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Content
November 1982, Volume 10, Issue 3
- 269-287 Empirical anomalies based on unexpected earnings and the importance of risk adjustments
by Rendleman, Richard Jr. & Jones, Charles P. & Latane, Henry A. - 289-321 The value line enigma (1965-1978) : A case study of performance evaluation issues
by Copeland, Thomas E. & Mayers, David - 323-329 Do forecast errors or term premia really make the difference between long and short rates?
by Startz, Richard - 331-345 Comments on the valuation of derivative assets
by Bick, Avi - 347-369 Approximate option valuation for arbitrary stochastic processes
by Jarrow, Robert & Rudd, Andrew
July 1982, Volume 10, Issue 2
- 119-119 Editorial data
by Jensen, Michael C. & Schwert, G. William - 121-159 Tax-induced clientele effects in the market for British government securities : Placing bounds on security values in an incomplete market
by Schaefer, Stephen M. - 161-185 Options on the minimum or the maximum of two risky assets : Analysis and applications
by Stulz, ReneM. - 187-194 Racetrack betting and informed behavior
by Asch, Peter & Malkiel, Burton G. & Quandt, Richard E. - 195-210 Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information
by Grossman, Sanford J. & Shiller, Robert J. - 211-233 Stockholder-bondholder conflict and dividend constraints
by Kalay, Avner
March 1982, Volume 10, Issue 1
- 1-1 Editorial data
by Jensen, Michael C. & Schwert, G. William - 3-27 Multivariate tests of financial models : A new approach
by Gibbons, Michael R. - 29-58 Valuation of American call options on dividend-paying stocks : Empirical tests
by Whaley, Robert E. - 59-81 An analysis of revolving credit agreements
by Hawkins, Gregory D. - 83-105 The effect of discretionary price control decisions on equity values
by Ruback, Richard S. - 107-114 Spot and forward rates in the Canadian treasury bill market
by Park, Soo-Bin - 115-116 Determinants of corporate borrowing : A note
by Gupta, Keshav
December 1981, Volume 9, Issue 4
- 319-319 Editorial data
by Jensen, Michael C. & Schwert, G. William - 321-346 The relation between forward prices and futures prices
by Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A. - 347-371 A continuous time equilibrium model of forward prices and futures prices in a multigood economy
by Richard, Scott F. & Sundaresan, M. - 373-382 Forward contracts and futures contracts
by Jarrow, Robert A. & Oldfield, George S. - 383-406 A model of international asset pricing
by Stulz, ReneM.
September 1981, Volume 9, Issue 3
- 221-235 Information aggregation in a noisy rational expectations economy
by Diamond, Douglas W. & Verrecchia, Robert E. - 237-264 Convertible calls and security returns
by Mikkelson, Wayne H. - 265-269 Does the investment interest limitation explain the existence of dividends?
by Feenberg, Daniel - 271-280 Valuation of risky assets in arbitrage-free economies with transactions costs
by Garman, Mark B. & Ohlson, James A. - 281-307 Risky debt, jump processes, and safety covenants
by Mason, Scott P. & Bhattacharya, Sudipto - 309-315 Assimilating earnings and split information : Is the capital market becoming more efficient?
by Nichols, William D. & Brown, Stewart L.
June 1981, Volume 9, Issue 2
- 111-111 Editorial data
by Jensen, Michael C. - 113-138 Common stock repurchases : An analysis of returns to bondholders and stockholders
by Dann, Larry Y. - 139-183 Common stock repurchases and market signalling : An empirical study
by Vermaelen, Theo - 185-205 Risk and return on long-lived tangible assets
by Schmalensee, Richard - 207-211 On the valuation of American call options on stocks with known dividends
by Whaley, Robert E. - 213-215 Comments on Whaley's note
by Geske, Robert
March 1981, Volume 9, Issue 1
- 1-1 Editorial data
by Jensen, Michael C. - 3-18 The relationship between return and market value of common stocks
by Banz, Rolf W. - 19-46 Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values
by Reinganum, Marc R. - 47-73 Optimal dealer pricing under transactions and return uncertainty
by Ho, Thomas & Stoll, Hans R. - 75-101 Option pricing in a lognormal securities market with discrete trading
by Lee, Wayne Y. & Rao, Ramesh K. S. & Auchmuty, J. F. G. - 103-108 The consumption based asset pricing model : A note on potential tests and applications
by Cornell, Bradford
December 1980, Volume 8, Issue 4
- 321-321 Editorial data
by Jensen, Michael C. - 323-361 On estimating the expected return on the market : An exploratory investigation
by Merton, Robert C. - 363-378 An ex ante analysis of put-call parity
by Klemkosky, Robert C. & Resnick, Bruce G. - 379-399 Corporate leverage and growth the game-theoretic issues
by Aivazian, Varouj A. & Callen, Jeffrey L.
