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: 15.
Resolving the Agency Problems of External Capital through Options
Published: 06/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb00649.x
ROBERT A. HAUGEN, LEMMA W. SENBET
This paper investigates the role of stock options in resolving the agency problems of external capital as originally identified by Jensen and Meckling (1976). These problems are precipitated by managerial incentives a) to consume excessive non‐pecuniary benefits or perquisites beyond the optimal level for sole ownership and b) to engage in risk shifting in productive decisions so as to transfer wealth from external capital contributors. These incentive problems can be resolved through a strategy that judiciously combines call and put options retained by the owner‐manager and external financiers, respectively. The resolution of the agency problems through this mechanism provides an economic rationale for the existence of managerial stock options and convertible debt.
THE ELASTICITY OF FINANCIAL ASSETS
Published: 09/01/1974 | DOI: 10.1111/j.1540-6261.1974.tb03100.x
Robert A. Haugen, Dean W. Wichern
The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns
Published: 07/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb03774.x
ROBERT A. HAUGEN, ELI TALMOR, WALTER N. TOROUS
This paper estimates volatility changes in daily returns to the Dow Jones Industrial Average over the sample period 1897 through 1988. This allows a direct investigation of the reaction of the level of stock prices and subsequent expected returns to these estimated changes in volatility. We provide empirical evidence consistent with relatively large and systematic revisions in stock prices and subsequent expected returns to volatility changes. However, there appears to be an asymmetry in the market's reaction to volatility increases as opposed to volatility decreases. A majority of our volatility changes cannot be associated with the release of significant economic information.
A RATIONALE FOR DEBT MATURITY STRUCTURE AND CALL PROVISIONS IN THE AGENCY THEORETIC FRAMEWORK
Published: 12/01/1980 | DOI: 10.1111/j.1540-6261.1980.tb02205.x
AMIR BARNEA, ROBERT A. HAUGEN, LEMMA W. SENBET
The agency costs of debt are introduced in this paper to explain the existence of complex financial instruments. Two areas of complexities are discussed in detail: the call provision and the maturity structure of debt. Their existence is rationalized as a means of resolving agency problems associated with informational asymmetry, managerial (stockholder) risk incentives, and foregone growth opportunities. It is also demonstrated that both features of corporate debt serve identical purposes in solving agency problems. Complex financial instruments are required because markets fail to provide complete and costless solutions to the agency problems discussed in the paper.
Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts
Published: 03/01/1995 | DOI: 10.1111/j.1540-6261.1995.tb05174.x
NAI‐FU CHEN, CHARLES J. CUNY, ROBERT A. HAUGEN
This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.
Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect
Published: 07/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb04599.x
STEPHEN P. FERRIS, ROBERT A. HAUGEN, ANIL K. MAKHIJA
This paper presents empirical evidence comparing two models of trading in equities—the well‐known tax‐loss‐selling hypothesis and “the disposition effect.” According to the disposition effect, investors are reluctant to realize losses but are eager to realize gains. This paper distinguishes between the two models with a new methodology that examines the relationship between volume at a given point in time and volume that took place in the past at different stock prices. The evidence overwhelmingly supports the disposition effect not only as a determinant of year‐end volume, but also as a determinant of volume levels throughout the year.