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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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.
Liquidity and Liquidation: Evidence from Real Estate Investment Trusts
Published: 03/31/2007 | DOI: 10.1111/0022-1082.00213
David T. Brown
This study provides evidence that highly leveraged owner‐managed properties liquidated assets during the commercial real estate decline of the late 1980s, and that this provided buying opportunities for better capitalized buyers. The analysis documents significant financial distress costs for highly leveraged firms during an industry‐wide downturn and shows that these costs are particularly large for owner‐managed firms.
LEGAL ASPECTS OF REVENUE BOND FINANCING*
Published: 05/01/1955 | DOI: 10.1111/j.1540-6261.1955.tb01266.x
David M. Wood
A MONETARIST MODEL OF THE MONETARY PROCESS*
Published: 05/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00506.x
David I. Fand
ON THE THEORY OF FINANCIAL INTERMEDIATION
Published: 06/01/1971 | DOI: 10.1111/j.1540-6261.1971.tb01727.x
David H. Pyle
FIRM VALUATION, CORPORATE TAXES, AND DEFAULT RISK
Published: 12/01/1975 | DOI: 10.1111/j.1540-6261.1975.tb01053.x
David P. Baron
Risk‐Based Premiums for Insurance Guaranty Funds
Published: 09/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb02607.x
J. DAVID CUMMINS
Insurance guaranty funds have been adopted in all states to compensate policyholders for losses resulting from insurance company insolvencies. The guaranty funds charge flat premium rates, usually a percentage of premiums. Flat premiums can induce insurers to adopt high‐risk strategies, a problem that can be avoided through the use of risk‐based premiums. This article develops risk‐based premium formulas for three cases: a) an ongoing insurer with stochastic assets and liabilities, b) an ongoing insurer also subject to jumps in liabilities (catastrophes), and c) a policy cohort, where claims eventually run off to zero. Premium estimates are provided and compared with actual guaranty fund assessment rates.
The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous Time
Published: 12/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02659.x
DAVID C. SHIMKO
This paper values a contingent claim to discrete stochastic cash flows generated by a Poisson arrival process with a randomly varying intensity parameter. In the most general case, both the size and the arrival intensity of cash flows may correlate wih state variables in a continuous time economy. Assuming the conditions of an intertemporal capital aset pricing model, solutions for the value of the contingent claim can be found using various techniques. The paper suggests immediate applications to the valuation of insurance contracts, the decision to build a firm with unknown future investment opportunities, and the pricing of mortgage‐backed securities.
Volatility increases Subsequent to NYSE and AMEX Stock Splits
Published: 03/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb03759.x
DAVID A. DUBOFSKY
The post‐split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks. The exchange trading location is a significant factor in explaining the volatility shift even after stock price and firm size are considered. Furthermore, when measured on a weekly basis, there is no increase in AMEX stocks' returns volatility. These results suggest that measurement errors created by bid‐ask spreads and the 1/8 effect, and also one or more of the elements that make the NYSE different from the AMEX, explain why the estimated volatility of daily stock returns increases after the ex split date.
How Crashes Develop: Intradaily Volatility and Crash Evolution
Published: 10/06/2018 | DOI: 10.1111/jofi.12732
DAVID S. BATES
This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 to 2008 can capture major daily outliers such as the 1987 stock market crash. Intradaily jumps in futures prices are typically small; self‐exciting but short‐lived volatility spikes capture intradaily and daily returns better. Multifactor models of the evolution of diffusive variance and jump intensities improve fits substantially, including out‐of‐sample over 2009 to 2016. The models capture reasonably well the conditional distributions of daily returns and realized variance outliers, but underpredict realized variance inliers. I also examine option pricing implications.
AN ECONOMIC ANALYSIS OF CREDIT UNIONS IN MICHIGAN*
Published: 12/01/1966 | DOI: 10.1111/j.1540-6261.1966.tb00285.x
David L. McKee
DISCUSSION
Published: 07/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb04595.x
DAVID K. WHITCOMB
Report of the Executive Secretary and Treasurer
Published: 11/27/2005 | DOI: 10.1111/j.1540-6261.2004.00686.x
David H. Pyle