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В разделе собрана информация о статьях по экономике, социологии и менеджменту. Во многих случаях приводятся полные тексты статей. (подробнее...)

Journal of Finance

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: 07-04-2004
Lawrence R. Glosten, Ravi Jaganathan, David E. Runkle Journal of Finance. 1993.  Vol. 48. No. 5. P. 1779-1801. 
Authors finds support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, we also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility.
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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
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
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.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Portfolio selection [статья]
Опубликовано на портале: 31-03-2003
Harry M. Markowitz Journal of Finance. 1952.  Vol. 7. No. 1. P. 77-91. 
Focuses on the process of selecting an investment portfolio. Rule that the investor does maximize discounted expected or anticipated returns; Indication that the investor should diversify across industries and maximize expected return; Rule for investment behavior as distinguished from speculative behavior. (Из Ebsco)
ресурс содержит полный текст, либо отрывок из него
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.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
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.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
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
ресурс содержит полный текст, либо отрывок из него
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.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию
Опубликовано на портале: 31-03-2003
Lawrence D. Schall, Gary L. Sundem, William R. Geijsbeek Journal of Finance. 1978.  Vol. 33. No. 1. P. 281-7. 
Recent findings presented in the finance and accounting literature have indicated that firms are using increasingly sophisticated capital budgeting techniques (Istvan [2], Klammer [3] and Fremgen [1]. The present paper discusses the results of a more recent survey of large U.S. firms that was conducted by the authors. The survey (presented in the Appendix) inquired about the capital budgeting techniques employed, the computation of the discount rate and of cash flows, and the method of estimating and adjusting for project risk. Section II describes the sample employed and presents the results of the survey. Section III compares the results to those of previous surveys and briefly examines the association between the survey findings and a number of firm economic variables. Section IV is a summary. [Авторский текст]
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 06-10-2004
Robert Geske, Herbert E. Johnson Journal of Finance. 1984.  Vol. 39. No. 5. P. 1511-1524. 
An analytic solution to the American put problem is derived herein. The hedge ratio and other derivatives of the solution are presented. The formula derived implies an exact duplicating portfolio for the American put consisting of discount bonds and stock sold short. The formula is extended to consider put options on stocks paying cash dividends. A polynomial expression is developed for evaluating these formulae. Values and hedge ratios for puts on both dividend and nondividend paying stocks are calculated, tabulated, and compared with values derived by numerical integration and binomial approximation. As with European options, evaluating an analytic formula is more efficient than approximating the stock price process or the partial differential equation by binomial or finite difference methods. Finally, applications of this American put solution are discussed.
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Опубликовано на портале: 05-06-2006
Naveen Khanna, Sheri Tice Journal of Finance. 2001.  Vol. 56. No. 4.
We examine capital expenditure decisions of discount firms in response to Wal-Mart's entry into their markets. Before Wal-Mart's entry, focused incumbents and discount divisions of diversified incumbents are similar in size, geographic dispersion, and firm debt levels. However, discount divisions of diversified firms are significantly more productive. After Wal-Mart's entry, diversified firms are quicker to either “exit” the discount business or “stay and fight.” Also, their capital expenditures are more sensitive to the productivity of their discount business. Internal capital markets function well, as transfers are away from the worsening discount divisions. It appears diversified firms make better investment decisions.
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