The Journal of Finance

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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MARKET VALUE AND SYSTEMATIC RISK

Published: 09/01/1977   |   DOI: 10.1111/j.1540-6261.1977.tb03315.x

Stuart M. Turnbull


Debt Capacity

Published: 09/01/1979   |   DOI: 10.1111/j.1540-6261.1979.tb03445.x

STUART M. TURNBULL


DISCOUNTING THE COMPONENTS OF AN INCOME STREAM: COMMENT

Published: 03/01/1977   |   DOI: 10.1111/j.1540-6261.1977.tb03260.x

Stuart M. Turnbull


Debt Capacity: Erratum

Published: 03/01/1981   |   DOI: 10.1111/j.1540-6261.1981.tb03546.x

STUART M. TURNBULL


Capital Asset Prices and the Temporal Resolution of Uncertainty*

Published: 06/01/1980   |   DOI: 10.1111/j.1540-6261.1980.tb03488.x

LARRY G. EPSTEIN, STUART M. TURNBULL


Pricing Derivatives on Financial Securities Subject to Credit Risk

Published: 03/01/1995   |   DOI: 10.1111/j.1540-6261.1995.tb05167.x

ROBERT A. JARROW, STUART M. TURNBULL

This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a “spot exchange rate.” Arbitrage‐free valuation techniques are then employed. This methodology can be applied to corporate debt and over the counter derivatives, such as swaps and caps.


CAPITAL BUDGETING AND THE CAPITAL ASSET PRICING MODEL: GOOD NEWS AND BAD NEWS

Published: 05/01/1977   |   DOI: 10.1111/j.1540-6261.1977.tb03272.x

Stewart C. Myers, Stuart M. Turnbull


Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options

Published: 06/01/1985   |   DOI: 10.1111/j.1540-6261.1985.tb04968.x

PAUL J. HALPERN, STUART M. TURNBULL

Using option and stock transaction data for the period 1978–1979, three issues were investigated: first, the conformance of observed prices to various boundary conditions; second, the evolution of the market over time, as the volume of trading and the number of listed options increased; and third, to test the efficiency of the market. It was found that violations did occur. Using a trading rule based on the signal of observed violations, the results suggest that even after transaction costs the market was inefficient over the sample period.