Journal of Finance

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Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?
Journal of Finance - Tập 49 Số 5 - Trang 1813 - 1994
William G. Christie, Paul Schultz
Term Premia and Interest Rate Forecasts in Affine Models
Journal of Finance - Tập 57 Số 1 - Trang 405-443 - 2002
Gregory R. Duffee
ABSTRACTThe standard class of affine models produces poor forecasts of future Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: Compensation for risk is a multiple of the variance of the risk. Thus risk compensation cannot vary independently of interest ra...... hiện toàn bộ
Is the Short Rate Drift Actually Nonlinear?
Journal of Finance - Tập 55 Số 1 - Trang 355-388 - 2000
David A. Chapman, Neil D. Pearson
Aït‐Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short‐term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite‐sample properties of their estimators by applying them to simulated sample paths of a square‐root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in hiện toàn bộ
Disclosure Decisions by Firms and the Competition for Price Efficiency
Journal of Finance - Tập 44 Số 3 - Trang 633 - 1989
Michael J. Fishman, Kathleen M. Hagerty
Risk Management: Coordinating Corporate Investment and Financing Policies
Journal of Finance - Tập 48 Số 5 - Trang 1629-1658 - 1993
Kenneth A. Froot, David Scharfstein, Jeremy C. Stein
ABSTRACTThis paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent that it helps ensure that a corporation has sufficient internal fun...... hiện toàn bộ
The Exploitation of Relationships in Financial Distress: The Case of Trade Credit
Journal of Finance - Tập 55 Số 1 - Trang 153-178 - 2000
Benjamin Stuart Wilner
This paper develops optimal pricing, lending, and renegotiation strategies for companies in relationships where one firm is highly dependent on the other. Long‐term trade—creditor firm relationships induce dependent trade creditors to grant more concessions in debt renegotiations than nondependent creditors. Anticipating these larger renegotiation concessions, not only do less financially ...... hiện toàn bộ
Why Are U.S. Stocks More Volatile?
Journal of Finance - Tập 67 Số 4 - Trang 1329-1370 - 2012
Söhnke M. Bartram, Gregory W. Brown, René M. Stulz
ABSTRACTU.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, stock volati...... hiện toàn bộ
Investor Psychology and Asset Pricing
Journal of Finance - Tập 56 Số 4 - Trang 1533-1597 - 2001
David Hirshleifer
The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for understanding decision biases, evaluates the a priori arguments and the capital market evidence bear...... hiện toàn bộ
Transparency and International Portfolio Holdings
Journal of Finance - Tập 60 Số 6 - Trang 2987-3020 - 2005
Gastón Gelos, Shang‐Jin Wei
ABSTRACTDoes country transparency affect international portfolio investment? We examine this question by constructing new measures of transparency and by making use of a unique microdata set on portfolio holdings of emerging market funds around the world. We distinguish between government and corporate transparency. There is clear evidence that funds systematically...... hiện toàn bộ
The Quality of ECN and Nasdaq Market Maker Quotes
Journal of Finance - Tập 57 Số 3 - Trang 1285-1319 - 2002
Roger D. Huang
ABSTRACTThis paper compares the quality of quotes submitted by electronic communication networks (ECNs) and by traditional market makers to the Nasdaq quote montage. An analysis of the most active Nasdaq stocks shows that ECNs not only post informative quotes, but also, compared to market makers, ECNs post quotes rapidly and are more often at the inside. Additional...... hiện toàn bộ
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