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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Risk A version and Information Structure: An Experimental Study of Price Variability in the Securities Markets
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05008.x | Cited by: 5
JAMES S. ANG, THOMAS SCHWARZ
This study investigates the differences in the behaviors between the speculative investors and the conservative investors in two separate experimental markets. Although the market for speculators shows greater price volatility in both bid/ask spread within a trade as well as with intraperiod variances, it exhibits several desirable properties. Specifically, the price patterns tend to converge closer, and at a greater speed to either the prior information equilibrium price or the rational expectation equilibrium price. It also achieves better allocational efficiency. And, it is also less likely to be misled by potentially “false” price information.
Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
Published: 11/11/2008, Volume: 63, Issue: 6 | DOI: 10.1111/j.1540-6261.2008.01413.x | Cited by: 187
STEPHEN BROWN, WILLIAM GOETZMANN, BING LIANG, CHRISTOPHER SCHWARZ
Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. We examine the value of disclosure through the controversial SEC requirement, since overturned, which required major hedge funds to register as investment advisors and file Form ADV disclosures. Leverage and ownership structures suggest that lenders and equity investors were already aware of operational risk. However, operational risk does not mediate flow‐performance relationships. Investors either lack this information or regard it as immaterial. These findings suggest that regulators should account for the endogenous production of information and the marginal benefit of disclosure to different investment clienteles.
Attention‐Induced Trading and Returns: Evidence from Robinhood Users
Published: 10/20/2022, Volume: 77, Issue: 6 | DOI: 10.1111/jofi.13183 | Cited by: 489
BRAD M. BARBER, XING HUANG, TERRANCE ODEAN, CHRISTOPHER SCHWARZ
We study the influence of financial innovation by fintech brokerages on individual investors’ trading and stock prices. Using data from Robinhood, we find that Robinhood investors engage in more attention‐induced trading than other retail investors. For example, Robinhood outages disproportionately reduce trading in high‐attention stocks. While this evidence is consistent with Robinhood attracting relatively inexperienced investors, we show that it is also driven in part by the app's unique features. Consistent with models of attention‐induced trading, intense buying by Robinhood users forecasts negative returns. Average 20‐day abnormal returns are −4.7% for the top stocks purchased each day.
The “Actual Retail Price” of Equity Trades
Published: 7/25/2025, Volume: 80, Issue: 5 | DOI: 10.1111/jofi.13467 | Cited by: 5
CHRISTOPHER SCHWARZ, BRAD BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN
We compare execution quality of six brokerage accounts across five brokers by generating a sample of 85,000 simultaneous market orders. Commission levels and payment for order flow (PFOF) differ across our accounts. We find that execution prices vary significantly across brokers: the mean account‐level round‐trip cost ranges from 0.07% to 0.46%, excluding any commissions. The dispersion is due to off‐exchange wholesalers systematically giving different execution prices for the same trades to different brokers. Across brokers, variation in PFOF does not explain the large variation in price execution. We provide several suggestions for more informative disclosures on execution quality.
A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ
Published: 5/3/2024, Volume: 79, Issue: 4 | DOI: 10.1111/jofi.13334 | Cited by: 106
BRAD M. BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN, CHRISTOPHER SCHWARZ
We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.
ADVANCE SALES OF GOVERNMENT SECURITY ISSUES
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00383.x | Cited by: 0
Thomas Mayer
The Value of Bank Lending
Published: 5/28/2025, Volume: 80, Issue: 4 | DOI: 10.1111/jofi.13465 | Cited by: 2
THOMAS FLANAGAN
Using a novel data set of realized syndicated loan cash flows and a risk‐adjustment methodology adapted from the private equity literature, I provide a measure of risk‐adjusted returns for bank loan cash flows. Banks, on average, generate 180 basis points in gross risk‐adjusted returns and add $75 million of value annually to their loan portfolios. Banks earn higher returns when they lend to financially constrained borrowers, and the risk‐adjusted performance of bank loan portfolios exhibits persistence. However, banks require higher risk‐adjusted returns when facing their own financing frictions, and shareholders earn nearly zero net risk‐adjusted returns once bank staff are compensated for their lending effort. Overall, these findings suggest that banks provide valuable services to mitigate borrowers' financing frictions, and the present value of loan cash flows pays for the costs of providing these services.
