Journal of Financial Economics

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Editors

The following persons are or have been editors-in-chief of the journal: [4]

Awards

The journal issues two annual prizes for economics research, Jensen Prize and Fama–DFA Prize.

Related Research Articles

Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade". Its concern is thus the interrelation of financial variables, such as share prices, interest rates and exchange rates, as opposed to those concerning the real economy. It has two main areas of focus: asset pricing and corporate finance; the first being the perspective of providers of capital, i.e. investors, and the second of users of capital. It thus provides the theoretical underpinning for much of finance.

<span class="mw-page-title-main">Robert C. Merton</span> American economist

Robert Cox Merton is an American economist, Nobel Memorial Prize in Economic Sciences laureate, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especially the first continuous-time option pricing model, the Black–Scholes–Merton model. In 1997 Merton together with Myron Scholes were awarded the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel for the method to determine the value of derivatives.

<span class="mw-page-title-main">Myron Scholes</span> Canadian–American financial economist

Myron Samuel Scholes is a Canadian–American financial economist. Scholes is the Frank E. Buck Professor of Finance, Emeritus, at the Stanford Graduate School of Business, Nobel Laureate in Economic Sciences, and co-originator of the Black–Scholes options pricing model. Scholes is currently the chairman of the Board of Economic Advisers of Stamos Capital Partners. Previously he served as the chairman of Platinum Grove Asset Management and on the Dimensional Fund Advisors board of directors, American Century Mutual Fund board of directors and the Cutwater Advisory Board. He was a principal and limited partner at Long-Term Capital Management (LTCM), a highly leveraged hedge fund that collapsed in 1998, and a managing director at Salomon Brothers. Other positions Scholes held include the Edward Eagle Brown Professor of Finance at the University of Chicago, senior research fellow at the Hoover Institution, director of the Center for Research in Security Prices, and professor of finance at MIT's Sloan School of Management. Scholes earned his PhD at the University of Chicago.

<span class="mw-page-title-main">Capital asset pricing model</span> Model used in finance

In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.

<span class="mw-page-title-main">Efficient-market hypothesis</span> Economic theory that asset prices fully reflect all available information

The efficient-market hypothesis (EMH) is a hypothesis in financial economics that states that asset prices reflect all available information. A direct implication is that it is impossible to "beat the market" consistently on a risk-adjusted basis since market prices should only react to new information.

<span class="mw-page-title-main">Eugene Fama</span> American economist and Nobel laureate in Economics

Eugene Francis "Gene" Fama is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis.

A market anomaly in a financial market is predictability that seems to be inconsistent with theories of asset prices. Standard theories include the capital asset pricing model and the Fama-French Three Factor Model, but a lack of agreement among academics about the proper theory leads many to refer to anomalies without a reference to a benchmark theory. Indeed, many academics simply refer to anomalies as "return predictors", avoiding the problem of defining a benchmark theory.

The American Finance Association (AFA) is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939. Its main publication, the Journal of Finance, was first published in 1946.

Sanford "Sandy" Jay Grossman is an American economist and hedge fund manager specializing in quantitative finance. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica, and Journal of Finance. His research in macroeconomics, finance, and risk management has earned numerous awards. Grossman is currently Chairman and CEO of QFS Asset Management, an affiliate of which he founded in 1988. QFS Asset Management shut down its sole remaining hedge fund in January 2014.

Michael Cole "Mike" Jensen is an American economist who works in the area of financial economics. Between 2000 and 2009 he worked for the Monitor Company Group, a strategy-consulting firm which became "Monitor Deloitte" in 2013. He holds the position of Jesse Isidor Straus Professor of Business Administration, Emeritus, at Harvard University.

<span class="mw-page-title-main">Michael Boskin</span> American businessman

Michael Jay Boskin is the T. M. Friedman Professor of Economics and senior fellow at Stanford University's Hoover Institution. He also is chief executive officer and president of Boskin & Co., an economic consulting company.

The MIT Department of Economics is a department of the Massachusetts Institute of Technology in Cambridge, Massachusetts.

The Fama–DFA Prize is an annual prize given to authors with the best capital markets and asset pricing research papers published in the Journal of Financial Economics. The award is named after Eugene Fama, who is a co-founding advisory editor of the journal, a financial economist who helped to develop the efficient-market hypothesis and random walk hypothesis in asset pricing, a 2013 Nobel laureate in Economics, a professor of finance at the Booth School of Business at the University of Chicago, and a research director for Dimensional Fund Advisors and the Center for Research in Securities Prices. The prize is also named for the investment advisory firm, Dimensional Fund Advisors.

Richard Roll is an American economist and professor of finance at UCLA, best known for his work on portfolio theory and asset pricing, both theoretical and empirical.

The Deutsche Bank Prize in Financial Economics honors renowned researchers who have made influential contributions to the fields of finance and money and macroeconomics, and whose work has led to practical and policy-relevant results. It was awarded biannually from 2005 to 2015 by the Center for Financial Studies (CFS), in partnership with Goethe University Frankfurt, and is sponsored by Deutsche Bank Donation Fund. The award carried an endowment of €50,000, which was donated by the Stiftungsfonds Deutsche Bank im Stifterverband für die Deutsche Wissenschaft.

<span class="mw-page-title-main">Andrew Lo</span>

Andrew Wen-Chuan Lo is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in finance and financial economics. He founded AlphaSimplex Group in 1999 and served as chairman and chief investment strategist until 2018 when he transitioned to his current role as chairman emeritus and senior advisor.

The Canadian Political Science Association is an organization of political scientists in Canada. It is a bilingual organization and publishes the bilingual journal Canadian Journal of Political Science. The organization is headquartered in Ottawa, Ontario, and has an annual convention in conjunction with the Canadian Federation for the Humanities and Social Sciences. It was founded in 1912.

Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations. The occupation is similar to those in industrial mathematics in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns.

Campbell Russell "Cam" Harvey is a Canadian economist, known for his work on asset allocation with changing risk and risk premiums and the problem of separating luck from skill in investment management. He is currently the J. Paul Sticht Professor of International Business at Duke University's Fuqua School of Business in Durham, North Carolina, as well as a research associate with the National Bureau of Economic Research in Cambridge, Massachusetts. He is also a research associate with the Institute of International Integration Studies at Trinity College Dublin and a visiting researcher at the University of Oxford. He served as the 2016 president of the American Finance Association.

References

  1. Oltheten, Elisabeth; Theoharakis, Vasilis; Travlos, Nickolaos G. (2005-03-01). "Faculty Perceptions and Readership Patterns of Finance Journals: A Global View". Journal of Financial and Quantitative Analysis. 40 (1): 223–239. doi:10.1017/S0022109000001800.
  2. Borokhovich, Kenneth A.; Bricker, Robert J.; Simkins, Betty J. (1994-06-01). "Journal Communication and Influence in Financial Research". The Journal of Finance. 49 (2): 713–725. doi:10.1111/j.1540-6261.1994.tb05159.x.
  3. "Journal of Financial Economics". 2020 Journal Citation Reports. Web of Science (Science ed.). Thomson Reuters. 2021.
  4. 1 2 Schwert, G. William. "The Remarkable Growth in Financial Economics, 1974-2020". SSRN. Retrieved 19 November 2021.