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.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 50.
A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability
Published: 12/1991, Volume: 46, Issue: 5 | DOI: 10.1111/j.1540-6261.1991.tb04644.x | Cited by: 110
Y. PETER CHUNG
This paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for The Chicago Board of Trade's Major Market Index contracts. The spot value of the index is computed with transactions prices for the component shares of the index obtained from the Fitch database. The tests account for transaction costs, execution lags, and the uptick rule for short sales of stocks. Results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time.
Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence
Published: 12/2000, Volume: 55, Issue: 6 | DOI: 10.1111/0022-1082.00303 | Cited by: 46
Warren Bailey, Kalok Chan, Y. Peter Chung
We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed‐end country funds during the 1994 Mexican peso crisis. Peso exchange‐rate changes affect prices and trading volumes of Latin American equities, and some closed‐end fund behavior is consistent with “noise trader” theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell‐off of non‐Mexican securities or that other non‐Mexican trading patterns change at times of high peso news flow. Thus, the “Tequila Effect” is largely confined to price changes.
Why Option Prices Lag Stock Prices: A Trading‐based Explanation
Published: 12/1993, Volume: 48, Issue: 5 | DOI: 10.1111/j.1540-6261.1993.tb05136.x | Cited by: 121
KALOK CHAN, Y. PETER CHUNG, HERB JOHNSON
While many studies find that option prices lead stock prices, Stephan and Whaley (1990) find that stocks lead options. We find no evidence that options, even deep out‐of‐the‐money options, lead stocks. After confirming Stephan and Whaley's results, we show their results can be explained as spurious leads induced by infrequent trading of options. We show that the stock lead disappears when the average of the bid and ask prices is used instead of transaction prices. Hence, we find no evidence of arbitrage opportunities associated with the stock lead.
Investor Protection and Firm Liquidity
Published: 3/21/2003, Volume: 58, Issue: 2 | DOI: 10.1111/1540-6261.00551 | Cited by: 205
Paul Brockman, Dennis Y. Chung
The purpose of this study is to investigate the relation between investor protection and firm liquidity. We posit that less protective environments lead to wider bid‐ask spreads and thinner depths because they fail to minimize information asymmetries. The Hong Kong equity market provides a unique opportunity to compare liquidity costs across distinct investor protection environments, but still within a common trading mechanism and currency. Our empirical findings verify that firm liquidity is significantly affected by investor protection. Regression and matched‐sample results show that Hong Kong‐based equities exhibit narrower spreads and thicker depths than their China‐based counterparts.
Patterns of Productivity in the Finance Literature: A Study of the Bibliometric Distributions
Published: 3/1990, Volume: 45, Issue: 1 | DOI: 10.1111/j.1540-6261.1990.tb05095.x | Cited by: 106
KEE H. CHUNG, RAYMOND A. K. COX
This study finds a bibliometric regularity in the finance literature that the number of authors publishing n papers is about of those publishing one paper. We find that the finance literature conforms very well to the inverse square law if data are taken from a large collection of journals. When applied to individual finance journals, we find that values of c range from 1.95 to 3.26. We also find that top‐rated journals have higher concentrations among their contributors. This implies that the phenomenon “success breeds success” is more common in higher quality publications.
A THEORY OF OPTIMAL LIFE INSURANCE: DEVELOPMENT AND TESTS
Published: 6/1973, Volume: 28, Issue: 3 | DOI: 10.1111/j.1540-6261.1973.tb01381.x | Cited by: 17
Peter Fortune
The Valuation of Sequential Exchange Opportunities
Published: 12/1988, Volume: 43, Issue: 5 | DOI: 10.1111/j.1540-6261.1988.tb03967.x | Cited by: 180
PETER CARR
Sequential exchange opportunities are valued using the techniques of modern option‐pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented.
