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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DEBT AND TAXES*
Published: 05/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03267.x
Merton H. Miller
Leverage
Published: 06/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb02670.x
MERTON H. MILLER
Nobel Memorial Prize Lecture for presentation at the Royal Swedish Academy of Sciences in Stockholm, December 7, 1990. Helpful comments on an earlier draft were made by my colleagues Steven Kaplan and Robert Vishny.
Dividend Policy under Asymmetric Information
Published: 09/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb02362.x
MERTON H. MILLER, KEVIN ROCK
We extend the standard finance model of the firm's dividend/investment/financing decisions by allowing the firm's managers to know more than outside investors about the true state of the firm's current earnings. The extension endogenizes the dividend (and financing) announcement effects amply documented in recent research. But once trading of shares is admitted to the model along with asymmetric information, the familiar Fisherian criterion for optimal investment becomes time inconsistent: the market's belief that the firm is following the Fisher rule creates incentives to violate the rule.
The Pricing of Oil and Gas: Some Further Results
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb05030.x
MERTON H. MILLER, CHARLES W. UPTON
The Hotelling Valuation Principle (HVP) implies that the unit value of an exhaustible natural resource can be written as a function of its current price, net of extraction costs; other variables such as interest rates have no additional explanatory power. The results of earlier tests using data from 1979–1981 strongly support the HVP. This paper presents a series of follow‐up tests using time‐series cross‐section data covering the period August 1981 to December 1983. Because the variance of petroleum prices in this period was substantially less than in the earlier period, the follow‐up sample proved generally noninformative. The sample also contains some observations on oil and gas royalty trusts. Tests of the HVP using these trust data yielded generally satisfactory results, although—given the limited sample size—the results must be viewed with caution.
Liquidity and Market Structure
Published: 07/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb04594.x
SANFORD J. GROSSMAN, MERTON H. MILLER
Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period between the arrival of final buyers and sellers. In the long run the number of market makers adjusts to equate the supply and demand for immediacy. This determines the equilibrium level of liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity.
Margin Regulation and Stock Market Volatility
Published: 03/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb05078.x
DAVID A. HSIEH, MERTON H. MILLER
Using daily and monthly stock returns we find no convincing evidence that Federal Reserve margin requirements have served to dampen stock market volatility. The contrary conclusion, expressed in recent papers by Hardouvelis (1988a, b), is traced to flaws in his test design. We do detect the expected negative relation between margin requirements and the amount of margin credit outstanding. We also confirm the recent finding by Schwert (1988) that changes in margin requirements by the Fed have tended to follow rather than lead changes in market volatility.
DISCUSSION
Published: 05/01/1972 | DOI: 10.1111/j.1540-6261.1972.tb00960.x
Merton H. Miller, William Poole, Alvin Marty
A Rejoinder
Published: 06/01/1993 | DOI: 10.1111/j.1540-6261.1993.tb04743.x
Nai‐Fu Chen, Raymond Kan, Merton H. Miller
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?
Published: 06/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb05149.x
MERTON H. MILLER, JAYARAM MUTHUSWAMY, ROBERT E. WHALEY
Mean reversion in stock index basis changes has been presumed to be driven by the trading activity of stock index arbitragers. We propose here instead that the observed negative autocorrelation in basis changes is mainly a statistical illusion, arising because many stocks in the index portfolio trade infrequently. Even without formal arbitrage, reported basis changes would appear negatively autocorrelated as lagging stocks eventually trade and get updated. The implications of this study go beyond index arbitrage, however. Our analysis suggests that spurious elements may creep in whenever the price‐change or return series of two securities or portfolios of securities are differenced.
DISCUSSION
Published: 05/01/1963 | DOI: 10.1111/j.1540-6261.1963.tb00726.x
Herbert E. Dougall, Merton H. Miller, Robert F. Vandell