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Volume 31: Issue 2 (May 1976)


Front Matter

Pages: i-vii  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00575.x  |  Cited by: 0


Back Matter

Pages: viii-xiii  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00585.x  |  Cited by: 0


REPORT OF THE PROGRAM CHAIRMAN OF THE 34TH ANNUAL MEETING OF THE AMERICAN FINANCE ASSN

Pages: 197-198  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01880.x  |  Cited by: 0

Merton H. Miller


A PORTFOLIO THEORY OF THE SOCIAL DISCOUNT RATE AND THE PUBLIC DEBT*

Pages: 199-214  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01881.x  |  Cited by: 3

Myron J. Gordon


A TRANSACTIONS COST APPROACH TO THE THEORY OF FINANCIAL INTERMEDIATION

Pages: 215-231  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01882.x  |  Cited by: 8

Myron Scholes, George J. Benston, Clifford W. Smith


RESTRICTIONS ON THE RATE OF INTEREST ON DEMAND DEPOSITS AND A THEORY OF COMPENSATING BALANCES

Pages: 233-252  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01883.x  |  Cited by: 2

David Wiley Mullins


DISCUSSION

Pages: 252-255  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01884.x  |  Cited by: 0

James L. Bicksler


IS THERE A CAPITAL SHORTAGE: THEORY AND RECENT EMPIRICAL EVIDENCE

Pages: 257-268  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01885.x  |  Cited by: 0

Ernest T. Baughman, Leonall C. Andersen


CAPITAL SHORTAGES: MYTH OR REALITY?

Pages: 269-286  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01886.x  |  Cited by: 1

Paul Wachtel, Arnold Sametz, Harry Shuford


THE EFFECTS OF TAX POLICY ON CAPITAL FORMATION, CORPORATE LIQUIDITY AND THE AVAILABILITY OF INVESTIBLE FUNDS: A SIMULATION STUDY

Pages: 287-308  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01887.x  |  Cited by: 8

Andrew F. Brimmer, Allen Sinai


DISCUSSION

Pages: 309-312  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01888.x  |  Cited by: 0

Benjamin M. Friedman


DISCUSSION

Pages: 312-315  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00576.x  |  Cited by: 0

Sally S. Ronk


DISCUSSION

Pages: 315-318  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00577.x  |  Cited by: 0

Charles Upton


TAXES AND THE PRICING OF OPTIONS

Pages: 319-332  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01889.x  |  Cited by: 1

Fischer Black, Myron Scholes


THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

Pages: 333-350  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01890.x  |  Cited by: 46

Robert C. Merton


VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

Pages: 351-367  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01891.x  |  Cited by: 573

Fischer Black, John C. Cox


A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY

Pages: 383-402  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01893.x  |  Cited by: 53

John C. Cox, Stephen A. Ross


RECENT RESEARCH ON INDEXATION AND THE HOUSING MARKET

Pages: 403-413  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01894.x  |  Cited by: 0

Jack Guttentag, Richard A. Cohn, Donald R. Lessard


AN EMPIRICAL STUDY OF MORTGAGE PAYMENT TO INCOME RATIOS IN A VARIABLE RATE MORTGAGE PROGRAM*

Pages: 415-425  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01895.x  |  Cited by: 0

Stanley R. Stansell, James A. Millar


FINANCIAL INNOVATION AND THE MORTGAGE MARKET: THE POSSIBILITIES FOR LIABILITY MANAGEMENT BY THRIFTS

Pages: 427-437  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01896.x  |  Cited by: 1

Donald P. Tucker


DISCUSSION

Pages: 437-446  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01897.x  |  Cited by: 0

Alan J. Donziger, Richard V. Eastin, Robert H. Edelstein


THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION

Pages: 447-458  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01898.x  |  Cited by: 3

Katherine D. Miller, F. Jaffe Jeffrey, Gershon Mandelker


DISCUSSION

Pages: 483-487  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01901.x  |  Cited by: 0

Donald A. Nichols


THE IMPACT OF OUTSTANDING CONVERTIBLE BONDS ON CORPORATE DIVIDEND POLICY

Pages: 489-506  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01902.x  |  Cited by: 0

James C. Van Horne, Dileep R. Mehta


SUPER PREMIUM SECURITY PRICES AND OPTIMAL CORPORATE FINANCING DECISIONS

Pages: 507-524  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01903.x  |  Cited by: 7

David W. Glenn


VALUATION AND ASSET SELECTION UNDER ALTERNATIVE INVESTMENT OPPORTUNITIES

Pages: 525-539  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01904.x  |  Cited by: 7

Edwin J. Elton, Martin J. Gruber


DISCUSSION

Pages: 540-543  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01905.x  |  Cited by: 0

Manak C. Gupta


DISCUSSION

Pages: 543-546  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00578.x  |  Cited by: 0

S. Hamada Robert


DISCUSSION

Pages: 546-549  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00579.x  |  Cited by: 0

