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Top Cited Articles of The Journal of Finance(03)

2019-2-20 17:18| 发布者: sujiaoshou| 查看: 331| 评论: 0|原作者: 金融经济学|来自: 金融经济学

摘要: Top Cited Articles of The Journal of Finance(03)

Top Cited Articles of The Journal of Finance(03)

金融经济学 1周前

 

1、Counterspeculation, Auctions, and Competitive Sealed Tenders

The Journal of Finance, 1961, 16(1): 8-37

 

William Vickrey, Columbia University

 

Abstract

In Section I this counterspeculation box will be further examined; it turns out that most of the devices that most immediately suggest themselves under this heading prove to be inordinately expensive in terms of their demands on the fiscal resources of the state relative to the net benefits to be realized, at least where the commodity in question is finely divisible. The other extreme case, where there is only a single indivisible item to be allocated, is examined in Section II; in this case the possibilities for reaching an optimum solution in a market with a limited number of participants become considerably brighter: the common or progressive type of auction can be shown to provide better chances for optimal allocation than the regressive or "Dutch" auction. The implications of these findings for the inore significant cases where contracts are let or sales made by competitive bids or tenders are examined in Section III; the analysis reveals a likelihood that certain modifications of current practices in these areas, more specifically by making the award price equal to the second highest (or lowest) bid price rather than the highest bid price, might prove generally beneficial in improving the allocation of resources without being as prejudicial to the interests of sellers (or buyers) as might at first seem to be the case. Section IV deals with the somewhat more complicated and general class of cases where there are several identical items to be auctioned, and Section V deals with the application of the concepts derived in Section IV to the sale of a number of identical units under sealed-bid conditions; it turns out that here, too, significant gains can be expected from certain departures from currently prevalent practices.

 

原文链接:

https://www.jstor.org/stable/2977633

 

 

2、On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

The Journal of Finance, 1974, 29(2): 449-470

 

Robert C. Merton, Columbia University

 

Abstract

In Section II of the paper, the basic equation for the pricing of financial instruments is developed along Black-Scholes lines. In Section III, the model is applied to the simplest form of corporate debt, the discount bond where no coupon payments are made, and a formula for computing the risk structure of interest rates is presented. In Section IV, comparative statics are used to develop graphs of the risk structure, and the question of whether the term premium is an adequate measure of the risk of a bond is answered. In Section V, the validity in the presence of bankruptcy of the famous Modigliani-Miller theorem is proven, and the required return on debt as a function of the debt-to-equity ratio is deduced. In Section VI, the analysis is extended to include coupon and callable bonds.

 

原文链接:

https://www.jstor.org/stable/2978814

 

 

3、On Persistence In Mutual Fund Performance

The Journal of Finance, 1997, 52(1): 57-82

 

Mark M. CarhartKepos Capital

 

Abstract

Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) "hot hands" result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.

 

原文链接:

https://www.jstor.org/stable/2329556

 

END

 

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