September 1980, Volume 8, Issue 3
- 203-203 Editorial data
by Jensen, Michael C. - 205-258 Measuring security price performance
by Brown, Stephen J. & Warner, Jerold B. - 259-282 Discretely adjusted option hedges
by Boyle, Phelim P. & Emanuel, David - 283-317 Mutual fund insurance
by Gatto, Mary Ann & Geske, Robert & Litzenberger, Robert & Sosin, Howard - 319-319 Call for papers
by Block, Stanley
June 1980, Volume 8, Issue 2
- 103-103 Editorial data
by Jensen, Michael C. - 105-137 Merger proposals, management discretion and stockholder wealth
by Dodd, Peter - 139-178 The effects of capital structure change on security prices : A study of exchange offers
by Masulis, Ronald W. - 179-201 Trading costs for listed options : The implications for market efficiency
by Phillips, Susan M. & Smith, Clifford Jr.
March 1980, Volume 8, Issue 1
- 1-1 Editorial data
by Jensen, Michael C. - 3-29 Optimal capital structure under corporate and personal taxation
by DeAngelo, Harry & Masulis, Ronald W. - 31-53 Dealership market : Market-making with inventory
by Amihud, Yakov & Mendelson, Haim - 55-69 Stock returns and the weekend effect
by French, Kenneth R. - 71-86 Admissible uncertainty in the intertemporal asset pricing model
by Constantinides, George M. - 87-100 The Mayers-Rice conjecture : A counterexample
by Verrecchia, Robert E.
December 1979, Volume 7, Issue 4
- 319-319 Editorial data
by Jensen, Michael C. - 321-345 The market speed of adjustment to new information
by Hillmer, S. C. & Yu, P. L. - 347-374 Liquidity preference under uncertainty: A model of dynamic investment in illiquid opportunities
by Baldwin, Carliss Y. & Meyer, Richard F. - 375-380 A note on an analytical valuation formula for unprotected American call options on stocks with known dividends
by Geske, Robert - 381-390 Asymmetric information and portfolio performance measurement
by Cornell, Bradford - 391-400 A reply to Mayers and Rice (1979)
by Roll, Richard
September 1979, Volume 7, Issue 3
- 227-227 Editorial data
by Jensen, Michael C. - 229-263 Option pricing: A simplified approach
by Cox, John C. & Ross, Stephen A. & Rubinstein, Mark - 265-296 An intertemporal asset pricing model with stochastic consumption and investment opportunities
by Breeden, Douglas T. - 297-318 Coupon and tax effects on new and seasoned bond yields and the measurement of the cost of debt capital
by Shiller, Robert J. & Modigliani, Franco
June 1979, Volume 7, Issue 2
- 115-115 Editorial data
by Jensen, Michael C. - 117-161 On financial contracting : An analysis of bond covenants
by Smith, Clifford Jr. & Warner, Jerold B. - 163-195 The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence
by Litzenberger, Robert H. & Ramaswamy, Krishna - 197-226 Risk measurement when shares are subject to infrequent trading
by Dimson, Elroy
March 1979, Volume 7, Issue 1
- 1-1 Editorial data
by Jensen, Michael C. - 3-28 Measuring portfolio performance and the empirical content of asset pricing models
by Mayers, David & Rice, Edward M. - 29-61 Information dissemination, market efficiency and the frequency of transactions
by Barry Goldman, M. & Sosin, Howard B. - 63-81 The valuation of compound options
by Geske, Robert - 83-109 Financial leverage clienteles : Theory and evidence
by Han Kim, E. & Lewellen, Wilbur G. & McConnell, John J.
