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Journal of Financial and Quantitative Analysis

1966 - 2013

from Cambridge University Press
The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK.
Series data maintained by Keith Waters ().

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Volume 48, issue 02, 2013

How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements pp. 343-375 Downloads
Pavel Gregory Savor and Mungo Wilson
Speculative Retail Trading and Asset Prices pp. 377-404 Downloads
Bing Han and Alok Kumar
Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds pp. 405-425 Downloads
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake and Or Shachar
Governance through Trading: Institutional Swing Trades and Subsequent Firm Performance pp. 427-458 Downloads
David R. Gallagher, Peter A. Gardner and Peter Lawrence Swan
Telltale Tails: A New Approach to Estimating Unique Market Information Shares pp. 459-488 Downloads
Joachim Grammig and Franziska J. Peter
Volume Dynamics and Multimarket Trading pp. 489-518 Downloads
Michael Halling, Pamela C. Moulton and Marios Panayides
Zero-R 2Hedge Funds and Market Neutrality pp. 519-547 Downloads
Nicolas P. B. Bollen
Risk Management with Leverage: Evidence from Project Finance pp. 549-577 Downloads
Soku Byoun, Jaemin Kim and Sean Sehyun Yoo
Ownership Dynamics with Large Shareholders: An Empirical Analysis pp. 579-609 Downloads
Marcelo Donelli, Borja Larrain and . Francisco Urzúa
The Value of Marriage to Family Firms pp. 611-636 Downloads
Pramuan Bunkanwanicha, Joseph P. H. Fan and Yupana Wiwattanakantang
State Antitakeover Laws and Voluntary Disclosure pp. 637-668 Downloads
Yijiang Zhao, Arthur Allen and Iftekhar Hasan

Volume 48, issue 01, 2013

Do Portfolio Distortions Reflect Superior Information or Psychological Biases? pp. 1-45 Downloads
George M. Korniotis and Alok Kumar
The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns pp. 47-76 Downloads
Ling Cen, Gilles Hilary and K. C. John Wei
Capital Allocation by Public and Private Firms pp. 77-103 Downloads
Sandra Mortal and Natalia Reisel
Director Ownership, Governance, and Performance pp. 105-135 Downloads
Sanjai Bhagat and Brian Bolton
CEO Overconfidence and International Merger and Acquisition Activity pp. 137-164 Downloads
Stephen P. Ferris, Narayanan Jayaraman and Sanjiv Sabherwal
Executive Compensation and Business Policy Choices at U.S. Commercial Banks pp. 165-196 Downloads
Robert DeYoung, Emma Y. Peng and Meng Yan
Nonmonetary Benefits, Quality of Life, and Executive Compensation pp. 197-218 Downloads
Xin Deng and Huasheng Gao
Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study pp. 219-244 Downloads
Rajna Gibson Brandon and Songtao Wang
Cognitive Dissonance, Sentiment, and Momentum pp. 245-275 Downloads
Constantinos Antoniou, John A. Doukas and Avanidhar Subrahmanyam
Using Samples of Unequal Length in Generalized Method of Moments Estimation pp. 277-307 Downloads
Anthony W. Lynch and Jessica A. Wachter
Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds pp. 309-342 Downloads
Hongfei Tang and Xiaoqing Eleanor Xu

Volume 47, issue 06, 2012

Aggregate Idiosyncratic Volatility pp. 1155-1185 Downloads
Geert Bekaert, Robert James Hodrick and Xiaoyan Zhang
Corporate Governance, Finance, and the Real Sector pp. 1187-1214 Downloads
Paolo Fulghieri and Matti Suominen
The Principal Principle pp. 1215-1246 Downloads
Sanjiv Ranjan Das
Effects of Bank Regulation and Lender Location on Loan Spreads pp. 1247-1278 Downloads
Li Hao, Debarshi K. Nandy and Gordon Roberts
Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? pp. 1279-1301 Downloads
Mahmoud Botshekan, Roman Kraeussl and André Lucas
Information Content of Earnings Announcements: Evidence from After-Hours Trading pp. 1303-1330 Downloads
Christine X. Jiang, Tanakorn Likitapiwat and Thomas H. McInish
Modeling the Cross Section of Stock Returns: A Model Pooling Approach pp. 1331-1360 Downloads
O’Doherty, Michael, N. E. Savin and Ashish Tiwari
Futures Cross-Hedging with a Stationary Basis pp. 1361-1395 Downloads
Stefan Ankirchner, Georgi Dimitroff, Gregor Heyne and Christian Pigorsch

Volume 47, issue 05, 2012

It Pays to Follow the Leader: Acquiring Targets Picked by Private Equity pp. 901-931 Downloads
Amy Dittmar, Di Li and Amrita Nain
“Preparing” the Equity Market for Adverse Corporate Events: A Theoretical Analysis of Firms Cutting Dividends pp. 933-972 Downloads
Thomas J Chemmanur and Xuan Tian
The Optimal Use of Return Predictability: An Empirical Study pp. 973-1001 Downloads
Abhay Abhyankar, Devraj Basu and Alexander Stremme
Dividend Growth, Cash Flow, and Discount Rate News pp. 1003-1028 Downloads
Ian Garrett and Richard Priestley
Shareholders in the Boardroom: Wealth Effects of the SEC’s Proposal to Facilitate Director Nominations pp. 1029-1057 Downloads
Ali C. Akyol, Wei Fen Lim and Patrick Verwijmeren
The Credibility of Open Market Share Repurchase Signaling pp. 1059-1088 Downloads
Ilona Babenko, Yuri Tserlukevich and Alexander Vedrashko
Validation of Default Probabilities pp. 1089-1123 Downloads
Andreas Blöchlinger
Loss Allocation in Securitization Transactions pp. 1125-1153 Downloads
Günter Franke, Markus Herrmann and Thomas Weber

