Journal of Economics and Finance

Publishes theoretical and empirical articles in the general areas of economics and finance. 

Articles from Vol. 24, No. 1, Spring

An Empirical Study of Depositor Sensitivity to Bank Risk
Abstract Using a cross-sectional data set on U.S. commercial banks, the argument that during the mid 1980s to early 1990s depositors were insensitive to bank risk is empirically examined. Bank risk is measured by the predicted probability of bank failure...
Capital Outflow Liberalization and Stock Market Reaction in an Emerging Market: Experience from Greece
Abstract This paper examines the response of the Greek equities market to the liberalization of capital flows during the 19921994 period. While past empirical research has largely examined the effects of capital inflow liberalization in emerging markets,...
Capital Rationing: The General Case and a Better Criterion for Ranking
Abstract The definition of net present value implies that the reinvestment rate of return on the intermediate cash flows is equal to the risk-adjusted discount rate of the project. However, in many situations, the two rates are different. Therefore,...
Derivative Trading by Utility Firms
Abstract This paper examines the use of derivatives by a utility company. The hedging problem for utilities is atypical; the goal is not strictly to minimize average costs. Rather, the objectives are to minimize the upside risk associated with extreme...
Revenue Equivalence and Income Taxation
Abstract This paper considers the classical independent private values model of auction theory in the presence of income taxation. We show that revenue equivalence remains valid if income taxes are proportional. Progressive and regressive taxes lead,...
Tax-Free Trading on Calendar Stock and Bond Market Patterns
Abstract This study investigates the feasibility of using individual retirement accounts to exploit well-known calendar anomalies in the financial markets. We find no evidence of either a January effect or a weekend effect which may imply that investors...
The Reaction of Security Prices to Tracking Stock Announcements
Abstract This paper provides some empirical evidence on a relatively new and increasingly prevalent form of equity restructuring called tracking stock. We identify the effects associated with tracking stock announcements by excluding from our sample...
Value Stocks and Market Efficiency
Abstract We form portfolios based on firm book-to-market equity ratios and apply stochastic dominance tests. Value (high bookto-market) portfolios dominate low book-to-market portfolios. Thus, value stocks are not rationally priced by the market and...