Jack Clark Francis

Zicklin School of Business, Baruch College

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

27

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Top 36,166

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1,250

SSRN CITATIONS
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SSRN RANKINGS

Top 9,769

in Total Papers Citations

9

CROSSREF CITATIONS

92

Scholarly Papers (27)

1.

Bitcoins, Cryptocurrencies and BlockChains

Baruch College Zicklin School of Business Research Paper No. 2019-04-02
Number of pages: 20 Posted: 12 Apr 2019 Last Revised: 24 Apr 2019
Jack Clark Francis
Zicklin School of Business, Baruch College
Downloads 166 (183,777)

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Bitcoins, Cryptocurrencies, Blockchains, Money

2.

Beta as a Random Coefficient

Journal of Financial and Quantitative Analysis (JFQA), March 1978, pages 101-115
Number of pages: 17 Posted: 31 Mar 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business, Baruch College
Downloads 159 (190,652)
Citation 2

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Beta, random coefficient, point estimate

3.

Portfolio Analysis of Asset and Liability Management in Small-, Medium-, and Large-Sized Banks

Journal of Monetary Economics, August 1978, Volume 4, Number 3, pages 459-480
Number of pages: 22 Posted: 08 May 2015
Jack Clark Francis
Zicklin School of Business, Baruch College
Downloads 146 (204,694)
Citation 1

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Commercial banking firm, Markowitz portfolio analysis, banking assets, banking liabilities, efficient frontier,

4.

Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions

JOURNAL OF FINANCE, 1977 September, XXXII(4), 1093-1099.
Number of pages: 8 Posted: 31 Mar 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business, Baruch College
Downloads 143 (208,141)
Citation 5

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single-index market model, alpha, beta, bull and bear markets, binary variables

5.

Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.
Number of pages: 9 Posted: 30 Mar 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and Zicklin School of Business, Baruch College
Downloads 112 (250,875)

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Single-index market model, mutual funds, binary variables, bull and bear markets, beta

6.

Empirical Risk-Return Analysis of Real Estate Investments in the U.S., 1972-1999

Institutional Investor Journals, Journal of Alternative Investments, 4(1), 2001, 33-39.
Number of pages: 7 Posted: 16 Oct 2001 Last Revised: 21 Apr 2015
Jack Clark Francis and Roger G. Ibbotson
Zicklin School of Business, Baruch College and Yale School of Management
Downloads 80 (312,364)

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Real Estate

7.

Statistical Analysis of Risk Coefficients for NYSE Stocks

Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 5, p. 981, December 1979
Number of pages: 18 Posted: 04 Apr 2015
Jack Clark Francis
Zicklin School of Business, Baruch College
Downloads 69 (339,753)

Abstract:

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Beta, standard deviation, correlation, transition matrix

8.

Skewness and Investors' Decisions

Journal of Financial and Quantitative Analysis (JFQA), 1975
Number of pages: 11 Posted: 04 Apr 2015
Jack Clark Francis
Zicklin School of Business, Baruch College
Downloads 59 (368,241)

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Mutual funds, skewed returns, statistical moments

9.

Ex Day Effects of the 2003 Dividend Tax Cut

International Review of Economics & Finance, Vol. 41, No. 11-22, 2016
Number of pages: 12 Posted: 16 Mar 2016
Rakesh Bali and Jack Clark Francis
Deceased and Zicklin School of Business, Baruch College
Downloads 35 (455,392)

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Ex day, tax clientiles, transactions costs, price discreteness, bid-asked spreads

10.

The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979
Number of pages: 11 Posted: 04 Apr 2015
Jack Clark Francis and Frank J. Fabozzi
Zicklin School of Business, Baruch College and EDHEC Business School
Downloads 30 (478,515)

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Single index market model, alpha, beta, bull market, bear market

11.

Innovations in Partitioning a Share of Stock

Journal of Applied Corporate Finance, Volume 13.1, Spring 2000
Number of pages: 11 Posted: 22 Apr 2015
Jack Clark Francis and Rakesh Bali
Zicklin School of Business, Baruch College and Deceased
Downloads 28 (488,772)

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Partitioning a common stock, PRIMES, SCORES, Unbundled Stock Units (USUs), DIVS, OWLS, RISKS

12.

Effects of Tax Reform on Drop-Off Ratios and on Ex-Dividend and Ex-Right Prices

Review of Quantitative Finance and Accounting, Vol. 39, No. 2, 2012
Number of pages: 20 Posted: 06 Apr 2015 Last Revised: 21 Apr 2015
Jack Clark Francis, Tsing Zai Wu and Nan-Ting Kuo
Zicklin School of Business, Baruch College, National Cheng Kung University and National Central University at Taiwan
Downloads 27 (493,938)

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Ex-dividend stock price drop-off, Elton & Gruber 1970 model, tax reform, tick size

13.

Intertemporal Differences in Systematic Stock Price Movements

Journal of Financial and Quantitative Analysis (JFQA), 1975
Number of pages: 16 Posted: 04 Apr 2015
Jack Clark Francis
Zicklin School of Business, Baruch College
Downloads 27 (493,938)

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Single index market model, efficient markets hypothesis, leaders and laggers

14.

Actuarially Fair Premia for Deductible Insurance Policies

American Economist, 2010, Vol. 55, No. 2, pages 83-91
Number of pages: 9 Posted: 04 Apr 2015
Jack Clark Francis, Ariel Harel and Giora Harpaz
Zicklin School of Business, Baruch College, Independent and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 24 (510,675)

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Deductible insurance policies, actuarially fair premium, risk-neutral valuation, options

15.

