The Journal of Finance

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: 6.

Beating the Foreign Exchange Market

Published: 03/01/1986   |   DOI: 10.1111/j.1540-6261.1986.tb04497.x

RICHARD J. SWEENEY

Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home‐foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy‐and‐hold.


The Reversal of Large Stock‐Price Decreases

Published: 06/01/1991   |   DOI: 10.1111/j.1540-6261.1991.tb02684.x

MARC BREMER, RICHARD J. SWEENEY

Extremely large negative 10‐day rates of return are followed on average by larger‐than‐expected positive rates of return over following days. This price adjustment lasts approximately 2 days and is observed in a sample of firms that is largely devoid of methodological problems that might explain the reversal phenomenon. While perhaps not representing abnormal profit opportunities, these reversals present a puzzle as to the length of the price adjustment period. Such a slow recovery is inconsistent with the notion that market prices quickly reflect relevant information.


Does the Bond Market Predict Bankruptcy Settlements?

Published: 07/01/1992   |   DOI: 10.1111/j.1540-6261.1992.tb04001.x

ALLAN C. EBERHART, RICHARD J. SWEENEY

This study shows the extent to which deviations from the absolute priority rule increase or decrease the bankruptcy emergence payoff to traded (i.e., usually junior claimants) bondholders. The data indicate that, on average, bondholders benefit, albeit slightly, from absolute priority rule (APR) violations. This paper also examines the degree to which the bond market, in the bankruptcy filing month, anticipates departures from the APR and other influences on the payoff to bondholders. In other words, we investigate the informational efficiency of the market for bankrupt bonds. Overall, despite the complex and lengthy nature of bankruptcy proceedings, the results support efficiency.


‘WHITE‐NOISE’ IN IMPERFECT MARKETS: THE CASE OF THE FRANC/DOLLAR EXCHANGE RATE

Published: 06/01/1977   |   DOI: 10.1111/j.1540-6261.1977.tb01986.x

Dennis E. Logue, Richard James Sweeney


Term Premia on Euro Rates

Published: 07/01/1984   |   DOI: 10.1111/j.1540-6261.1984.tb03665.x

DENNIS E. LOGUE, RICHARD JAMES SWEENEY


The Pricing of Interest‐Rate Risk: Evidence from the Stock Market

Published: 06/01/1986   |   DOI: 10.1111/j.1540-6261.1986.tb05044.x

RICHARD J. SWEENEY, ARTHUR D. WARGA

This paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest‐rate changes. A two‐factor APT model with the market and changes in the yield on long‐term government bonds as factors is employed. The paper shows that, empirically, most of the interest‐sensitive stocks are in the utility industries, and that there is reasonable evidence that the interest factor is priced in the sense of the APT. Several sources for the interest sensitivity are considered, and regulatory lags are focused on as a likely candidate.