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 Estimation of Quality‐adjusted Rates of Return in Stamp Auctions
Published: 09/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02285.x
WILLIAM M. TAYLOR
The stamp auction market exemplifies markets in which a dominant feature is the quality variation in the traded assets. The observed price changes are a mixture of the “true” price change and the quality variation. This paper applies the time series signal extraction method to obtain estimates of quality‐adjusted rates of return and quality‐adjusted price indexes for stamp auction price series. The method is applicable to other areas in which there is quality variation or in which values are observed with error. Some features of stamps as an investment are also examined.
The Seasonal Stability of the Factor Structure of Stock Returns
Published: 12/01/1987 | DOI: 10.1111/j.1540-6261.1987.tb04361.x
D. CHINHYUNG CHO, WILLIAM M. TAYLOR
This paper investigates the month‐by‐month stability of (a) daily returns and correlation coefficients of stock returns, (b) correlation and covariance matrices, (c) number of return‐generating factors, and (d) the APT pricing relationship. The results show that there is a January effect and a small‐firm effect in stock returns. Correlation matrices are more stable than covariance matrices, but both types of matrices are not stable across months and across the sample groups. The number of return‐generating factors is rather stable most of the time and for most of the sample groups, but there is some significant instability that is related to the average correlation coefficients among stocks. The APT pricing relationship does not seem to be supported by the two‐stage process using the maximum‐likelihood factor analysis.