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Journal of Financial and Quantitative Analysis

1966 - 2014

from Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Series data maintained by Keith Waters ().

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Volume 49, issue 03, 2014

Contingent Capital: The Case of COERCs pp. 541-574 Downloads
George Pennacchi, Theo Vermaelen and Christian Wolff
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach pp. 575-598 Downloads
Zeno Adams, Roland Füss and Reint Gropp
Asset Specificity, Industry-Driven Recovery Risk, and Loan Pricing pp. 599-631 Downloads
Christopher James and Atay Kizilaslan
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence pp. 633-661 Downloads
Tim Bollerslev, James Marrone, Lai Xu and Hao Zhou
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation pp. 663-697 Downloads
Peter Christoffersen, Bruno Feunou, Kris Jacobs and Nour Meddahi
The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics pp. 699-724 Downloads
Naresh Bansal, Robert A. Connolly and Chris Stivers
Trading in the Options Market around Financial Analysts’ Consensus Revisions pp. 725-747 Downloads
Darren K. Hayunga and Peter P. Lung
The Role of Growth Options in Explaining Stock Returns pp. 749-771 Downloads
Lenos Trigeorgis and Neophytos Lambertides
The Strategic Listing Decisions of Hedge Funds pp. 773-796 Downloads
Philippe Jorion and Christopher Schwarz
Recovering Delisting Returns of Hedge Funds pp. 797-815 Downloads
James E. Hodder, Jens Jackwerth and Olga Kolokolova

Volume 49, issue 02, 2014

How Does the Market Value Toxic Assets? pp. 297-319 Downloads
Francis A. Longstaff and Brett W. Myers
Leaders, Followers, and Risk Dynamics in Industry Equilibrium pp. 321-349 Downloads
Murray Carlson, Engelbert J. Dockner, Adlai Fisher and Ron Giammarino
Financial Expertise of the Board, Risk Taking, and Performance: Evidence from Bank Holding Companies pp. 351-380 Downloads
Bernadette A. Minton, Jérôme P. Taillard and Rohan Williamson
Transparency and Financing Choices of Family Firms pp. 381-408 Downloads
Tai-Yuan Chen, Sudipto Dasgupta and Yangxin Yu
Solvency Constraint, Underdiversification, and Idiosyncratic Risks pp. 409-430 Downloads
Hong Liu
Individual Investors and Broker Types pp. 431-451 Downloads
Kingsley Y. L. Fong, David R. Gallagher and Adrian Lee
Managerial Incentives, Risk Aversion, and Debt pp. 453-481 Downloads
Andreas Milidonis and Konstantinos Stathopoulos
Interest Rate Risk and the Cross Section of Stock Returns pp. 483-511 Downloads
Abraham Lioui and Paulo Maio
Who Gains from Buying Bad Bidders? pp. 513-540 Downloads
David Offenberg, Miroslava Straska and H. Gregory Waller

Volume 49, issue 01, 2014

Real Asset Illiquidity and the Cost of Capital pp. 1-32 Downloads
Hernán Ortiz-Molina and Gordon M. Phillips
Volume and Volatility in a Common-Factor Mixture of Distributions Model pp. 33-49 Downloads
Xiaojun He and Raja Velu
Bribe Payments and Innovation in Developing Countries: Are Innovating Firms Disproportionately Affected? pp. 51-75 Downloads
Meghana Ayyagari, Asli Demirguc-Kunt and Vojislav Maksimovic
Local Gambling Preferences and Corporate Innovative Success pp. 77-106 Downloads
Yangyang Chen, Edward Podolski, S. Ghon Rhee and Madhu Veeraraghavan
Momentum Effect as Part of a Market Equilibrium pp. 107-130 Downloads
Seung Mo Choi and Hwagyun Kim
Does the Location of Directors Matter? Information Acquisition and Board Decisions pp. 131-164 Downloads
Zinat S. Alam, Mark A. Chen, Conrad S. Ciccotello and Harley E. Ryan
Investing in the “New Economy”: Mutual Fund Performance and the Nature of the Firm pp. 165-191 Downloads
Swasti Gupta-Mukherjee
The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads pp. 193-220 Downloads
Redouane Elkamhi, Kris Jacobs and Xuhui Pan
Does the Disposition Effect Matter in Corporate Takeovers? Evidence from Institutional Investors of Target Companies pp. 221-248 Downloads
Pengfei Ye
Hindsight Effects in Dollar-Weighted Returns pp. 249-269 Downloads
Simon Hayley
On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns pp. 271-296 Downloads
Hui Guo, Haimanot Kassa and Michael F. Ferguson

Volume 48, issue 06, 2013

Where Have All the IPOs Gone? pp. 1663-1692 Downloads
Xiaohui Gao, Jay Ritter and Zhongyan Zhu
A Servant to Many Masters: Competing Shareholder Preferences and Limits to Catering pp. 1693-1716 Downloads
Alberto Manconi and Massimo Massa
On the Importance of Golden Parachutes pp. 1717-1753 Downloads
Eliezer M. Fich, Anh Tran and Ralph A. Walkling
Investor Horizons and Corporate Policies pp. 1755-1780 Downloads
François Derrien, Ambrus Kecskés and David Thesmar
Creating Value by Changing the Old Guard: The Impact of Controlling Shareholder Heterogeneity on Firm Performance and Corporate Policies pp. 1781-1811 Downloads
Hua Deng, Fariborz Moshirian, Peter Kien Pham and Jason Zein
Improving Portfolio Selection Using Option-Implied Volatility and Skewness pp. 1813-1845 Downloads
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
The Sarbanes-Oxley Act, Earnings Management, and Post-Buyback Performance of Open-Market Repurchasing Firms pp. 1847-1876 Downloads
Sheng-Syan Chen and Chia-Wei Huang
Analyst Disagreement and Aggregate Volatility Risk pp. 1877-1900 Downloads
Alexander Barinov

