Journal•ISSN: 0270-2592
Journal of Financial Research
Wiley-Blackwell
About: Journal of Financial Research is an academic journal published by Wiley-Blackwell. The journal publishes majorly in the area(s): Stock (geology) & Stock market. It has an ISSN identifier of 0270-2592. Over the lifetime, 1507 publications have been published receiving 39363 citations.
Papers published on a yearly basis
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TL;DR: In this paper, a model of optimal dividend payout is presented in which increased dividends lower agency costs but raise the transactions cost of external financing, and the optimal dividend payment minimizes the sum of these two costs.
Abstract: A model of optimal dividend payout is presented in which increased dividends lower agency costs but raise the transactions cost of external financing. The optimal dividend payout minimizes the sum of these two costs. A cross-sectional test of the model relates dividend payout to the fraction of equity held by insiders, the past and expected future revenue growth of the firm, the firm's beta coefficient, and the number of common stockholders. The coefficients of all variables are significant in the predicted directions. The results indicate that investment policy influences dividend policy.
1,220 citations
TL;DR: In this article, the authors examine the factors correlated with capital structure in France, Germany, Japan, United Kingdom, and the United States and suggest links between varying choices in capital structure across countries and legal and institutional differences.
Abstract: In this empirical study I examine the factors correlated with capital structure in France, Germany, Japan, the United Kingdom, and the United States. Although mean leverage and many firm factors appear to be similar across countries, some significant differences remain. Specifically, differences appear in the correlation between long-term debt/asset ratios and the firms' riskiness, profitability, size, and growth. These correlations may be explained by differences in tax policies and agency problems, including differences in bankruptcy costs, information asymmetries, and shareholder/creditor conflicts. The findings of this study suggest links between varying choices in capital structure across countries and legal and institutional differences.
889 citations
TL;DR: In this article, the authors employ the vector error correction model (VECM) in a system of seven equations, and find that the Japanese stock market is cointegrated with a group of six macroeconomic variables.
Abstract: By employing the vector error correction model (VECM) in a system of seven equations, we find that the Japanese stock market is cointegrated with a group of six macroeconomic variables. The signs of the long-term elasticity coefficients of the macroeconomic variables on stock prices generally support the hypothesized equilibrium relations. Our findings are robust to different combinations of macroeconomic variables in six-dimension systems and two subperiods. Also, the VECM consistently outperforms the vector autoregressive model in forecasting ability.
672 citations
TL;DR: The authors compared individual U.S. equity return data from Thomson Datastream (TDS) with similar data from the Center for Research in Security Prices (CRSP) to evaluate TDS for use in studies involving large numbers of individual equities in markets outside the United States.
Abstract: We compare individual U.S. equity return data from Thomson Datastream (TDS) with similar data from the Center for Research in Security Prices (CRSP) to evaluate TDS for use in studies involving large numbers of individual equities in markets outside the United States. We document important issues of coverage, classification, and data integrity and find that naive use of TDS data can have a large impact on economic inferences. We show that after careful screening of the TDS data, inferences drawn from TDS data are similar to those drawn from CRSP. We illustrate the importance of the screens we develop using U.S. TDS data by applying the screens to TDS data from four European equity markets.
572 citations
TL;DR: This article found that investor memories exhibit a positive bias, consistent with current psychological models and found that the degree of bias is conditional upon previous investor choice, a phenomenon related to the well-known theory of cognitive dissonance.
Abstract: We present evidence from questionnaire responses of mutual fund investors about recollections of past fund performance We find that investor memories exhibit a positive bias, consistent with current psychological models We find that the degree of bias is conditional upon previous investor choice, a phenomenon related to the well-known theory of cognitive dissonance Psychological and economic frictions in the mutual fund industry are examined via a cross-sectional study of equity mutual funds We find an unusually high frequency of poorly performing funds, consistent with investor “inertia” We also examine the differential responses of investment dollars to past performance, controlling for survivorship These show that the effect is confined to the top quartile We find little evidence that the response to poor performance is unusual
550 citations