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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The Behavior of the Interest Rate Differential Between Tax‐exempt Revenue and General Obligation Bonds: A Test of Risk Preferences and Market Segmentation

Published: 03/01/1982   |   DOI: 10.1111/j.1540-6261.1982.tb01096.x

DAVID S. KIDWELL, TIMOTHY W. KOCH*

This paper presents evidence that the yield differential between revenue bonds and similar general obligation bonds varies contracyclically with the level of economic activity. The evidence also indicates that significant investor‐borrower induced market segmentation exists in the municipal bond market. An increase in the relative demand by commercial banks for tax‐exempt securities and/or an increase in the supply of revenue bonds relative to the supply of general obligation bonds increase the yield spread between the two classes of debt. These findings were the result of a series of empirical tests with both macroeconomic and microeconomic data.


The Demand for Tax‐Exempt Securities by Financial Institutions

Published: 06/01/1980   |   DOI: 10.1111/j.1540-6261.1980.tb03494.x

PATRIC H. HENDERSHOTT, TIMOTHY W. KOCH


The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

Published: 12/01/1987   |   DOI: 10.1111/j.1540-6261.1987.tb04368.x

IRA G. KAWALLER, PAUL D. KOCH, TIMOTHY W. KOCH

This paper empirically examines the intraday price relationship between S&P 500 futures and the S&P 500 index using minute‐to‐minute data. Three‐stage least‐squares regression is used to estimate lead and lag relationships with estimates for expiration days of the S&P 500 futures compared with estimates for days prior to expiration. The results suggest that futures price movements consistently lead index movements by twenty to forty‐five minutes while movements in the index rarely affect futures beyond one minute.