Journal: Journal of Financial Research

Found 333 papers in total
Is the distribution of betas stationary?
Is the distribution of betas stationary?
1990,
The stationarity of the beta distribution for 1926–1985 is rejected for the...
OTC market switching and stock returns: some empirical evidence
OTC market switching and stock returns: some empirical evidence
1990,
In this study the effect on the common stock returns of 278 firms that switched OTC...
Dividends, uncertainty, and underwriting costs under asymmetric information
Dividends, uncertainty, and underwriting costs under asymmetric information
1990,
This paper presents a two‐period model in which dividends act as a signal of...
Hedging performance and hedging objectives: tests of new performance measures in the foreign currency market
Hedging performance and hedging objectives: tests of new performance measures in the foreign currency market
1990,
Two related approaches are introduced for measuring the performance of hedging...
The pricing of futures contracts and the arbitrage pricing theory
The pricing of futures contracts and the arbitrage pricing theory
1990,
When interest rates are stochastic, the cash flows of futures and forward contracts...
Market reaction to NYSE listings: tests of the marketability gains hypothesis
Market reaction to NYSE listings: tests of the marketability gains hypothesis
1986,
This study examines the market reaction to listing on the New York Stock Exchange...
A COMPARISON OF INTERVENTION AND RESIDUAL ANALYSIS
A COMPARISON OF INTERVENTION AND RESIDUAL ANALYSIS
1986,
By comparing intervention and residual analysis abnormal return metrics, this study...
Regulatory environment and market response to public utility rate decisions
Regulatory environment and market response to public utility rate decisions
1986,
This paper examines the stock market's response to the public utility rate‐case...
Non-representative trading frequencies and the detection of abnormal performance
Non-representative trading frequencies and the detection of abnormal performance
1986,
Numerous studies employ betas computed with the ordinary least squares technique and...
The differential effects of sinking funds on bond risk premia
The differential effects of sinking funds on bond risk premia
1986,
This study analyzes the effect that two options created by the inclusion of a sinking...
Capital adequacy and the valuation of large commercial banking organizations
Capital adequacy and the valuation of large commercial banking organizations
1986,
Bankers argue that regulatory agencies require excessive capital adequacy. As a...
Determinants of the execution costs of common stock trades by individual investors
Determinants of the execution costs of common stock trades by individual investors
1986,
Data on a large sample of transactions in common stocks by individual investors over a...
Interest rate risk and equity values of hedged and unhedged financial intermediaries
Interest rate risk and equity values of hedged and unhedged financial intermediaries
1986,
This paper uses an approach developed by Flannery and James to show that interest rate...
Recent evidence on the accuracy and rationality of popular inflation forecasts
Recent evidence on the accuracy and rationality of popular inflation forecasts
1986,
This paper compares the accuracy and examines the rationality of inflation forecasts...
On preferred stock
On preferred stock
1986,
Preferred stock is issued by many corporations in spite of its apparent disadvantages....
The market pricing of net operating loss carryforwards: implications of the tax motivations of mergers
The market pricing of net operating loss carryforwards: implications of the tax motivations of mergers
1987,
An empirical analysis of the market pricing of net operating loss carryforwards (NOLs)...
Relative stock prices and the firm size effect
Relative stock prices and the firm size effect
1987,
A stock's relative price ratio, defined as the ratio of the current price to the...
Systematic risk in a purely random market model: some empirical evidence for individual public utilities
Systematic risk in a purely random market model: some empirical evidence for individual public utilities
1987,
A minimum norm quadratic (MINQU‐) type of OLS estimator is derived. The...
Macro-economic factors and stock returns
Macro-economic factors and stock returns
1987,
This paper explores the economic nature of return factors by incorporating a...
Interest rate risk hedging for due-on-sale mortgages with early termination
Interest rate risk hedging for due-on-sale mortgages with early termination
1987,
The impact of random early termination on the interest rate elasticity and the related...
Maturity and refunding effects on treasury-bond futures price variance
Maturity and refunding effects on treasury-bond futures price variance
1987,
Both Samuelson's maturity hypothesis and the Anderson‐Danthine state variable...
Product market structure, capital intensity, and systematic risk: empirical results from the theory of the firm
Product market structure, capital intensity, and systematic risk: empirical results from the theory of the firm
1987,
Product market concepts from industrial organization economics are integrated with...
Allocating capital among a firm's divisions: hurdle rates vs. budgets
Allocating capital among a firm's divisions: hurdle rates vs. budgets
1987,
This paper examines the merits of alternative systems for allocating capital within a...
The effect of the WPPSS crisis on the tax-exempt bond market
The effect of the WPPSS crisis on the tax-exempt bond market
1987,
The 1983 default of the Washington Public Power Supply System (WPPSS) was the largest...
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