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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Long‐Term Return Reversals: Overreaction or Taxes?
Published: 11/28/2007, Volume: 62, Issue: 6 | DOI: 10.1111/j.1540-6261.2007.01295.x | Cited by: 70
THOMAS J. GEORGE, CHUAN‐YANG HWANG
Long‐term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked‐in capital gains than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure locked‐in capital gains do, completely subsuming past returns measures that are traditionally used to predict long‐term returns. In data from Hong Kong, where investment income is not taxed, reversals are nonexistent, and returns are not forecastable either by traditional measures or by measures based on the capital gains lock‐in hypothesis that successfully predict U.S. returns.
The 52‐Week High and Momentum Investing
Published: 10/2004, Volume: 59, Issue: 5 | DOI: 10.1111/j.1540-6261.2004.00695.x | Cited by: 701
THOMAS J. GEORGE, CHUAN‐YANG HWANG
When coupled with a stock's current price, a readily available piece of information—the 52‐week high price–explains a large portion of the profits from momentum investing. Nearness to the 52‐week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52‐week high do not reverse in the long run. These results indicate that short‐term momentum and long‐term reversals are largely separate phenomena, which presents a challenge to current theory that models these aspects of security returns as integrated components of the market's response to news.
Trading Volume and Transaction Costs in Specialist Markets
Published: 9/1994, Volume: 49, Issue: 4 | DOI: 10.1111/j.1540-6261.1994.tb02463.x | Cited by: 26
THOMAS J. GEORGE, GAUTAM KAUL, M. NIMALENDRAN
Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the “volume effects” of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.
PROJECTING MARKET STRUCTURE BY MONTE CARLO SIMULATION: A STUDY OF BANK EXPANSION IN NEW JERSEY
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03027.x | Cited by: 0
George R. Juncker, George S. Oldfield
THE LONG‐RUN EFFECTS UPON THE UNITED STATES OF THE INDUSTRIAL DEVELOPMENT OF THE FAR EAST*
Published: 12/1952, Volume: 7, Issue: 4 | DOI: 10.1111/j.1540-6261.1952.tb02488.x | Cited by: 0
George Rosen
VALUATION PARAMETERS OF PROPERTY‐LIABILITY COMPANIES
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb01991.x | Cited by: 12
George Foster
TIGHT MONEY, MONETARY RESTRAINT, AND THE PRICE LEVEL*
Published: 3/1966, Volume: 21, Issue: 1 | DOI: 10.1111/j.1540-6261.1966.tb02952.x | Cited by: 2
George Horwich
Deposit Insurance and the Discount Window: Pricing under Asymmetric Information
Published: 6/1986, Volume: 41, Issue: 2 | DOI: 10.1111/j.1540-6261.1986.tb05047.x | Cited by: 21
GEORGE KANATAS
The risk‐sensitive pricing of deposit insurance and the discount window is determined in an environment where banks have private information concerning their financial conditions. The two facilities are managed jointly; an incentive‐compatible policy is designed such that banks' choice of terms at which they can obtain insurance and access to discount window credit will reveal their asset quality. The function of the discount window is to be a risk‐neutral “lender of last resort” to banks in a market dominated by risk‐averse depositors.
TIGHT MONEY AS A CAUSE OF INFLATION: REPLY
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00600.x | Cited by: 1
George Horwich
INTRODUCTION
Published: 5/1965, Volume: 20, Issue: 2 | DOI: 10.1111/j.1540-6261.1965.tb00201.x | Cited by: 0
George Garvy
ELEMENTS OF TIMING AND RESPONSE IN THE BALANCE SHEET OF BANKING, 1953–55*
Published: 5/1957, Volume: 12, Issue: 2 | DOI: 10.1111/j.1540-6261.1957.tb04133.x | Cited by: 0
George Horwich
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04997.x | Cited by: 0
GEORGE TAUCHEN
Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880–1940
Published: 12/1998, Volume: 53, Issue: 6 | DOI: 10.1111/0022-1082.00090 | Cited by: 210
George Bittlingmayer
Why does stock volatility increase when output declines? The theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though cause and effect are typically hard to separate, the transition from Imperial to Weimar Germany offers a natural experiment because major political events left clear traces on stock prices. Current and past increases in volatility are associated with output declines, consistent with U.S. experience. However, political events are more clearly the source of volatility, and the results support the view that the relationship between volatility and output reflects the joint effects of political factors.
