Journal of Financial and Quantitative Analysis

1966 - 2009

from Cambridge University Press
The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK.
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Volume 44, issue 05, 2009

Why Do Demand Curves for Stocks Slope Down? pp. 1013-1044

Antti Petajisto

Management Quality, Financial and Investment Policies, and Asymmetric Information pp. 1045-1079

Thomas J. Chemmanur, Imants Paeglis and Karen Simonyan

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis pp. 1081-1102

Chris Downing, Shane Underwood and Yuhang Xing

A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion pp. 1103-1124

Kopa, Milo? and Thierry Post

Stock Market Mispricing: Money Illusion or Resale Option? pp. 1125-1147

Carl R. Chen, Peter P. Lung and F. Albert Wang

Conflicts of Interest in the Stock Recommendations of Investment Banks and Their Determinants pp. 1149-1171

Shen, Chung-Hua and Chih, Hsiang-Lin

Asset Liquidity and Capital Structure pp. 1173-1196

Valeriy Sibilkov

Nonparametric Estimation of the Short Rate Diffusion Process from a Panel of Yields pp. 1197-1230

Abdoul G. Sam and George J. Jiang

Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy pp. 1231-1263

Nunes, Jo?o Pedro Vidal

Volume 44, issue 04, 2009

Does Prior Performance Affect a Mutual Fund?s Choice of Risk? Theory and Further Empirical Evidence pp. 745-775

Chen, Hsiu-lang and George G. Pennacchi

Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum? pp. 777-794

George Bulkley and Vivekanand Nawosah

Heterogeneous Beliefs and Momentum Profits pp. 795-822

Michela Verardo

Shareholder-Initiated Class Action Lawsuits: Shareholder Wealth Effects and Industry Spillovers pp. 823-850

Amar Gande and Craig M. Lewis

Commonality in Liquidity: A Global Perspective pp. 851-882

Paul Brockman, Dennis Y. Chung and P?rignon, Christophe

Is There an Intertemporal Relation between Downside Risk and Expected Returns? pp. 883-909

Turan G. Bali, K. Ozgur Demirtas and Haim Levy

Asset Substitution and Structured Financing pp. 911-951

Joel M. Vanden

Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks pp. 953-986

Louis Gagnon and G. Andrew Karolyi

Term Structure, Inflation, and Real Activity pp. 987-1011

Andrea Berardi

Volume 44, issue 03, 2009

Institutional versus Individual Investment in IPOs: The Importance of Firm Fundamentals pp. 489-516

Laura Casares Field and Michelle Lowry

A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives pp. 517-550

Massoud Heidari and Liuren Wu

Capital Market Imperfections and the Sensitivity of Investment to Stock Prices pp. 551-578

Alexei V. Ovtchinnikov and John J. McConnell

Managers? and Investors? Responses to Media Exposure of Board Ineffectiveness pp. 579-605

Jennifer R. Joe, Henock Louis and Dahlia Robinson

Dynamic Style Preferences of Individual Investors and Stock Returns pp. 607-640

Alok Kumar

Testing the Elasticity of Corporate Yield Spreads pp. 641-656

Gady Jacoby, Rose C. Liao and Jonathan Andrew Batten

The Role of the Media in the Internet IPO Bubble pp. 657-682

Utpal Bhattacharya, Neal Galpin, Rina Ray and Xiaoyun Yu

Sudden Deaths: Taking Stock of Geographic Ties pp. 683-718

Mara Faccio and David Parsley

Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles pp. 719-744

Lucy F. Ackert, Narat Charupat, Richard Deaves and Brian D. Kluger

Volume 44, issue 02, 2009

Testing Theories of Capital Structure and Estimating the Speed of Adjustment pp. 237-271

Rongbing Huang and Jay R. Ritter

Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds pp. 273-305

Vikas Agarwal, Nicole M. Boyson and Narayan Y. Naik

Testing International Asset Pricing Models Using Implied Costs of Capital pp. 307-335

Charles Lee, David Ng and Bhaskaran Swaminathan

Money and the C-CAPM pp. 337-368

Ronald J. Balvers and Dayong Huang

Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices pp. 369-390

Sean D. Campbell and Steven Sharpe

Stock Options and Total Payout pp. 391-410

Charles J. Cuny, Gerald S. Martin and John J. Puthenpurackal

Are the Wall Street Analyst Rankings Popularity Contests? pp. 411-437

Douglas R. Emery and Xi Li

Founder-CEOs, Investment Decisions, and Stock Market Performance pp. 439-466

Fahlenbrach, R?diger

The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market pp. 467-488

Christopher Neely, Paul A. Weller and Joshua M. Ulrich

Volume 44, issue 01, 2009

The Information Content of Idiosyncratic Volatility pp. 1-28

George J. Jiang, Danielle Xu and Tong Yao

Detecting Liquidity Traders pp. 29-54

Avner Kalay and Avi Wohl

Understanding the Penalties Associated with Corporate Misconduct: An Empirical Examination of Earnings and Risk pp. 55-83

