The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Search results: 6.
External Financing and Liquidity
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03684.x
GUR HUBERMAN
We explain the observed negative relation between market value of firms and their fund raising activities. Ours is not a signalling model. The firm's objective is to maximize the present value of its income. Considerations of cash availability (liquidity) and unfolding of uncertainty drive our model. Income from operations is an important source of liquidity. Low earnings are associated with low liquidity. Whether earnings are low or not is known to some extent in advance of the realization itself. External financing is pursued in anticipation of the earnings' realization in order to maintain a desired level of liquidity. Therefore, anticipated low earnings are associated with a high level of external financing. Of course, an anticipation of low earnings is also accompanied by a decrease in the firm's value. The empiricist who looks at time series of a firm's value and of its dividend/external financing announcements would then record positive correlation between value and cash distributions and negative correlation between value and external financing.
Mean‐Variance Spanning
Published: 09/01/1987 | DOI: 10.1111/j.1540-6261.1987.tb03917.x
GUR HUBERMAN, SHMUEL KANDEL
The authors propose a likelihood‐ratio test of the hypothesis that the minimum‐variance frontier of a set of K assets coincides with the frontier of this set and another set of N assets. They study the relation between this hypothesis, exact arbitrage pricing, and mutual fund separation. The exact distribution of the test statistic is available. The authors test the hypothesis that the frontier spanned by three size‐sorted stock portfolios is the same as the frontier spanned by thirty‐three size‐sorted stock portfolios.
Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00330
Gur Huberman, Tomer Regev
A Sunday New York Times article on a potential development of new cancer‐curing drugs caused EntreMed's stock price to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. It closed above 30 in the three following weeks. The enthusiasm spilled over to other biotechnology stocks. The potential breakthrough in cancer research already had been reported, however, in the journal Nature, and in various popular newspapers (including the Times) more than five months earlier. Thus, enthusiastic public attention induced a permanent rise in share prices, even though no genuinely new information had been presented.
Offering versus Choice in 401(k) Plans: Equity Exposure and Number of Funds
Published: 03/09/2006 | DOI: 10.1111/j.1540-6261.2006.00854.x
GUR HUBERMAN, WEI JIANG
Records of over half a million participants in more than 600 401(k) plans indicate that participants tend to allocate their contributions evenly across the funds they use, with the tendency weakening with the number of funds used. The number of funds used, typically between three and four, is not sensitive to the number of funds offered by the plans, which ranges from 4 to 59. A participant's propensity to allocate contributions to equity funds is not very sensitive to the fraction of equity funds among offered funds. The paper also comments on limitations on inferences from experiments and aggregate‐level data analysis.
Mimicking Portfolios and Exact Arbitrage Pricing
Published: 03/01/1987 | DOI: 10.1111/j.1540-6261.1987.tb02546.x
GUR HUBERMAN, SHMUEL KANDEL, ROBERT F. STAMBAUGH
We characterize the sets of mimicking positions with returns that can serve in place of factors in an exact K‐factor arbitrage‐pricing relation for a set of N assets. All of the sets are K‐dimensional nonsingular linear transformations of each other. We interpret three examples of such transformations and discuss empirical considerations. We provide conditions under which the mimicking positions can be expressed as portfolios, and we characterize the relation between mimicking portfolios and the minimum‐variance frontier.
Correlated Trading and Returns
Published: 04/01/2008 | DOI: 10.1111/j.1540-6261.2008.01334.x
DANIEL DORN, GUR HUBERMAN, PAUL SENGMUELLER
A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably due to persistent speculative price pressure. Correlated limit orders also predict subsequent returns, consistent with executed limit orders being compensated for accommodating liquidity demands.