Journal of Financial and Quantitative Analysis

1966 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 31, issue 4, 1996

Multifactor Portfolio Efficiency and Multifactor Asset Pricing pp. 441-465

Eugene F. Fama

Form of Compensation and Managerial Decision Horizon pp. 467-491

M. P. Narayanan

The Impact of Security Analysts' Monitoring and Marketing Functions on the Market Value of Firms pp. 493-512

Kee H. Chung and Hoje Jo

The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility pp. 513-539

Louis H. Ederington and Jae Ha Lee

Direct Tests of Index Arbitrage Models pp. 541-562

Robert Neal

Which Takeover Targets Overinvest? pp. 563-580

Robert J. Hendershott

The Pricing of Multiclass Commercial Mortgage-Backed Securities pp. 581-603

Paul D. Childs, Steven H. Ott and Timothy J. Riddiough

On Estimating the Expected Rate of Return in Diffusion Price Models with Application to Estimating the Expected Return on the Market pp. 605-631

David H. Goldenberg and Raymond J. Schmidt

Volume 31, issue 3, 1996

The Impact of Industry Classifications on Financial Research pp. 309-335

Kathleen M. Kahle and Ralph A. Walkling

Outside Directors and CEO Selection pp. 337-355

Kenneth A. Borokhovich, Robert Parrino and Teresa Trapani

What Do Stock Splits Really Signal? pp. 357-375

David L. Ikenberry, Graeme Rankine and Earl K. Stice

Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders pp. 377-397

Anup Agrawal and Charles R. Knoeber

Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits pp. 399-417

David E. Hutchison and George Pennacchi

Evidence on Corporate Hedging Policy pp. 419-439

Shehzad L. Mian

Volume 31, issue 2, 1996

An Intertemporal Model of International Capital Market Segmentation pp. 161-188

Suleyman Basak

Dividend Changes, Abnormal Returns, and Intra-lndustry Firm Valuations pp. 189-211

Michael Firth

Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy pp. 213-231

Lawrence Harris and Joel Hasbrouck

On the Mean-Variance Tradeoff in Option Replication with Transactions Costs pp. 233-263

Klaus Bjerre Toft

Firm and Guarantor Risk, Risk Contagion, and the Interfirm Spread among Insured Deposits pp. 265-281

Douglas O. Cook and Lewis J. Spellman

Did Tough Antitrust Enforcement Cause the Diversification of American Corporations? pp. 283-294

John Matsusaka

New Evidence on the Valuation Effects of Convertible Bond Calls pp. 295-307

Sudip Datta and Mai Iskandar-Datta

Volume 31, issue 1, 1996

Pension Fund Activism and Firm Performance pp. 1-23

Sunil Wahal

Stabilization, Syndication, and Pricing of IPOs pp. 25-42

Bhagwan Chowdhry and Vikram Nanda

Externalities and Corporate Objectives in a World with Diversified Shareholder/Consumers pp. 43-68

Robert G. Hansen and John R. Lott

On the Diversification, Observability, and Measurement of Estimation Risk pp. 69-84

Pete Clarkson, Jose Guedes and Rex Thompson

Another Look at Models of the Short-Term Interest Rate pp. 85-107

Robin J. Brenner, Richard H. Harjes and Kenneth F. Kroner

Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds pp. 109-126

Stijn Claessens and George Pennacchi

Trading Volume for Winners and Losers on the Tokyo Stock Exchange pp. 127-142

Marc Bremer and Kiyoshi Kato

The Maximum Entropy Distribution of an Asset Inferred from Option Prices pp. 143-159

