Journal: Journal of Financial Research

Found 333 papers in total
APT vs. CAPM estimates of the return-generating function parameters for regulated public utilities
APT vs. CAPM estimates of the return-generating function parameters for regulated public utilities
1987,
In public utility rate hearings, there are extensive arguments concerning the most...
Compound distribution models of stock returns: an empirical comparison
Compound distribution models of stock returns: an empirical comparison
1987,
The study provides empirical tests and comparison of mixed diffusion‐jump...
The informational content of bond ratings
The informational content of bond ratings
1987,
This paper explores the risk structure of interest rates. The focus is on whether...
Sampling error in first order stochastic dominance
Sampling error in first order stochastic dominance
1987,
This study analyzes the standard method of testing for first order stochastic...
Bond returns, discrete stochastic processes, and duration
Bond returns, discrete stochastic processes, and duration
1987,
A particular duration measure may correspond to many different stochastic processes...
More evidence on expected value-variance analysis versus direct utility maximization
More evidence on expected value-variance analysis versus direct utility maximization
1987,
The theoretical difficulties of the expected value‐variance (E‐V)...
Interstate bank mergers: the early evidence
Interstate bank mergers: the early evidence
1987,
This study examines the wealth effects of interstate bank mergers to both the acquired...
Personal taxes, inflation and market valuation
Personal taxes, inflation and market valuation
1987,
In an inflation‐non‐indexed progressive tax system, inflation results in...
An analytical model of risky yield curves
An analytical model of risky yield curves
1987,
This paper proposes a multiperiod certainty equivalent model of present valuation that...
Determinants of the ratings and yields on corporate bonds: tests of the contingent claims model
Determinants of the ratings and yields on corporate bonds: tests of the contingent claims model
1987,
A contingent claims model for corporate bonds is tested on newly issued bonds of firms...
The valuation of currency options for alternate stochastic processes
The valuation of currency options for alternate stochastic processes
1987,
This paper compares the ability of four valuation models – the Pure Diffusion...
Evidence of the effect on shareholder wealth of corporate spinoffs: the creation of royalty trusts
Evidence of the effect on shareholder wealth of corporate spinoffs: the creation of royalty trusts
1987,
Corporate spinoffs and divestitures cause positive revaluation of the firm by the...
Leveraged buyouts and shareholder returns
Leveraged buyouts and shareholder returns
1987,
This study examines the risk‐adjusted stock returns realized by shareholders of...
Intervalling effects in Hong Kong stocks
Intervalling effects in Hong Kong stocks
1987,
This paper investigates the intervalling‐thinness effect in the Hong Kong stock...
The choice among debt, equity, and convertible bonds
The choice among debt, equity, and convertible bonds
1988,
The hybrid nature of convertible bonds continues to interest corporate financial...
Valuation of the preferred stock sinking fund feature: a time-series approach
Valuation of the preferred stock sinking fund feature: a time-series approach
1988,
This study employs a time‐varying coefficient model to examine the relationship...
Investor evaluation of overfunded pension plan terminations
Investor evaluation of overfunded pension plan terminations
1988,
Hundreds of large firms have terminated overfunded pension plans and obtained...
Boundary condition tests of bid and ask prices of index call options
Boundary condition tests of bid and ask prices of index call options
1988,
Boundary conditions are established and tested for call options on the S&P 100...
Investor expectations of volatility increases around large stock splits as implied in call option premia
Investor expectations of volatility increases around large stock splits as implied in call option premia
1988,
Recent studies find abnormal common stock price behavior associated with...
The term premia relationship implicit in the term structure of treasury bills
The term premia relationship implicit in the term structure of treasury bills
1988,
This paper considers a single coefficient representation of the term premia...
A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS
A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS
1988,
In this study, an integrated model of return seasonality is developed and the...
An empirical analysis of insured portfolio strategies using listed options
An empirical analysis of insured portfolio strategies using listed options
1988,
Theoretical rationale for the purchase or sale of portfolio insurance has been...
Tax-timing options, leverage, and the choice of corporate form
Tax-timing options, leverage, and the choice of corporate form
1988,
The tax‐timing options associated with opportunities to trade corporate...
Mortgage Terminations and Pool Characteristics: Some Additional Evidence
Mortgage Terminations and Pool Characteristics: Some Additional Evidence
1988,
The amount and timing of unscheduled principal amortization determines the...
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