Volume 48, issue 05, 2013

Real Assets and Capital Structure pp. 1333-1370 Downloads
Murillo Campello and Erasmo Giambona
The Joint Dynamics of Equity Market Factors pp. 1371-1404 Downloads
Peter Christoffersen and Hugues Langlois
Market Development and the Asset Growth Effect: International Evidence pp. 1405-1432 Downloads
Sheridan Titman, K. C. John Wei and Feixue Xie
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis pp. 1433-1461 Downloads
Yufeng Han, Ke Yang and Guofu Zhou
The Value of (Stock) Liquidity in the M&A Market pp. 1463-1497 Downloads
Massimo Massa and Moqi Xu
Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings pp. 1499-1518 Downloads
George O. Aragon, Michael Hertzel and Zhen Shi
Stock Price Jumps and Cross-Sectional Return Predictability pp. 1519-1544 Downloads
George J. Jiang and Tong Yao
Diversification in Private Equity Funds: On Knowledge Sharing, Risk Aversion, and Limited Attention pp. 1545-1572 Downloads
Mark Humphery-Jenner
Analyst Coverage, Information, and Bubbles pp. 1573-1605 Downloads
Sandro C. Andrade, Jiangze Bian and Timothy R. Burch
R&D Spillover Effects and Firm Performance Following R&D Increases pp. 1607-1634 Downloads
Sheng-Syan Chen, Yan-Shing Chen, Woan-lih Liang and Yanzhi Wang
The Impact of Government Intervention in Banks on Corporate Borrowers’ Stock Returns pp. 1635-1662 Downloads
Lars Norden, Peter Roosenboom and Teng Wang

Volume 48, issue 04, 2013

Algorithmic Trading and the Market for Liquidity pp. 1001-1024 Downloads
Terrence Hendershott and Ryan Riordan
Do Overvaluation-Driven Stock Acquisitions Really Benefit Acquirer Shareholders? pp. 1025-1055 Downloads
Mehmet E. Akbulut
Hedge Fund Return Predictability Under the Magnifying Glass pp. 1057-1083 Downloads
Doron Avramov, Laurent Barras and Robert Kosowski
Probability Weighting and Employee Stock Options pp. 1085-1118 Downloads
Oliver G. Spalt
Corporate Pension Plans as Takeover Deterrents pp. 1119-1144 Downloads
João F. Cocco and Paolo F. Volpin
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? pp. 1145-1171 Downloads
Turan G. Bali and Scott Murray
Can Strong Boards and Trading Their Own Firm’s Stock Help CEOs Make Better Decisions? Evidence from Acquisitions by Overconfident CEOs pp. 1173-1206 Downloads
Adam C. Kolasinski and Xu Li
Market Reaction to Corporate Press Releases pp. 1207-1240 Downloads
Andreas Neuhierl, Anna Scherbina and Bernd Schlusche
Taxation, Dividends, and Share Repurchases: Taking Evidence Global pp. 1241-1269 Downloads
Marcus Jacob and Martin Jacob
Divisible Good Auctions with Asymmetric Information: An Experimental Examination pp. 1271-1300 Downloads
Emmanuel Morales-Camargo, Orly Sade, Charles Schnitzlein and Jaime F. Zender
Internal versus external CEO choice and the structure of compensation contracts pp. 1301-1331 Downloads
Frédéric Palomino and Eloïc Peyrache

Volume 48, issue 03, 2013

CEOs Under Fire: The Effects of Competition from Inside Directors on Forced CEO Turnover and CEO Compensation pp. 669-698 Downloads
Shawn Mobbs
Contracting with Nonfinancial Stakeholders and Corporate Capital Structure: The Case of Product Warranties pp. 699-727 Downloads
Jayant R. Kale, Costanza Meneghetti and Husayn Shahrur
The Shareholder Base and Payout Policy pp. 729-760 Downloads
Andriy Bodnaruk and Per Östberg
A First Look at Mutual Funds That Use Short Sales pp. 761-787 Downloads
Honghui Chen, Hemang Desai and Srinivasan Krishnamurthy
Debt Maturity and Asymmetric Information: Evidence from Default Risk Changes pp. 789-817 Downloads
Vidhan K. Goyal and Wei Wang
Material Adverse Change Clauses and Acquisition Dynamics pp. 819-847 Downloads
David J. Denis and Antonio J. Macias
Executive Pay Disparity and the Cost of Equity Capital pp. 849-885 Downloads
Zhihong Chen, Yuan Huang and K. C. John Wei
CEO Entrenchment and Corporate Hedging: Evidence from the Oil and Gas Industry pp. 887-917 Downloads
Praveen Kumar and Ramon Rabinovitch
Corporate Governance and Risk Taking in Pension Plans: Evidence from Defined Benefit Asset Allocations pp. 919-946 Downloads
Hieu V. Phan and Shantaram P. Hegde
Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options pp. 947-977 Downloads
Michael Neumann and George Skiadopoulos
Do Stock Markets Catch the Flu? pp. 979-1000 Downloads
Brian C. McTier, Yiuman Tse and John K. Wald

Volume 48, issue 02, 2013

How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements pp. 343-375 Downloads
Pavel 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 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 Wachter
Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds pp. 309-342 Downloads
Hongfei Tang and Xiaoqing Eleanor Xu
Page updated 2015-08-02