Peter W. Buchen and Michael Kelly

Volume 30, issue 4, 1995

Can Takeover Losses Explain Spin-Off Gains? pp. 465-485

Jeffrey W. Allen, Scott L. Lummer, John J. McConnell and Debra Reed

Under-Diversification and Retention Commitments in IPOs pp. 487-517

Lucie Courteau

Daily and Intradaily Tests of European Put-Call Parity pp. 519-539

Avraham Kamara and Thomas W. Miller

Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market pp. 541-561

Warren Bailey and Y. Peter Chung

Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets pp. 563-579

Frederick H. deB. Harris, Thomas McInish, Gary Shoesmith and Robert A. Wood

Investment under Uncertainty: The Case of Replacement Investment Decisions pp. 581-605

David C. Mauer and Steven H. Ott

The Informative Role of the Value Line Investment Survey: Evidence from Stock Highlights pp. 607-618

David R. Peterson

Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics pp. 619-642

Andrew Jeffrey

Volume 30, issue 3, 1995

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options pp. 329-346

Kalok Chan, Y. Peter Chung and Herb Johnson

On Equilibrium Pricing under Parameter Uncertainty pp. 347-364

Jeffrey Coles, Uri Loewenstein and Jose Suay

Open-Market Share Repurchase Programs and Bid-Ask Spreads on the NYSE: Implications for Corporate Payout Policy pp. 365-382

James M. Miller and John J. McConnell

Numerical Valuation of High Dimensional Multivariate American Securities pp. 383-405

Jérôme Barraquand and Didier Martineau

Dividend Payout and the Valuation Effects of Bond Announcements pp. 407-423

Shane Johnson

Signaling with Convertible Debt pp. 425-440

Wallace N. Davidson, John Glascock and Thomas V. Schwarz

A Bias in Closing Prices: The Case of the When-Issued Pricing Anomaly pp. 441-454

Raymond M. Brooks and Shur-Nuaan Chiou

Measuring True Stock Index Value in the Presence of Infrequent Trading pp. 455-464

Esa Jokivuolle

Volume 30, issue 2, 1995

Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day pp. 171-198

Roni Michaely and Jean-Luc Vila

Price Continuity Rules and Insider Trading pp. 199-221

Prajit K. Dutta and Ananth Madhavan

Relative Prices of Dual Class Shares pp. 223-239

Brian F. Smith and Ben Amoako-Adu

A Market Microstructure Explanation for Predictable Variations in Stock Returns following Large Price Changes pp. 241-256

Jinwoo Park

An Analysis of the Wealth Effects of Japanese Offshore Dollar-Denominated Convertible and Warrant Bond Issues pp. 257-270

Jun-Koo Kang, Yong-Cheol Kim, Kyung-Joo Park and René Stulz

Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-or-Pay pp. 271-293

Andrew C. Thompson

Efficient Selection of Insured Currency Positions: Protective Puts vs. Fiduciary Calls pp. 295-312

James Conover and David A. Dubofsky

Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange pp. 313-327

Thomas J. George and Chuan-Yang Hwang

Volume 30, issue 1, 1995

The Response of Stock Prices to Permanent and Temporary Shocks to Dividends pp. 1-22

Bong-Soo Lee

Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets pp. 23-42

Robin J. Brenner and Kenneth F. Kroner

The Asset Pricing Effects of Fixed Holding Costs: An Upper Bound pp. 43-59

Alan Viard

Price Adjustment Delays and Arbitrage Costs: Evidence from the Behavior of Convertible Preferred Prices pp. 61-80

Ji-Chai Lin and Michael S. Rozeff

Stock Market Reaction to Capital Investment Decisions: Evidence from Business Relocations pp. 81-100

Su Han Chan, George W. Gau and Ko Wang

The Conditional Relation between Beta and Returns pp. 101-116

Glenn N. Pettengill, Sridhar Sundaram and Ike Mathur

The Short-Run Dynamics of the Price Adjustment to New Information pp. 117-134

Louis H. Ederington and Jae Ha Lee

Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List pp. 135-157

Messod D. Beneish and John C. Gardner

The Effects of Reverse Splits on the Liquidity of the Stock pp. 159-169

Ki C. Han