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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 23, issue 04, 1988

The Relative Valuation of American Currency Spot and Futures Options: Theory and Empirical Tests pp. 351-368 Downloads
Joseph P. Ogden and Alan L. Tucker
Corporate Investment and Dividend Decisions under Differential Personal Taxation pp. 369-385 Downloads
Ronald Masulis and Brett Trueman
Tax Options and Corporate Capital Structures pp. 387-400 Downloads
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 Downloads
Paul A. Spindt and J. Ronald Hoffmeister
On the Intertemporal Behavior of the Short-Term Rate of Interest pp. 417-423 Downloads
Anthony B. Sanders and Haluk Unal
Performance Evaluation of Market Timers: Theory and Evidence pp. 425-435 Downloads
Alex Kane and Stephen Gary Marks
The Early Exercise of Options on Treasury Bond Futures pp. 437-449 Downloads
James A. Overdahl
Hedging with Mispriced Futures pp. 451-464 Downloads
John J. Merrick
Trading Frictions and Futures Price Movements pp. 465-481 Downloads
David H. Goldenberg

Volume 23, issue 03, 1988

The Use of the Control Variate Technique in Option Pricing pp. 237-251 Downloads
John Hull and Alan D. White
Excess Stock Price Volatility as a Misspecified Euler Equation pp. 253-267 Downloads
Wayne Joerding
The Dependence between Hourly Prices and Trading Volume pp. 269-283 Downloads
Prem C. Jain and Gun-Ho Joh
Some New Filter Rule Tests: Methods and Results pp. 285-300 Downloads
Richard J. Sweeney
The Valuation Impacts of Specially Designated Dividends pp. 301-312 Downloads
Narayanan Jayaraman and Kuldeep Shastri
Tax-Adjusted Duration for Amortizing Debt Instruments pp. 313-327 Downloads
Duane Stock and Donald G. Simonson
Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model pp. 329-336 Downloads
Lars Tyge Nielsen
The Delivery Option on Forward Contracts: A Note pp. 337-341 Downloads
Alex Kane and Alan J. Marcus
The Delivery Option on Forward Contracts: A Comment pp. 343-349 Downloads
Theodore M. Barnhill

Volume 23, issue 02, 1988

Withdrawn Security Offerings pp. 119-133 Downloads
Wayne H. Mikkelson and M. Megan Partch
International Listings and Stock Returns: Some Empirical Evidence pp. 135-151 Downloads
Gordon J. Alexander, Cheol S. Eun and S. Janakiramanan
Producing Derivative Assets with Forward Contracts pp. 153-160 Downloads
Avi Bick
Efficient Discrete Time Jump Process Models in Option Pricing pp. 161-174 Downloads
Edward Omberg
The Information Content of Corporate Merger and Acquisition Offers pp. 175-197 Downloads
Neal M. Stoughton
The Use of Excess Cash and Debt Capacity as a Motive for Merger pp. 199-217 Downloads
Robert F. Bruner
On the Estimation of Bid-Ask Spreads: Theory and Evidence pp. 219-230 Downloads
J. Y. Choi, Dan Salandro and Kuldeep Shastri
The Determinants of Bank Interest Margins: A Note pp. 231-235 Downloads
Linda Allen

