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Journal of Banking & Finance

1977 - 2017

Current editor(s): Ike Mathur

From Elsevier
Series data maintained by Dana Niculescu ().

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Volume 30, issue 12, 2006

A pioneer in Finance: Marshal Samat, 1929-2006 pp. iii-iv Downloads
Giorgio Szego
Introduction: Crises, financial stability and macroeconomic policy. Papers from the 11th Dubrovnik Economic Conference pp. 3257-3258 Downloads
Paul Wachtel and Boris Vujcic
What do deficits tell us about debt? Empirical evidence on creative accounting with fiscal rules in the EU pp. 3259-3279 Downloads
Juergen von Hagen and Guntram Wolff
Fiscal adjustment in EU countries: A balance sheet approach pp. 3281-3298 Downloads
Gian Maria Milesi-Ferretti and Kenji Moriyama
The role of foreign currency debt in financial crises: 1880-1913 versus 1972-1997 pp. 3299-3329 Downloads
Michael Bordo and Christopher Meissner
Decomposing the effects of financial liberalization: Crises vs. growth pp. 3331-3348 Downloads
Romain Ranciere, Aaron Tornell and Frank Westermann
Pricing growth-indexed bonds pp. 3349-3366 Downloads
Marcos Chamon and Paolo Mauro
M&As performance in the European financial industry pp. 3367-3392 Downloads
Jose Campa and Ignacio Hernando
Real exchange rates in small open OECD and transition economies: Comparing apples with oranges? pp. 3393-3406 Downloads
Balázs Égert, Kirsten Lommatzsch and Amina Lahreche-Revil
Monetary and financial stability: Here to stay? pp. 3407-3414 Downloads
Claudio Borio
A framework for assessing financial stability? pp. 3415-3422 Downloads
C.A.E. Goodhart
Financial stability: A worthy goal, but how feasible? pp. 3423-3427 Downloads
Stephen S. Poloz
Economic growth and the stability and efficiency of the financial sector pp. 3429-3432 Downloads
Mario I. Blejer
Market discipline and deposit insurance reform in Japan pp. 3433-3452 Downloads
Masami Imai
Earnings management at rights issues thresholds--Evidence from China pp. 3453-3468 Downloads
Qiao Yu, Bin Du and Qian Sun
Extreme spectral risk measures: An application to futures clearinghouse margin requirements pp. 3469-3485 Downloads
John Cotter and Kevin Dowd
Market structure and competitive conditions in the Arab GCC banking system pp. 3487-3501 Downloads
Saeed Al-Muharrami, Kent Matthews and Yusuf Khabari
The impact of mean reversion of bank profitability on post-merger performance in the banking industry pp. 3503-3517 Downloads
Morris Knapp, Alan Gart and Mukesh Chaudhry
A note on the Wang and Wang measure of the quality of the compass rose pp. 3519-3524 Downloads
Heather Mitchell and Michael D. McKenzie