DISCUSSION
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02115.x | Cited by: 0
THOMAS MAYER
POSITIVE POLICY DESIGN AND THE CHICAGO MONETARY REFORMS*
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00381.x | Cited by: 0
Thomas Velk
AN INVESTIGATION OF MONETARY POLICY ACTION*
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00284.x | Cited by: 0
Thomas Havrilesky
FINDING THE OPTIMAL MONETARY STRATEGY WITH INFORMATION CONSTRAINTS
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03022.x | Cited by: 2
Thomas Havrilesky
IS THE PORTFOLIO CONTROL OF FINANCIAL INSTITUTIONS JUSTIFIED?*
Published: 5/1962, Volume: 17, Issue: 2 | DOI: 10.1111/j.1540-6261.1962.tb04283.x | Cited by: 0
Thomas Mayer
INTEREST PAYMENTS ON REQUIRED RESERVE BALANCES*
Published: 3/1966, Volume: 21, Issue: 1 | DOI: 10.1111/j.1540-6261.1966.tb02960.x | Cited by: 0
Thomas Mayer
THE OUTLOOK FOR CORPORATE BONDS IN 1964
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00778.x | Cited by: 0
Thomas R. Atkinson
PORTFOLIO REGULATIONS OF SELECTED FINANCIAL INTERMEDIARIES: SOME PROPOSALS FOR CHANGE*
Published: 5/1962, Volume: 17, Issue: 2 | DOI: 10.1111/j.1540-6261.1962.tb04282.x | Cited by: 0
Thomas G. Gies
Liquidity Changes Following Stock Splits
Published: 3/1979, Volume: 34, Issue: 1 | DOI: 10.1111/j.1540-6261.1979.tb02075.x | Cited by: 168
THOMAS E. COPELAND
THE CORPORATE DIVIDEND DECISION: A CROSS‐SECTION STUDY OF THE RELATIONSHIP BETWEEN DIVIDENDS AND INVESTMENT*
Published: 9/1969, Volume: 24, Issue: 4 | DOI: 10.1111/j.1540-6261.1969.tb00404.x | Cited by: 0
Thomas F. Pogue
AN EVALUATION OF CREDIT CONTROL TOOLS*
Published: 3/1957, Volume: 12, Issue: 1 | DOI: 10.1111/j.1540-6261.1957.tb04108.x | Cited by: 0
Thomas Irwin Storrs
Asset Sales, Investment Opportunities, and the Use of Proceeds
Published: 2/2005, Volume: 60, Issue: 1 | DOI: 10.1111/j.1540-6261.2005.00726.x | Cited by: 177
THOMAS W. BATES
This study examines the allocation of cash proceeds following 400 subsidiary sales between 1990 and 1998. Retention probabilities are increasing in the divesting firm's contemporaneous growth opportunities and expected investment. Retaining firms, however, also systematically overinvest relative to an industry benchmark. Shareholder returns to retention decisions are positively correlated with growth opportunities and benchmarked investment, but negatively correlated with benchmarked investment for firms with poor growth opportunities. Shareholder returns to debt distributions are increasing in industry‐benchmarked leverage. Overall, the results of this study cohere with the hypothesized trade‐off between the investment efficiencies associated with retained proceeds and the agency costs of managerial discretion and debt.
A TWO‐PERIOD BALANCE SHEET MODEL FOR BANKS*
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01767.x | Cited by: 0
Thomas M. Supel
Difference Systems in Financial Futures Markets
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03611.x | Cited by: 26
THOMAS ERIC KILCOLLIN
Many financial futures markets allow substitutions for the par grade of security at delivery. Substitutes are deliverable at premiums or discounts—“differences” in commodities parlance—to the futures price. The rule that establishes these differences is called a difference system. This paper characterizes financial futures market equilibrium with yield‐based difference systems and investigates particular systems in use. The major finding is that currently used difference systems effectively limit deliverable supply in the futures markets and lead to futures prices which understate the cash market price of the par security.
