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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Return, Risk, and Yield: Evidence from Ex Ante Data
Published: 06/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04971.x
JAMES S. ANG, DAVID R. PETERSON
The purpose of this study is to investigate the relationship between return and yield in the context of ex ante data from The Value Line Investment Survey and by examining the role of dividends as a proxy for risk. The use of ex ante data should substantially reduce the confounding of tax and information effects that has affected earlier studies. Heteroscedasticity is detected in the after‐tax CAPM and found to be negatively related to yield and positively related to beta. Maximum likelihood methods are used to correct for heteroscedasticity and generate efficient coefficient estimates. Using data for each of the years 1973 through 1983, there is an overall positive relationship between expected return and yield. However, coefficient estimates of yield are highly variable from year to year.
Implied Spot Rates as Predictors of Currency Returns: A Note
Published: 03/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb02600.x
DAVID R. PETERSON, ALAN L. TUCKER
Currency call option transactions data and the Black‐Scholes option pricing model, as modified by Merton for continuous dividends and as adapted to currency options by Biger and Hull and by Garman and Kohlhagen, are used to imply spot foreign exchange rates. The proportional deviation between implied and simultaneously observed spot rates is found to be a direct and statistically significant determinant of subsequent returns on foreign currency holdings after controlling for interest rate differentials. Further, an ex ante trading rule reveals that the additional information contained in implied rates often is sufficient to generate significant economic profits.
Stock Returns following Large One‐Day Declines: Evidence on Short‐Term Reversals and Longer‐Term Performance
Published: 03/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb04428.x
DON R. COX, DAVID R. PETERSON
We examine stock returns following large one‐day price declines and find that the bid‐ask bounce and the degree of market liquidity explain short‐term price reversals. Further, we do not find evidence consistent with the overreaction hypothesis. We observe that securities with large one‐day price declines perform poorly over an extended time horizon.
Marginal Tax Rates: Evidence from Nontaxable Corporate Bonds: A Note
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04953.x
JAMES ANG, DAVID PETERSON, PAMELA PETERSON
This study offers an alternative method of calculating marginal personal tax rates through the pairing of nontaxable (industrial development and pollution control) and taxable corporate bonds. This procedure is shown to produce matched bond pairs that are comparable. Two hundred pairs of bonds are examined from the second quarter of 1973 through the second quarter of 1983. Testing of the marginal tax rate relationships indicates that the marginal personal tax rate is less than the corporate statutory tax rate.
Shelf Registrations and Shareholder Wealth: A Comparison of Shelf and Traditional Equity Offerings
Published: 06/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb05048.x
NORMAN H. MOORE, DAVID R. PETERSON, PAMELA P. PETERSON
This study examines the effect of issuing common stock on shareholder wealth under two alternative methods of registration, shelf registration under the Securities and Exchange Commission's Rule 415 and the traditional method of registering shares for immediate sale. The stock price reactions accompanying security registrations and offerings over the period from March 1982 through November 1983 are examined for over two hundred issues. A negative price reaction is observed for traditional and shelf registrations for both utility and non‐utility issuers. No statistically significant difference is observed between shelf and traditional registrations. Further negative price reactions precede the offerings of these securities.