Volume 30, issue 11, 2006

Small and medium-size enterprises: Access to finance as a growth constraint pp. 2931-2943 Downloads
Thorsten Beck and Asli Demirguc-Kunt
A more complete conceptual framework for SME finance pp. 2945-2966 Downloads
Allen Berger and Gregory Udell
Business environment and the incorporation decision pp. 2967-2993 Downloads
Asli Demirguc-Kunt, Inessa Love and Vojislav Maksimovic
The influence of financial and legal institutions on firm size pp. 2995-3015 Downloads
Thorsten Beck, Asli Demirguc-Kunt and Vojislav Maksimovic
Historical financing of small- and medium-size enterprises pp. 3017-3042 Downloads
Robert Cull, Lance E. Davis, Naomi R. Lamoreaux and Jean-Laurent Rosenthal
African SMES, networks, and manufacturing performance pp. 3043-3066 Downloads
Tyler Biggs and Manju Kedia Shah
Business collateral and personal commitments in SME lending pp. 3067-3086 Downloads
Wim Voordeckers and Tensie Steijvers
UK bank services for small business: How competitive is the market? pp. 3087-3110 Downloads
Shelagh Heffernan
The role of factoring for financing small and medium enterprises pp. 3111-3130 Downloads
Leora Klapper
On the estimation and comparison of short-rate models using the generalised method of moments pp. 3131-3146 Downloads
Robert Faff and Philip Gray
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? pp. 3147-3169 Downloads
Lucio Sarno and Giorgio Valente
Portfolio selection with a drawdown constraint pp. 3171-3189 Downloads
Gordon Alexander and Alexandre Baptista
Interventions in the Yen-dollar spot market: A story of price, volatility and volume pp. 3191-3214 Downloads
Suk-Joong Kim and Jeffrey Sheen
The wealth effect of forced bank mergers and cronyism pp. 3215-3233 Downloads
Beng Chong, Ming-Hua Liu and Kok-Hui Tan
Estimation of rating class transition probabilities with incomplete data pp. 3235-3256 Downloads
Thomas Mahlmann

Volume 30, issue 10, 2006

Introduction: Special section on operational risk pp. 2599-2604 Downloads
John Cummins and Paul Embrechts
The market value impact of operational loss events for US banks and insurers pp. 2605-2634 Downloads
John Cummins, Christopher M. Lewis and Ran Wei
Quantitative models for operational risk: Extremes, dependence and aggregation pp. 2635-2658 Downloads
V. Chavez-Demoulin, P. Embrechts and J. Neslehova
Macroeconomic announcements and asymmetric volatility in bond returns pp. 2659-2680 Downloads
Peter de Goeij and Wessel Marquering
International transmission of inflation among G-7 countries: A data-determined VAR analysis pp. 2681-2700 Downloads
Jian Yang, Hui Guo and Zijun Wang
On time-scaling of risk and the square-root-of-time rule pp. 2701-2713 Downloads
Jon Danielsson and Jean-Pierre Zigrand
Why firm access to the bond market differs over the business cycle: A theory and some evidence pp. 2715-2736 Downloads
Joao Santos
A note on the non-convexity problem in some shopping-time and human-capital models pp. 2737-2745 Downloads
Rubens Cysne
International stock-bond correlations in a simple affine asset pricing model pp. 2747-2765 Downloads
Stefano d'Addona and Axel H. Kind
Diversification benefits and persistence of US-based global bond funds pp. 2767-2786 Downloads
Sirapat Polwitoon and Oranee Tawatnuntachai
Investor monitoring and differences in mutual fund performance pp. 2787-2808 Downloads
Christopher James and Jason Karceski
The strategic use of corporate venture financing for securing demand pp. 2809-2833 Downloads
Yohanes Riyanto and Armin Schwienbacher
Credit channel, trade credit channel, and inventory investment: Evidence from a panel of UK firms pp. 2835-2856 Downloads
Alessandra Guariglia and Simona Mateut
Scale economies, X-efficiency, and convergence of productivity among bank holding companies pp. 2857-2874 Downloads
Michael K. Fung
Effects of large shareholding on information asymmetry and stock liquidity pp. 2875-2892 Downloads
Najah Attig, Wai-Ming Fong, Yoser Gadhoum and Larry Lang
Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses pp. 2893-2910 Downloads
Oliver Hülsewig, Eric Mayer and Timo Wollmershäuser
Should banks own equity stakes in their borrowers? A contractual solution to hold-up problems pp. 2911-2929 Downloads
Jan Mahrt-Smith