December 1978, Volume 6, Issue 4
- 331-331 Editorial data
by Jensen, Michael C. - 333-364 Dividends and taxes
by Miller, Merton H. & Scholes, Myron S. - 365-383 An application of a three-factor performance index to measure stockholder gains from merger
by Langetieg, Terence C. - 385-398 Market proxies and the conditional prediction of returns
by Morgan, I. G. - 399-410 Taxes and portfolio composition
by Elton, Edwin J. & Gruber, Martin J.
1978, Volume 6, Issue 2-3
- 93-93 Editorial data
by Jensen, Michael C. - 95-101 Some anomalous evidence regarding market efficiency
by Jensen, Michael C. - 103-126 Anomalies in relationships between securities' yields and yield-surrogates
by Ball, Ray - 151-186 The information content of discounts and premiums on closed-end fund shares
by Thompson, Rex - 187-211 Empirical tests of boundary conditions for CBOE options
by Galai, Dan - 213-234 The information content of option prices and a test of market efficiency
by Chiras, Donald P. & Manaster, Steven - 235-264 The market valuation of cash dividends : A case to consider
by Long, John Jr. - 265-296 Split information, stock returns and market efficiency-I
by Charest, Guy - 297-330 Dividend information, stock returns and market efficiency-II
by Charest, Guy
March 1978, Volume 6, Issue 1
- 1-1 Editorial data
by Jensen, Michael C. - 3-10 The pricing of supershares
by Garman, Mark B. - 11-32 Generalized two parameter asset pricing models : Some empirical evidence
by Grauer, Robert R. - 33-57 An arbitrage model of the term structure of interest rates
by Richard, Scott F. - 59-69 On the term structure of interest rates
by Dothan, L. Uri - 71-87 Valuation of general contingent claims : Existence, uniqueness, and comparisons of solutions
by Gleit, Alan - 91-92 Journal of business finance and accounting
by Perrin, J. R.
December 1977, Volume 5, Issue 3
- 271-271 Editorial data
by Jensen, Michael C. - 273-307 Alternative methods for raising capital : Rights versus underwritten offerings
by Smith, Clifford Jr. - 309-327 Estimating betas from nonsynchronous data
by Scholes, Myron & Williams, Joseph - 351-373 Tender offers and stockholder returns : An empirical analysis
by Dodd, Peter & Ruback, Richard - 375-387 The impact of variance estimation in option valuation models
by Boyle, Phelim P. & Ananthanarayanan, A. L. - 389-418 An autoregressive jump process for common stock returns
by Oldfield, George Jr. & Rogalski, Richard J. & Jarrow, Robert A. - 419-436 Taxes, transactions costs and the clientele effect of dividends
by Pettit, R. Richardson
November 1977, Volume 5, Issue 2
- 113-113 Editorial data
by Jensen, Michael C. - 115-146 Asset returns and inflation
by Fama, Eugene F. & Schwert, G. William - 147-175 Determinants of corporate borrowing
by Myers, Stewart C. - 177-188 An equilibrium characterization of the term structure
by Vasicek, Oldrich - 189-200 Capital market equilibrium in a mean-lower partial moment framework
by Bawa, Vijay S. & Lindenberg, Eric B. - 201-218 Portfolio strategies and performance
by Bloomfield, Ted & Leftwich, Richard & Long, John Jr. - 219-239 Capital asset prices with heterogeneous beliefs
by Williams, Joseph T. - 241-249 On the pricing of contingent claims and the Modigliani-Miller theorem
by Merton, Robert C. - 251-258 An analytic valuation formula for unprotected American call options on stocks with known dividends
by Roll, Richard - 259-263 A note on qualitative results for investment proportions
by Rudd, Andrew - 265-268 Comments on qualitative results for investment proportions
by Roll, Richard & Ross, Stephen A.
