Journal of Finance
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Опубликовано на портале: 15-11-2004
Seymour Smidt
Journal of Finance.
1979.
Vol. 34.
No. 3.
P. 675-688.
This paper considers some special problems that arise because the net present value
of a project cannot be determined with certainty in advance. One problem that will
be considered in this paper is whether the minimal acceptable forecast value should
be equal to zero or to some other number in order to maximize the expected net present
value of the projects that are accepted. The second problem concerns post-audits.



Опубликовано на портале: 17-09-2004
Bernhard Schwab, Peter Lusztig
Journal of Finance.
1969.
Vol. 24.
No. 3.
P. 507-516.
Recent contributors in managerial finance have very largely been concerned with the
more challenging of valuation and capital structure. As a consequence, several controversial
but less provoking issues remain shelved and unresolved. This paper is essentially
directed at one such issue - the merits of alternative criteria for measuring the
economic desirability of investments (both individual investment propositions and
aggregate investment portfolios), in particular the net present value on the one
hand and various benefit-cost ratios on the other. While these various measures are
based on the same fundamental concept - recognizing the time value of money - and
are, therefore, related to each other, they are different enough to yield contradictory
results in a number of situations. It is the purpose of this article to analyze systematically
these various measures of economic desirability, defining the conditions under which
they yield equivalent results and the conditions under which their results are contradictory,
and, as a consequence, to determine the validity of their application to the economic
evaluation of investments.



Опубликовано на портале: 15-11-2004
Phoebus J. Dhrymes, Irwin Friend, N. Bulent Gultekin
Journal of Finance.
1984.
Vol. 39.
No. 2.
P. 323-346.
This paper demonstrates that the Roll and Ross (RR) and other previously published
tests of the APT are subject to several basic limitations. There is a general nonequivalence
of factor analyzing small groups of securities and factor analyzing a group of securities
sufficiently large for the APT model to hold. It is found that as one increases the
number of securities, the number of "factors" determined increases. This increase
in the number of "factors" with larger groups of securities cannot readily be explained
by a distinction between "priced" and "nonpriced" risk factors as it is impermissible
to carry out tests on whether a given "risk factor is priced" using factor analytic
procedures.



Опубликовано на портале: 06-10-2004
Clifford P. Stephens, Michael Steven Weisbach
Journal of Finance.
1998.
Vol. 53.
No. 1.
P. 313-333.
Unlike Dutch auction repurchases and tender offers, open-market repurchase programs
do not precommit firms to acquire a specified number of shares. In a sample of 450
programs from 1981 to 1990, firms on average acquire 74 to 82 percent of the shares
announced as repurchase targets within three years of the repurchase announcement.
We find that share repurchases are negatively related to prior stock price performance,
suggesting that firms increase their purchasing depending on its degree of perceived
undervaluation. In addition, repurchases are positively related to levels of cash
flow, which is consistent with liquidity arguments.



Опубликовано на портале: 05-11-2008
Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer, Robert W. Vishny
Journal of Finance.
2000.
Vol. 55.
No. 1.
P. 1-33 .
This paper outlines and tests two agency models of dividends. According to the "outcome
model," dividends are paid because minority shareholders pressure corporate insiders
to disgorge cash. According to the "substitute model," insiders interested in issuing
equity in the future pay dividends to establish a reputation for decent treatment
of minority shareholders. The first model predicts that stronger minority shareholder
rights should be associated with higher dividend payouts; the second model predicts
the opposite. Tests on a cross section of 4,000 companies from 33 countries with
different levels of minority shareholder rights support the outcome agency model
of dividends.


Опубликовано на портале: 03-10-2003
David J. Denis, Diane K. Denis, Atulya Sarin
Journal of Finance.
1997.
Vol. 52.
No. 1.
P. 135-160.
We provide evidence on the agency cost explanation for corporate diversification.
We find that the level of diversification is negatively related to managerial equity
ownership and to the equity ownership of outside blockholders. In addition, we report
that decreases in diversification are associated with external corporate control
threats, financial distress, and management turnover. These findings suggest that
agency problems are responsible for firms maintaining value-reducing diversification
strategies and that the recent trend toward increased corporate focus is attributable
to market disciplinary forces.



Опубликовано на портале: 14-06-2006
Mihir A. Desai, C. Fritz Foley, James R. Hines
Journal of Finance.
2004.
Vol. 59.
No. 6.
P. 2451-2487.
This paper analyzes the capital structures of foreign affiliates and internal capital
markets of multinational corporations. Ten percent higher local tax rates are associated
with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive
to taxes. Multinational affiliates are financed with less external debt in countries
with underdeveloped capital markets or weak creditor rights, reflecting significantly
higher local borrowing costs. Instrumental variable analysis indicates that greater
borrowing from parent companies substitutes for three-quarters of reduced external
borrowing induced by capital market conditions. Multinational firms appear to employ
internal capital markets opportunistically to overcome imperfections in external
capital markets.