Volume 30, issue 9, 2006

The history and performance of concept stocks pp. 2433-2469 Downloads
Jim Hsieh and Ralph A. Walkling
Institutional ownership changes and returns around analysts' earnings forecast release events: Evidence from Taiwan pp. 2471-2488 Downloads
An-Sing Chen and Bi-Shia Hong
An empirical evaluation of the overconfidence hypothesis pp. 2489-2515 Downloads
Wen-I Chuang and Bong-Soo Lee
Large market shocks and abnormal closed-end-fund price behaviour pp. 2517-2535 Downloads
Ana-Maria Fuertes and Dylan C. Thomas
Competition on the Nasdaq and the growth of electronic communication networks pp. 2537-2559 Downloads
Jason Fink, Kristin E. Fink and James P. Weston
Retail deposit fees and multimarket banking pp. 2561-2578 Downloads
Timothy Hannan
What explains household stock holdings? pp. 2579-2597 Downloads
Pauline Shum and Miquel Faig

Volume 30, issue 8, 2006

The dark side of diversification: The case of US financial holding companies pp. 2131-2161 Downloads
Kevin Stiroh and Adrienne Rumble
A credit risk model for large dimensional portfolios with application to economic capital pp. 2163-2197 Downloads
Kaj Nystrom and Jimmy Skoglund
Volatility effects of institutional trading in foreign stocks pp. 2199-2214 Downloads
Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang and Robert A. Wood
Factor based index tracking pp. 2215-2233 Downloads
Francesco Corielli and Massimiliano Marcellino
Capital regulation, heterogeneous monitoring costs, and aggregate loan quality pp. 2235-2255 Downloads
Kenneth J. Kopecky and David VanHoose
On the short-term predictability of exchange rates: A BVAR time-varying parameters approach pp. 2257-2279 Downloads
Nicholas Sarantis
Confidence intervals for probabilities of default pp. 2281-2301 Downloads
Samuel Hanson and Til Schuermann
Candlestick technical trading strategies: Can they create value for investors? pp. 2303-2323 Downloads
Ben R. Marshall, Martin Young and Lawrence Rose
Valuation ratios and price deviations from fundamentals pp. 2325-2346 Downloads
Jerry Coakley and Ana-Maria Fuertes
Portfolio implications of systemic crises pp. 2347-2369 Downloads
Erik Kole, Kees Koedijk and Marno Verbeek
A note on efficiency and productivity growth in the Korean Banking Industry, 1992-2002 pp. 2371-2386 Downloads
Kang H. Park and William L. Weber
A new measure of cross-sectional risk and its empirical implications for portfolio risk management pp. 2387-2408 Downloads
Stefano Galluccio and Andrea Roncoroni
The forward bias in the ECU: Peso risks vs. fads and fashions pp. 2409-2432 Downloads
Piet Sercu and Tom Vinaimont

Volume 30, issue 7, 2006

Gerald O. Bierwag (February 4, 1936-February 15, 2005) pp. iii-iv Downloads
George Kaufman
Banking and finance in an integrating Europe pp. 1835-1837 Downloads
J. Bos, Klaas H.W. Knot and Clemens Kool
Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets pp. 1839-1870 Downloads
Stefanie Kleimeier and Harald Sander
Dynamic depositor discipline in US banks pp. 1871-1898 Downloads
Andrea M. Maechler and Kathleen M. McDill
Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies pp. 1899-1926 Downloads
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis pp. 1927-1952 Downloads
Ralph De Haas and Iman Lelyveld
Bank efficiency: The role of bank strategy and local market conditions pp. 1953-1974 Downloads
J. Bos and Clemens Kool
Efficiency of the Polish banking industry: Foreign versus domestic banks pp. 1975-1996 Downloads
Olena Havrylchyk
System identification in noisy data environments: An application to six Asian stock markets pp. 1997-2024 Downloads
Cornelis Los
The contribution of market makers to liquidity and efficiency of options trading in electronic markets pp. 2025-2040 Downloads
Rafi Eldor, Shmuel Hauser, Batia Pilo and Itzik Shurki
Sovereign credit ratings: Guilty beyond reasonable doubt? pp. 2041-2062 Downloads
Nada Mora
Realized volatility and transactions pp. 2063-2085 Downloads
Choon Chat Chan and Wai Mun Fong
Time-varying risk premia and the cross section of stock returns pp. 2087-2107 Downloads
Hui Guo
Dynamics of realized volatilities and correlations: An empirical study pp. 2109-2130 Downloads
Rene Ferland and Simon Lalancette

