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.
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Models of Stock Returns—A Comparison
Published: 3/1984, Volume: 39, Issue: 1 | DOI: 10.1111/j.1540-6261.1984.tb03865.x | Cited by: 105
STANLEY J. KON
In this paper a discrete mixture of normal distributions is proposed to explain the observed significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates of returns for a sample of common stocks and indexes. Stationarity tests on the parameter estimates of this discrete mixture of normal distributions model revealed significant differences in the mean estimates that can explain the observed skewness and significant differences in the variance estimates that can explain the observed kurtosis. An alternative explanation for the observed fat tails is the symmetric student model. The result of a comparison between the models is that the discrete mixture of normal distributions model has substantially more descriptive validity than the student model.
ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04861.x | Cited by: 36
Stanley J. Kon, Frank C. Jen
Specification Tests for Portfolio Regression Parameter Stationarity and the Implications for Empirical Research
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02108.x | Cited by: 15
STANLEY J. KON, W. PATRICK LAU
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02184.x | Cited by: 1
Stanley Baiman
CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03396.x | Cited by: 150
Stanley Fischer
REPLY
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01326.x | Cited by: 1
Stanley W. Black
REPLY
Published: 3/1972, Volume: 27, Issue: 1 | DOI: 10.1111/j.1540-6261.1972.tb00630.x | Cited by: 0
Stanley W. Black
THE NEGATIVE PRECAUTIONARY DEMAND FOR MONEY RECONSIDERED
Published: 6/1971, Volume: 26, Issue: 3 | DOI: 10.1111/j.1540-6261.1971.tb01728.x | Cited by: 0
Stanley C. Stevens
COMPENSATORY CYCLICAL BANK ASSET ADJUSTMENTS: COMMENT
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04339.x | Cited by: 0
Stanley C. Silverberg
AN EMPIRICAL ANALYSIS OF COMMERCIAL BANK LENDING BEHAVIOR*
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00190.x | Cited by: 0
Stanley M. Besen
DEPOSIT COSTS AND BANK PORTFOLIO POLICY
Published: 9/1973, Volume: 28, Issue: 4 | DOI: 10.1111/j.1540-6261.1973.tb01413.x | Cited by: 3
Stanley C. Silverberg
THE EFFECT OF MERGERS AND ACQUISITIONS ON THE MARKET VALUE OF COMMON STOCK*
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00330.x | Cited by: 1
Stanley B. Block
AN ECONOMETRIC STUDY OF EURO‐DOLLAR BORROWING BY NEW YORK BANKS AND THE RATE OF INTEREST ON EURO‐DOLLARS
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00590.x | Cited by: 1
Stanley W. Black
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02022.x | Cited by: 1
Stanley W. Black
AN EMPIRICAL STUDY OF MORTGAGE PAYMENT TO INCOME RATIOS IN A VARIABLE RATE MORTGAGE PROGRAM*
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01895.x | Cited by: 3
Stanley R. Stansell, James A. Millar
Generalized Disappointment Aversion and Asset Prices
Published: 7/15/2010, Volume: 65, Issue: 4 | DOI: 10.1111/j.1540-6261.2010.01571.x | Cited by: 213
BRYAN R. ROUTLEDGE, STANLEY E. ZIN
We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower‐tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This feature comes from endogenous variation in the probability of disappointment in the representative agent's intertemporal consumption‐saving problem that underlies the asset pricing model. The variation in effective risk aversion produces a large equity premium and a risk‐free rate that is procyclical and has low volatility in an economy with a simple autoregressive endowment‐growth process.
Sources of Entropy in Representative Agent Models
Published: 1/7/2014, Volume: 69, Issue: 1 | DOI: 10.1111/jofi.12090 | Cited by: 139
DAVID BACKUS, MIKHAIL CHERNOV, STANLEY ZIN
We propose two data‐based performance measures for asset pricing models and apply them to models with recursive utility and habits. Excess returns on risky securities are reflected in the pricing kernel's dispersion and riskless bond yields are reflected in its dynamics. We measure dispersion with entropy and dynamics with horizon dependence, the difference between entropy over several periods and one. We compare their magnitudes to estimates derived from asset returns. This exercise reveals tension between a model's ability to generate one‐period entropy, which should be large, and horizon dependence, which should be small.
AN INTER‐TEMPORAL APPROACH TO THE OPTIMIZATION OF DIVIDEND POLICY WITH PREDETERMINED INVESTMENTS: COMMENT
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00041.x | Cited by: 0
Charles E. Edwards, Stanley R. Stansell
Initial Public Offerings: An Analysis of Theory and Practice
Published: 1/20/2006, Volume: 61, Issue: 1 | DOI: 10.1111/j.1540-6261.2006.00840.x | Cited by: 597
JAMES C. BRAU, STANLEY E. FAWCETT
We survey 336 chief financial officers (CFOs) to compare practice to theory in the areas of initial public offering (IPO) motivation, timing, underwriter selection, underpricing, signaling, and the decision to remain private. We find the primary motivation for going public is to facilitate acquisitions. CFOs base IPO timing on overall market conditions, are well informed regarding expected underpricing, and feel underpricing compensates investors for taking risk. The most important positive signal is past historical earnings, followed by underwriter certification. CFOs have divergent opinions about the IPO process depending on firm‐specific characteristics. Finally, we find the main reason for remaining private is to preserve decision‐making control and ownership.
Weekend Effects on Stock Returns: A Comment
Published: 3/1985, Volume: 40, Issue: 1 | DOI: 10.1111/j.1540-6261.1985.tb04956.x | Cited by: 28
EDWARD A. DYL, STANLEY A. MARTIN
THE JOINT DETERMINATION OF PORTFOLIO AND TRANSACTION DEMANDS FOR MONEY
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00033.x | Cited by: 5
Andrew H. Y. Chen, Frank C. Jen, Stanley Zionts
SOME DIRECT EVIDENCE ON THE DIVIDEND CLIENTELE PHENOMENON
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03427.x | Cited by: 70
Wilbur G. Lewellen, Kenneth L. Stanley, Ronald C. Lease, Gary G. Schlarbaum