Stock Returns, Real Activity, and the Trust Question
Published: 12/1992, Volume: 47, Issue: 5 | DOI: 10.1111/j.1540-6261.1992.tb04680.x | Cited by: 24
GEORGE BITTLINGMAYER
Periodic antitrust attacks on corporations may have influenced stock prices. For the period 1904 to 1944, each antitrust case filed is associated with a 0.5 to 1.9 percent drop of the Dow, and each unexpected case with even larger drops. Other aspects of antitrust besides actual filings may help account for other movements, in particular the 1929 Crash. Historical evidence bears on the question of whether antitrust is exogenous and also links antitrust and the “corporation problem.” These results illustrate the sorts of real factors aside from changes in concurrent output that may account for stock price volatility.
Externalities and Financial Reporting
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02183.x | Cited by: 55
GEORGE FOSTER
“IS THE FEDERAL RESERVE SYSTEM REALLY NECESSARY?”: COMMENT
Published: 9/1965, Volume: 20, Issue: 3 | DOI: 10.1111/j.1540-6261.1965.tb02913.x | Cited by: 1
George G. Kaufman
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05003.x | Cited by: 1
GEORGE M. CONSTANTINIDES
REVENUE SHARING: PRIORITIES AND POLICY INSTRUMENTS
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00800.x | Cited by: 0
George F. Break
FEDERAL TAXING AND SPENDING IN VIRGINIA: A QUANTITATIVE STUDY
Published: 3/1951, Volume: 6, Issue: 1 | DOI: 10.1111/j.1540-6261.1951.tb04446.x | Cited by: 0
George W. McKinney
“A MULTIVARIATE ANALYSIS OF INDUSTRIAL BOND RATINGS” AND THE ROLE OF SUBORDINATION: REPLY
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03412.x | Cited by: 5
George E. Pinches
SEASONAL MOVEMENTS IN THE FLOW OF FUNDS*
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00198.x | Cited by: 0
George J. Viksnins
COMMERCIAL BANK PRICE DISCRIMINATION AGAINST SMALL LOANS: AN EMPIRICAL STUDY*
Published: 12/1964, Volume: 19, Issue: 4 | DOI: 10.1111/j.1540-6261.1964.tb02889.x | Cited by: 1
George J. Benston
A GENERAL GRANT FOR THE STATES: A CONSIDERATION OF ITS OBJECTIVES, JUSTIFICATION, AND EFFECTS*
Published: 9/1971, Volume: 26, Issue: 4 | DOI: 10.1111/j.1540-6261.1971.tb00946.x | Cited by: 0
George Paul Roniger
CONVERTIBILITY—THE CURRENT APPROACH*
Published: 5/1955, Volume: 10, Issue: 2 | DOI: 10.1111/j.1540-6261.1955.tb01262.x | Cited by: 0
George H. Willis
FINANCING WITH CONVERTIBLE PREFERRED STOCK, 1960–1967
Published: 3/1970, Volume: 25, Issue: 1 | DOI: 10.1111/j.1540-6261.1970.tb00413.x | Cited by: 2
George E. Pinches
BRANCH BANKING AND ECONOMIES OF SCALE
Published: 5/1965, Volume: 20, Issue: 2 | DOI: 10.1111/j.1540-6261.1965.tb00212.x | Cited by: 234
George J. Benston
ON THE DEDUCTIBILITY OF CAPITAL LOSSES UNDER THE INCOME TAX
Published: 5/1952, Volume: 7, Issue: 2 | DOI: 10.1111/j.1540-6261.1952.tb01532.x | Cited by: 0
George F. Break
DIVIDEND REMITTANCE BEHAVIOR WITHIN THE INTERNATIONAL FIRM: A THEORETICAL AND EMPIRICAL ANALYSIS*
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01332.x | Cited by: 0
George F. Kopits
FINANCIAL CONGENERICS*
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01875.x | Cited by: 0
George W. Ulseth
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02248.x | Cited by: 0
GEORGE R. HALL
INTEREST RATES VERSUS INTEREST CEILINGS IN THE ALLOCATION OF CREDIT FLOWS
Published: 5/1967, Volume: 22, Issue: 2 | DOI: 10.1111/j.1540-6261.1967.tb00012.x | Cited by: 0
George W. Mitchell
THE EFFECT OF “MARKET INDEXES” ON THE EX‐POST PERFORMANCE OF THE SHARPE PORTFOLIO SELECTION MODEL
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01936.x | Cited by: 6
George M. Frankfurter
THE CHANGING ROLE OF U.S. BANKS IN INTERNATIONAL FINANCING
Published: 5/1965, Volume: 20, Issue: 2 | DOI: 10.1111/j.1540-6261.1965.tb00202.x | Cited by: 1
George H. Chittenden