INTERGOVERNMENT FISCAL RELATIONS IN TEXAS*
Published: 3/1956, Volume: 11, Issue: 1 | DOI: 10.1111/j.1540-6261.1956.tb00692.x | Cited by: 0
Thomas Ellwood McMillan
Corporate Debt and Corporate Taxes: An Extension
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03519.x | Cited by: 29
THOMAS E. CONINE
Reserve Requirements and the Structure of the CD Market: A Note*
Published: 9/1981, Volume: 36, Issue: 4 | DOI: 10.1111/j.1540-6261.1981.tb04894.x | Cited by: 0
THOMAS A. LAWLER
A PORTFOLIO THEORY OF INTERNATIONAL SHORT‐TERM CAPITAL MOVEMENTS*
Published: 12/1969, Volume: 24, Issue: 5 | DOI: 10.1111/j.1540-6261.1969.tb01716.x | Cited by: 0
Thomas D. Willett
COMPARATIVE INVESTMENT POLICY AND PERFORMANCE OF NATIONAL UNIONS' GENERAL AND SPECIAL FUNDS*
Published: 12/1965, Volume: 20, Issue: 4 | DOI: 10.1111/j.1540-6261.1965.tb02943.x | Cited by: 0
Thomas J. Kewley
THE TERM STRUCTURE OF INTEREST RATES: A TEST OF THE EXPECTATIONS HYPOTHESIS
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01848.x | Cited by: 6
Thomas F. Cargill
AN ANALYSIS OF THE DISTRIBUTION OF THE MINNESOTA PERSONAL PROPERTY TAX*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04312.x | Cited by: 0
Thomas F. Hady
FREEDOM FOR BANKS
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01811.x | Cited by: 0
Thomas I. Storrs
The Pricing of Initial Public Offerings: A Dynamic Model with Information Production
Published: 3/1993, Volume: 48, Issue: 1 | DOI: 10.1111/j.1540-6261.1993.tb04710.x | Cited by: 251
THOMAS J. CHEMMANUR
This paper presents an information‐theoretic model of IPO pricing in which insiders sell stock in both the IPO and the secondary market, have private information about their firm's prospects, and outsiders may engage in costly information production about the firm. High‐value firms, knowing they are going to pool with low‐value firms, induce outsiders to engage in information production by underpricing, which compensates outsiders for the cost of producing information. The information is reflected in the secondary market price of equity, giving a higher expected stock price for high‐value firms.
A Discrete Time Option Model Dependent on Expected Return: A Note
Published: 6/1986, Volume: 41, Issue: 2 | DOI: 10.1111/j.1540-6261.1986.tb05052.x | Cited by: 3
THOMAS J. O'BRIEN
CONSUMER SENSITIVITY TO THE PRICE OF CREDIT
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00765.x | Cited by: 4
F. Thomas Juster
Consumption Betas and Backwardation in Commodity Markets
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03653.x | Cited by: 21
THOMAS B. HAZUKA
This paper examines the relationship between commodity consumption betas and realized commodity futures contract risk premiums. A linear relationship between risk premiums and consumption betas is developed based on a consumption oriented CAPM. The parameters of this linear model are estimated using fourteen commodities.