A Note on the Pricing of Commodity‐Linked Bonds
Published: 9/1987, Volume: 42, Issue: 4 | DOI: 10.1111/j.1540-6261.1987.tb03928.x | Cited by: 13
PETER CARR
ANALYSIS OF THE LEASE‐OR‐BUY DECISION: COMMENT
Published: 9/1973, Volume: 28, Issue: 4 | DOI: 10.1111/j.1540-6261.1973.tb01425.x | Cited by: 2
Peter Lusztig
CALL FOR PAPERS FOR THE SEVENTH ANNUAL MEETING OF THE EUROPEAN FINANCE ASSOCIATION (EFA)
Published: 3/1980, Volume: 35, Issue: 1 | DOI: 10.1111/j.1540-6261.1980.tb03487.x | Cited by: 0
Peter Swoboda
The Effect of SOX Section 404: Costs, Earnings Quality, and Stock Prices
Published: 5/7/2010, Volume: 65, Issue: 3 | DOI: 10.1111/j.1540-6261.2010.01564.x | Cited by: 442
PETER ILIEV
This paper exploits a natural quasi‐experiment to isolate the effects that were uniquely due to the Sarbanes–Oxley Act (SOX): U.S. firms with a public float under $75 million could delay Section 404 compliance, and foreign firms under $700 million could delay the auditor's attestation requirement. As designed, Section 404 led to conservative reported earnings, but also imposed real costs. On net, SOX compliance reduced the market value of small firms.
REPLY
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01868.x | Cited by: 0
Peter Fortune
The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry
Published: 6/1998, Volume: 53, Issue: 3 | DOI: 10.1111/0022-1082.00042 | Cited by: 197
Peter Tufano
This paper studies the exposure of North American gold mining firms to changes in the price of gold. The average mining stock moves 2 percent for each 1 percent change in gold prices, but exposures vary considerably over time and across firms. As predicted by valuation models, gold firm exposures are significantly negatively related to the firm's hedging and diversification activities and to gold prices and gold return volatility, and are positively related to firm leverage. Simple discounted cash flow models produce useful exposure predictions but they systematically overestimate exposures, possibly due to their failure to reflect managerial flexibility.
DEPOSIT‐RUN MODEL OF MEMBER BANK BORROWINGS*
Published: 6/1970, Volume: 25, Issue: 3 | DOI: 10.1111/j.1540-6261.1970.tb00540.x | Cited by: 0
Peter Formuzis
Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry
Published: 9/1996, Volume: 51, Issue: 4 | DOI: 10.1111/j.1540-6261.1996.tb04064.x | Cited by: 1014
PETER TUFANO
This article examines a new database that details corporate risk management activity in the North American gold mining industry. I find little empirical support for the predictive power of theories that view risk management as a means to maximize shareholder value. However, firms whose managers hold more options manage less gold price risk, and firms whose managers hold more stock manage more gold price risk, suggesting that managerial risk aversion may affect corporate risk management policy. Further, risk management is negatively associated with the tenure of firms' CFOs, perhaps reflecting managerial interests, skills, or preferences.
THE EFFECT OF FHLB BOND OPERATIONS ON SAVINGS INFLOWS AT SAVINGS AND LOAN ASSOCIATIONS: COMMENT
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01939.x | Cited by: 5
Peter Fortune
The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment
Published: 5/11/2016, Volume: 71, Issue: 3 | DOI: 10.1111/jofi.12312 | Cited by: 70
PETER KOUDIJS
What explains short‐term fluctuations of stock prices? This paper exploits a natural experiment from the 18 century in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence suggests that this was largely the result of the revelation of (long‐lived) private information and the (transitory) impact of uninformed liquidity trades on intermediaries' risk premia.
PREREQUISITES FOR THE GROWTH OF CONSUMER INSTALMENT CREDIT
Published: 5/1958, Volume: 13, Issue: 2 | DOI: 10.1111/j.1540-6261.1958.tb04187.x | Cited by: 1
Peter G. Fousek
On The Predictability of Corporate Earnings Per Share Behavior
Published: 3/1980, Volume: 35, Issue: 1 | DOI: 10.1111/j.1540-6261.1980.tb03467.x | Cited by: 20
PETER D. CHANT
COMPONENTS OF A MEASUREMENT MODEL: RATE OF RETURN, RISK, AND TIMING
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00802.x | Cited by: 18
Peter O. Dietz
RESERVE SETTLEMENT PERIODS OF MEMBER BANKS: COMMENT
Published: 3/1964, Volume: 19, Issue: 1 | DOI: 10.1111/j.1540-6261.1964.tb00747.x | Cited by: 1
Peter D. Sternlight
DISCUSSION
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00903.x | Cited by: 0
Peter L. Bernstein
MEMBER BANK RESERVE SETTLEMENT PERIODS: A FURTHER COMMENT
Published: 9/1964, Volume: 19, Issue: 3 | DOI: 10.1111/j.1540-6261.1964.tb02872.x | Cited by: 0
Peter D. Sternlight
On Option Pricing Bounds
Published: 9/1985, Volume: 40, Issue: 4 | DOI: 10.1111/j.1540-6261.1985.tb02373.x | Cited by: 109
PETER H. RITCHKEN
The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a single‐period model with option bounds derived using linear programming. It is shown that the upper bounds are identical but that the lower bounds are different. A comparison of these bounds, together with Merton's bounds and the Black‐Scholes prices in a lognormal securities market, is presented.
