The Journal of Finance

Tax‐Induced Intertemporal Restrictions on Security Returns

Published: 9/1994,  Volume: 49,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1994.tb02457.x  |  Cited by: 13

PETER BOSSAERTS, ROBERT M. DAMMON

This article derives testable restrictions on equilibrium asset prices when investors have the option to time the realization of their capital gains and losses for tax purposes. The tax‐timing option alters both the magnitude and timing of equity returns relative to those in a tax‐free model. The tax‐induced restrictions are empirically examined, and the tax rates and preference parameters are estimated. While the tax‐free model can be rejected in favor of the tax‐based model as the specified alternative, the tax‐based model is still unable to adequately explain cross‐sectional differences in asset returns.

Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets

Published: 12/1987,  Volume: 42,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1987.tb04358.x  |  Cited by: 46

ROBERT M. DAMMON, RICHARD C. GREEN

In models where both investors and securities are subject to differential taxation, there may be no set of prices that rule out infinite gains to trade, or “tax arbitrage.” This paper characterizes the joint restrictions on financial‐asset returns and investors' tax schedules that preclude tax arbitrage in the absence of short‐sale constraints. The authors show that, if there exists any configuration of marginal tax rates on investors' tax schedules that rule out infinite gains to trade, then “no‐tax‐arbitrage” prices will exist. They also show that the existence of “no‐tax‐arbitrage” prices ensures the existence of equilibrium prices.

An Option‐Theoretic Approach to the Valuation of Dividend Reinvestment and Voluntary Purchase Plans

Published: 3/1992,  Volume: 47,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1992.tb03988.x  |  Cited by: 13

ROBERT M. DAMMON, CHESTER S. SPATT

Many firms with dividend reinvestment plans also allow their shareholders to voluntarily invest supplemental funds to purchase additional shares. The purchase price for newly‐issued shares often is determined by the average stock price over a prespecified time period preceding the investment date. This gives the firm's shareholders an option to invest in additional shares only when the stock price exceeds the computed average. This paper uses both theoretical and numerical methods to analyze the value of these voluntary purchase options in theory and practice.

The Effect of Taxes and Depreciation on Corporate Investment and Financial Leverage

Published: 6/1988,  Volume: 43,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1988.tb03944.x  |  Cited by: 104

ROBERT M. DAMMON, LEMMA W. SENBET

This paper provides an analysis of the effect of corporate and personal taxes on the firm's optimal investment and financing decisions under uncertainty. It extends the DeAngelo and Masulis capital structure model by endogenizing the firm's investment decision. The authors' results indicate that, when investment is allowed to adjust optimally, the existing predictions about the relationship between investment‐related and debt‐related tax shields must be modified. In particular, the authors show that increases in investment‐related tax shields due to changes in the corporate tax code are not necessarily associated with reductions in leverage at the individual firm level. In cross‐sectional analysis, firms with higher investment‐related tax shields (normalized by expected earnings) need not have lower debt‐related tax shields (normalized by expected earnings) unless all firms utilize the same production technology. Differences in production technologies across firms may thus explain why the empirical results of recent cross‐sectional studies have not conformed to the predictions of DeAngelo and Masulis.

Optimal Asset Location and Allocation with Taxable and Tax‐Deferred Investing

Published: 6/2004,  Volume: 59,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2004.00655.x  |  Cited by: 199

Robert M. Dammon, Chester S. Spatt, Harold H. Zhang

We investigate optimal intertemporal asset allocation and location decisions for investors making taxable and tax‐deferred investments. We show a strong preference for holding taxable bonds in the tax‐deferred account and equity in the taxable account, reflecting the higher tax burden on taxable bonds relative to equity. For most investors, the optimal asset location policy is robust to the introduction of tax‐exempt bonds and liquidity shocks. Numerical results illustrate optimal portfolio decisions as a function of age and tax‐deferred wealth. Interestingly, the proportion of total wealth allocated to equity is inversely related to the fraction of total wealth in tax‐deferred accounts.

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

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.

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.

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.

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.

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

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.

DISCUSSION

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

ROBERT HEINKEL

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.

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

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.

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.

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: 70

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.

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

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

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: 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.

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.

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

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.

CURRENCY TRANSFER BY DENOMINATION*

Published: 12/1972,  Volume: 27,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1972.tb03037.x  |  Cited by: 0

Robert D. Laurent

BALANCE OF PAYMENTS ADJUSTMENT AND INTERNATIONAL LIQUIDITY*

Published: 3/1964,  Volume: 19,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1964.tb00741.x  |  Cited by: 0

Robert V. Roosa

SOME FACTORS IN THE GROWTH OF CONSUMER CREDIT

Published: 5/1956,  Volume: 11,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1956.tb00706.x  |  Cited by: 5

Robert E. Lewis

MONEY AND CREDIT IN MEXICO, 1920–40*

Published: 9/1961,  Volume: 16,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1961.tb02840.x  |  Cited by: 0

Robert R. Edminster

DISCUSSION

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04526.x  |  Cited by: 2

ROBERT A. TAGGART

The Use of Volatility Measures in Assessing Market Efficiency*

Published: 5/1981,  Volume: 36,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1981.tb00441.x  |  Cited by: 73

ROBERT J. SHILLER