Journal of Financial Economics
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Опубликовано на портале: 03-10-2003
Richard 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: 26-10-2004
Francis 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: 31-03-2003
Rene 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: 03-12-2007
Nicholas 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: 06-10-2004
Richard 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: 02-10-2003
Douglas 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: 02-10-2003
Michael 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: 03-12-2007
Steven 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


Опубликовано на портале: 02-10-2003
Michael 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: 03-10-2003
Nikos 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: 06-10-2004
Stewart 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: 16-04-2007
Jae-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: 03-10-2003
Jonathan 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: 06-02-2007
John 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: 16-04-2007
Stuart 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.