Volume 47, issue 04, 2012

Leverage Expectations and Bond Credit Spreads pp. 689-714 Downloads
Mark Jeffrey Flannery, Nikolova, Stanislava (Stas) and Özde Öztekin
Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open pp. 715-741 Downloads
Henk Berkman, Paul D. Koch, Laura Tuttle and Ying Jenny Zhang
Are CFOs’ Trades More Informative Than CEOs’ Trades? pp. 743-762 Downloads
Weimin Wang, Yong-Chul Shin and Bill B. Francis
Sell-Side Information Production in Financial Markets pp. 763-794 Downloads
Zhaohui Chen and William J. Wilhelm
The Prevalence of the Disposition Effect in Mutual Funds’ Trades pp. 795-820 Downloads
Gjergji Cici
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate pp. 821-849 Downloads
Albert J. Menkveld, Asani Sarkar and Michel van der Wel
Heterogeneous Beliefs and Risk-Neutral Skewness pp. 851-872 Downloads
Geoffrey C. Friesen, Yi Zhang and Thomas S. Zorn
Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion pp. 873-899 Downloads
Changling Chen, Alan Guoming Huang and Ranjini Jha

Volume 47, issue 03, 2012

The Desire to Acquire and IPO Long-Run Underperformance pp. 493-510 Downloads
James C. Brau, Robert B. Couch and Ninon K. Sutton
A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds pp. 511-535 Downloads
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
The Performance of Investment Bank-Affiliated Mutual Funds: Conflicts of Interest or Informational Advantage? pp. 537-565 Downloads
Hao, (Grace) Qing and Yan, Xuemin (Sterling)
Do Pension-Related Business Ties Influence Mutual Fund Proxy Voting? Evidence from Shareholder Proposals on Executive Compensation pp. 567-588 Downloads
Rasha Ashraf, Narayanan Jayaraman and Harley E. Ryan
Equity Mispricing and Leverage Adjustment Costs pp. 589-616 Downloads
Richard S. Warr, William B. Elliott, Johanna Koëter-Kant and Özde Öztekin
Long-Term Effects of a Financial Crisis: Evidence from Cash Holdings of East Asian Firms pp. 617-641 Downloads
Song, Kyojik (Roy) and Youngjoo Lee
The Log-Linear Return Approximation, Bubbles, and Predictability pp. 643-665 Downloads
Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard
The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns? pp. 667-688 Downloads
Pengfei Ye

Volume 47, issue 02, 2012

Volatility Trading: What Is the Role of the Long-Run Volatility Component? pp. 273-307 Downloads
Guofu Zhou and Yingzi Zhu
Stocks, Bonds, and Long-Run Consumption Risks pp. 309-332 Downloads
Henrik Hasseltoft
Asset Liquidity and Stock Liquidity pp. 333-364 Downloads
Radhakrishnan Gopalan, Ohad Kadan and Mikhail Pevzner
The Dividend Initiation Decision of Newly Public Firms: Some Evidence on Signaling with Dividends pp. 365-396 Downloads
Jayant R. Kale, Omesh Kini and Janet D. Payne
Corporate Governance and Innovation pp. 397-413 Downloads
O’Connor, Matthew and Matthew Rafferty
Clean Sweep: Informed Trading through Intermarket Sweep Orders pp. 415-435 Downloads
Sugato Chakravarty, Pankaj K. Jain, James Upson and Robert Wood
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification pp. 437-467 Downloads
Chris Kirby and Barbara Ostdiek
Repurchases, Reputation, and Returns pp. 469-491 Downloads
Alice Adams Bonaimé

Volume 47, issue 01, 2012

Inefficient Labor or Inefficient Capital? Corporate Diversification and Productivity around the World pp. 1-22 Downloads
Todd Mitton
An International Comparison of Capital Structure and Debt Maturity Choices pp. 23-56 Downloads
Joseph P. H. Fan, Sheridan Titman and Garry Twite
Sources of Gains in Corporate Mergers: Refined Tests from a Neglected Industry pp. 57-89 Downloads
David A. Becher, J. Harold Mulherin and Ralph A. Walkling
Survival of Overconfidence in Currency Markets pp. 91-113 Downloads
Thomas Oberlechner and Carol Osler
The Cross Section of Expected Returns with MIDAS Betas pp. 115-135 Downloads
Mariano Gonzalez, Juan Nave and Gonzalo Rubio
Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle pp. 137-158 Downloads
Henri Nyberg
The Performance of Corporate Bond Mutual Funds: Evidence Based on Security-Level Holdings pp. 159-178 Downloads
Gjergji Cici and Scott Gibson
Financial Strength and Product Market Competition: Evidence from Asbestos Litigation pp. 179-211 Downloads
Charles J. Hadlock and Ramana Sonti
Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity pp. 213-239 Downloads
Balasingham Balachandran, Robert William Faff, Michael Theobald and Tony van Zijl
Term Structure Estimation with Survey Data on Interest Rate Forecasts pp. 241-272 Downloads
Don H. Kim and Athanasios Orphanides
Page updated 2014-08-27