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Journal of Financial and Quantitative Analysis
1966 - 2012
from Cambridge University Press
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Volume 23, issue 04 , 1988
The Relative Valuation of American Currency Spot and Futures Options: Theory and Empirical Tests pp. 351-368 Joseph P. Ogden and Alan L. Tucker Corporate Investment and Dividend Decisions under Differential Personal Taxation pp. 369-385 Ronald Masulis and Brett Trueman Tax Options and Corporate Capital Structures pp. 387-400 Wilbur G. Lewellen and David C. Mauer The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability pp. 401-416 Paul A. Spindt and J. Ronald Hoffmeister On the Intertemporal Behavior of the Short-Term Rate of Interest pp. 417-423 Anthony B. Sanders and Haluk Unal Performance Evaluation of Market Timers: Theory and Evidence pp. 425-435 Alex Kane and Stephen Gary Marks The Early Exercise of Options on Treasury Bond Futures pp. 437-449 James A. Overdahl Hedging with Mispriced Futures pp. 451-464 John J. Merrick Trading Frictions and Futures Price Movements pp. 465-481 David H. Goldenberg Volume 23, issue 03 , 1988
The Use of the Control Variate Technique in Option Pricing pp. 237-251 John Hull and Alan D. White Excess Stock Price Volatility as a Misspecified Euler Equation pp. 253-267 Wayne Joerding The Dependence between Hourly Prices and Trading Volume pp. 269-283 Prem C. Jain and Gun-Ho Joh Some New Filter Rule Tests: Methods and Results pp. 285-300 Richard J. Sweeney The Valuation Impacts of Specially Designated Dividends pp. 301-312 Narayanan Jayaraman and Kuldeep Shastri Tax-Adjusted Duration for Amortizing Debt Instruments pp. 313-327 Duane Stock and Donald G. Simonson Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model pp. 329-336 Lars Tyge Nielsen The Delivery Option on Forward Contracts: A Note pp. 337-341 Alex Kane and Alan J. Marcus The Delivery Option on Forward Contracts: A Comment pp. 343-349 Theodore M. Barnhill Volume 23, issue 02 , 1988
Withdrawn Security Offerings pp. 119-133 Wayne H. Mikkelson and M. Megan Partch International Listings and Stock Returns: Some Empirical Evidence pp. 135-151 Gordon J. Alexander , Cheol S. Eun and S. Janakiramanan Producing Derivative Assets with Forward Contracts pp. 153-160 Avi Bick Efficient Discrete Time Jump Process Models in Option Pricing pp. 161-174 Edward Omberg The Information Content of Corporate Merger and Acquisition Offers pp. 175-197 Neal M. Stoughton The Use of Excess Cash and Debt Capacity as a Motive for Merger pp. 199-217 Robert F. Bruner On the Estimation of Bid-Ask Spreads: Theory and Evidence pp. 219-230 J. Y. Choi , Dan Salandro and Kuldeep Shastri The Determinants of Bank Interest Margins: A Note pp. 231-235 Linda Allen Volume 23, issue 01 , 1988
A Lattice Framework for Option Pricing with Two State Variables pp. 1-12 Phelim P. Boyle An Empirical Examination of the Pricing of American Put Options pp. 13-22 Edward C. Blomeyer and Herb Johnson A Put Option Paradox pp. 23-26 Mark Grinblatt and Herb Johnson Bankruptcy and Agency Costs: Their Significance to the Theory of Optimal Capital Structure pp. 27-38 Robert A. Haugen and Lemma W. Senbet Debt versus Equity under Asymmetric Information pp. 39-51 M. P. Narayanan Information Quality and Market Efficiency pp. 53-70 Thomas S. Y. Ho and Roni Michaely Measuring Event Impacts in Thinly Traded Stocks pp. 71-88 Robert Heinkel and Alan Kraus Immunizing Default-Free Bond Portfolios with a Duration Vector pp. 89-104 Donald R. Chambers , Willard T. Carleton and Richard W. McEnally Long-Term Behavior of Yield Curves pp. 105-110 Andrew F. Siegel and Charles R. Nelson Default Risk, Yield Spreads, and Time to Maturity pp. 111-117 Ricardo J. Rodriguez Volume 22, issue 04 , 1987
