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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DISCUSSION
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03662.x
BRADFORD CORNELL
The Weekly Pattern in Stock Returns: Cash versus Futures: A Note
Published: 06/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04975.x
BRADFORD CORNELL
This paper presents tests designed to determine whether the weekly pattern in stock returns continues after the introduction of futures trading on stock indexes and whether the pattern carries over to the futures market. Using data for the SP500, I find that the “Monday effect” does persist in the cash market, but there is no evidence of a similar pattern in the futures market.
The Investment Performance of Low‐grade Bond Funds
Published: 03/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb03744.x
BRADFORD CORNELL, KEVIN GREEN
This study extends the literature on the pricing of low‐grade bonds by examining the performance of low‐grade bond funds. The findings reveal that over the long run low‐grade bond fund returns are approximately equal to the returns provided by an index of high‐grade bonds. The relative risks of high and low‐grade bonds are more difficult to assess. Because of their shorter durations, low‐grade bonds are less sensitive to movements in interest rates than high‐grade bonds. On the other hand, low‐grade bonds are much more sensitive to changes in stock prices than high‐grade bonds. When adjusted for risk using a simple two‐factor model, the returns on low‐grade bond funds are not statistically different from the returns on high‐grade bonds.
Taxes and the Pricing of Stock Index Futures
Published: 06/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02496.x
BRADFORD CORNELL, KENNETH R. FRENCH
Stock index futures prices are generally below the level predicted by simple arbitrage models. This paper suggests that the discrepancy between the actual and predicted prices is caused by taxes. Capital gains and losses are not taxed until they are realized. As Constantinides demonstrates in a recent paper, this gives stockholders a valuable timing option. If the stock price drops, the investor can pass part of the loss on to the government by selling the stock. On the other hand, if the stock price rises, the investor can postpone the tax by not realizing the gain. Since this option is not available to stock index futures traders, the futures prices will be lower than standard no‐tax models predict.
The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence
Published: 04/18/2012 | DOI: 10.1111/j.1540-6261.1997.tb04821.x
ANTONIO E. BERNARDO, BRADFORD CORNELL
This article examines the auction of a portfolio of collateralized mortgage obligations (CMOs) to major broker dealers and institutional investors. The unique data set allows us to analyze a number of important empirical questions related to the valuation of CMOs by the bidders and the elasticity of demand for the securities. The results reveal that the valuations differ substantially implying a significant elasticity of demand.
The Reaction of Investors and Stock Prices to Insider Trading
Published: 07/01/1992 | DOI: 10.1111/j.1540-6261.1992.tb04004.x
BRADFORD CORNELL, ERIK R. SIRRI
Trading by corporate insiders and their tippees is analyzed in Anheuser‐Busch's 1982 tender offer for Campbell Taggart. Court records that identify insider transactions are used to disentangle the individual insider trades from liquidity trades. Consistent with previous studies, insider trading was found to have had a significant impact on the price' of Campbell Taggart. However, the impact of informed trading on the market is complicated. Trading volume net of insider purchases rose. Contrary to the broad implications of adverse selection models, Campbell Taggart's liquidity improved when the insiders were active in the market, and the insiders received superior execution for their orders.
Forward and Futures Prices: Evidence from the Foreign Exchange Markets
Published: 12/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb01074.x
BRADFORD CORNELL, MARC R. REINGANUM
Empirical studies of the Treasury Bill markets have revealed substantial differences between the futures price and the implied forward price. These differences have been attributed to taxes, transaction costs, and the settling up procedure employed in the futures market. This paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations.
When Is Bad News Really Bad News?
Published: 12/17/2002 | DOI: 10.1111/1540-6261.00504
Jennifer Conrad, Bradford Cornell, Wayne R. Landsman
We examine whether the price response to bad and good earnings shocks changes as the relative level of the market changes. The study is based on a complete sample of annual earnings announcements during the period 1988 to 1998. The relative level of the market is based on the difference between the current market P/E and the average market P/E over the prior 12 months. We find that the stock price response to negative earnings surprises increases as the relative level of the market rises. Furthermore, the difference between bad news and good news earnings response coefficients rises with the market.
DISCUSSION
Published: 05/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03292.x
W. Bradford Cornell, Duncan M. Ripley, Aris Protopapadakis