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: 50. Page: 2
Go to:
<<Previous 1 2 3 Next>>
The Stochastic Volatility of Short‐Term Interest Rates: Some International Evidence
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00191
Clifford A. Ball, Walter N. Torous
This paper estimates a stochastic volatility model of short‐term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a number of countries and reliable evidence of stochastic volatility is found throughout. In contrast to stock returns, interest rate volatility exhibits faster mean‐reverting behavior and innovations in interest rate volatility are negligibly correlated with innovations in interest rates. The less persistent behavior of interest rate volatility reflects the fact that interest rate dynamics are impacted by transient economic shocks such as central bank announcements and other macroeconomic news.
A COMMENT ON VARIABLE ANNUITIES
Published: 09/01/1957 | DOI: 10.1111/j.1540-6261.1957.tb04145.x
Robert M. Soldofsky, Walter W. McMahon
On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04942.x
CLIFFORD A. BALL, WALTER N. TOROUS
The Black‐Scholes call option pricing model exhibits systematic empirical biases. The Merton call option pricing model, which explicitly admits jumps in the underlying security return process, may potentially eliminate these biases. We provide statistical evidence consistent with the existence of lognormally distributed jumps in a majority of the daily returns of a sample of NYSE listed common stocks. However, we find no operationally significant differences between the Black‐Scholes and Merton model prices of the call options written on the sampled common stocks.
An Empirical Investigation of U.S. Firms in Reorganization
Published: 07/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb04389.x
JULIAN R. FRANKS, WALTER N. TOROUS
The purpose of this paper is to understand the institutional features of Chapter 11 from an empirical examination of thirty firms that have emerged from reorganization. We find the recontracting framework of Chapter 11 to be complex, lengthy, and costly. Violations of absolute priority in favor of stockholders are frequently encountered. These deviations may result from the bargaining process of Chapter 11 or from a recontracting process between creditors and stockholders which recognizes the ability of stockholder‐oriented management to preserve firm value. An example of such recontracting addresses Myers' underinvestment problem. An investigation of the effects of Chapter 11 on the pricing of risky debt is also provided.
Prepayment and the Valuation of Mortgage‐Backed Securities
Published: 06/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb05062.x
EDUARDO S. SCHWARTZ, WALTER N. TOROUS
This paper puts forward a valuation framework for mortgage‐backed securities. Rather than imposing an optimal, value‐minimizing call condition, we assume that at each point in time there exists a probability of prepaying; this conditional probability depends upon the prevailing state of the economy. To implement our valuation procedure, we use maximum‐likelihood techniques to estimate a prepayment function in light of recent aggregate GNMA prepayment experience. By integrating this empirical prepayment function into our valuation framework, we provide a complete model to value mortgage‐backed securities.
THE VALUATION OF CONVERTIBLE BONDS
Published: 06/01/1973 | DOI: 10.1111/j.1540-6261.1973.tb01392.x
James E. Walter, Agustin V. Que
100% MARGINS REVISITED
Published: 06/01/1976 | DOI: 10.1111/j.1540-6261.1976.tb01947.x
WALTER L. ECKARDT, DONALD L. ROGOFF
DISCUSSION
Published: 05/01/1968 | DOI: 10.1111/j.1540-6261.1968.tb00804.x
G. Walter Woodworth, Alden C. Olson
Futures Options and the Volatility of Futures Prices
Published: 09/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04553.x
CLIFFORD A. BALL, WALTER N. TOROUS
Assuming nonstochastic interest rates, European futures options are shown to be European options written on a particular asset referred to as a futures bond. Consequently, standard option pricing results may be invoked and standard option pricing techniques may be employed in the case of European futures options. Additional arbitrage restrictions on American futures options are derived. The efficiency of a number of futures option markets is examined. Assuming that at‐the‐money American futures options are priced accurately by Black's European futures option pricing model, the relationship between market participants' ex ante assessment of futures price volatility and the term to maturity of the underlying futures contract is also investigated empirically.
Higher Order Effects in Asset Pricing Models with Long‐Run Risks
Published: 02/02/2018 | DOI: 10.1111/jofi.12615
WALTER POHL, KARL SCHMEDDERS, OLE WILMS
This paper shows that the latest generation of asset pricing models with long‐run risk exhibit economically significant nonlinearities, and thus the ubiquitous Campbell‐Shiller log‐linearization can generate large numerical errors. These errors translate in turn to considerable errors in the model predictions, for example, for the magnitude of the equity premium or return predictability. We demonstrate that these nonlinearities arise from the presence of multiple highly persistent processes, which cause the exogenous states to attain values far away from their long‐run means with nonnegligible probability. These extreme values have a significant impact on asset price dynamics.
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.
An Empirical Comparison of Forward‐Rate and Spot‐Rate Models for Valuing Interest‐Rate Options
Published: 05/06/2003 | DOI: 10.1111/0022-1082.00104
Wolfgang Bühler, Marliese Uhrig‐Homburg, Ulrich Walter, Thomas Weber
Our main goal is to investigate the question of which interest‐rate options valuation models are better suited to support the management of interest‐rate risk. We use the German market to test seven spot‐rate and forward‐rate models with one and two factors for interest‐rate warrants for the period from 1990 to 1993. We identify a one‐factor forward‐rate model and two spot‐rate models with two factors that are not significantly outperformed by any of the other four models. Further rankings are possible if additional criteria are applied.
DISCUSSION
Published: 05/01/1980 | DOI: 10.1111/j.1540-6261.1980.tb02193.x
Walt McKibben