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Search results: 12.
DISCUSSION
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03685.x
ANDREW H. CHEN
RECENT DEVELOPMENTS IN THE COST OF DEBT CAPITAL
Published: 06/01/1978 | DOI: 10.1111/j.1540-6261.1978.tb02027.x
Andrew H. Chen
A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET
Published: 12/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00867.x
Andrew H. Y. Chen
An Economic Analysis of Interest Rate Swaps
Published: 07/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04527.x
JAMES BICKSLER, ANDREW H. CHEN
Interest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps. Alternative uses of and the appropriate valuation procedure for interest rate swaps are described.
An Analysis of Divestiture Effects Resulting from Deregulation
Published: 12/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb02527.x
ANDREW H. CHEN, LARRY J. MERVILLE
Capital market data were used to examine the divestiture effects pertaining to deregulation, the dropping of antitrust charges, and the reversing of the co‐insurance effect associated with the recent breakup of AT&T. The empirical results of the study indicate that significant economic events took place during the breakup process, which led to transfers of wealth from various parties to the securityholders of AT&T. The results also indicate that the buffering effect of regulation was reduced as AT&T went through the total deregulation process. This is in accordance with Peltzman's prediction.
Joint Effects of Interest Rate Deregulation and Capital Requirements on Optimal Bank Portfolio Adjustments
Published: 06/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04973.x
CHUN H. LAM, ANDREW H. CHEN
The 1980 Depository Institution Deregulation and Monetary Control Act (DIDMCA) mandates that Regulation Q be phased out by 1986. With deregulation of interest rate ceilings, the cost of raising capital funds for commercial banks would become more volatile and more closely related with interest rates in the money and capital markets. Thus, value‐maximizing bank managers would need to be concerned not only with the internal risk, but also with the external risk in bank portfolio management decisions. Based upon the cash flow version of the capital asset pricing model, this paper analyzes the joint impact of interest rate deregulation and capital requirements on the portfolio behavior of a banking firm.
The Integration of Insurance and Taxes in Corporate Pension Strategy
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb05022.x
JAMES L. BICKSLER, ANDREW H. CHEN
This paper examines the implications of the joint effects of insurance and taxes for the optimal corporate pension strategy. It is shown that neither the “mini‐max” nor the “maxi‐min” strategy advocated by previous authors is necessarily best in corporate pension management. In the presence of capital market imperfections, the analysis via a single‐period contingent‐claims model indicates that optimal corporate pension strategy in both asset‐allocation and funding decisions can be a noncorner interior solution.
Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital*
Published: 03/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb03534.x
STEPHEN A. BUSER, ANDREW H. CHEN, EDWARD J. KANE
This paper seeks to explain the combination of explicit and implicit pricing for deposit insurance employed by the FDIC. Essentially, the FDIC sells two products—insurance and regulation. To span the product space, it must and does set two prices. We argue that the need to establish regulatory disincentives to bank risk‐taking is the heart of the controversy over the adequacy of bank capital and that the ability to close risky banks before exhausting their charter value (i.e., the value of their right to continue in business) stands at the center of these disincentives and in front of the FDIC's insurance reserves.