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
The Determinants of Underpricing for Seasoned Equity Offers
Journal of Finance - Tập 58 Số 5 - Trang 2249-2279 - 2003
Shane A. Corwin
AbstractSeasoned offers were underpriced by an average of 2.2 percent during the 1980s and 1990s, with the discount increasing substantially over time. The increase appears to be related to Rule 10b‐21 and to economic changes affecting both IPOs and SEOs. Consistent with temporary price pressure, underpricing is positively related to offer size especially for secur...... hiện toàn bộ
Returns and Volatility of Low‐Grade Bonds 1977–1989
Journal of Finance - Tập 46 Số 1 - Trang 49-74 - 1991
Marshall E. Blume, Donald B. Keim, Sandeep A. Patel
ABSTRACTThis paper examines the risks and returns of long‐term low‐grade bonds for the period 1977–1989. We find: (1) low‐grade bonds realized higher returns than higher‐grade bonds and lower returns than common stocks, and low‐grade bonds exhibited less volatility than higher‐grade bonds due to their call features and high coupons; (2) there is no relation between...... hiện toàn bộ
Liquidity Coinsurance, Moral Hazard, and Financial Contagion
Journal of Finance - Tập 62 Số 5 - Trang 2275-2302 - 2007
Sandro Brusco, Fabio Castiglionesi
ABSTRACTWe study the propagation of financial crises among regions in which banks are protected by limited liability and may take excessive risk. The regions are affected by negatively correlated liquidity shocks, so liquidity coinsurance is Pareto improving. The moral hazard problem can be solved if banks are sufficiently capitalized. Under autarky a limited amoun...... hiện toàn bộ
An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
Journal of Finance - Tập 47 Số 3 - Trang 1209-1227 - 1992
Kung‐Sik Chan, George Andrew Karolyi, Francis A. Longstaff, Anthony B. Sanders
ABSTRACTWe estimate and compare a variety of continuous‐time models of the short‐term riskless rate using the Generalized Method of Moments. We find that the most successful models in capturing the dynamics of the short‐term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number ...... hiện toàn bộ
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
Specification Analysis of Affine Term Structure Models
Journal of Finance - Tập 55 Số 5 - Trang 1943-1978 - 2000
Qiang Dai, Kenneth J. Singleton
This paper explores the structural differences and relative goodness‐of‐fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade‐off is formalized by our classification of N‐factor affine family into non‐nested subfam...... 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
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
Journal of Finance - Tập 25 Số 2 - Trang 383-417 - 1970
Burton G. Malkiel, Eugene F. Fama
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
Tổng số: 431   
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