Business Commons^™

Impact: What Influences Finance Research?, Tom Arnold, Alexander W. Butler, Timothy Falcon Crack, Ayca Altintig

Business Faculty Articles and Research

Which journal articles have had the most impact on finance research? Which journals dominated finance research in the 1990s? We answer these and similar questions using a comprehensive sample of journals, an extensive time period, and a new ranking method that avoids problems inherent in the existing literature. Among our findings: six of the 10 articles most highly cited by finance journals were published in econometrics or economics journals; Journal of Finance has the most citations, but it accounts for only one of the top 10 articles; and Journal of Financial Economics has the highest impact per article.

Recognizing Macroeconomic Fluctuations In Value Based Management, Lars Oxelheim, Clas Wihlborg

Business Faculty Articles and Research

Value Based Management (VBM) has become a common tool for evaluating corporate strategies and projects from the perspective of shareholder value maximization, and can be an important input for corporate compensation systems. But traditional VBM frameworks make no systematic effort to distinguish between changes in performance attributable to macroeconomic fluctuations beyond management's control and changes in performance that reflect the intrinsic competitive position of the firm.

The authors have developed an approach for “filtering out” the impact of macroeconomic fluctuations on cash flows for purposes of performance evaluation. Such fluctuations are captured by changes in exchange rates, interest rates, and …

A Quantum Field Theory Term Structure Model Applied To Hedging, Belal E. Baaquie, Marakani Skirant, Mitch Warachka

Business Faculty Articles and Research

A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence using market data reveals the effectiveness of a low …