Deborah L. Murphy, Ronald E. Shrieves and Samuel L. Tibbs

Does Sentiment Drive the Retail Demand for IPOs? pp. 85-108

Daniel Dorn

The Determinants of Credit Default Swap Premia pp. 109-132

Jan Ericsson, Kris Jacobs and Rodolfo Oviedo

Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence pp. 133-154

Hui Guo, Robert Savickas, Zijun Wang and Jian Yang

Institutional Investors, Past Performance, and Dynamic Loss Aversion pp. 155-188

O?Connell, Paul G. J. and Melvyn Teo

Stock and Bond Market Liquidity: A Long-Run Empirical Analysis pp. 189-212

Ruslan Y. Goyenko and Andrey D. Ukhov

Firm Characteristics, Relative Efficiency, and Equity Returns pp. 213-236

Giao X. Nguyen and Peggy E. Swanson

Volume 43, issue 04, 2008

Investment Banking and Analyst Objectivity: Evidence from Analysts Affiliated with Mergers and Acquisitions Advisors pp. 817-842

Adam C. Kolasinski and S. P. Kothari

Managerial Traits and Capital Structure Decisions pp. 843-881

Dirk Hackbarth

Style Investing and Institutional Investors pp. 883-906

Kenneth Froot and Melvyn Teo

Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow pp. 907-936

Diane G. Del Guercio and Paula A. Tkac

Blockholder Scarcity, Takeovers, and Ownership Structures pp. 937-974

Gary Gorton and Matthias Kahl

The Impact of Commercial Banks on Underwriting Spreads: Evidence from Three Decades pp. 975-1000

Dongcheol Kim, Darius Palia and Anthony Saunders

Using Innovative Securities under Asymmetric Information: Why Do Some Firms Pay with Contingent Value Rights? pp. 1001-1035

Sris Chatterjee and An Yan

Recovering Risk Neutral Densities from Option Prices: A New Approach pp. 1037-1053

Leonidas S. Rompolis and Elias Tzavalis

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? pp. 1055-1090

Nicole Branger and Christian Schlag

Volume 43, issue 03, 2008

Pseudo Market Timing: A Reappraisal pp. 547-579

Magnus Dahlquist and Frank de Jong

The Cost to Firms of Cooking the Books pp. 581-611

Jonathan M. Karpoff, D. Scott Lee and Gerald S. Martin

Portfolio Concentration and the Performance of Individual Investors pp. 613-655

Ivkovi?, Zoran, Clemens Sialm and Scott Weisbenner

Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns pp. 657-684

Turan G. Bali, K. Ozgur Demirtas and Hassan Tehranian

Home-Biased Analysts in Emerging Markets pp. 685-716

Sandy Lai and Melvyn Teo

The Costs of Owning Employer Stocks: Lessons from Taiwan pp. 717-740

Lee, Yi-Tsung, Liu, Yu-Jane and Ning Zhu

Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance pp. 741-767

Yan, Xuemin (Sterling)

Irreversible Investment, Financing, and Bankruptcy Decisions in an Oligopoly pp. 769-786

Jou, Jyh-bang and Tan Lee

New Evidence of Asymmetric Dependence Structures in International Equity Markets pp. 787-815

Tatsuyoshi Okimoto

Volume 43, issue 02, 2008

Conditional Return Smoothing in the Hedge Fund Industry pp. 267-298

Nicolas P. B. Bollen and Veronika K. Pool

Investment and Competition pp. 299-330

Akdo?u, Evrim and Peter MacKay

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression pp. 331-353

Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin

The Poor Predictive Performance of Asset Pricing Models pp. 355-380

Timothy T. Simin

Corporate Governance, Shareholder Rights, and Shareholder Rights Plans: Poison, Placebo, or Prescription? pp. 381-400

Gary L. Caton and Jeremy Goh

Are Household Portfolios Efficient? an Analysis Conditional on Housing pp. 401-431

Loriana Pelizzon and Guglielmo Weber

Debt Capacity, Cost of Debt, and Corporate Insurance pp. 433-466

Hong Zou and Mike B. Adams

Macroeconomic News, Order Flows, and Exchange Rates pp. 467-488

Ryan Love and Richard Payne

International Diversification with Large- and Small-Cap Stocks pp. 489-524

Cheol S. Eun, Wei Huang and Sandy Lai

Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM pp. 525-546

Enrico De Giorgi and Thierry Post

Volume 43, issue 01, 2008

Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? pp. 1-28

Amber Anand and Avanidhar Subrahmanyam

Idiosyncratic Volatility and the Cross Section of Expected Returns pp. 29-58

Turan G. Bali and Nusret Cakici

The Determinants of Capital Structure: Capital Market-Oriented versus Bank-Oriented Institutions pp. 59-92

Antonios Antoniou, Yilmaz Guney and Krishna Paudyal

Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks pp. 93-121

Michael J. Barclay, Terrence Hendershott and Charles M. Jones

An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors pp. 123-160

Chen, Ren-Raw, Xiaolin Cheng, Frank J. Fabozzi and Bo Liu

Control Transfers, Privatization, and Corporate Performance: Efficiency Gains in China's Listed Companies pp. 161-190

Gongmeng Chen, Michael Firth, Yu Xin and Liping Xu

Stock Market Participation and the Internet pp. 191-211

Vicki Bogan

Insiders' Tax Preferences and Firms' Choices between Dividends and Share Repurchases pp. 213-244

Jim Hsieh and Qinghai Wang

The Genesis of Home Bias? The Location and Portfolio Choices of Investment Company Start-Ups pp. 245-266

Jerry T. Parwada