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: 05/01/1973 | DOI: 10.1111/j.1540-6261.1973.tb01795.x
David J. Ott
DISCUSSION
Published: 05/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb01913.x
David H. Downes
DISCUSSION
Published: 05/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb00464.x
DAVID P. SEIDERS
Expectations and the Treasury Bill‐Federal Funds Rate Spread over Recent Monetary Policy Regimes
Published: 06/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb03703.x
DAVID P. SIMON
This paper shows that the spread between the 3–month Treasury bill and the federal funds rate has significant predictive power for the future change in the federal funds rate during the volatile nonborrowed reserves operating regime, but it has less and no predictive power during the borrowed reserves regime and the federal funds targeting regime, respectively. These findings suggest that Treasury bill rates forecast future federal funds rates most accurately when the Federal Reserve follows a well‐defined rule that does not smooth the impact of shocks on the federal funds rate.
Minutes of the Annual Membership Meeting,
Published: 11/27/2005 | DOI: 10.1111/j.1540-6261.2004.00685.x
David H. Pyle
DISCUSSION
Published: 05/01/1972 | DOI: 10.1111/j.1540-6261.1972.tb00981.x
Robert M. Coen, Martin David
The Investment Banking Contract For New Issues Under Asymmetric Information: Delegation And The Incentive Problem
Published: 12/01/1980 | DOI: 10.1111/j.1540-6261.1980.tb02199.x
DAVID P. BARON, BENGT HOLMSTRÖM
In placing a new security issue, an investment banker has an opportunity to obtain private information by conducting preselling activities during the registration period. The task of the issuer is to design a contract that both induces the banker to use this information to the issuer's advantage and provides a disincentive for the banker to price the issue too low in order to reduce the effort required to sell the issue. This paper characterizes the class of price response functions that the issuer can induce the banker to choose under a delegation scheme and demonstrates that delegating the pricing decision to the banker can be optimal.
Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange
Published: 12/01/1982 | DOI: 10.1111/j.1540-6261.1982.tb03612.x
DAVID A. HSIEH, NALIN KULATILAKA
This paper tests whether forward prices equal the traders' expectations of the future spot prices at maturity, under two different models of expectations formation: full information rational expectations and incomplete information mechanical forecasting rule. The tests are performed, over the period January 1970 through September 1980, on the forward markets for the primary metals—copper, tin, lead, and zinc‐traded in the London Metals Exchange. We find evidence consistent with the existence of time varying risk premia.
A Theory of Workouts and the Effects of Reorganization Law*
Published: 09/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb04615.x
ROBERT GERTNER, DAVID SCHARFSTEIN
We present a model of a financially distressed firm with outstanding bank debt and public debt. Coordination problems among public debtholders introduce investment inefficiencies in the workout process. In most cases, these inefficiencies are not mitigated by the ability of firms to buy back their public debt with cash and other securities‐the only feasible way that firms can restructure their public debt. We show that Chapter 11 reorganization law increases investment, and we characterize the types of corporate financial structures for which this increased investment enhances efficiency.
CEO Involvement in the Selection of New Board Members: An Empirical Analysis
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00168
Anil Shivdasani, David Yermack
We study whether CEO involvement in the selection of new directors influences the nature of appointments to the board. When the CEO serves on the nominating committee or no nominating committee exists, firms appoint fewer independent outside directors and more gray outsiders with conflicts of interest. Stock price reactions to independent director appointments are significantly lower when the CEO is involved in director selection. Our evidence may illuminate a mechanism used by CEOs to reduce pressure from active monitoring, and we find a recent trend of companies removing CEOs from involvement in director selection.
Information Asymmetry, R&D, and Insider Gains
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00305
David Aboody, Baruch Lev
Although researchers have documented gains from insider trading, the sources of private information leading to information asymmetry and insider gains have not been comprehensively investigated. We focus on research and development (R&D)—an increasingly important yet poorly disclosed productive input—as a potential source of insider gains. Our findings, for the period from 1985 to 1997 indicate that insider gains in R&D‐intensive firms are substantially larger than insider gains in firms without R&D. Insiders also take advantage of information on planned changes in R&D budgets. R&D is thus a major contributor to information asymmetry and insider gains, raising issues concerning management compensation, incentives, and disclosure policies.
Bookbuilding: How Informative Is the Order Book?
Published: 07/15/2003 | DOI: 10.1111/1540-6261.00572
Francesca Cornelli, David Goldreich
We examine the institutional bids submitted under the bookbuilding procedure for a sample of international equity issues. We find that information in bids which include a limit price, especially those of large and frequent bidders, affects the issue price. Oversubscription has a smaller but significant effect for IPOs. Public information affects the issue price to the extent that it is reflected in the bids. Oversubscription and demand elasticity are positively correlated with the first‐day aftermarket return, and demand elasticity is negatively correlated with aftermarket volatility. Our results support the view that bookbuilding is designed to extract information from investors.
The American Put Option and Its Critical Stock Price
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00289
David S. Bunch, Herb Johnson
We derive an expression for the critical stock price for the American put. We start by expressing the put price as an integral involving first‐passage probabilities. This approach yields intuition for Merton's result for the perpetual put. We then consider the finite‐lived case. Using (1) the fact that the put value ceases to depend on time when the critical stock price is reached and (2) the result that an American put equals a European put plus an early‐exercise premium, we derive the critical stock price. We approximate the critical‐stock‐price function to compute accurate put prices.