Volume 30, issue 6, 2006

Frontiers in payment and settlement systems: Introduction pp. 1605-1612 Downloads
Anthony Saunders and Barry Scholnick
What is in it for us? Network effects and bank payment innovation pp. 1613-1630 Downloads
Alistair Milne
Benefits from a changing payment technology in European banking pp. 1631-1652 Downloads
David Humphrey, Magnus Willesson, Goran Bergendahl and Ted Lindblom
Switching costs and adverse selection in the market for credit cards: New evidence pp. 1653-1685 Downloads
Paul S. Calem, Michael Gordy and Loretta Mester
Alternative measures of the Federal Reserve Banks' cost of equity capital pp. 1687-1711 Downloads
Michelle Barnes and Jose Lopez
The effect of heterogeneous risk on the early adoption of Internet banking technologies pp. 1713-1725 Downloads
Keldon Bauer and Scott Hein
How to fend off shoulder surfing pp. 1727-1751 Downloads
Volker Roth and Kai Richter
Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data pp. 1753-1782 Downloads
Simonetta Rosati and Stefania Secola
Economies of scale and technological development in securities depository and settlement systems pp. 1783-1806 Downloads
Heiko Schmiedel, Markku Malkamaki and Juha Tarkka
Liquidity risk in securities settlement pp. 1807-1834 Downloads
Johan Devriese and Janet Mitchell

Volume 30, issue 5, 2006

Policy issues relevant to transition and emerging market economies: Papers from the 10th Dubrovnik Economic Conference pp. 1333-1334 Downloads
Paul Wachtel
The IMF in a world of private capital markets pp. 1335-1357 Downloads
Barry Eichengreen, Kenneth Kletzer and Ashoka Mody
Equilibrium exchange rates in Central and Eastern Europe: A meta-regression analysis pp. 1359-1374 Downloads
Balázs Égert and László Halpern
Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications pp. 1375-1391 Downloads
Fabrizio Coricelli, Bostjan Jazbec and Igor Masten
Are labour markets in the new member states sufficiently flexible for EMU? pp. 1393-1407 Downloads
Tito Boeri and Pietro Garibaldi
Capital structure policies in Europe: Survey evidence pp. 1409-1442 Downloads
Dirk Brounen, Abe de Jong and Kees Koedijk
The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong's banking system pp. 1443-1466 Downloads
Leigh Drake, Maximilian Hall and Richard Simper
Monetary transmission via the administered interest rates channel pp. 1467-1484 Downloads
Beng Chong, Ming-Hua Liu and Keshab Shrestha
Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market pp. 1485-1505 Downloads
Huimin Chung
Evolution of international stock and bond market integration: Influence of the European Monetary Union pp. 1507-1534 Downloads
Suk-Joong Kim, Fariborz Moshirian and Eliza Wu
Time and dynamic volume-volatility relation pp. 1535-1558 Downloads
Xiaoqing Eleanor Xu, Peter Chen and Chunchi Wu
International corporate investment and the relationships between financial constraint measures pp. 1559-1580 Downloads
Sean Cleary
Bank concentration, competition, and crises: First results pp. 1581-1603 Downloads
Thorsten Beck, Asli Demirguc-Kunt and Ross Levine

