Journal of Financial Economics
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Опубликовано на портале: 03-10-2003Richard Roll Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mathematical equivalence between the individual return/beta'linearity relation and the market portfolio's mean-variance efficiency, any valid test presupposes complete knowledge of the true market portfolio's composition. This implies, inter alia, that every individual asset must be included in a correct test. Errors of inference inducible by incomplete tests are discussed and some ambiguities in published tests are explained.
Опубликовано на портале: 26-10-2004Francis Koh, Terry Walter Journal of Financial Economics. 1989. Vol. 23. No. 2. P. 251-272.
Unique data availability and institutional arrangements for new issues in Singapore allow a direct test of the empirical implications of Rock's model of pricing unseasoned new issues. Our empirical results are consistent with the model. Specifically we find that the unseasoned new issues' anomaly disappears when the rationing associated with new issues is incorporated into the analysis. The winner's curse is evident in allocation patterns used in Singapore.
Опубликовано на портале: 31-03-2003Rene M. Stulz Journal of Financial Economics. 1981. Vol. 9. No. 4. P. 383-406.
Describes the construction of an intertemporal model of international asset pricing. Admission of differences in consumption opportunity sets across countries; Description of how the real expected excess return on a risky asset is proportional to the covariance of the return of that asset with changes in the world real consumption rate; Implication that asset markets are internationally segmented. (Из Ebsco)
A Model of Investor Sentiment [статья]
Опубликовано на портале: 03-12-2007Nicholas Barberis, Andrei Shleifer, Robert W. Vishny Journal of Financial Economics. 1998. Vol. 49. No. 3. P. 307-343.
Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical findings. The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of parameter values
An analytic valuation formula for unprotected American call options on stocks with known dividends [статья]
Опубликовано на портале: 06-10-2004Richard Roll Journal of Financial Economics. 1977. Vol. 5. No. 2. P. 251-258 .
Sometimes it pays to exercise an American-type call option prematurely, just prior to a cash emission by the underlying security. Such an option can be expressed as a combination of three European-type options whose valuation formulae are known.
An intertemporal asset pricing model with stochastic consumption and investment opportunities [статья]
Опубликовано на портале: 02-10-2003Douglas T. Breeden Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Robert H. Litzenberger Journal of Financial Economics. 1988. Vol. 21. No. 1. P. 71-99.
This paper examines the intraday market response to announcements of new equity issues. For fifteen minutes following the announcement, there is abnormally high volume and a -1.3% average return. There is also a small, but significant, negative average return in the hour before the announcement. Issue size, intended use of proceeds, and estimated profitability of new investment are uncorrelated with the announcement effect. After the issuance of new shares, there is a significant price recovery of 1.5%. This evidence is inconsistent with many theoretical rationales for the negative market reaction to new equity issue announcements.
Опубликовано на портале: 03-12-2007Steven L. Jones Journal of Financial Economics. 1993. Vol. 33. No. 1.
This paper reconciles the relative pricing controversy between DeBondt and Thaler (1985, 1987), Chan (1988), and Ball and Kothari (1989). The negative autocorrelation in long-horizon index returns, along with the selection criterion of the contrarian strategy, can explain the positive covariance between time-varying betas and risk premiums. However, test-period beta estimates reflect the reversal of earnings expectations associated with underlying factors. The controversy thus reduces to the debate of Fama and French (1988) and Poterba and Summers (1988) over the source of the temporary price components in the market index. Rational changes in expected returns and cash flows explain most of the cross-sectional variation in returns
Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay Journal of Financial Economics. 1997. Vol. 45. No. 1. P. 35-60.
This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large and decline dramatically with exchange listing. When market makers use both odd and even eighths, spreads are smaller and decline only slightly with exchange listing. The large spreads observed when Nasdaq market makers avoid odd-eighths cannot be explained by security-specific characteristics. Instead, the results support the conclusion that the avoidance of odd-eighth quotes is used as a coordination device among Nasdaq market makers to maintain supra-competitive bid-ask spreads.
Опубликовано на портале: 03-10-2003Nikos Vafeas Journal of Financial Economics. 1999. Vol. 53. No. 1. P. 113-142.
