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Journal of Financial and Quantitative Analysis

1966 - 2015

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 12, issue 05, 1977

Asset Values, Interest-Rate Changes, and Duration pp. 701-723 Downloads
. A. Cooper
Immunization, Duration, and the Term Structure of Interest Rates pp. 725-742 Downloads
G. O. Bierwag
The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models pp. 743-765 Downloads
Randolph Westerfield
A Spectral Analysis of Aggregate Commercial Bank Liability Management and Its Relationship to Short-Run Earning Asset Behavior pp. 767-778 Downloads
John L. Eatman and Calvin W. Sealey
Identifying Large Problem/Failed Banks: The Case of Franklin National Bank of New York pp. 779-800 Downloads
Joseph F. Sinkey
The Effect of Compensating Balance Requirements on the Profitability of Borrowers and Lenders pp. 801-815 Downloads
Richard Kolodny, Peter Seeley and Murray E. Polakoff
Mixed Security Testing of Alternative Portfolio Selection Models pp. 817-832 Downloads
Gordon Alexander
Market Phase and the Stationarity of Beta pp. 833-857 Downloads
Arthur E. Gooding and O'Malley, Terence P.
Multiperiod Capital Budgeting under Uncertainty: A Suggested Application pp. 859-877 Downloads
Haim Ben-Shahar and Frank M. Werner
Comment: “An Autoregressive Forecast of the World Sugar Future Option Market” pp. 879-881 Downloads
O. D. Anderson
Comment: “An Autoregressive Forecast of the World Sugar Future Option Market” pp. 883-890 Downloads
Stephen J. Taylor and Brian G. Kingsman
Comment: “An Investment Paradox” pp. 891-894 Downloads
Giulio Ghidini