COMPANY CONTRIBUTIONS TO DISCRETIONARY PROFIT‐SHARING PLANS: COMMENT
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01945.x | Cited by: 1
ULF PETER WELAM
THE EFFECTS ON MONETARY POLICY OF RISING COSTS IN COMMERCIAL BANKS*
Published: 3/1963, Volume: 18, Issue: 1 | DOI: 10.1111/j.1540-6261.1963.tb01620.x | Cited by: 0
H. Peter Gray
Common Stock Offerings and Earnings Expectations: A Test of the Release of Unfavorable Information
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04668.x | Cited by: 88
PETER ALAN BROUS
This paper examines the revisions of analysts' forecasts of future earnings around announcements of common stock offerings. The forecasts of the current year earnings are, on average, decreased when firms announce plans to issue additional common stock. The size of the decrease is significantly related to announcement period abnormal stock returns. In contrast, forecasts of the five‐year growth rate of earnings are, on average, unchanged. We interpret these results as being consistent with the claim that equity offering announcements convey unfavorable information regarding the firm's short‐term but not its long‐term earnings prospects.
CIGARETTES AS CURRENCY
Published: 9/1951, Volume: 6, Issue: 3 | DOI: 10.1111/j.1540-6261.1951.tb04473.x | Cited by: 2
Peter R. Senn
BANKS' DEMAND FOR EXCESS RESERVES*
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00831.x | Cited by: 0
Peter A. Frost
Presidential Address: Collateral and Commitment
Published: 7/15/2019, Volume: 74, Issue: 4 | DOI: 10.1111/jofi.12782 | Cited by: 87
PETER M. DEMARZO
Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade‐off setting with shareholder‐debtholder agency conflicts, full commitment counterfactually predicts the firm would rely almost exclusively on debt financing. Conversely, absent commitment a Modigliani‐Miller‐like value irrelevance and policy indeterminacy result holds. Thus, the content of dynamic trade‐off theory must depend on the commitment technology. In this context, collateral is valuable as a low‐cost commitment device. Because ex ante optimal commitments are likely to be suboptimal ex post, observed capital structure dynamics will exhibit hysteresis and depart significantly from standard predictions.
DETERMINANTS OF THE AGGREGATE PROFIT MARGIN: COMMENT
Published: 3/1976, Volume: 31, Issue: 1 | DOI: 10.1111/j.1540-6261.1976.tb03209.x | Cited by: 0
H. Peter Gray
Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices
Published: 4/2000, Volume: 55, Issue: 2 | DOI: 10.1111/0022-1082.00219 | Cited by: 853
Peter Blair Henry
A stock market liberalization is a decision by a country's government to allow foreigners to purchase shares in that country's stock market. On average, a country's aggregate equity price index experiences abnormal returns of 3.3 percent per month in real dollar terms during an eight‐month window leading up to the implementation of its initial stock market liberalization. This result is consistent with the prediction of standard international asset pricing models that stock market liberalization may reduce the liberalizing country's cost of equity capital by allowing for risk sharing between domestic and foreign agents.
FOREIGN CENTRAL BANKING, 1946–1957: THE INSTRUMENTS AND EFFECTIVENESS OF MONETARY POLICY*
Published: 12/1960, Volume: 15, Issue: 4 | DOI: 10.1111/j.1540-6261.1960.tb02773.x | Cited by: 0
Peter G. Fousek
“THE PAYMENTS IMPACT OF FOREIGN INVESTMENT CONTROLS: REPLY.”
