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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Search results: 4.
Informed Trading in Stock and Option Markets
Published: 11/27/2005 | DOI: 10.1111/j.1540-6261.2004.00661.x
Sugato Chakravarty, Huseyin Gulen, Stewart Mayhew
We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.
Corporate Political Contributions and Stock Returns
Published: 03/19/2010 | DOI: 10.1111/j.1540-6261.2009.01548.x
MICHAEL J. COOPER, HUSEYIN GULEN, ALEXEI V. OVTCHINNIKOV
We develop a new and comprehensive database of firm‐level contributions to U.S. political campaigns from 1979 to 2004. We construct variables that measure the extent of firm support for candidates. We find that these measures are positively and significantly correlated with the cross‐section of future returns. The effect is strongest for firms that support a greater number of candidates that hold office in the same state that the firm is based. In addition, there are stronger effects for firms whose contributions are slanted toward House candidates and Democrats.
Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows
Published: 11/10/2005 | DOI: 10.1111/j.1540-6261.2005.00818.x
MICHAEL J. COOPER, HUSEYIN GULEN, P. RAGHAVENDRA RAU
We examine whether mutual funds change their names to take advantage of current hot investment styles, and what effects these name changes have on inflows to the funds, and to the funds' subsequent returns. We find that the year after a fund changes its name to reflect a current hot style, the fund experiences an average cumulative abnormal flow of 28%, with no improvement in performance. The increase in flows is similar across funds whose holdings match the style implied by their new name and those whose holdings do not, suggesting that investors are irrationally influenced by cosmetic effects.
Asset Growth and the Cross‐Section of Stock Returns
Published: 07/19/2008 | DOI: 10.1111/j.1540-6261.2008.01370.x
MICHAEL J. COOPER, HUSEYIN GULEN, MICHAEL J. SCHILL
We test for firm‐level asset investment effects in returns by examining the cross‐sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross‐section of returns (i.e., book‐to‐market ratios, firm capitalization, lagged returns, accruals, and other growth measures), we find that a firm's annual asset growth rate emerges as an economically and statistically significant predictor of the cross‐section of U.S. stock returns.