Volume 12, issue 04, 1977

The Valuation of Corporate Liabilities as Compound Options pp. 541-552 Downloads
Robert Geske
The Theorems of Modern Finance in a General Equilibrium Setting: Paradoxes Resolved pp. 553-562 Downloads
Paul H. Cootner
A Probability Model of Asset Trading pp. 563-578 Downloads
Thomas E. Copeland
Leasing and the Cost of Capital pp. 579-586 Downloads
Michael S. Long
Municipal Bond Ratings: A Discriminant Analysis Approach pp. 587-598 Downloads
Allen J. Michel
Integrating International Finance into a Unified Business Program pp. 599-600 Downloads
William R. Folks
A Note on the Macroeconomic Assumptions of International Financial Management pp. 601-605 Downloads
Ian H. Giddy
Teaching International Finance–An Economist's Perspective pp. 607-608 Downloads
Mark R. Eaker
Teaching International Finance–An Accountant's Perspective pp. 609-614 Downloads
Frederick D. S. Choi
The Relationship between Risk of Default and Return on Equity: An Empirical Investigation pp. 615-625 Downloads
Avner Arbel, Richard Kolodny and Josef Lakonishok
Abstract: An Equilibrium Characterization of the Term Structure pp. 627-627 Downloads
Oldrich Alfonso Vasicek
Abstract: Characterizations of Exchange Convertibility Schemes: A Structure for Analysis pp. 629-629 Downloads
William R. Folks
Abstract: An Examination of the Forward Exchange Market during Pegged and Floating Systems: United States, Canada, Germany, and United Kingdom pp. 631-631 Downloads
James R. F. Guy
Abstract: Exchange Rate Risk, Foreign-Pay Bond Issues and the Financial Behavior of Canadian Corporations pp. 633-633 Downloads
Karl A. Stroetmann
Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework pp. 635-635 Downloads
Vijay S. Bawa and Eric B. Lindenberg
Abstract: Institutional Portfolio Restrictions, Diverse Investor Opportunity Sets, and Securities Market Equilibrium pp. 637-637 Downloads
David W. Glenn
Abstract: Stochastic Dominance in the Laplace Transformation Domain pp. 639-639 Downloads
Stylianos Perrakis
Abstract Executive Compensation Models: Some Problems with Traditional Methods of Estimation pp. 641-641 Downloads
Richard J. Arnould
Abstract: A Portfolio Model for Identifying Banks Operating under Capital Constraints pp. 643-643 Downloads
Willard T. Carleton and Hugh S. McLaughlin
Abstract: Monitoring Discrimination in Housing-Related Lending pp. 645-645 Downloads
Harold Black and Lewis Mandell
Abstract: The Macroeconomic Effects of Allowing Interest Payment on Demand Deposits pp. 647-647 Downloads
Peter Lloyd-Davies
Abstract: A Comparison of Alternative Approaches to Monetary Control pp. 649-649 Downloads
William R. McDonough and Clifford L. Fry
Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee pp. 651-652 Downloads
Michael Brennan and Eduardo S. Schwartz
Abstract: Nuclear Power and Electric Utility Capital Costs: The Announcement Effect pp. 653-653 Downloads
Charles M. Linke and J. Kenton Zumwalt
Abstract: An Empirical Assessment of Lessee Disclosure Policy pp. 655-655 Downloads
John S. Hughes and George S. Oldfield
Abstract: A Resolution of the Leasing Controversies pp. 657-657 Downloads
J. Fred Weston and Larry Y. Dann
Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis pp. 659-659 Downloads
Michael Brennan and Eduardo S. Schwartz
Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims pp. 661-661 Downloads
John C. Cox, Jonathan E. Ingersoll and Stephen A. Ross
Abstract: Direct Evaluation and Corporate Financial Theory pp. 663-663 Downloads
A. Beja and Hayne Leland
Abstract: Short-Term Financial Planning under Uncertainty pp. 665-665 Downloads
J. G. Kallberg, R. W. White and W. T. Ziemba
Abstract: Option Valuation Models–Some Implications of Parameter Estimation pp. 667-667 Downloads
P. P. Boyle and A. L. Ananthanarayan
Abstract: The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification pp. 669-669 Downloads
Roger Klein and Vijay S. Bawa
Abstract: The Forecast Error Impact of Alternative Length Beta Estimation Periods, Adjustment Techniques, and Risk Classes pp. 671-671 Downloads
Arthur A. Eubank and J. Kenton Zumwalt
Abstract: Recursive Experimental Design for Econometric Research: The Multiple Response Case pp. 673-674 Downloads
Panagiotis A. Papakyriazis
Abstract: A Note on Dummy Variables and the Chow Test: Their Equivalence and Uses in Testing pp. 675-675 Downloads
Marcellus S. Snow
Abstract: A Multiple Discriminant Analysis of Technical Indicators on the NYSE pp. 677-678 Downloads
Robert T. Daigler and Bruce D. Fielitz
Abstract: Investor Objectives, Stock Recommendations and Abnormal Returns pp. 679-679 Downloads
John Groth

Volume 12, issue 03, 1977

Simple Rules for Optimal Portfolio Selection: The Multi Group Case pp. 329-345 Downloads
Edwin J. Elton, Martin J. Gruber and Manfred W. Padberg
Mean-Variance Portfolio Selection with Either a Singular or Nonsingular Variance-Covariance Matrix pp. 347-361 Downloads
Stephen A. Buser
A Test of Stone's Two-Index Model of Returns pp. 363-376 Downloads
William P. Lloyd and Richard A. Shick
An Empirical Analysis of the Risk-Return Preferences of Individual Investors pp. 377-389 Downloads
H. Kent Baker, Michael B. Hargrove and John A. Haslem
A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges pp. 391-413 Downloads
J. L. Sharma and Robert E. Kennedy
Stock Exchange Listings and Securities Returns pp. 415-432 Downloads
Louis K. W. Ying, Wilbur G. Lewellen, Gary G. Schlarbaum and Ronald C. Lease
Price Spreads, Performance, and the Seasoning of New Treasury and Agency Bond Issues pp. 433-455 Downloads
John S. Bildersee
Using Pooled Time-Series and Cross-Section Data to Test the Firm and Time Effects in Financial Analyses pp. 457-471 Downloads
Hui-shyong Chang and Cheng F. Lee
Forward Exchange Price Determination in Continuous Time pp. 473-479 Downloads
George S. Oldfield and Richard J. Messina
An Analytical Model of Interest Rate Differentials and Different Default Recoveries pp. 481-490 Downloads
Jess B. Yawitz
A Ranking of Doctoral Programs by Financial Research Contributions of Graduates pp. 491-497 Downloads
Robert C. Klemkosky and Donald L. Tuttle
A Reformulation of the API Approach to Evaluating Accounting Income Numbers pp. 499-504 Downloads
Joseph K. Winsen
An Unbiased Estimator of the N-Period Relative pp. 505-507 Downloads
Cliff J. Huang
A Note on Risk Aversion and Indifference Curves pp. 509-513 Downloads
Yakov Amihud
Comment: Convertible Debt Financing pp. 515-518 Downloads
Miles Livingston
Comment: An Economic Model of Trade Credit pp. 519-524 Downloads
Calvin R. Myers
A Note on Fisher Hypothesis and Price Level Uncertainty pp. 525-530 Downloads
Y. Amihud and A. Barnea

