Journal of Finance

1946 - 2025

From American Finance Association
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Volume 40, issue 5, 1985

A Sequential Signalling Model of Convertible Debt Call Policy pp. 1263-81

Milton Harris and Artur Raviv

Option Pricing and Replication with Transactions Costs pp. 1283-1301

Hayne Leland

Options on the Spot and Options on Futures pp. 1303-17

Menachem Brenner, Georges Courtadon and Marti Subrahmanyam

The Valuation of Options on Futures Contracts pp. 1319-40

Krishna Ramaswamy and Suresh M Sundaresan

On the Optimality of Portfolio Insurance pp. 1341-52

Simon Benninga and Marshall E Blume

Dispersion of Financial Analysts' Earnings Forecasts and the (Option Model) Implied Standard Deviaitons of Stock Returns pp. 1353-65

Bipin B Ajinkya and Michael J Gift

Approximate Factor Structures: Interpretations and Implications for Empirical Tests pp. 1367-73

Mark Grinblatt and Sheridan Titman

A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates pp. 1375-84

Christopher James, Sergio Koreisha and Megan Partch

The Rule 415 Experiment: Equity Markets pp. 1385-1401

Sanjai Bhagat, M Wayne Marr and G Rodney Thompson

Moral Hazard and Information Sharing: A Model of Financial Information Gathering Agencies pp. 1403-22

Marcia H Millon and Anjan Thakor

On the Relevance of Debt Maturity Structure pp. 1423-37

Ivan E Brick and S Abraham Ravid

A Model for the Determination of "Fair" Premiums on Lease Cancellation Insurance Policies pp. 1439-57

James S Schallheim and John J McConnell

The Puzzle of Financial Leverage Clienteles pp. 1459-67

Oded Sarig and James Scott

Managerial Incentives for Short-term Results pp. 1469-84

M P Narayanan

Reformulating Tax Shield Valuation: A Note pp. 1485-92

James A Miles and John R Ezzell

The Use of Electronic Funds Transfers to Capture the Effects of Cash Management Practices on the Demand for Demand Deposits: A Note pp. 1493-1503

Michael Dotsey

Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note pp. 1505-09

Young K Kwon

Volume 40, issue 4, 1985

Dividend Policy under Asymmetric Information pp. 1031-51

Merton Miller and Kevin Rock

Dividends, Dilution, and Taxes: A Signalling Equilibrium pp. 1053-70

Kose John and Joseph Williams

Optimal Release of Information by Firms pp. 1071-94

Douglas Diamond

The Structure and Incentive Effects of Corporate Tax Liabilities pp. 1095-114

Richard Green and Eli Talmor

The Impact of Inflation on the Aggregate Debt-Asset Ratio pp. 1115-25

Shalom Hochman and Oded Palmon

Taxes, Default Risk, and Yield Spreads pp. 1127-40

Jess B Yawitz, Kevin J Maloney and Louis H Ederington

Asset Returns, Discount Rate Changes, and Market Efficiency pp. 1141-58

Michael J Smirlock and Jess B Yawitz

Optimal Bank Behavior under Uncertain Inflation pp. 1159-71

Yoram Landskroner and David Ruthenberg

Yes, the APT Is Testable pp. 1173-88

Philip Dybvig and Stephen Ross

Multi-Beta CAPM or Equilibrium-APT? A Reply [An Empirical Investigation of the Arbitrage Pricing Theory] [The Arbitrage Pricing Theory: Is It Testable?] pp. 1189-96

Jay Shanken

Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach pp. 1197-1217

Haim Levy

On Option Pricing Bounds pp. 1219-33

Peter H Ritchken

A Complete Analysis of Full Pareto Efficiency in Financial Markets for Arbitrary Preferences pp. 1235-43

Amin H Amershi

Easy Proofs of Unanimity and Optimality without Spanning: A Pedagogical Note pp. 1245-50

