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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Inflation and Asset Returns in a Monetary Economy
Published: 09/01/1992 | DOI: 10.1111/j.1540-6261.1992.tb04660.x
DAVID A. MARSHALL
Postwar U.S. data are characterized by negative correlations between real equity returns and inflation and by positive correlations between real equity returns and money growth. These patterns are closely matched quantitatively by an equilibrium monetary asset pricing model. The model also implies negative correlations between expected asset returns and expected inflation, and it predicts that the inflation‐asset return correlation will be more strongly negative when inflation is generated by fluctuations in real economic activity than when it is generated by monetary fluctuations.
THE S.E.C. SPECIAL STUDY AND THE EXCHANGE MARKETS
Published: 05/01/1966 | DOI: 10.1111/j.1540-6261.1966.tb00230.x
David K. Eiteman
Tender Offers and Management Resistance
Published: 05/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02237.x
DAVID P. BARON
Presidential Address: Pension Policy and the Financial System
Published: 08/24/2018 | DOI: 10.1111/jofi.12710
DAVID S. SCHARFSTEIN
In this paper, I examine the effect of pension policy on the structure of financial systems around the world. In particular, I explore the hypothesis that policies that promote pension savings also promote the development of capital markets. I present a model that endogenizes the extent to which savings are intermediated through banks or capital markets, and derive implications for corporate finance, household finance, banking, and the size of the financial sector. I then present a number of facts that are broadly consistent with the theory and examine a variety of alternative explanations of my findings.
Investment Decisions Depend on Portfolio Disclosures
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00132
David K. Musto
A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This makes possible a more direct and unambiguous test for “window dressing” than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios. Cross‐sectional comparisons locate the most intense rebalancing in the worst recent performers.
A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues
Published: 09/01/1982 | DOI: 10.1111/j.1540-6261.1982.tb03591.x
DAVID P. BARON
This paper presents a theory of the demand for investment banking advising and distribution services for the case in which the investment banker is better informed about the capital market than is the issuer, and the issuer cannot observe the distribution effort expended by the banker. The optimal contract under which the offer price decision is delegated to the better‐informed banker in order to deal with the adverse selection and moral hazard problems resulting from the informational asymmetry and the observability problem is characterized. The model demonstrates a positive demand for investment banking advising and distribution services and provides an explanation of the underpricing of new issues.
FORECASTING STOCK MARKET PRICES
Published: 05/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03282.x
David A. Umstead
DISCUSSION
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03668.x
DAVID S. KIDWELL
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
Published: 07/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb03775.x
DAVID S. BATES
Transactions prices of S&P 500 futures options over 1985‐1987 are examined for evidence of expectations prior to October 1987 of an impending stock market crash. First, it is shown that out‐of‐the‐money puts became unusually expensive during the year preceding the crash. Second, a model is derived for pricing American options on jump‐diffusion processes with systematic jump risk. The jump‐diffusion parameters implicit in options prices indicate that a crash was expected and that implicit distributions were negatively skewed during October 1986 to August 1987. Both approaches indicate no strong crash fears during the 2 months immediately preceding the crash.
Chaos and Nonlinear Dynamics: Application to Financial Markets
Published: 12/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb04646.x
DAVID A. HSIEH
After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially deterministic chaotic dynamics, has increased in both the financial press and the academic literature. This has come about because the frequency of large moves in stock markets is greater than would be expected under a normal distribution. There are a number of possible explanations. A popular one is that the stock market is governed by chaotic dynamics. What exactly is chaos and how is it related to nonlinear dynamics? How does one detect chaos? Is there chaos in financial markets? Are there other explanations of the movements of financial prices other than chaos? The purpose of this paper is to explore these issues.