Journal of Finance

最新文章

• Do Competing Specialists and Referencing Dealers Affect Market Quality? AI翻译
  作者：Battalio, Robert; Greene, Jason; Jennings, Robert
  作者单位：University of Notre Dame
• Volatility and Common Information in the Stock, Bond, and Money Markets AI翻译
  作者：Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara
  作者单位：Rice University
• Agency Problems, Information Asymmetries and Convertible Debt Security Design AI翻译
  作者：Lewis, Craig M.; Rogalski, Richard J.; Seward, James K.
  作者单位：Dartmouth College
• Debt and Corporate Performance: Evidence from Unsuccessful Takeovers. AI翻译
  作者：Safieddine, Assem
  作者单位：Michigan State University; Michigan State University's Broad College of Business
• Approximating the asset pricing kernel AI翻译
  作者：Chapman, DA
  摘要：This article tests a simple consumption-based asset pricing model by approximating the true asset pricing kernel using low-order orthonormal polynomials based on the model's state variables. Approximated kernels based solely on next period's consumption growth are not rejected by overall measures of model fit, but they produce statistically and economically large pricing errors. Approximated kernels based on two quarters of future consumption growth and technology shocks have substantially imp...
• From the exsec's notebook AI翻译
  作者：Keenan, M
• Do long-term shareholders benefit from corporate acquisitions? AI翻译
  作者：Loughran, T; Vijh, AM
  摘要：Using 947 acquisitions during 1970-1989, this article finds a relationship between the postacquisition returns and the mode of acquisition and form of payment. During a five-year period following the acquisition, on average, firms that complete stock mergers earn significantly negative excess returns of -25.0 percent whereas firms that complete cash tender offers earn significantly positive excess returns of 61.7 percent. Over the combined preacquisition and postacquisition period, target shar...
• A nonparametric model of term structure dynamics and the market price of interest rate risk AI翻译
  作者：Stanton, R
  摘要：This article presents a technique for nonparametrically estimating continuous-time diffusion processes that are observed at discrete intervals. We illustrate the methodology by using daily three and six month Treasury Bill data, from January 1965 to July 1995, to estimate the drift and diffusion of the short rate, and the market price of interest rate risk. While the estimated diffusion is similar to that estimated by Chan, Karolyi, Longstaff, and Sanders (1992), there is evidence of substanti...
• Why firms use currency derivatives AI翻译
  作者：Geczy, C; Minton, BA; Schrand, C
  作者单位：University System of Ohio; Ohio State University
  摘要：We examine the use of currency derivatives in order to differentiate among existing theories of hedging behavior. Firms with greater growth opportunities and tighter financial constraints are more likely to use currency derivatives. This result suggests that firms might use derivatives to reduce cash flow variation that might otherwise preclude firms from investing in valuable growth opportunities. Firms with extensive foreign exchange-rate exposure and economies of scale in hedging activities...
• The Preacquisition Performance of Target Firms: A Reexamination of the Inefficient Management Hypothesis AI翻译
  作者：Agrawal, Anup; Jaffe, Jeffrey F.
  作者单位：North Carolina State University