Опубликовано на портале: 16-06-2006
Mihir A. Desai, C. Fritz Foley, James R. Hines
Journal of Finance.
2004.
Vol. 59.
No. 6.
P. 2451-2487.
This paper analyzes the capital structures of foreign affiliates and internal capital
markets of multinational corporations. Ten percent higher local tax rates are associated
with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive
to taxes. Multinational affiliates are financed with less external debt in countries
with underdeveloped capital markets or weak creditor rights, reflecting significantly
higher local borrowing costs. Instrumental variable analysis indicates that greater
borrowing from parent companies substitutes for three-quarters of reduced external
borrowing induced by capital market conditions. Multinational firms appear to employ
internal capital markets opportunistically to overcome imperfections in external
capital markets.


Опубликовано на портале: 15-11-2004
Richard Roll, Stephen A. Ross
Journal of Finance.
1980.
Vol. 35.
No. 5.
P. 1073-1103.
Empirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using
data for individual equities during the 1962-72 period, at least three and probably
four "priced" factors are found in the generating process of returns. The theory
is supported in that estimated expected returns depend on estimated factor loadings,
and variables such as the "own" standard deviation, though highly correlated (simply)
with estimated expected returns, do not add any further explanatory power to that
of the factor loadings.



A New Look at the Monday Effect [статья]
Опубликовано на портале: 25-10-2007
Ko Wang, John Erickson, Yuming Li
Journal of Finance.
1997.
Vol. 52.
No. 5.
P. 2171-2186.
It is well documented that expected stock returns vary with the day-of-the-week (the
Monday or weekend effect). In this article we show that the well-known Monday effect
occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In
addition, the mean Monday return of the first three weeks of the month is not significantly
different from zero. This result holds for most of the subperiods during the 1962-1993
sampling period and for various stock return indexes. The monthly
effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain
this phenomenon.


Asset Pricing at the Millennium [статья]
Опубликовано на портале: 22-06-2006
John Y. Campbell
Journal of Finance.
2000.
Vol. 55.
No. 4.
P. 1515-1567.
This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work, and on the tradeoff between risk and return. Modern research
seeks to understand the behavior of the stochastic discount factor (SDF) that prices
all assets in the economy. The behavior of the term structure of real interest rates
restricts the conditional mean of the SDF, while patterns of risk premia restrict
its conditional volatility and factor structure. Stylized facts about interest rates,
aggregate stock prices, and cross-sectional patterns in stock returns have stimulated
new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral
finance.



Опубликовано на портале: 02-11-2007
Chris I. Telmer
Journal of Finance.
1993.
Vol. 48.
No. 5.
P. 1803-32.
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory


A survey of corporate governance [статья]
Опубликовано на портале: 06-11-2008
Andrei Shleifer, Robert W. Vishny
Journal of Finance.
1997.
Vol. 52.
No. 2.
P. 737-783.
This article surveys research on corporate governance, with special attention to the importance of legal protection of investors and of ownership concentration in corporate governance systems around the world


Опубликовано на портале: 23-11-2007
Harrison Hong, Jeremy C. Stein
Journal of Finance.
1999.
Vol. 54.
No. 6.
P. 2143-2184.
We model a market populated by two groups of boundedly rational agents: "newswatchers"
and "momentum traders." Each newswatcher observes some private information, but fails
to extract other newswatchers' information from prices. If information diffuses gradually
across the population, prices underreact in the short run. The underreaction means
that the momentum traders can profit by trendchasing. However, if they can only implement
simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably
lead to overreaction at long horizons. In addition to providing a unified account
of under- and overreactions, the model generates several other distinctive implications.


Опубликовано на портале: 17-09-2004
Uwe E. Reinhardt
Journal of Finance.
1973.
Vol. 28.
No. 4.
P. 821-838.
In this paper the Tri Star project is reexamined in terms of a capital-budgeting
framework. The objective of the analysis is two-fold. First, it serves to illustrate
how standard economic and financial theory can be brought to bear on the solution
to real-world business problems. Second, it demonstrates the contribution financial
theory can make towards ratioual decision-making in the public sector. From the Congressional
hearings one gathers that the loan-guarantee legislation was passed in the belief
that the Tri Star program was commercially viable, an impression Lockheed had tried
hard to convey with its own break even projections. Our analysis suggests, however,
that the inclusion of the opportunity cost of funds among the total costs of Tri
Star
tends to raise the actual break-even sales for the program to a level almost twice
as high as the estimates submitted by Lockheed to Congress. It is clear then, that
Congress made its decision in this case on the basis of highly misleading information.
Section II below sets forth the theoretical model unerlying our analysis.
The section also indicates the various sources from which our revenue and cost estimate
have been pieced together. The empirical results from the analysis are presented
in Section III . Some necessary caveats are offered by way of summary
in Section IV