August 1977, Volume 5, Issue 1
- 3-24 Risk-adjusted discount rates and capital budgeting under uncertainty
by Fama, Eugene F. - 25-53 Efficient portfolio choice with differential taxation of dividends and capital gains
by Long, John B. - 55-65 Spot rates, forward rates and exchange market efficiency
by Cornell, Bradford - 67-88 Savings bonds, retractable bonds and callable bonds
by Brennan, Michael J. & Schwartz, Eduardo S. - 89-111 The effect of limited information and estimation risk on optimal portfolio diversification
by Klein, Roger W. & Bawa, Vijay S.
May 1977, Volume 4, Issue 3
- 237-237 Editorial data
by Jensen, Michael C. - 239-276 Bankruptcy, absolute priority, and the pricing of risky debt claims
by Warner, Jerold B. - 277-288 Portfolio choice and equilibrium in capital markets with safety-first investors
by Arzac, Enrique R. & Bawa, Vijay S. - 289-321 A contingent-claims valuation of convertible securities
by Ingersoll, Jonathan Jr. - 323-338 Options: A Monte Carlo approach
by Boyle, Phelim P. - 339-349 Long-term dependence in common stock returns
by Greene, Myron T. & Fielitz, Bruce D.
March 1977, Volume 4, Issue 2
- 127-127 Editorial data
by Jensen, Michael C. - 129-176 A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
by Roll, Richard - 177-202 Leverage, output effects, and the M-M theorems
by Hite, Gailen L. - 203-230 The structure and management of dual purpose funds
by Litzenberger, Robert H. & Sosin, Howard B. - 231-236 An algorithmic approach to deriving the minimum-variance zero-beta portfolio
by Alexander, Gordon J.
January 1977, Volume 4, Issue 1
- 1-1 Editorial data
by Jensen, Michael C. - 3-22 Trading rules, large blocks and the speed of price adjustment
by Dann, Larry Y. & Mayers, David & Raab, Robert Jr. - 23-49 The impact of maturity regulation on high interest rate lenders and borrowers
by Benston, George J. - 51-78 Stock exchange seats as capital assets
by Schwert, G. William - 79-93 The valuation of warrants: Implementing a new approach
by Schwartz, Eduardo S. - 95-125 Human capital and capital market equilibrium
by Fama, Eugene F. & Schwert, G. William
October 1976, Volume 3, Issue 4
- 303-303 Editorial data
by Jensen, Michael C. - 305-360 Theory of the firm: Managerial behavior, agency costs and ownership structure
by Jensen, Michael C. & Meckling, William H. - 361-377 Forward rates as predictors of future spot rates
by Fama, Eugene F. - 379-402 Capital market seasonality: The case of stock returns
by Rozeff, Michael S. & Kinney, William Jr. - 403-427 An algebra for evaluating hedge portfolios
by Garman, Mark B.
June 1976, Volume 3, Issue 3
- 181-181 Editorial data
by Jensen, Michael C. - 183-193 Corporate pension funding policy
by Sharpe, William F. - 195-213 The pricing of equity-linked life insurance policies with an asset value guarantee
by Brennan, Michael J. & Schwartz, Eduardo S. - 215-231 The effect of estimation risk on optimal portfolio choice
by Klein, Roger W. & Bawa, Vijay S. - 233-256 Sharing rules and equilibrium in an international capital market under uncertainty
by Grauer, Frederick L. A. & Litzenberger, Robert H. & Stehle, Richard E. - 257-275 Market microstructure
by Garman, Mark B. - 277-294 Explicit solutions to some single-period investment problems for risky log-stable stocks
by Stuck, B. W. - 295-296 Comment on Chen, Kim and Kon
by Constantinides, George M. - 297-298 Cash demand, liquidation costs, and capital market equilibrium under uncertainty: Reply
by Chen, Andrew H. & Kim, E. Han & Kon, Stanley J. - 299-300 Cash management: An inventory control limit approach : Richard Homonoff and David Wiley Mullins, Jr., (D.C. Heath, Lexington, 1975) pp. xv + 104
by Constantinides, George M.