RISK, RETURN AND THE COMPETITIVE STRUCTURE OF COMMERCIAL BANKING*
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00572.x | Cited by: 0
John Thomas Emery
FINANCIAL RISK AND THE ST. PETERSBURG PARADOX: COMMENT
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03432.x | Cited by: 0
Thomas W. Epps
THE EFFECT OF PORTFOLIO SIZE ON PORTFOLIO PERFORMANCE: AN EMPIRICAL ANALYSIS*
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01874.x | Cited by: 0
Thomas A. Ulrich
OUTLOOK FOR STATE AND LOCAL GOVERNMENT SECURITIES
Published: 5/1962, Volume: 17, Issue: 2 | DOI: 10.1111/j.1540-6261.1962.tb04276.x | Cited by: 0
Thomas R. Atkinson
The Risk‐Adjusted Cost of Financial Distress
Published: 11/28/2007, Volume: 62, Issue: 6 | DOI: 10.1111/j.1540-6261.2007.01286.x | Cited by: 320
HEITOR ALMEIDA, THOMAS PHILIPPON
Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk‐adjusted default probabilities derived from corporate bond spreads. For a BBB‐rated firm, our benchmark calculations show that the NPV of distress is 4.5% of predistress value. In contrast, a valuation that ignores risk premia generates an NPV of 1.4%. We show that marginal distress costs can be as large as the marginal tax benefits of debt derived by Graham (2000). Thus, distress risk premia can help explain why firms appear to use debt conservatively.
A Catastrophe Model of Bank Failure
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02203.x | Cited by: 21
THOMAS HO, ANTHONY SAUNDERS
Most models of bank failure have assumed that the path towards bankruptcy or insolvency is smooth and continuous. As a consequence a number of early‐warning systems have been suggested in the banking and financial literature to aid regulators in the identification of potential problem banks. However, these systems may be of little use when the path towards failure is explosive, involving a sudden crash or catastrophe. This paper seeks to examine such cases by applying the theory of catastrophes to bank failure. A model is developed to show how the interaction between bank management, regulators and depositors can induce catastrophic failure. It is argued that there is a crucial relationship between the power of regulatory intervention and depositors confidence levels which is both necessary and sufficient for catastrophe to occur. It is also argued that catastrophe appears to be more likely for large money market banks rather than small banks. Finally, some suggestions are made for regulatory policy and for further research in the area.
The Effect of Three Mile Island on Electric Utility Stock Prices: A Note
Published: 9/1983, Volume: 38, Issue: 4 | DOI: 10.1111/j.1540-6261.1983.tb02297.x | Cited by: 82
JOANNE HILL, THOMAS SCHNEEWEIS
Did Banks Pay Fair Returns to Taxpayers on TARP?
Published: 6/24/2024, Volume: 79, Issue: 5 | DOI: 10.1111/jofi.13367 | Cited by: 11
THOMAS FLANAGAN, AMIYATOSH PURNANANDAM
Financial institutions received investments under the Troubled Asset Relief Program in a bad state of the world but repaid them in a relatively good state. We show that the recipients paid considerably lower returns to taxpayers compared to private‐market securities with similar risk over the same investment horizon, resulting in a subsidy of over $50 billion on the preferred equity investment by the government. Ex‐post renegotiation of contract terms limited the upside gains received by taxpayers in good times and contributed to the subsidy. These findings have important implications for the design and implementation of future bailouts. Our simple methodology for calculating the subsidy can be applied to evaluate the financial costs of other bailouts.
The Golden Mean: The Risk‐Mitigating Effect of Combining Tournament Rewards with High‐Powered Incentives
Published: 7/23/2022, Volume: 77, Issue: 5 | DOI: 10.1111/jofi.13169 | Cited by: 3
DUNHONG JIN, THOMAS NOE
The rewards received by financial managers depend on both relative performance (e.g., fund inflows based on fund rankings, promotions based on peer comparisons) and absolute performance (e.g., bonus payments for meeting accounting targets, hedge‐fund incentive fees). Both relative and absolute performance rewards engender risk‐taking. In this paper, we show that these two sources of risk‐taking, relative and absolute performance rewards, mitigate the risk‐taking incentives produced by the other. This mutual incentive‐reduction effect generates a number of novel predictions about the relationship of managerial risk‐taking with the structure of relative and absolute performance rewards.
Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets
Published: 10/2001, Volume: 56, Issue: 5 | DOI: 10.1111/0022-1082.00384 | Cited by: 1295
James Claus, Jacob Thomas
The returns earned by U.S. equities since 1926 exceed estimates derived from theory, from other periods and markets, and from surveys of institutional investors. Rather than examine historic experience, we estimate the equity premium from the discount rate that equates market valuations with prevailing expectations of future flows. The accounting flows we project are isomorphic to projected dividends but use more available information and narrow the range of reasonable growth rates. For each year between 1985 and 1998, we find that the equity premium is around three percent (or less) in the United States and five other markets.
A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*
Published: 9/1976, Volume: 31, Issue: 4 | DOI: 10.1111/j.1540-6261.1976.tb01966.x | Cited by: 25
Thomas E. Copeland Economics
Market Response to the Weekly Money Supply Announcements in the 1970s
Published: 12/1981, Volume: 36, Issue: 5 | DOI: 10.1111/j.1540-6261.1981.tb01076.x | Cited by: 117
THOMAS URICH, PAUL WACHTEL
The hypothesis that the weekly announcement of the money supply affects interest rates is examined. The announcement effect is interpreted as a policy anticipation effect. That is, an unanticipated increase in the money supply leads to an increase in interest rates in anticipation of future tightening by the Federal Reserve. Estimates of this effect with proxies for the unanticipated change constructed from a survey of money supply forecasts and an ARIMA model indicate that: (a) financial markets respond very quickly to the announcement; and (b) the response was largest when policymakers emphasized the importance of the monetary aggregates.
Optimal Aggregation of Money Supply Forecasts: Accuracy, Profitability and Market Efficiency
Published: 6/1983, Volume: 38, Issue: 3 | DOI: 10.1111/j.1540-6261.1983.tb02497.x | Cited by: 52
STEPHEN FIGLEWSKI, THOMAS URICH
We present a general procedure for aggregating expert forecasts which exploits regularities in the structure of information within the forecaster population. Specific information structures lead to aggregation methods which adjust for additive bias, differences in individual accuracy, and correlation among forecasts. As an application, we construct composite predictions of the weekly change in the money supply from forecasts made by twenty major securities dealers, for which high positive correlation is found to be a significant characteristic. Due to instability in the information structure, our methods cannot improve on the accuracy of a simple average in this case. However, they do capture information about the correlation among money supply forecasts which is not fully impounded in short‐term interest rates. Forecasts from our models accurately predict the direction of price changes for Treasury bills and Treasury bill futures after a money supply announcement.
The Effects of Inflation and Money Supply Announcements on Interest Rates
Published: 9/1984, Volume: 39, Issue: 4 | DOI: 10.1111/j.1540-6261.1984.tb03901.x | Cited by: 71
THOMAS URICH, PAUL WACHTEL
This paper examines the impact of the money supply and inflation rate announcements on interest rates. Survey data on expectations of the money supply and consumer and producer price indexes are used to distinguish anticipated and unanticipated components of the announcements. This distinction is used to test for the efficiency of the financial market response to the announcements of new information. The results indicate that the unanticipated components of the announced changes in the Producers Price Index and in the money supply have an immediate positive effect on short‐term interest rates. The Consumer Price Index announcement has no apparent effect. There is no evidence of a delayed announcement effect. However, there is some indication of a liquidity effect of the money supply change on interest rates. This takes place when reserves are changing and several weeks prior to the information announcement.
Venture Capital and the Professionalization of Start‐Up Firms: Empirical Evidence
Published: 2/2002, Volume: 57, Issue: 1 | DOI: 10.1111/1540-6261.00419 | Cited by: 1724
Thomas Hellmann, Manju Puri
This paper examines the impact venture capital can have on the development of new firms. Using a hand‐collected data set on Silicon Valley start‐ups, we find that venture capital is related to a variety of professionalization measures, such as human resource policies, the adoption of stock option plans, and the hiring of a marketing VP. Venture‐capital‐backed companies are also more likely and faster to replace the founder with an outside CEO, both in situations that appear adversarial and those mutually agreed to. The evidence suggests that venture capitalists play roles over and beyond those of traditional financial intermediaries.