George E. Pinches


THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS

Pages: 551-571  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01906.x  |  Cited by: 5

Robert Litzenberger, Mark Rubinstein

This paper begins by comparing the available well‐developed micro‐economic models in finance which recognize uncertainty. It is argued that models whose distinctive simplifying assumption restricts utility functions are superior to those which instead restrict probability distributions, both with respect to the realism of their assumptions and richness of their conclusions. In particular, the most successful model, based on generalized logarithmic utility (GLUM), is a multiperiod consumption/portfolio and equilibrium model in discrete‐time which (1) requires decreasing absolute risk aversion; (2) tolerates increasing, constant, or decreasing proportional risk aversion; (3) assumes no exogenous specification of the contemporaneous or intertemporal stochastic process of security prices; (4) tolerates heterogeneity with respect to wealth, lifetime, time‐and risk‐preference and beliefs; (5) results in a complete specification of consumption/portfolio decision and sharing rules which include nontrivial multiperiod separation properties and explains demand for default‐free bonds of various maturities and options; (6) leads to a solution to the aggregation problem; (7) results in a complete specification of the contemporaneous and intertemporal process of security prices which reveals necessary and sufficient conditions for an unbiased term structure and the market portfolio to follow a random walk as a natural outcome of equilibrium; (8) provides an empirically testable aggregate consumption function relating per capita consumption to per capita wealth and the present value of a perpetual default‐free annuity which does not require inferences of ex ante beliefs from ex post data; (9) provides a nontrivial multiperiod extension of popular single‐period security valuation models which is empirically testable; (10) yields a simple multiperiod valuation formula for an uncertain income stream even when this income is serially correlated over time.


THE INVESTMENT DECISION OF THE FIRM UNDER UNCERTAINTY AND THE ALLOCATIVE EFFICIENCY OF CAPITAL MARKETS*

Pages: 587-602  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01908.x  |  Cited by: 0

Niels Christian Nielsen


DISCUSSION

Pages: 602-604  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01909.x  |  Cited by: 0

Alan Kraus


DISCUSSION

Pages: 605-609  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00580.x  |  Cited by: 1

Frederick L. A. Grauer


THE CAPITAL MARKET, THE MARKET FOR INFORMATION, AND EXTERNAL ACCOUNTING

Pages: 611-630  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01910.x  |  Cited by: 0

William Beaver, Nicholas J. Gonedes


COMPETITIVE INFORMATION IN THE STOCK MARKET: AN EMPIRICAL STUDY OF EARNINGS, DIVIDENDS AND ANALYSTS' FORECASTS*

Pages: 631-650  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01911.x  |  Cited by: 3

Paul A. Griffin


AN EMPIRICAL ANALYSIS OF DIFFERENTIAL CAPITAL MARKET REACTIONS TO EXTRAORDINARY ACCOUNTING ITEMS1

Pages: 651-674  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01912.x  |  Cited by: 0

Robert K. Eskew, William F. Wright


DISCUSSION

Pages: 674-677  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01913.x  |  Cited by: 0

David H. Downes


DISCUSSION

Pages: 677-679  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00581.x  |  Cited by: 0

Ross L. Watts


DISCUSSION

Pages: 680-684  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00582.x  |  Cited by: 0

S. Sunder


MEASURING ALLOCATIVE EFFICIENCY WITH TECHNOLOGICAL UNCERTAINTY

Pages: 685-700  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01914.x  |  Cited by: 0

Stewart Myers, Clement G. Krouse


THE VALUE OF THE FIRM UNDER REGULATION

Pages: 701-713  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01915.x  |  Cited by: 5

Jeffrey F. Jaffe, Gershon Mandelker


MERGERS, ANTITRUST LAW ENFORCEMENT AND STOCKHOLDER RETURNS

Pages: 715-732  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01916.x  |  Cited by: 58

James C. Ellert


THE DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY: AN INTERNATIONAL COMPARISON

Pages: 733-740  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01917.x  |  Cited by: 9

Kalman J. Cohen, Walter L. Ness, Hitoshi Okuda, Robert A. Schwartz, David K. Whitcomb


DISCUSSION

Pages: 740-743  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01918.x  |  Cited by: 0

John B. Long


DISCUSSION

Pages: 743-747  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00583.x  |  Cited by: 0

J. Fred Weston, Edward M. Rice


DISCUSSION

Pages: 748-751  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb00584.x  |  Cited by: 0

Stavros B. Thomadakis, Donald R. Lessard


AMERICAN FINANCE ASSOCIATION BUSINESS PROCEEDINGS

Pages: 753-753  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01919.x  |  Cited by: 0


AMERICAN FINANCE ASSOCIATION

Pages: 754-756  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01920.x  |  Cited by: 0


REPORT OF THE MANAGING EDITOR OF THE JOURNAL OF FINANCE COVERING 1975

Pages: 757-760  |  Published: 5/1976  |  DOI: 10.1111/j.1540-6261.1976.tb01921.x  |  Cited by: 0