Effects of Classifying Equity or Debt on the Value of the Firm under Tax Asymmetry pp. 383-399 Ivan E. Brick and Lawrence Fisher A Comparison of Single and Multifactor Portfolio Performance Methodologies pp. 401-417 Nai-Fu Chen , Thomas E. Copeland and David Mayers Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application pp. 419-438 Louis O. Scott A New Linear Programming Approach to Bond Portfolio Management pp. 439-466 Ehud . Ronn Intra- and Interindustry Effects of Bank Securities Market Activities: The Case of Discount Brokerage pp. 467-482 Anthony Saunders and Michael Smirlock Security Price Reactions to Initial Reviews of Common Stock by the Value Line Investment Survey pp. 483-494 David R. Peterson Event Studies and Systems Methods: Some Additional Evidence pp. 495-504 Bill McDonald The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios pp. 505-511 George M. Frankfurter and Christopher G. Lamoureux Volume 22, issue 03 , 1987
On the Consistency of the Black-Scholes Model with a General Equilibrium Framework pp. 259-275 Avi Bick Options on the Maximum or the Minimum of Several Assets pp. 277-283 Herb Johnson Equilibrium under Uncertain Inflation: A Discrete Time Approach pp. 285-297 Haim Levy and Azriel Levy Estimating the Signaling Benefits of Debt Insurance: The Case of Municipal Bonds pp. 299-313 David S. Kidwell , Eric H. Sorensen and John M. Wachowicz Optimal Managerial Incentive Contracts and the Value of Corporate Insurance pp. 315-328 Tim S. Campbell and William A. Kracaw The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market pp. 329-343 Joseph P. Ogden The Influence of Market Conditions on Event-Study Residuals pp. 345-351 April Klein and James Rosenfeld How Many Stocks Make a Diversified Portfolio? pp. 353-363 Meir Statman On the Bias of the Corporate Tax against High-Risk Projects pp. 365-371 Hal Heaton A Risk-Return Measure of Hedging Effectiveness: A Comment pp. 373-376 Jack S. K. Chang and Latha Shanker A Risk-Return Measure of Hedging Effectiveness: A Reply pp. 377-381 Charles T. Howard and D'Antonio, Louis J. Volume 22, issue 02 , 1987
Transaction Data Tests of the Mixture of Distributions Hypothesis pp. 127-141 Lawrence Harris Option Pricing when the Variance Is Changing pp. 143-151 Herb Johnson and David Shanno Tests of an American Option Pricing Model on the Foreign Currency Options Market pp. 153-167 James N. Bodurtha and Georges R. Courtadon Commodity Contracts and Common Stocks as Hedges against Relative Consumer Price Risk pp. 169-188 Victor L. Bernard and Thomas J. Frecka Consolidation, Fragmentation, and Market Performance pp. 189-207 Haim Mendelson An Optimal Financial Response to Variable Demand pp. 209-225 Gary W. Emery A Mean-Variance Derivation of a Multi-Factor Equilibrium Model pp. 227-236 Michael C. Ehrhardt Risk Decomposition: Variance or Standard Deviation—A Reexamination and Extension pp. 237-247 Tony van Zijl Inflation and Asset Life: The Darby versus the Fisher Effect pp. 249-258 Keith M. Howe and Harvey E. Lapan Volume 22, issue 01 , 1987
Price Changes of Related Securities: The Case of Call Options and Stocks pp. 1-15 Mihir Bhattacharya Performance Incentive Fees: An Agency Theoretic Approach pp. 17-32 Laura T. Starks Short-Term Compensation Contracts and Executive Expenditure Decisions: The Case of Commercial Banks pp. 33-50 David F. Larcker Seasonality in Canadian Stock Prices: A Test of the “Tax-Loss-Selling” Hypothesis pp. 51-63 Seha M. Tinic , Giovanni Barone-Adesi and Richard R. West New Evidence on the Value Additivity Principle pp. 65-77 Malcolm R. Burns The Delivery Option on Forward Contracts pp. 79-87 Miles Livingston Risk and Inflation pp. 89-99 Eric C. Chang and J. Michael Pinegar Unit Roots Tests: Evidence from the Foreign Exchange Futures Market pp. 101-108 John Doukas and Abdul Rahman The Relation between Price Changes and Trading Volume: A Survey pp. 109-126 Jonathan Mark Karpoff
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