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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DETERMINANTS OF COMMON STOCK PRICES*
Published: 12/01/1966 | DOI: 10.1111/j.1540-6261.1966.tb00282.x
Martin Jay Gruber
Another Puzzle: The Growth in Actively Managed Mutual Funds
Published: 07/01/1996 | DOI: 10.1111/j.1540-6261.1996.tb02707.x
MARTIN J. GRUBER
Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual funds have grown so fast, when their performance on average has been inferior to that of index funds. One possible explanation of why investors buy actively managed open end funds lies in the fact that they are bought and sold at net asset value, and thus management ability may not be priced. If management ability exists and it is not included in the price of open end funds, then performance should be predictable. If performance is predictable and at least some investors are aware of this, then cash flows into and out of funds should be predictable by the very same metrics that predict performance. Finally, if predictors exist and at least some investors act on these predictors in investing in mutual funds, the return on new cash flows should be better than the average return for all investors in these funds. This article presents empirical evidence on all of these issues and shows that investors in actively managed mutual funds may have been more rational than we have assumed.
A Note from the Editors
Published: 09/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02309.x
Edwin J. Elton, Martin J. Gruber
BANKRUPTCY COSTS: SOME EVIDENCE
Published: 05/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03274.x
Martin J. Gruber, Jerold B. Warner
The Structure of Spot Rates and Immunization
Published: 06/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb03708.x
EDWIN J. ELTON, MARTIN J. GRUBER, RONI MICHAELY
Empirical studies of the modern theories of bond pricing typically choose proxies for the state variables in a rather arbitrary fashion. This paper empirically analyzes the question of the optimal spot rates to use as state variables. Our findings indicate that the four‐year spot rate serves as the best proxy in the one‐state‐variable model. In the case of the two‐state‐variables model, the six‐year rate and eight‐month rate are identified as best. Tests of the out‐of‐sample prediction ability indicate that our model is superior to Macaulay's duration model and alternative proxies for state variables.
Discrete Expectational Data and Portfolio Performance
Published: 07/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04534.x
EDWIN J. ELTON, MARTIN J. GRUBER, SETH GROSSMAN
In this article we examine the information content in analysts' recommendations which are made on a five‐point buy, hold, or sell scale. Our data set includes data on 10,000 forecasts per month. Unlike most prior studies, our data set does not suffer from selection or survivorship bias. We find information in analysts' changes in recommendations. Approximately 4.5% extra return can be earned by purchasing new buys rather than new sells.