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Journal of Finance

Опубликовано на портале: 05-06-2006
Adolfo De Motta Journal of Finance. 2003.  Vol. 58. No. 3. P. 1193-1220. 
Capital budgeting in multidivisional firms depends on the external assessment of the whole firm, as well as on headquarters' assessment of the divisions. While corporate headquarters may create value by directly monitoring divisions, the external assessment of the firm is a public good for division managers who, consequently, are tempted to free ride. As the number of divisions increases, the free-rider problem is aggravated, and internal capital markets substitute for external capital markets in the provision of managerial incentives. The analysis relates the value of diversification to characteristics of the firm, the industry, and the capital market.
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Опубликовано на портале: 03-12-2007
Ronald Balvers, Yangru Wu, Eric Gilliland Journal of Finance. 2000.  Vol. 55. No. 2. P. 745-772. 
For U.S. stock prices, evidence of mean reversion over long horizons is mixed, possibly due to lack of a reliable long time series. Using additional cross-sectional power gained from national stock index data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half-life of three to three and one-half years. This result is robust to alternative specifications and data. Parametric contrarian investment strategies that fully exploit mean reversion across national indexes outperform buy-and-hold and standard contrarian strategies
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 02-10-2003
Michael J. Barclay, Clifford G. Holderness Journal of Finance. 1991.  Vol. 46. No. 3. P. 861-878. 
We identify negotiated trades of large-percentage blocks of stock as corporate control transactions. When a block trades and the firm is not fully acquired, cumulative abnormal returns average 5.6%, and 33% of the chief executives are replaced within a year. Stock-price increases are larger when control passes to the new blockholder, when management does not resist the blockholder's effort to influence corporate policy, and when the block purchaser eventually fully acquires the firm. These findings suggest that the specific skills and expertise of blockholders, and not just the concentration of ownership, are important determinants of firm value.
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Noise [статья]
Опубликовано на портале: 03-12-2007
Fisher Black Journal of Finance. 1986.  Vol. 21. P. 529-543. 
The effects of noise on the world, and on our views of the world, are profound. Noise in the sense of a large number of small events is often a causal factor much more powerful than a small number of large events can be. Noise makes trading in financial markets possible, and thus allows us to observe prices for financial assets. Noise causes markets to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies. Noise in the form of uncertainty about future tastes and technology by sector causes business cycles, and makes them highly resistant to improvement through government intervention. Noise in the form of expectations that need not follow rational rules causes inflation to be what it is, at least in the absence of a gold standard or fixed exchange rates. Noise in the form of uncertainty about what relative prices would be with other exchange rates makes us think incorrectly that changes in exchange rates or inflation rates cause changes in trade or investment flows or economic activity. Most generally, noise makes it very difficult to test either practical or academic theories about the way that financial or economic markets work. We are forced to act largely in the dark
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 01-11-2007
Michael D. Atchison, Kirt C. Butler, Richard R. Simonds Journal of Finance. 1987.  Vol. 42. No. 1. P. 111-118. 
The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price-adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 03-12-2007
Mark M. Carhart Journal of Finance. 1997.  Vol. 52. No. 1. P. 57-82. 
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) "hot hands" result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum stratégy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 16-11-2007
Sanford J. Grossman Journal of Finance. 1976.  Vol. 31. No. 2. P. 573-585. 

ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 16-03-2005
Franklin Allen, Douglas Gale Journal of Finance. 1998.  Vol. 53. No. 4. P. 1245 - 1284. 
Empirical evidence suggests that banking panics are related to the business cycle and are not simply the result of “sunspots.” Panics occur when depositors perceive that the returns on bank assets are going to be unusually low. We develop a simple model of this. In this setting, bank runs can be first-best efficient: they allow efficient risk sharing between early and late withdrawing depositors and they allow banks to hold efficient portfolios. However, if costly runs or markets for risky assets are introduced, central bank intervention of the right kind can lead to a Pareto improvement in welfare.
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Опубликовано на портале: 06-10-2004
Antoine Conze, Sivakumar Viswanathan Journal of Finance. 1991.  Vol. 46. No. 5. P. 1893-1907. 
Lookback options are path dependent contingent claims whose payoffs depend on the extreme of a given security's price over a certain period of time. Using probabilistic tools, we derive explicit formulas for various European lookback options, and provide some results about their American counterparts
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Опубликовано на портале: 03-10-2003
David J. Denis, Diane K. Denis Journal of Finance. 1995.  Vol. 50. No. 4. P. 1029-1057. 
Autors document that forced resignations of top managers are preceded by large and significant declines in operating performance and followed by large improvements in performance. However, forced resignations are rare and are due more often to external factors (e.g., blockholder pressure, takeover attempts, etc.) than to normal board monitoring. Following the management change, these firms significantly downsize their operations and are subject to a high rate of corporate control activity. Normal retirements are followed by small increases in operating income and are also subject to a slightly higher than normal incidence of postturnover corporate control activity.
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Portfolio Selection [статья]
Опубликовано на портале: 17-09-2004
Harry M. Markowitz Journal of Finance. 1952.  Vol. 7. No. 1. P. 77-91. 
The process of selecting a portfolio may be divided into two stages. The first stage with observation and experience and ends with beliefs about the future performance of available securities. The second stage starts with the relevant beliefs about future performances and ends with the choice of portfolio. This paper is concerned with the rule that the investor does (or should) maximize discounted expected, or anticipated, returns. This rule is rejected both as a hypothesis to explain, and as a maximum to guide investment behavior. We next consider the rule that the investor does (or should) consider expected return a desirable thing and variance of return an undesirable thing. This rule has many sound points, both as a maxim for, and hypothesis about, investment behavior. We illustrate geometrically relations between beliefs and choice of portfolio according to the "expected returns - variance of returns" rule.
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Опубликовано на портале: 02-11-2007
Charles M.C. Lee, Bhaskaran Swaminathan Journal of Finance. 2000.  Vol. 55. No. 5. P. 2017-2069. 
This study shows that past trading volume provides an important link between ‘momentum’ and ‘value’ strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon ‘underreaction’ and long-horizon ‘overreaction’ effects
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 06-10-2004
Robert A. Jarrow, Stuart M. Turnbull Journal of Finance. 1995.  Vol. 50. No. 1. P. 53-85. 
This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a "spot exchange rate." Arbitrage-free valuation techniques are then employed. This methodology can be applied to corporate debt and over the counter derivatives, such as swaps and caps.
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Опубликовано на портале: 03-12-2007
Narasimhan Jegadeesh, Sheridan Titman Journal of Finance. 1993.  Vol. 48. No. 1. P. 65-91. 
This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3- to 12-month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented
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Опубликовано на портале: 15-11-2004
Nai-Fu Chen Journal of Finance. 1983.  Vol. 38. No. 5. P. 1393-1414. 
We estimate the parameters of Ross's Arbitrage Pricing Theory (APT). Using daily return data during the 1963-78 period, we compare the evidence on the APT and the Capital Asset Pricing Model (CAPM) as implemented by market indices and find that the APT performs well. The theory is further supported in that estimated expected returns depend on estimated factor loadings, and variables such as own variance and firm size do not contribute additional explanatory power to that of the factor loadings.
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