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.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 85. Page: 2
Go to:
<<Previous 1 2 3 4 5 Next>>
Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers
Published: 03/09/2006 | DOI: 10.1111/j.1540-6261.2006.00858.x
YANBO JIN, PHILIPPE JORION
This paper studies the hedging activities of 119 U.S. oil and gas producers from 1998 to 2001 and evaluates their effect on firm value. Theories of hedging based on market imperfections imply that hedging should increase the firm's market value (MV). To test this hypothesis, we collect detailed information on the extent of hedging and on the valuation of oil and gas reserves. We verify that hedging reduces the firm's stock price sensitivity to oil and gas prices. Contrary to previous studies, however, we find that hedging does not seem to affect MVs for this industry.
Predicting Volatility in the Foreign Exchange Market
Published: 06/01/1995 | DOI: 10.1111/j.1540-6261.1995.tb04793.x
PHILIPPE JORION
Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. In this article, we examine the information content and predictive power of implied standard deviations (ISDs) derived from Chicago Mercantile Exchange options on foreign currency futures. The article finds that statistical time‐series models, even when given the advantage of “ex post” parameter estimates, are outperformed by ISDs. ISDs, however, also appear to be biased volatility forecasts. Using simulations to investigate the robustness of these results, the article finds that measurement errors and statistical problems can substantially distort inferences. Even accounting for these, however, ISDs appear to be too variable relative to future volatility.
Bank and Nonbank Financial Intermediation
Published: 11/27/2005 | DOI: 10.1111/j.1540-6261.2004.00707.x
PHILIP BOND
Conglomerates, trade credit arrangements, and banks are all instances of financial intermediation. However, these institutions differ significantly in the extent to which the projects financed absorb aggregate intermediary risk, in whether or not intermediation is carried out by a financial specialist, in the type of projects they fund and in the type of claims they issue to investors. The paper develops a simple unified model that both accounts for the continued coexistence of these different forms of intermediation, and explains why they differ. Specific applications to conglomerate firms, trade credit, and banking are discussed.
Purchasing Power Parity in the Long Run
Published: 03/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb05085.x
NISO ABUAF, PHILIPPE JORION
This paper re‐examines the evidence on Purchasing Power Parity (PPP) in the long run. Previous studies have generally been unable to reject the hypothesis that the real exchange rate follows a random walk. If true, this implies that PPP does not hold. In contrast, this paper casts serious doubt on this random walk hypothesis. The results follow from more powerful estimation techniques, applied in a multilateral framework. Deviations from PPP, while substantial in the short run, appear to take about three years to be reduced in half.
Bustup Takeovers of Value‐Destroying Diversified Firms
Published: 09/01/1996 | DOI: 10.1111/j.1540-6261.1996.tb04066.x
PHILIP G. BERGER, ELI OFEK
We examine whether the value loss from diversification affects takeover and breakup probabilities. We estimate diversification's value effect by imputing stand‐alone values for individual business segments and find that firms with greater value losses are more likely to be taken over. Moreover, those acquired firms whose losses are greatest are most likely to be bought by LBO associations, which frequently break up their targets. For a subsample of large diversified targets: (1) higher value losses increase the extent of post‐takeover bustup; and (2) post‐takeover bustup generally results in divested divisions being operated as part of a focused, stand‐alone firm.
Tax Clienteles and Asset Pricing
Published: 07/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04540.x
PHILIP H. DYBVIG, STEPHEN A. ROSS
Taxation of asset returns can create various clientele effects. If every agent is marginal on all assets, no clientele effects arise. If some (but not every) agent is marginal on all assets, there arises a clientele effect in quantities but none in prices. If no agent is marginal on all assets, there arise clientele effects in both quantities and prices. In the first two cases, standard asset pricing and martingale results extend to analogous aftertax results. In the third case, linear asset pricing works only on subsets of assets, and the standard martingale results become after‐tax supermartingale results.
Credit Contagion from Counterparty Risk
Published: 09/28/2009 | DOI: 10.1111/j.1540-6261.2009.01494.x
PHILIPPE JORION, GAIYAN ZHANG
Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity returns and increases in CDS spreads for creditors. In addition, creditors with large exposures are more likely to suffer from financial distress later. This suggests that counterparty risk is a potential additional channel of credit contagion. Indeed, the fear of counterparty defaults among financial institutions explains the sudden worsening of the credit crisis after the Lehman bankruptcy in September 2008.
Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market
Published: 03/09/2006 | DOI: 10.1111/j.1540-6261.2006.00857.x
EVAN GATEV, PHILIP E. STRAHAN
Banks have a unique ability to hedge against market‐wide liquidity shocks. Deposit inflows provide funding for loan demand shocks that follow declines in market liquidity. Consequently, banks can insure firms against systematic declines in liquidity at lower cost than other institutions. We provide evidence that when liquidity dries up and commercial paper spreads widen, banks experience funding inflows. These flows allow banks to meet loan demand from borrowers drawing funds from commercial paper backup lines without running down their holdings of liquid assets. We also provide evidence that implicit government support for banks during crises explains these funding flows.
EVALUATION OF SOME MONEY STOCK FORECASTING MODELS
Published: 12/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03359.x
Philip Pfaff
Wall Street Occupations
Published: 02/03/2015 | DOI: 10.1111/jofi.12244
ULF AXELSON, PHILIP BOND
Many finance jobs entail the risk of large losses, and hard‐to‐monitor effort. We analyze the equilibrium consequences of these features in a model with optimal dynamic contracting. We show that finance jobs feature high compensation, up‐or‐out promotion, and long work hours, and are more attractive than other jobs. Moral hazard problems are exacerbated in booms, even though pay increases. Employees whose talent would be more valuable elsewhere can be lured into finance jobs, while the most talented employees might be unable to land these jobs because they are “too hard to manage.”
Does Credit Competition Affect Small‐Firm Finance?
Published: 05/07/2010 | DOI: 10.1111/j.1540-6261.2010.01555.x
TARA RICE, PHILIP E. STRAHAN
While relaxation of geographical restrictions on bank expansion permitted banking organizations to expand across state lines, it allowed states to erect barriers to branch expansion. These differences in states' branching restrictions affect credit supply. In states more open to branching, small firms borrow at interest rates 80 to 100 basis points lower than firms operating in less open states. Firms in open states also are more likely to borrow from banks. Despite this evidence that interstate branch openness expands credit supply, we find no effect of variation in state restrictions on branching on the amount that small firms borrow.
EASTERN FINANCE ASSOCIATION CALL FOR PAPERS
Published: 09/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb04904.x
Philip L. Cooley
Foreign Exchange Fixings and Returns around the Clock
Published: 12/18/2023 | DOI: 10.1111/jofi.13306
INGOMAR KROHN, PHILIPPE MUELLER, PAUL WHELAN
The U.S. dollar appreciates in the run‐up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W‐shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21‐year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return reversals. We present evidence consistent with an inventory risk explanation whereby FX dealers intermediate unconditional demand for U.S. dollars at the fixes.
Short Sales Restrictions and Kinks on the Mean Variance Frontier
Published: 03/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03871.x
PHILIP H. DYBVIG
With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point corresponds to a kink, while Ross has claimed that kinks never occur. This paper shows that the truth lies between the two views, since the efficient frontier may or may not be kinked at a switching point. There is some indication that kinks are rare, since a kink corresponds to a portfolio in which all assets have the same expected return.