Volume 23, issue 01, 1988

A Lattice Framework for Option Pricing with Two State Variables pp. 1-12 Downloads
Phelim P. Boyle
An Empirical Examination of the Pricing of American Put Options pp. 13-22 Downloads
Edward C. Blomeyer and Herb Johnson
A Put Option Paradox pp. 23-26 Downloads
Mark Grinblatt and Herb Johnson
Bankruptcy and Agency Costs: Their Significance to the Theory of Optimal Capital Structure pp. 27-38 Downloads
Robert A. Haugen and Lemma W. Senbet
Debt versus Equity under Asymmetric Information pp. 39-51 Downloads
M. P. Narayanan
Information Quality and Market Efficiency pp. 53-70 Downloads
Thomas S. Y. Ho and Roni Michaely
Measuring Event Impacts in Thinly Traded Stocks pp. 71-88 Downloads
Robert Heinkel and Alan Kraus
Immunizing Default-Free Bond Portfolios with a Duration Vector pp. 89-104 Downloads
Donald R. Chambers, Willard T. Carleton and Richard W. McEnally
Long-Term Behavior of Yield Curves pp. 105-110 Downloads
Andrew F. Siegel and Charles R. Nelson
Default Risk, Yield Spreads, and Time to Maturity pp. 111-117 Downloads
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 Downloads
Ivan E. Brick and Lawrence Fisher
A Comparison of Single and Multifactor Portfolio Performance Methodologies pp. 401-417 Downloads
Nai-Fu Chen, Thomas E. Copeland and David Mayers
Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application pp. 419-438 Downloads
Louis O. Scott
A New Linear Programming Approach to Bond Portfolio Management pp. 439-466 Downloads
Ehud . Ronn
Intra- and Interindustry Effects of Bank Securities Market Activities: The Case of Discount Brokerage pp. 467-482 Downloads
Anthony Saunders and Michael Smirlock
Security Price Reactions to Initial Reviews of Common Stock by the Value Line Investment Survey pp. 483-494 Downloads
David R. Peterson
Event Studies and Systems Methods: Some Additional Evidence pp. 495-504 Downloads
Bill McDonald
The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios pp. 505-511 Downloads
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 Downloads
Avi Bick
Options on the Maximum or the Minimum of Several Assets pp. 277-283 Downloads
Herb Johnson
Equilibrium under Uncertain Inflation: A Discrete Time Approach pp. 285-297 Downloads
Haim Levy and Azriel Levy
Estimating the Signaling Benefits of Debt Insurance: The Case of Municipal Bonds pp. 299-313 Downloads
David S. Kidwell, Eric H. Sorensen and John M. Wachowicz
Optimal Managerial Incentive Contracts and the Value of Corporate Insurance pp. 315-328 Downloads
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 Downloads
Joseph P. Ogden
The Influence of Market Conditions on Event-Study Residuals pp. 345-351 Downloads
April Klein and James Rosenfeld
How Many Stocks Make a Diversified Portfolio? pp. 353-363 Downloads
Meir Statman
On the Bias of the Corporate Tax against High-Risk Projects pp. 365-371 Downloads
Hal Heaton
A Risk-Return Measure of Hedging Effectiveness: A Comment pp. 373-376 Downloads
Jack S. K. Chang and Latha Shanker
A Risk-Return Measure of Hedging Effectiveness: A Reply pp. 377-381 Downloads
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 Downloads
Lawrence Harris
Option Pricing when the Variance Is Changing pp. 143-151 Downloads
Herb Johnson and David Shanno
Tests of an American Option Pricing Model on the Foreign Currency Options Market pp. 153-167 Downloads
James N. Bodurtha and Georges R. Courtadon
Commodity Contracts and Common Stocks as Hedges against Relative Consumer Price Risk pp. 169-188 Downloads
Victor L. Bernard and Thomas J. Frecka
Consolidation, Fragmentation, and Market Performance pp. 189-207 Downloads
Haim Mendelson
An Optimal Financial Response to Variable Demand pp. 209-225 Downloads
Gary W. Emery
A Mean-Variance Derivation of a Multi-Factor Equilibrium Model pp. 227-236 Downloads
Michael C. Ehrhardt
Risk Decomposition: Variance or Standard Deviation—A Reexamination and Extension pp. 237-247 Downloads
Tony van Zijl
Inflation and Asset Life: The Darby versus the Fisher Effect pp. 249-258 Downloads
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 Downloads
Mihir Bhattacharya
Performance Incentive Fees: An Agency Theoretic Approach pp. 17-32 Downloads
Laura T. Starks
Short-Term Compensation Contracts and Executive Expenditure Decisions: The Case of Commercial Banks pp. 33-50 Downloads
David F. Larcker
Seasonality in Canadian Stock Prices: A Test of the “Tax-Loss-Selling” Hypothesis pp. 51-63 Downloads
Seha M. Tinic, Giovanni Barone-Adesi and Richard R. West
New Evidence on the Value Additivity Principle pp. 65-77 Downloads
Malcolm R. Burns
The Delivery Option on Forward Contracts pp. 79-87 Downloads
Miles Livingston
Risk and Inflation pp. 89-99 Downloads
Eric C. Chang and J. Michael Pinegar
Unit Roots Tests: Evidence from the Foreign Exchange Futures Market pp. 101-108 Downloads
John Doukas and Abdul Rahman
The Relation between Price Changes and Trading Volume: A Survey pp. 109-126 Downloads
Jonathan Mark Karpoff
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