Ex Day Effects of the 1984 and 1986 Tax Reform Acts

The Empirical Economics Letters, 13(1), January 2014, 53-58.
Number of pages: 6 Posted: 21 Sep 2015
Rakesh Bali and Jack Clark Francis
Deceased and Zicklin School of Business, Baruch College
Downloads 23 (516,398)

Abstract:

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Ex day, Tax clienteles, Transactions costs, Price discreteness, Bid-ask prices

16.

What Are BLDRS?

Journal of Alternative Investments, 2007
Number of pages: 13 Posted: 22 Apr 2015
Jay Dahya, Jack Clark Francis and Charlotte Strunk Hansen
Zicklin School of Business, Zicklin School of Business, Baruch College and Platinum Grove Asset Management L.P.
Downloads 23 (516,398)

Abstract:

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BLDRS, SPDRS, ETFs, WEBS

17.

Analysis of Efficient Markets

Review of Quantitative Finance and Accounting, Vol. 36, No. 2, 2011
Number of pages: 10 Posted: 22 Apr 2015
Ariel Harel, Giora Harpaz and Jack Clark Francis
Independent, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Zicklin School of Business, Baruch College
Downloads 21 (528,226)

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Bayes Rule, efficient market, trading model, forecast errors, Blackwell sufficient

18.

Analysis of Equity Returns: A Survey with Extensions

Number of pages: 12 Posted: 04 May 2016
Jack Clark Francis
Zicklin School of Business, Baruch College
Downloads 20 (534,073)

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Dividend discount model, earnings per share, price-earnings (P/E) ratio, single index market model

19.

Future Economic Information Embedded in High Yield Spreads

Number of pages: 12 Posted: 16 Apr 2019 Last Revised: 18 Apr 2019
Jack Clark Francis, Christopher Hessel and Jun Wang
Zicklin School of Business, Baruch College, City University of New York and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 17 (552,229)

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credit channel theory, collateral, financial accelerator mechanism

20.

Generalized Functional Form for Mutual Fund Returns

JOURNAL OF FINANCIAL & QUANTITATIVE ANALYSIS, 1980 December, XV(5), pages 1107-1120
Number of pages: 15 Posted: 01 Apr 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi, Jack Clark Francis and Cheng-Few Lee
EDHEC Business School, Zicklin School of Business, Baruch College and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 15 (564,265)

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Jensen portfolio performance measure, return-generating model

21.

Effects of Tax Reform on Drop-Off Ratios and on the Ex-Dividend and Ex-Rights Prices

Effects of tax reform on drop-off ratios and on the ex-dividend and ex-right prices, REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, Vol. 39, No. 2, pp. 147-164.
Number of pages: 20 Posted: 06 Apr 2015
Jack Clark Francis, Tsing Zai Wu and Nan-Ting Kuo
Zicklin School of Business, Baruch College, National Cheng Kung University and National Central University at Taiwan
Downloads 14 (570,606)

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Ex-cash-dividend stock price dropoff, Elton & Gruber model, tax reform, tick size

22.

Asset Pricing Implications of A Non-Expected Recursive Utility Function: A Review

International Review of Financial Analysis Volume 3, Number 1, 1994
Number of pages: 17 Posted: 25 Oct 1999 Last Revised: 29 Nov 2015
Jaeho Cho and Jack Clark Francis
CUNY Baruch College and Zicklin School of Business, Baruch College
Downloads 12 (583,391)

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23.

Contrasting Real Estate with Comparable Investments, 1978-2008

Journalof Portfolio Management, Vol. 35, No. 5, p. 141, 2009, https://doi.org/10.3905/JPM.2009.36.1.141
Posted: 21 May 2019
Jack Clark Francis and Roger G. Ibbotson
Zicklin School of Business, Baruch College and Yale School of Management

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Residential real estate, commercial real estate, farm real estate, securities, inflation

24.

Portfolios Weighted by Repurchase and Total Payout

Journal of Portfolio Management, Vol. 36, No. 4, 2010, https://doi.org/10.3905/jpm.2010.36.4.077
Posted: 21 May 2019
Jack Clark Francis, Christopher Hessel, Jun Wang and Ge Zhang
Zicklin School of Business, Baruch College, City University of New York, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Long Island University

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Fundamental measures, firm size, share repurchases, total payout, earnings retention

25.

Forecasting Yield Curves with Survey Information

JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163, https://doi.org/10.3905/jpm.2012.38.3.149
Posted: 21 May 2019
Jack Clark Francis and Jian Hua
Zicklin School of Business, Baruch College and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

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Yield curve, professional economic forecasters, interest rate forecast

26.

Exchange Mergers and Electronic Trading

J. C. Francis, Arie Harel, and Giora Harpaz, Exchange Mergers and Electronic Trading, Journal of Trading, Winter 2008, https://doi.org/10.3905/JOT.2009.4.1.035
Posted: 20 May 2019
Jack Clark Francis, Ariel Harel and Giora Harpaz
Zicklin School of Business, Baruch College, Independent and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

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NYSE, Archipelago, Reg NMS, Alternative Trading Systems, Euronext, Dark Pools

27.

Optimal Executive Compensation Schemes

International Journal of Finance, Volume 26, Issue 1, 2014
Posted: 12 Mar 2015 Last Revised: 02 Apr 2015
Ariel Harel, Giora Harpaz and Jack Clark Francis
Independent, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Zicklin School of Business, Baruch College

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Second-order stochastic dominance, expected utility maximization, proportional compensation plan