For 307 firms over the 1990–1994 period, autor finds that board meeting frequency is related to corporate governance and ownership characteristics in a manner that is consistent with contracting and agency theory. The annual number of board meetings is inversely related to firm value. This result is driven by increases in board activity following share price declines. Autor further finds that operating performance improves following years of abnormal board activity. These improvements are most pronounced for firms with poor prior performance and firms not engaged in corporate control transactions. Overall, his results suggest that board activity, measured by board meeting frequency, is an important dimension of board operations.
Corporate financing and investment decisions when firms have information that investors do not have [статья]
Опубликовано на портале: 06-10-2004Stewart C. Myers, Nicholas S. Majluf Journal of Financial Economics. 1984. Vol. 13. No. 2. P. 187-221.
This paper considers a firm that must issue common stock to raise cash to undertake a valuable investment opportunity. Management is assumed to know more about the firm's value than potential investors. Investors interpret the firm's actions rationally. An equilibrium model of the issue-invest decision is developed under these assumptions. The model shows that firms may refuse to issue stock, and therefore may pass up valuable investment opportunities. The model suggests explanations for several aspects of corporate financing behavior, including the tendency to rely on internal sources of funds, and to prefer debt to equity if external financing is required. Extensions and applications of the model are discussed.
Опубликовано на портале: 16-04-2007Jae-Seung Baek, Jun-Koo Kang, Kyung Suh Park Journal of Financial Economics. 2004. Vol. 71. No. 2. P. 265-313.
We show that during the 1997 Korean financial crisis, chaebol firms with higher ownership concentration by unaffiliated investors experience a smaller reduction in their share value. Firms with higher disclosure quality and alternative sources of external financing also suffer less. In contrast, chaebol firms with concentrated ownership by controlling family shareholders experience a larger drop in the value of their equity. Firms in which the controlling shareholders' voting rights exceed their cash flow rights, borrow more from the main banks, and are highly diversified also have lower returns. Finally, we find that downsizing (diversifying expansionary) actions during the crisis have a positive (negative) effect on the value of chaebol firms. Our results suggest that change in firm value during such a crisis is a function of firm-level differences in corporate governance measures and owner-manager incentives.
Опубликовано на портале: 03-10-2003Jonathan M. Karpoff, Paul H. Malatesta, Ralph A. Walkling Journal of Financial Economics. 1996. Vol. 42. No. 3. P. 365-395.
Shareholder-initiated proxy proposals on corporate governance issues became popular in the late 1980s as corporate takeover activity declined. We find firms attracting governance proposals have poor prior performance, as measured by the market-to-book ratio, operating return, and sales growth. There is little evidence that operating returns improve after proposals. The proposals also have negligible effects on company share values and top management turnover. Even proposals that receive a majority of shareholder votes typically do not engender share price increases or discernible changes in firm policies.
Опубликовано на портале: 06-02-2007John E. Core, Robert W. Holthausen, David F. Larcker Journal of Financial Economics. 1999. No. 51. P. 371-406.
We find that measures of board and ownership structure explain a significant amount of cross-sectional variation in CEO compensation, after controlling for standard economic determinants of pay. Moreover, the signs of the coefficients on the board and ownership structure variables suggest that CEOs earn greater compensation when governance structures are less effective. We also find that the predicted component of compensation arising from these characteristics of board and ownership structure has a statistically signifficant negative relation with subsequent firm operating and stock return performance. Overall, our results suggest that firms with weaker governance structures have greater agency problems; that CEOs at firms with greater agency problems receive greater compensation; and that firms with greater agency problems perform worse.
Corporate Governance Proposals and Shareholder Activism: The Role of Institutional Investors [статья]
Опубликовано на портале: 16-04-2007Stuart L. Gillan, Laura T. Starks Journal of Financial Economics. 2000. Vol. 57. No. 2. P. 275-305.
We study shareholder proposals across a period of substantial activity and 2nd systematic differences both across sponsor identity and across time. To measure the success of shareholder activism, we examine voting outcomes and short-term market reactions conditioned on proposal type and sponsor identity. The voting analysis documents that sponsor identity, issue type, prior performance and time period are important influences on the voting outcome. Proposals sponsored by institutions or coordinated groups appear to act as substitutes gaining substantially more support than proposals sponsored by individuals. The nature of the stock market reaction, while typically small, varies according to the issue and the sponsor identity.