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: 07/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04535.x
DENNIS E. LOGUE
DISCUSSION
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb05021.x
DENNIS E. LOGUE
Term Premia on Euro Rates
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03665.x
DENNIS E. LOGUE, RICHARD JAMES SWEENEY
Arbitrage Pricing Theory and Utility Stock Returns
Published: 09/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03891.x
DOROTHY H. BOWER, RICHARD S. BOWER, DENNIS E. LOGUE
This paper presents some new evidence that Arbitrage Pricing Theory may lead to different and better estimates of expected return than the Capital Asset Pricing Model, particularly in the case of utility stock returns. Results for monthly portfolio returns for 1971–1979 lead to the conclusion that regulators should not adopt the single‐factor risk approach of the CAPM as the principal measure of risk, but give greater weight to APT, whose multiple factors provide a better indication of asset risk and a better estimate of expected return.
The Total Cost of Transactions on the NYSE
Published: 03/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb02591.x
STEPHEN A. BERKOWITZ, DENNIS E. LOGUE, EUGENE A. NOSER
This paper develops a measure of execution costs (market impact) of transactions on the NYSE. The measure is the volume‐weighted average price over the trading day. It yields results that are less biased than measures that use single prices, such as closes. The paper then applies this measure to a data set containing more than 14,000 actual trades. We show that total transaction costs, commission plus market impact costs, average twenty‐three basis points of principal value for our sample. Commission costs, averaging eighteen basis points, are considerably higher than execution costs, which average five basis points. They vary slightly across brokers and significantly across money managers. Though brokers do not incur consistently high or low transaction costs, money managers experience persistently high or lost costs. Finally, the paper explores the possible tradeoff between commission expenditures and market impact costs. Paying higher commissions does not yield commensurately lower execution costs, even after adjusting for trade difficulty. We cannot determine whether other valuable brokerage services are being purchased with higher commission payments or whether some money managers really are inefficient consumers of brokerage trading services.