASPECTS*

Published: 3/1967,  Volume: 22,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1967.tb01669.x  |  Cited by: 0

Richard H. Puckett

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03676.x  |  Cited by: 2

RICHARD J. ROGALSKI

Mutual Fund Incubation

Published: 7/15/2010,  Volume: 65,  Issue: 4  |  DOI: 10.1111/j.1540-6261.2010.01579.x  |  Cited by: 596

RICHARD B. EVANS

Incubation is a strategy for initiating new funds, where multiple funds are started privately, and, at the end of an evaluation period, some are opened to the public. Consistent with incubation being used by fund families to increase performance and attract flows, funds in incubation outperform nonincubated funds by 3.5% risk‐adjusted, and when they are opened to the public they attract higher flows. Postincubation, however, this outperformance disappears. This performance reversal imparts an upward bias to returns that is not removed by a fund size filter. Fund age and ticker creation date filters, however, eliminate the bias.

THE DYNAMICS OF CORPORATE CAPITAL BUDGETING

Published: 6/1974,  Volume: 29,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1974.tb01486.x  |  Cited by: 8

Richard R. Spies

A NOTE ON THE IMPLICATIONS OF PERIODIC “CASH FLOW”

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04341.x  |  Cited by: 0

M. Richard Sussman

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05029.x  |  Cited by: 0

RICHARD P. CASTANIAS

Yield Approximations: A Historical Perspective: A Correction

Published: 6/1983,  Volume: 38,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1983.tb02521.x  |  Cited by: 0

RICHARD P. BRIEF

DISCUSSION

Published: 5/1980,  Volume: 35,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1980.tb02167.x  |  Cited by: 0

Richard S. Bower