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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Trading Costs and Exchange Delisting: The Case of Firms that Voluntarily Move from the American Stock Exchange to the Nasdaq
Published: 04/18/2012 | DOI: 10.1111/j.1540-6261.1997.tb02753.x
PAUL CLYDE, PAUL SCHULTZ, MIR ZAMAN
We examine 47 stocks that voluntarily left the American Stock Exchange from 1992 through 1995 and listed on the Nasdaq. We find that both effective and quoted spreads increase by about 100 percent after listing on the Nasdaq. These spread changes are consistent across stocks. In contrast, excess returns are positive when firms announce a switch from The American Stock Exchange to the Nasdaq. We are unable to explain this apparent contradiction.
SOME RECENT CHANGES IN THE EURO‐DOLLAR SYST
Published: 09/01/1964 | DOI: 10.1111/j.1540-6261.1964.tb02866.x
Paul Einzig
MONEY, GROWTH, AND THE BALANCE OF PAYMENTS*
Published: 06/01/1968 | DOI: 10.1111/j.1540-6261.1968.tb00833.x
Paul Graeser
Does the Stock Market Overreact to Corporate Earnings Information?
Published: 12/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02660.x
PAUL ZAROWIN
This paper tests whether the stock market overreacts to extreme earnings, by examining firms' stock returns over the 36 months subsequent to extreme earnings years. While the poorest earners do outperform the best earners, the poorest earners are also significantly smaller than the best earners. When poor earners are matched with good earners of equal size, there is little evidence of differential performance. This suggests that size, and not investor overreaction to earnings, is responsible for the “overreaction” phenomenon, the tendency for prior period losers to outperform prior period winners in the subsequent period.
THE CANADIAN DOLLAR, 1948–57*
Published: 03/01/1960 | DOI: 10.1111/j.1540-6261.1960.tb04851.x
Paul Wonnacott
Stock Splits, Tick Size, and Sponsorship
Published: 03/31/2007 | DOI: 10.1111/0022-1082.00211
Paul Schultz
A traditional explanation for stock splits is that they increase the number of small shareholders who own the stock. A possible reason for the increase is that the minimum bid‐ask spread is wider after a split and brokers have more incentive to promote a stock. I document a large number of small buy orders following Nasdaq and NYSE/AMEX splits during 1993 to 1994. I also find strong evidence that trading costs increase, and weak evidence that costs of market making decline following splits. This is consistent with splits acting as an incentive to brokers to promote stocks.
A SUGGESTION FOR THE REVALUATION OF GOLD*
Published: 03/01/1963 | DOI: 10.1111/j.1540-6261.1963.tb01621.x
Paul Wonnacott
Calls of Warrants: Timing and Market Reaction
Published: 06/01/1993 | DOI: 10.1111/j.1540-6261.1993.tb04733.x
PAUL SCHULTZ
This paper examines the timing of, and reaction to, calls of callable warrants. Three main findings emerge. First, unlike convertible bonds or preferred stock, callable warrants are called almost as soon as possible. Second, there is a negative price reaction of about 3 percent when a call is announced. Finally, at the completion of a call, the stock price rebounds by an average of 7 percent. The total reaction from announcement through completion of the call is a positive excess return of about 4 percent.
Why Do Firms Use Incentives That Have No Incentive Effects?
Published: 11/27/2005 | DOI: 10.1111/j.1540-6261.2004.00674.x
Paul Oyer
This paper illustrates why firms might choose to implement stock option plans or other pay instruments that reward “luck.” I consider a model where adjusting compensation contracts is costly and where employees' outside opportunities are correlated with their firms' performance. The model may help to explain the use and recent rise of broad‐based stock option plans, as well as other financial instruments, even when these pay plans have no effect on employees' on‐the‐job behavior. The model suggests that agency theory's often‐overlooked participation constraint may be an important determinant of some common compensation schemes, particularly for employees below the highest executive ranks.
Optimal Contracting and Insider Trading Restrictions
Published: 06/01/1992 | DOI: 10.1111/j.1540-6261.1992.tb04405.x
PAUL E. FISCHER
Restrictions on trading by insider agents are analyzed using an optimal contracting framework. Prohibition of insider trading is shown to be Pareto preferred if, and only if, a revelation or moral hazard problem exists. If prohibition of insider trading is valuable, then trade registration with a delay is shown to be as valuable as complete prohibition. Short selling restrictions, however, are generally of less value than complete prohibition. Finally, regulation of insider agent trading by governmental institutions and/or professional associations is discussed.
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
Published: 05/08/2007 | DOI: 10.1111/j.1540-6261.2007.01232.x
PAUL C. TETLOCK
I quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical models of noise and liquidity traders, and are inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.
Discussion
Published: 05/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02249.x
PAUL HALPERN
The Choice Between Equity and Debt: An Empirical Study
Published: 03/01/1982 | DOI: 10.1111/j.1540-6261.1982.tb01099.x
PAUL MARSH
This empirical study of security issues by UK companies between 1959 and 1974 focuses on how companies select between financing instruments at a given point in time. It throws light on a number of interesting questions. First, it demonstrates that companies are heavily influenced by market conditions and the past history of security prices in choosing between debt and equity. Second, it provides evidence that companies appear to make their choice of financing instrument as if they have target levels of debt in mind. Finally, the results are consistent with the notion that these target debt levels are themselves a function of company size, bankruptcy risk, and asset composition.
Corporate Bond Trading Costs: A Peek Behind the Curtain
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00341
Paul Schultz
In this paper, I use institutional corporate bond trade data to estimate transactions costs in the over‐the‐counter bond market. I find average round‐trip trading costs to be about $0.27 per $100 of par value. Trading costs are lower for larger trades. Small institutions pay more to trade than large institutions, all else being equal. Small bond dealers charge more than large ones. I find no evidence that trading costs more for lower‐rated bonds.
Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04954.x
PAUL SCHULTZ
This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn‐of‐the‐year effect is found. This paper also extends previous authors' work on the subject to 1918–29. A January effect is found during that period.