1976, Volume 3, Issue 1-2
- 1-1 Editorial data
by Jensen, Michael C. - 3-51 Option pricing : A review
by Smith, Clifford Jr. - 53-81 The option pricing model and the risk factor of stock
by Galai, Dan & Masulis, Ronald W. - 83-123 A theoretical and empirical investigation of the dual purpose funds : An application of contingent-claims analysis
by Ingersoll, Jonathan Jr. - 125-144 Option pricing when underlying stock returns are discontinuous
by Merton, Robert C. - 145-166 The valuation of options for alternative stochastic processes
by Cox, John C. & Ross, Stephen A. - 167-179 The pricing of commodity contracts
by Black, Fischer
December 1975, Volume 2, Issue 4
- 323-339 Bank funds management in an efficient market
by Black, Fischer - 341-360 Capital asset prices versus time series models as predictors of inflation: The expected real rate of interest and market efficiency
by Hess, Patrick J. & Bicksler, James L. - 361-376 Prediction of return with the minimum variance zero-beta portfolio
by Morgan, I. G. - 377-381 A note on default risk, leverage and the MM theorem
by Stapleton, R. C.
September 1975, Volume 2, Issue 3
- 233-233 Editorial data
by Jensen, Michael C. - 235-272 Price performance of common stock new issues
by Ibbotson, Roger G. - 273-292 Motivating managers to make investment decisions
by Heckerman, Donald G. - 293-308 Cash demand, liquidation costs and capital market equilibrium under uncertainty
by Chen, Andrew H. & Kim, E. Han & Kon, Stanley J. - 309-320 Delayed risks and risk premiums
by Caperaa, Philippe & Eeckhoudt, Louis
June 1975, Volume 2, Issue 2
- 123-123 Editorial data
by Jensen, Michael C. - 125-164 SEC product-line reporting and market efficiency
by Collins, Daniel W. - 165-185 Choice over asset economies: Default risk and corporate leverage
by Milne, Frank - 187-203 Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model
by Richard, Scott F. - 205-229 Stochastic dominance and portfolio analysis
by Ali, Mukhtar M.
March 1975, Volume 2, Issue 1
- 3-28 On the optimality of international capital market integration
by Subrahmanyam, Marti G. - 29-51 Seasonality in Australian capital markets : Market efficiency and empirical issues
by Officer, R. R. - 53-70 Information accuracy and social welfare under homogeneous beliefs
by Ng, David S. - 71-94 Uncertainty, competition, and costs in corporate bond underwriting
by Ederington, Louis H. - 95-121 Optimal rules for ordering uncertain prospects
by Bawa, Vijay S.
December 1974, Volume 1, Issue 4
- 303-335 Risk and return: The case of merging firms
by Mandelker, Gershon - 337-352 International capital market equilibrium with investment barriers
by Black, Fischer - 353-364 Determinants of bid-asked spreads in the over-the-counter market
by Benston, George J. & Hagerman, Robert L. - 365-372 A note on diversification and the reduction of dispersion
by Johnson, K. H. & Shannon, D. S.
September 1974, Volume 1, Issue 3
- 201-224 Convergence to isoelastic utility and policy in multiperiod portfolio choice
by Hakansson, Nils H. - 225-244 An aggregation theorem for securities markets
by Rubinstein, Mark - 245-302 Money and stock prices : Market efficiency and the lag in effect of monetary policy
by Rozeff, Michael S.
July 1974, Volume 1, Issue 2
- 105-129 Transactions costs and the relationship between put and call prices
by Gould, J. P. & Galai, D. - 131-170 Stock prices, inflation, and the term structure of interest rates
by Long, John Jr. - 171-198 Portfolio turnpike theorems for constant policies
by Ross, Stephen A.
May 1974, Volume 1, Issue 1
- 1-22 The effects of dividend yield and dividend policy on common stock prices and returns
by Black, Fischer & Scholes, Myron - 23-42 Portfolio theory, job choice and the equilibrium structure of expected wages
by Mayers, David - 43-66 Tests of the multiperiod two-parameter model
by Fama, Eugene F. & MacBeth, James D. - 67-94 Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
by Merton, Robert C. & Samuelson, Paul A. - 95-95 Comment on Merton and Samuelson
by Hakansson, Nils H. - 97-103 A negative report on the `near optimality' of the max-expected-log policy as applied to bounded utilities for long lived programs
by Goldman, M. Barry