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: 8.
Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00345
Hee‐Joon Ahn, Kee‐Hong Bae, Kalok Chan
We investigate the role of limit orders in the liquidity provision in a pure order‐driven market. Results show that market depth rises subsequent to an increase in transitory volatility, and transitory volatility declines subsequent to an increase in market depth. We also examine how transitory volatility affects the mix between limit orders and market orders. When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) orders. This result is consistent with the existence of limit‐order traders who enter the market and place orders when liquidity is needed.
Creditor Rights, Enforcement, and Bank Loans
Published: 03/13/2009 | DOI: 10.1111/j.1540-6261.2009.01450.x
KEE‐HONG BAE, VIDHAN K. GOYAL
We examine whether differences in legal protection affect the size, maturity, and interest rate spread on loans to borrowers in 48 countries. Results show that banks respond to poor enforceability of contracts by reducing loan amounts, shortening loan maturities, and increasing loan spreads. These effects are both statistically significant and economically large. While stronger creditor rights reduce spreads, they do not seem to matter for loan size and maturity. Overall, we show that variation in enforceability of contracts matters a great deal more to how loans are structured and how they are priced.
Patterns of Productivity in the Finance Literature: A Study of the Bibliometric Distributions
Published: 03/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb05095.x
KEE H. CHUNG, RAYMOND A. K. COX
This study finds a bibliometric regularity in the finance literature that the number of authors publishing n papers is about 1/nc of those publishing one paper. We find that the finance literature conforms very well to the inverse square law (c=2) if data are taken from a large collection of journals. When applied to individual finance journals, we find that values of c range from 1.95 to 3.26. We also find that top‐rated journals have higher concentrations among their contributors. This implies that the phenomenon “success breeds success” is more common in higher quality publications.
Tunneling or Value Added? Evidence from Mergers by Korean Business Groups
Published: 12/17/2002 | DOI: 10.1111/1540-6261.00510
Kee‐Hong Bae, Jun‐Koo Kang, Jin‐Mo Kim
We examine whether firms belonging to Korean business groups (chaebols) benefit from acquisitions they make or whether such acquisitions provide a way for controlling shareholders to increase their wealth by increasing the value of other group firms (tunneling). We find that when a chaebol‐affiliated firm makes an acquisition, its stock price on average falls. While minority shareholders of a chaebol‐affiliated firm making an acquisition lose, the controlling shareholder of that firm on average benefits because the acquisition enhances the value of other firms in the group. This evidence is consistent with the tunneling hypothesis.
Can the Gains from International Diversification Be Achieved without Trading Abroad?
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00182
Vihang Errunza, Ked Hogan, Mao‐Wei Hung
We examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. We use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean‐variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home‐made diversification have become statistically and economically insignificant. Finally, we show that the incremental gains from international diversification beyond home‐made diversification portfolios have diminished over time in a way consistent with changes in investment barriers.
Corporate Equity Ownership and the Governance of Product Market Relationships
Published: 05/16/2006 | DOI: 10.1111/j.1540-6261.2006.00871.x
C. EDWARD FEE, CHARLES J. HADLOCK, SHAWN THOMAS
We assemble a sample of over 10,000 customer–supplier relationships and determine whether the customer owns equity in the supplier. We find that factors related to both contractual incompleteness and financial market frictions are important in the decision of a customer firm to take an equity stake in their supplier. Evidence on the variation in the size of observed equity positions suggests that there are limits to the size of optimal ownership stakes in many relationships. Finally, we find that relationships accompanied by equity ownership last significantly longer than other relationships, suggesting that ownership aids in bonding trading parties together.