Volume 30, issue 4, 2006

Editorial pp. 1055-1056 Downloads
Fariborz Moshirian
Aspects of international financial services pp. 1057-1064 Downloads
Fariborz Moshirian
Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry pp. 1065-1102 Downloads
Allen Berger and Emilia Bonaccorsi di Patti
Bank portfolio exposure to emerging markets and its effects on bank market value pp. 1103-1126 Downloads
Gary Fissel, Lawrence Goldberg and Gerald Hanweck
The X-efficiency of commercial banks in Hong Kong pp. 1127-1147 Downloads
Simon Kwan
Real effective exchange rate volatility and growth: A framework to measure advantages of flexibility vs. costs of volatility pp. 1149-1169 Downloads
Michele Bagella, Leonardo Becchetti and Iftekhar Hasan
Nonlinear term structure dependence: Copula functions, empirics, and risk implications pp. 1171-1199 Downloads
Markus Junker, Alex Szimayer and Niklas Wagner
A further look at household portfolio choice and health status pp. 1201-1217 Downloads
Michael Berkowitz and Jiaping Qiu
Bank loan losses-given-default: A case study pp. 1219-1243 Downloads
Jean Dermine and C. Neto de Carvalho
Hedging the value of waiting pp. 1245-1267 Downloads
Glenn Boyle and Graeme Guthrie
A comprehensive analysis of the short-term interest-rate dynamics pp. 1269-1290 Downloads
Turan G. Bali and Liuren Wu
Capital structure and political patronage: The case of Malaysia pp. 1291-1308 Downloads
Donald R. Fraser, Hao Zhang and Chek Derashid
Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union pp. 1309-1332 Downloads
Antonio Diaz, John Merrick and Eliseo Navarro

Volume 30, issue 3, 2006

Inferring the default rate in a population by comparing two incomplete default databases pp. 797-810 Downloads
Douglas W. Dwyer and Roger M. Stein
Hedging volatility risk pp. 811-821 Downloads
Menachem Brenner, Ernest Y. Ou and Jin E. Zhang
Downside risk and asset pricing pp. 823-849 Downloads
Thierry Post and Pim Vliet
Economic benefit of powerful credit scoring pp. 851-873 Downloads
Andreas Blochlinger and Markus Leippold
Estimating product market competition: Methodology and application pp. 875-894 Downloads
Simi Kedia
Investment and financing activity following calls of convertible bonds pp. 895-914 Downloads
Michael J. Alderson, Brian L. Betker and Duane R. Stock
Does stock option-based executive compensation induce risk-taking? An analysis of the banking industry pp. 915-945 Downloads
Carl R. Chen, Thomas L. Steiner and Ann Marie Whyte
Corporate governance, shareholder rights and firm diversification: An empirical analysis pp. 947-963 Downloads
Pornsit Jiraporn, Young Kim, Wallace N. Davidson and Manohar Singh
Deposit insurance and international bank liabilities pp. 965-987 Downloads
Harry Huizinga and Gaëtan Nicodème
Valuation impact of Sarbanes-Oxley: Evidence from disclosure and governance within the financial services industry pp. 989-1006 Downloads
Aigbe Akhigbe and Anna D. Martin
Reactions of Japanese markets to changes in credit ratings by global and local agencies pp. 1007-1021 Downloads
Joanne Li, Yoon S. Shin and William T. Moore
An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange pp. 1023-1039 Downloads
Wataru Ohta
A note on the "risk-adjusted" price-concentration relationship in banking pp. 1041-1054 Downloads
Elijah Brewer and William E. Jackson

