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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Board Seat Accumulation by Executives: A Shareholder's Perspective
Published: 8/2005, Volume: 60, Issue: 4 | DOI: 10.1111/j.1540-6261.2005.00788.x | Cited by: 250
TOD PERRY, URS PEYER
While reformers have argued that multiple directorships for executives can destroy value, we investigate firms with executives that accept an outside directorship and find negative announcement returns only when the executive's firm has greater agency problems. When fewer agency concerns exist, additional directorships relate to increased firm value. Announcement returns are also higher when executives accept an outside directorship in a financial, high‐growth, or related‐industry firm. Our results suggest that outside directorships for executives can enhance firm value, which has important implications for firms employing executives nominated for outside boards and for policy recommendations restricting the number of directorships.
The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process
Published: 6/1982, Volume: 37, Issue: 3 | DOI: 10.1111/j.1540-6261.1982.tb02228.x | Cited by: 22
PHILIP R. PERRY
Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.
THE FEDERAL NATIONAL MORTGAGE ASSOCIATION, 1938–57*
Published: 3/1961, Volume: 16, Issue: 1 | DOI: 10.1111/j.1540-6261.1961.tb02806.x | Cited by: 0
Leonard Perry Vidger
The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity
Published: 9/1993, Volume: 48, Issue: 4 | DOI: 10.1111/j.1540-6261.1993.tb04761.x | Cited by: 19
KEVIN B. GRIER, MARK J. PERRY
Most current empirical work finds no evidence that money shocks lower interest rates. We show that these nonresults are mainly due to a failure to model the conditional heteroskedasticity of interest rates. Autoregressive conditional heteroskedasticity (ARCH) models find a significant liquidity effect where ordinary least squares (OLS) models do not. The existence of a liquidity effect is found using different models and sample periods when ARCH models are used in estimation, but never when OLS is employed.