Louis Makowski and Lynne Pepall

Asset Pricing, Higher Moments, and the Market Risk Premium: A Note pp. 1251-53

R Stephen Sears and K C John Wei

Volume 40, issue 3, 1985

Of Financial Innovations and Excesses pp. 621-31

James C Van Horne

On Economics and Finance pp. 633-35

Lawrence Summers

Debt and Taxes and Uncertainty pp. 637-57

Stephen Ross

Debt and Taxes and Uncertainty: Discussion pp. 657-58

George Constantinides

New Tests of the APT and Their Implications pp. 659-74

Dhrymes, Phoebus J, et al

New Tests of the APT and Their Implications: Discussion pp. 674-75

Alan Kraus

An Unbiased Reexamination of Stock Market Volatility pp. 677-87

N. Gregory Mankiw, David Romer and Matthew Shapiro

An Unbiased Reexamination of Stock Market Volatility: Discussion pp. 688-89

Robert Shiller

Adjustment Costs and Capital Asset Pricing pp. 691-705

Gregory Huffman

Adjustment Costs and Capital Asset Pricing: Discussion pp. 705-09

Kenneth Singleton

A Theoretical Analysis of Real Estate Returns pp. 711-19

H Russell Fogler, Michael R Granito and Laurence R Smith

A Theoretical Analysis of Real Estate Returns: Discussion pp. 719-21

Meir Statman

An Investigation of Transactions Data for NYSE Stocks pp. 723-39

Robert A Wood, Thomas McInish and John Ord

An Investigation of Transactions Data for NYSE Stocks: Discussion pp. 739-41

George Tauchen

Index Options: The Early Evidence pp. 743-56

Jeremy Evnine and Andrew Rudd

Index Options: The Early Evidence: Discussion pp. 756

James D MacBeth

In Defense of Technical Analysis pp. 757-73

Jack L Treynor and Robert Ferguson

In Defense of Technical Analysis: Discussion pp. 773-75

Eric H Sorensen

The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence pp. 777-90

Hersh Shefrin and Meir Statman

The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion pp. 791-92

George Constantinides

Does the Stock Market Overreact? pp. 793-805

Werner F M De Bondt and Richard Thaler

Does the Stock Market Overreact? Discussion pp. 806-08

Peter L Bernstein

Ripoffs, Lemons, and Reputation Formation in Agency Relationships: A Laboratory Market Study pp. 809-20

Douglas V DeJong, Robert Forsythe and Russell J Lundholm

Ripoffs, Lemons, and Reputation Formation in Agency Relationships: A Laboratory Market Study: Discussion pp. 820-23

Haim Mendelson

Risk Aversion and Information Structure: An Experimental Study of Price Variability in the Securities Markets pp. 825-44

James S Ang and Thomas Schwarz

Risk Aversion and Information Structure: An Experimental Study of Price Variability in the Securities Markets: Discussion pp. 845-46

Kalman J Cohen

Towards a Semigroup Pricing Theory pp. 847-61

Mark B Garman

Towards a Semigroup Pricing Theory: Discussion pp. 861-62

Chi-fu Huang

Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium pp. 863-78

Kose John and David C Nachman

Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium: Discussion pp. 878-80

Chester S Spatt

Currency Risk and Country Risk in International Banking pp. 881-91

Alan C Shapiro

Currency Risk and Country Risk in International Banking: Discussion pp. 892-93

Eugene Flood

Determinants of Corporate Leasing Policy pp. 895-908

Smith, Clifford W, and L MacDonald Wakeman

Determinants of Corporate Leasing Policy: Discussion pp. 909-10

Gregory D Hawkins

Spinoff-Terminations and the Value of Pension Insurance pp. 911-24

Alan Marcus

Spinoff-Terminations and the Value of Pension Insurance: Discussion pp. 924-26

Larry Merville

The Usefulness of the Wind-Up Measure of Pension Liabilities: A Labor Market Perspective pp. 927-40

James Pesando

The Usefulness of the Wind-Up Measure of Pension Liabilities: A Labor Market Perspective: Discussion pp. 940-42

Dennis E Logue

The Integration of Insurance and Taxes in Corporate Pension Strategy pp. 943-55

James L Bicksler

The Integration of Insurance and Taxes in Corporate Pension Strategy: Discussion pp. 955-57

Guilford C Babcock

Depositors' Welfare, Deposit Insurance, and Deregulation pp. 959-74

Yuk-Shee Chan and King-Tim Mak

Depositors' Welfare, Deposit Insurance, and Deregulation: Discussion pp. 975

Robert Heinkel

A Micro Model of the Federal Funds Market pp. 977-88

Thomas S Y Ho and Anthony Saunders

A Micro Model of the Federal Funds Market: Discussion pp. 988-90

Paul A Spindt

A Test of the OPEC Cartel Hypothesis: 1974-1983 pp. 991-1006

Claudio Loderer

A Test of the OPEC Cartel Hypothesis: 1974-1983: Discussion pp. 1006-08

Richard P Castanias

The Pricing of Oil and Gas: Some Further Results pp. 1009-18

Merton Miller and Charles Upton

The Pricing of Oil and Gas: Some Further Results: Discussion pp. 1018-20

Albert Kyle

Volume 40, issue 2, 1985

A Simple Econometric Approach for Utility-based Asset Pricing Models pp. 359-81

David P Brown and Michael R Gibbons

Differential Information and Performance Measurement Using a Security Market Line pp. 383-99

Philip Dybvig and Stephen Ross

The Analytics of Performance Measurement Using a Security Market Line pp. 401-16

Philip Dybvig and Stephen Ross

On Determination of Stochastic Dominance Optimal Sets pp. 417-31

Bawa, Vijay S, et al

The Week-End Effect in Common Stock Returns: The International Evidence pp. 433-54