Volume 12, issue 02, 1977

The Association between Firm Risk and Wealth Transfers Due to Inflation pp. 151-163 Downloads
Michael S. Rozeff
On Mean Variance Models of Capital Structure and the Absurdity of Their Predictions pp. 165-179 Downloads
Nestor Gonzalez, Robert Litzenberger and Jacques Rolfo
Interest Rate Sensitivity and Portfolio Risk pp. 181-195 Downloads
John D. Martin and Arthur J. Keown
Portfolio Selection with Stochastic Cash Demand pp. 197-213 Downloads
Andrew H. Chen
A Monte Carlo Investigation of Characteristics of Optimal Geometric Mean Portfolios pp. 215-233 Downloads
Steven F. Maier, David W. Peterson and James H. Vander Weide
Further Applications of Stochastic Dominance to Mutual Fund Performance pp. 235-242 Downloads
Jack Meyer
A Model for Bond Portfolio Improvement pp. 243-260 Downloads
S. D. Hodges and S. M. Schaefer
A Capital Budgeting Decision Model with Subjective Criteria pp. 261-275 Downloads
John J. Bernardo and Howard P. Lanser
Simple Goodness-of-Fit Tests for Symmetric Stable Distributions pp. 276-289 Downloads
Erwin M. Saniga and Jack C. Hayya
Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals pp. 291-313 Downloads
Robert A. Schwartz and David K. Whitcomb
A Warning Note on Empirical Research Using Foreign Exchange Rates pp. 315-319 Downloads
David A. Bowers
Utility Analysis of Chance-Constrained Portfolio Selection: A Correction pp. 321-323 Downloads
E. R. Arzac

Volume 12, issue 01, 1977

Interest Rates, Leverage, and Investor Rationality pp. 1-16 Downloads
Robert E. Krainer
The Weighted Average Cost of Capital and Shareholder Wealth Maximization pp. 17-31 Downloads
William Beranek
Unrecovered Investment, Uniqueness of the Internal Rate, and the Question of Project Acceptability pp. 33-38 Downloads
Richard B. Bernhard
Capital Investment under Uncertainty with Abandonment Options pp. 39-54 Downloads
Charles P. Bonini
Functional Form, Skewness Effect, and the Risk-Return Relationship pp. 55-72 Downloads
Cheng F. Lee
On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions pp. 73-84 Downloads
R. G. Vickson and M. Altmann
Analysis of the Warrant Hedge in a Stable Paretian Market pp. 85-103 Downloads
Jimmy E. Hilliard and Robert A. Leitch
Investor Preferences for Futures Straddles pp. 105-120 Downloads
Richard L. Peterson
A Note on Indifference Curves in the Mean-Variance Model pp. 121-126 Downloads
Joseph T. Williams
Bond Portfolio Strategies, Returns, and Skewness: A Note pp. 127-140 Downloads
H. Russell Fogler, William A. Groves and James G. Richardson
Security Price Changes and Transaction Volumes: Some Additional Evidence pp. 141-146 Downloads
Thomas W. Epps
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