Published: 12/1976, Volume: 31, Issue: 5 | DOI: 10.1111/j.1540-6261.1976.tb03230.x | Cited by: 0
Peter H. Lindert
SOME EVIDENCE ON TWO IMPLICATIONS OF HIGHER INTEREST‐RATES ON TIME DEPOSITS
Published: 3/1964, Volume: 19, Issue: 1 | DOI: 10.1111/j.1540-6261.1964.tb00745.x | Cited by: 6
H. Peter Gray
THE PORTFOLIO BEHAVIOUR OF SELECTED CANADIAN FINANCIAL INTERMEDIARIES: AN ECONOMETRIC ANALYSIS
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01369.x | Cited by: 0
Peter G. Kirkham
EVALUATING THE INVESTMENT PERFORMANCE OF NONINSURED PENSION FUNDS*
Published: 12/1965, Volume: 20, Issue: 4 | DOI: 10.1111/j.1540-6261.1965.tb02942.x | Cited by: 0
Peter O. Dietz
BANKING SERVICES, MINIMUM CASH BALANCES, AND THE FIRM'S DEMAND FOR MONEY
Published: 12/1970, Volume: 25, Issue: 5 | DOI: 10.1111/j.1540-6261.1970.tb00866.x | Cited by: 8
Peter A. Frost
ON THE METHODOLOGY OF TESTING FOR INDEPENDENCE IN FUTURE PRICES: COMMENT
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01942.x | Cited by: 11
Peter D. Praetz
COMPENSATORY CYCLICAL BANK ASSET ADJUSTMENTS: COMMENT
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04338.x | Cited by: 0
H. Peter Gray
Testing for a Flat Spectrum on Efficient Market Price Data
Published: 6/1979, Volume: 34, Issue: 3 | DOI: 10.1111/j.1540-6261.1979.tb02131.x | Cited by: 21
PETER D. PRAETZ
Is Disinflation Good for the Stock Market?
Published: 8/2002, Volume: 57, Issue: 4 | DOI: 10.1111/1540-6261.00473 | Cited by: 24
Peter Blair Henry
The stock market appreciates by an average of 24 percent in real dollar terms when countries attempt to stabilize annual inflation rates that are greater than 40 percent. In contrast, the average market response is 0 when the prestabilization rate of inflation is less than 40 percent. These results suggest that the potential long‐run benefits of stabilization may dominate shortrun costs at high levels of inflation, but at low to moderate levels of inflation, benefits may be offset by costs in a present value sense. Stock market responses also help predict the change in inflation and output in the year following all 81 stabilization efforts.
THE PAYMENTS IMPACT OF FOREIGN INVESTMENT CONTROLS
Published: 12/1971, Volume: 26, Issue: 5 | DOI: 10.1111/j.1540-6261.1971.tb01750.x | Cited by: 6
Peter H. Lindert
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05005.x | Cited by: 2
PETER L. BERNSTEIN
INFORMATION EXCHANGE IN SECURITY MARKETS AND THE ASSUMPTION OF “HOMOGENEOUS BELIEFS”*
Published: 9/1974, Volume: 29, Issue: 4 | DOI: 10.1111/j.1540-6261.1974.tb03099.x | Cited by: 0
Peter S. Albin
UNITED STATES CREDIT POLICY IN THE 1954–57 PERIOD*
Published: 3/1961, Volume: 16, Issue: 1 | DOI: 10.1111/j.1540-6261.1961.tb02800.x | Cited by: 0
Peter D. Sternlight
HIGHER INTEREST RATES ON TIME DEPOSITS: REPLY
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00187.x | Cited by: 0
H. Peter Gray
RATES OF RETURN ON FILTER TESTS
Published: 3/1976, Volume: 31, Issue: 1 | DOI: 10.1111/j.1540-6261.1976.tb03197.x | Cited by: 11
Peter D. Praetz
A STUDY OF BANK MERGERS IN MARION COUNTY, INDIANA, 1945 TO 1960*
Published: 3/1968, Volume: 23, Issue: 1 | DOI: 10.1111/j.1540-6261.1968.tb03008.x | Cited by: 0
Peter W. Bacon