Journal of Finance
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Опубликовано на портале: 31-03-2003William F. Sharpe Journal of Finance. 1964. Vol. 19. No. 3. P. 425-42.
Illustrates capital asset prices as a theory of market equilibrium under conditions of risk. Investor's preference function; Allocation of funds; Investment opportunity curve. (Из Ebsco)
Опубликовано на портале: 03-10-2003William F. Sharpe Journal of Finance. 1964. Vol. 19. No. 3. P. 425-442.
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional model of investment under conditions of certainty, the pervasive influense of risk in finansial transactions has forced those working in this area to adobt models of price behavior which are little more than assertions. A typical classroom explanation of the determinationof capital asset prices, for example, usually begins with a carefull and relatively rigorous description of the process through which individuals preferences and phisical relationship to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of asset adjusting accordingly to account for differences of their risk.
Опубликовано на портале: 19-10-2004H. Martin Weingartner Journal of Finance. 1977. Vol. 32. No. 5. P. 1403-1431.
Major attention has been focussed, but in an unsatisfactory way, on two aspects of this problem, which will be the central topic of this paper. First, what discount rate should be used in computing present values and what does this discount rate stand for? Alternatively, what should be criterion for optimization? Second, if the constraints on expenditure are binding for a given firm, has the discount rate measured the firm's opportunity cost of capital properly, or is there, alternatively, a discount rate which "clears the market" the internal demand for funds and the externally made available funds?
Опубликовано на портале: 21-06-2006Laurence Booth, Varouj Aivazian, Asli Demirguc-Kunt, Vojislav Maksimovic Journal of Finance. 2001. Vol. 56. No. 1. P. 87-131.
This study uses a new data set to assess whether capital structure theory is portable across countries with different institutional structures. We analyze capital structure choices of firms in 10 developing countries, and provide evidence that these decisions are affected by the same variables as in developed countries. However, there are persistent differences across countries, indicating that specific country factors are at work. Our findings suggest that although some of the insights from modern finance theory are portable across countries, much remains to be done to understand the impact of different institutional features on capital structure choices.
Опубликовано на портале: 14-06-2006J. R. Franks, J. J. Pringle Journal of Finance. 1982. Vol. 37. No. 3. P. 751-763.
In this paper we consider the role of financial intermediaries in the valuation of firms and projects. We show that security prices should reflect both used and unused debt capacity if some corporations can act as financial intermediaries and can capture the tax benefits of debt capacity unused by the operating firm. We also provide some reasons why the value of the firm might be increased if the financing and operating risks of the firm are separated and financial intermediaries issue debt rather than the unit operating the asset.
Опубликовано на портале: 17-09-2004James E. Walter Journal of Finance. 1956. Vol. 11. No. 1. P. 29-41.
Based upon the belief that stock-market behavior is susceptible of rationalization, an attempt is made in this paper to fabricate a theoretical model which depicts the relationship between dividend policies and common stock prices. Attention is of necessity restricted to the common stocks of large public corporations because of the imperfect market for the securities of small companies and of the close identification of small firms with their principal shareholders. The fundamental premise upon which the formulation rests is that, over longer periods, stock prices reflect the present values of expected dividends. The phrase "over long periods" is inserted to permit abstraction from the distortions caused by short-run speculative considerations.
Опубликовано на портале: 06-10-2004Merton H. Miller, Kevin Rock Journal of Finance. 1985. Vol. 40. No. 4. P. 1031-1051.
We extend the standard finance model of the firm's dividend/investment/financing decisions by allowing the firm's managers to know more than outside investors about the true state of the firm's current earnings. The extension endogenizes the dividend (and financing) announcement effects amply documented in recent research. But once trading of shares is admitted to the model along with asymmetric information, the familiar Fisherian criterion for optimal investment becomes time inconsistent: the market's belief that the firm is following the Fisher rule creates incentives to violate the rule. We show that an informationally consistent signalling equilibrium exists under asymmetric information and the trading of shares that restores the time consistency of investment policy, but leads in general to lower levels of investment than the optimum achievable under full information and/or no trading. Contractual provisions that change the information asymmetry or the possibility of profiting from it could eliminate both the time inconsistency and the inefficiency in investment policies, but these contractual provisions too are likely to involve dead-weight costs. Establishing which route or combination of routes serves in practice to maintain consistency remains for future research.