A MARGINAL ANALYSIS OF THE BENEFIT‐COST RELATIONSHIPS OF EXECUTIVE COMPENSATION PLANS*
Published: 12/1970, Volume: 25, Issue: 5 | DOI: 10.1111/j.1540-6261.1970.tb00883.x | Cited by: 0
George W. Hettenhouse
A MICROECONOMIC APPROACH TO BANKING COMPETITION: COMMENT
Published: 6/1972, Volume: 27, Issue: 3 | DOI: 10.1111/j.1540-6261.1972.tb00997.x | Cited by: 3
George J. Benston
BUSINESS PROCEEDINGS, AMERICAN FINANCE ASSOCIATION
Published: 5/1959, Volume: 14, Issue: 2 | DOI: 10.1111/j.1540-6261.1959.tb01592.x | Cited by: 0
George E. Hassett
MARKET RISK ADJUSTMENT IN PROJECT VALUATION
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04870.x | Cited by: 139
George M. Constantinides
PROPERTY TAXATION IN RELATION TO INVESTMENT IN URBAN AREAS
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04459.x | Cited by: 0
George W. Mitchell
FINANCING WITH CONVERTIBLE PREFERRED STOCK, 1960–1967: REPLY
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00598.x | Cited by: 0
George E. Pinches
THE DYNAMICS OF CORPORATE DEBT MANAGEMENT*
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01764.x | Cited by: 0
George M. Frankfurter
THE PROXIMATE IMPACT OF MONETARY POLICY ON FLOWS OF FUNDS THROUGH FINANCIAL INTERMEDIARIES*
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00263.x | Cited by: 0
William George Nelson
THE CAPITAL STRUCTURE IN AMERICAN BANKING
Published: 12/1954, Volume: 9, Issue: 4 | DOI: 10.1111/j.1540-6261.1954.tb01253.x | Cited by: 3
George Taylor Harris
Beatrice: A Study in the Creation and Destruction of Value
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04006.x | Cited by: 63
GEORGE P. BAKER
This paper chronicles the history of the Beatrice company from its founding in 1891 as a small creamery, through its growth by acquisition into a diversified consumer and industrial products firm, and its subsequent leveraged buyout and sell‐off. The paper analyzes the value consequences the firm's acquisition and divestiture policies, its organizational strategy, and its governance. The analysis sheds light on a number of issues in organization theory, strategy, and corporate finance, including the sources of value in diversifying aquisitions, the cost of over‐centralization and weak corporate governance, and the mechanisms of value creation in the market for corporate control.
LAND DEVELOPMENT‐VALUE PROBLEMS AND THE TOWN AND COUNTRY PLANNING ACT OF 1947*
Published: 12/1955, Volume: 10, Issue: 4 | DOI: 10.1111/j.1540-6261.1955.tb01307.x | Cited by: 0
George G. Sause
Managerial Preference, Asymmetric Information, and Financial Structure
Published: 9/1987, Volume: 42, Issue: 4 | DOI: 10.1111/j.1540-6261.1987.tb03915.x | Cited by: 42
GEORGE W. BLAZENKO
If firm performance affects managers' wealth or reputation, preferences of managers dominate firms' financing decisions. When information about real asset investment is symmetric, managers finance exclusively with equity. If managers know more about asset quality than do investors and if managers are sufficiently risk averse, they signal high‐quality projects with debt. Increases in collateral value decrease risky debt use. Increases in interest rates that do not change productive opportunities increase debt use. The explanation for these and further results is based on underpricing of equity and overpricing of debt at the margin.
AN EVALUATION OF MUNICIPAL “BANKRUPTCY” LAWS AND PROCEDURES
Published: 12/1973, Volume: 28, Issue: 5 | DOI: 10.1111/j.1540-6261.1973.tb01462.x | Cited by: 5
George H. Hempel
RESIDENTIAL MORTGAGE LENDERS
Published: 3/1952, Volume: 7, Issue: 1 | DOI: 10.1111/j.1540-6261.1952.tb01522.x | Cited by: 1
George W. McKinney
AN ANALYSIS AND EVALUATION OF ALTERNATIVE RESERVE REQUIREMENT PLANS
Published: 12/1969, Volume: 24, Issue: 5 | DOI: 10.1111/j.1540-6261.1969.tb01697.x | Cited by: 2
George J. Benston