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 Pricing of Tax‐Exempt Bonds and the Miller Hypothesis
Published: 09/01/1982 | DOI: 10.1111/j.1540-6261.1982.tb03588.x
CHARLES TRZCINKA
This paper reports a new test of two competing theories of the relation between tax‐exempt and taxable interest rates. The Miller hypothesis predicts that the tax‐exempt rate is 52 percent of the taxable rate, while the institutional demand hypothesis predicts a volatile relationship. The tests in this paper employ a random intercept model to control for the risk of average interest rates. The results favor the Miller hypothesis. Marginal tax rates are found to be close to Miller's predicted 48 percent. The relationship is not influenced by relative demand or supply and the marginal tax rate appears stable over time.
DISCUSSION
Published: 05/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb00577.x
Charles Upton
HOW THE UNITED STATES FINANCED WORLD WAR I*
Published: 12/01/1955 | DOI: 10.1111/j.1540-6261.1955.tb01303.x
Charles Gilbert
On the Number of Factors in the Arbitrage Pricing Model
Published: 06/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb05041.x
CHARLES TRZCINKA
Recent theory has demonstrated that the Arbitrage Pricing Model with K factors critically depends on whether K eigenvalues dominate the covariance matrix of returns as the number of securities grows large. The purpose of this paper is to test whether sample covariance matrices can be characterized as having K large eigenvalues. Using all available data on the 1983 CRSP tapes, we compute sample covariance matrices of returns in sequentially larger portfolios of securities. Analyzing their eigenvalues, we find evidence that one eigenvalue dominates the covariance matrix indicating that a one‐factor model may describe security pricing. We also find that, for values of K larger than one, there is no obvious way to choose the number of factors. Nevertheless, we find that while only the first eigenvalue dominates the matrix, the first five eigenvalues are growing more distinct.
INFLATION AND RATES OF RETURN ON COMMON STOCKS
Published: 05/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb01900.x
Charles R. Nelson
DEMAND FOR SHORT TERM GOVERNMENT DEBT*
Published: 03/01/1972 | DOI: 10.1111/j.1540-6261.1972.tb00638.x
Charles I. Smith
INFLATION AND CAPITAL BUDGETING
Published: 06/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb01934.x
Charles R. Nelson
AN ANALYSIS OF THE KENTUCKY INCOME TAX*
Published: 09/01/1955 | DOI: 10.1111/j.1540-6261.1955.tb01290.x
Charles R. Lockyer
THE INFLUENCE OF GROWTH DURATION ON SHARE PRICES*
Published: 09/01/1962 | DOI: 10.1111/j.1540-6261.1962.tb04300.x
Charles C. Holt