Jeffrey F Jaffe and Randolph Westerfield

Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978 pp. 455-80

Mark Rubinstein

Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options pp. 481-500

Paul J Halpern and Stuart M Turnbull

On the Interaction of Real and Financial Decisions of the Firm under Uncertainty pp. 501-17

Amihud Dotan and S Abraham Ravid

Corporate Combinations and Common Stock Returns: The Case of Joint Ventures pp. 519-36

John J McConnell and Timothy J Nantell

Return, Risk, and Yield: Evidence from Ex Ante Data pp. 537-48

James S Ang and David R Peterson

The Choice of Call Provision Terms: Evidence of the Existence of Agency Costs of Debt pp. 549-61

Janet Solverson Thatcher

Joint Effects of Interest Rate Deregulation and Capital Requirements on Optimal Bank Portfolio Adjustments pp. 563-75

Chun H Lam and Andrew H Chen

On the Theory of Rational Insurance Purchasing: A Note pp. 577-81

Eric P Briys and Henri Loubergé

The Weekly Pattern in Stock Returns: Cash versus Futures: A Note pp. 583-88

Bradford Cornell

The Pricing of Short-term Debt and the Miller Hypothesis: A Note [Debt and Taxes] pp. 589-94

Bradford Jordan and Richard H Pettway

Expected Inflation and Interest Rates in a Multi-asset Model: A Note pp. 595-99

Douglas W Mitchell

Mean-Variance versus Direct Utility Maximization: A Comment pp. 601-02

Lawrence B Pulley

Optimal Distribution-Free Tests and Further Evidence of Heteroscedasticity in the Market Model: A Comment pp. 603-05

Bruce Lehmann and Arthur Warga

Optimal Distribution-Free Tests and Further Evidence of Heteroscedasticity in the Market Model: A Reply pp. 607

Carmelo Giaccotto and Mukhtar M Ali

Volume 40, issue 1, 1985

On the Feasibility of Automated Market Making by a Programmed Specialist pp. 1-20

Nils H Hakansson, Avraham Beja and Jivendra Kale

The Trading Decision and Market Clearing under Transaction Price Uncertainty pp. 21-42

Thomas S Y Ho, Robert A Schwartz and David K Whitcomb

Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory pp. 43-61

N Bulent Gultekin and Richard J Rogalski

A Rational Expectations Model of Term Premia with Some Implications for Empirical Asset Demand Equations pp. 63-83

Carl Walsh

Capital Asset Pricing Compatible with Observed Market Value Weights pp. 85-103

Michael J Best and Robert R Grauer

International Asset Pricing under Mild Segmentation: Theory and Test pp. 105-24

Vihang Errunza and Etienne Losq

More on Estimation Risk and Simple Rules for Optimal Portfolio Selection pp. 125-33

Gordon Alexander and Bruce Resnick

Implications of the Discreteness of Observed Stock Prices pp. 135-53

Gary Gottlieb and Avner Kalay

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing pp. 155-73

Clifford A Ball and Walter N Torous

An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model pp. 175-91

Ravi Jagannathan

Returns to Speculators and the Theory of Normal Backwardation pp. 193-208

Eric C Chang

The Effect of Voluntary Sell-off Announcements on Shareholder Wealth pp. 209-24

Prem C Jain

The Price Elasticity of Demand for Whole Life Insurance pp. 225-39

David Babbel

Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument pp. 241-55

G D Koppenhaver

Risk Aversion and Arbitrage pp. 257-68

Richard Green and Sanjay Srivastava

Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress pp. 269-91

Halina Frydman, Edward Altman and Duen-Li Kao

An Analysis of Mortgage Contracting: Prepayment Penalties and the Due-on-Sale Clause pp. 293-308

Kenneth B Dunn and Chester S Spatt

Divergence of Opinion in Complete Markets: A Note pp. 309-17

Hal Varian

Interest Rate Term Structure Estimation with Exponential Splines: A Note pp. 319-25

Gary Shea

Marginal Tax Rates: Evidence from Nontaxable Corporate Bonds: A Note pp. 327-32

James Ang, David Peterson and Pamela Peterson

Personal Income Taxes and the January Effect: Small Firm Stock Returns before the War Revenue Act of 1917: A Note pp. 333-43

Paul Schultz

Acknowledgment: Kinks on the Mean-Variance Frontier pp. 345

Philip Dybvig

Weekend Effects on Stock Returns: A Comment pp. 347-49

Edward A Dyl and Martin, Stanley A,

Weekend Effects on Stock Returns: A Reply pp. 351-52

Josef Lakonishok and Maurice Levi