Does the Stock Market Overreact? [статья]
Опубликовано на портале: 03-12-2007Werner De Bondt, Richard H. Thaler Journal of Finance. 1985. Vol. 40. No. 3. P. 793-805.
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to "overreact" to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP monthly return data, is consistent with the overreaction hypothesis. Substantial weak form market inefficiencies are discovered. The results also shed new light on the January returns earned by prior "winners" and "losers." Portfolios of losers experience exceptionally large January returns as late as five years after portfolio formation
Опубликовано на портале: 03-12-2007Lawrence H. Summers Journal of Finance. 1986. Vol. 41. No. 3. P. 591-601.
This paper examines the power of statistical tests commonly used to evaluate the efficiency of speculative markets. It shows that these tests have very low power. Market valuations can differ substantially and persistently from the rational expectation of the present value of cash flows without leaving statistically discernible traces in the pattern of ex-post returns. This observation implies that speculation is unlikely to ensure rational valuations, since similar problems of identification plague both financial economists and would be speculators
Do financial institutions matter? [статья]
Опубликовано на портале: 29-10-2008Franklin Allen Journal of Finance. 2001. Vol. 56. No. 4. P. 1165-1175 .
In standard asset pricing theory, investors are assumed to invest directly in financial markets. The role of financial institutions is ignored. The focus in corporate finance is on agency problems. How do you ensure that managers act in shareholders' interests? There is an inconsistency in assuming that when you give your money to a financial institution there is no agency problem, but when you give it to a firm there is. It is argued that both areas need to take proper account of the role of financial institutions and markets. Appropriate concepts for analyzing particular situations should be used.
Efficient Capital Markets II [статья]
Опубликовано на портале: 16-11-2007Eugene F. Fama Journal of Finance. 1991. Vol. 46. No. 5. P. 1575-1617.
SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market efficiency literature with trepidation. The task is thornier than it was 20 years ago, when work on efficiency was rather new. The literature is now so large that a full review is impossible, and is not attempted here. Instead, I discuss the work that I find most interesting, and I offer my views on what we have learned from the research on market efficiency.
Опубликовано на портале: 03-10-2003Douglas T. Breeden, Michael R. Gibbons, Robert H. Litzenberger Journal of Finance. 1989. Vol. 44. No. 2. P. 231-262.
The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The CCAPM is tested using betas based on both consumption and the portfolio having the maximum correlation with consumption. As predicted by the CCAPM, the market price of risk is significantly positive, and the estimate of the real interest rate is close to zero. The performances of the traditional CAPM and the CCAPM are about the same.
Family firms [статья]
Опубликовано на портале: 06-11-2008Mike Burkart, Fausto Panunzi, Andrei Shleifer Journal of Finance. 2003. Vol. 58. No. 5. P. 2167-2201 .
We present a model of succession in a firm owned and managed by its founder. The founder decides between hiring a professional manager or leaving management to his heir, as well as on what fraction of the company to float on the stock exchange. We assume that a professional is a better manager than the heir, and describe how the founder's decision is shaped by the legal environment. This theory of separation of ownership from management includes the Anglo-Saxon and the Continental European patterns of corporate governance as special cases, and generates additional empirical predictions consistent with cross-country evidence.
Опубликовано на портале: 03-12-2007Werner De Bondt, Richard H. Thaler Journal of Finance. 1987. Vol. 42. No. 3. P. 557-581.
In a previous paper, we found systematic price reversals for stocks that experience extreme long-term gains or losses: Past losers significantly outperform past winners. We interpreted this finding as consistent with the behavioral hypothesis of investor overreaction. In this follow-up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM-betas. The seasonal pattern of returns is also examined. Excess returns in January are related to both short-term and long-term past performance, as well as to the previous year market return.
Government ownership of banks [статья]
Опубликовано на портале: 05-11-2008Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer Journal of Finance. 2002. Vol. 57. No. 1. P. 265-301.
We assemble data on government ownership of banks around the world. The data show that such ownership is large and pervasive, and higher in countries with low levels of per capita income, backward financial systems, interventionist and inefficient governments, and poor protection of property rights. Higher government ownership of banks in 1970 is associated with slower subsequent financial development and lower growth of per capita income and productivity. This evidence supports "political" theories of the effects of government ownership of firms.