Volume 30, issue 2, 2006

Risk management and optimization in finance pp. 315-315 Downloads
Pavlo Krokhmal, R. Tyrrell Rockafellar and Stan Uryasev
Dynamic portfolio selection with process control pp. 317-339 Downloads
Leonard MacLean, Yonggan Zhao and William Ziemba
An approximation method for analysis and valuation of credit correlation derivatives pp. 341-364 Downloads
Masahiko Egami and Kian Esteghamat
Multi-period stochastic optimization models for dynamic asset allocation pp. 365-390 Downloads
Norio Hibiki
Interaction of credit and liquidity risks: Modelling and valuation pp. 391-407 Downloads
Harry Zheng
Pricing methods and hedging strategies for volatility derivatives pp. 409-431 Downloads
H. Windcliff, P.A. Forsyth and K.R. Vetzal
Portfolio optimization with stochastic dominance constraints pp. 433-451 Downloads
Darinka Dentcheva and Andrzej Ruszczynski
The magnitude of a market crash can be predicted pp. 453-462 Downloads
S.Y. Novak and J. Beirlant
Optimal credit limit management under different information regimes pp. 463-487 Downloads
Markus Leippold, Paolo Vanini and Silvan Ebnoether
A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach pp. 489-502 Downloads
A.Q.M. Khaliq, D.A. Voss and S.H.K. Kazmi
Efficient fund of hedge funds construction under downside risk measures pp. 503-518 Downloads
David P. Morton, Elmira Popova and Ivilina Popova
A moment computation algorithm for the error in discrete dynamic hedging pp. 519-540 Downloads
James A. Primbs and Yuji Yamada
Utility-based performance measures for regression models pp. 541-560 Downloads
Craig Friedman and Sven Sandow
The hidden dangers of historical simulation pp. 561-582 Downloads
Matthew Pritsker
Minimizing CVaR and VaR for a portfolio of derivatives pp. 583-605 Downloads
S. Alexander, T.F. Coleman and Y. Li
Implied migration rates from credit barrier models pp. 607-626 Downloads
Claudio Albanese and Oliver X. Chen
Applying CVaR for decentralized risk management of financial companies pp. 627-644 Downloads
John M. Mulvey and Hafize G. Erkan
Asset and liability management for insurance products with minimum guarantees: The UK case pp. 645-667 Downloads
Andrea Consiglio, David Saunders and Stavros Zenios
Portfolio selection using hierarchical Bayesian analysis and MCMC methods pp. 669-678 Downloads
Alex Greyserman, Douglas H. Jones and William E. Strawderman
Economy-wide bond default rates: A maximum expected utility approach pp. 679-693 Downloads
Sven Sandow, Craig Friedman, Mark Gold and Peter Chang
A value-of-information approach to measuring risk in multi-period economic activity pp. 695-715 Downloads
Georg Ch. Pflug
Integrating market and credit risk: A simulation and optimisation perspective pp. 717-742 Downloads
Norbert J. Jobst, Gautam Mitra and Stavros Zenios
Master funds in portfolio analysis with general deviation measures pp. 743-778 Downloads
R. Tyrrell Rockafellar, Stan Uryasev and Michael Zabarankin
Analysis of criteria VaR and CVaR pp. 779-796 Downloads
Andrey I. Kibzun and Evgeniy A. Kuznetsov

Volume 30, issue 1, 2006

Collateral-based lending in emerging markets: Evidence from Thailand pp. 1-21 Downloads
Lukas Menkhoff, Doris Neuberger and Chodechai Suwanaporn
Discrete versus continuous state switching models for portfolio credit risk pp. 23-35 Downloads
Andre Lucas and Pieter Klaassen
Payout policy, taxes, and the relation between returns and the bid-ask spread pp. 37-58 Downloads
Aron A. Gottesman and Gady Jacoby
The impact of bank entry in the Japanese corporate bond underwriting market pp. 59-83 Downloads
Sumiko Takaoka and Colin McKenzie
Investment banker reputation and two-stage combination carve-outs and spin-offs pp. 85-110 Downloads
Thomas H. Thompson and Vince Apilado
Gains from structured product markets: The case of reverse-exchangeable securities (RES) pp. 111-132 Downloads
Bruce A. Benet, Antoine Giannetti and Seema Pissaris
Immunization using a stochastic-process independent multi-factor model: The Portuguese experience pp. 133-156 Downloads
Jorge Bravo and Carlos Silva
Issue costs in the Eurobond market: The effects of market integration pp. 157-177 Downloads
Arie Melnik and Doron Nissim
Are labor-saving technologies lowering employment in the banking industry? pp. 179-198 Downloads
Michael K. Fung
Access to external finance: Theory and evidence on the impact of monetary policy and firm-specific characteristics pp. 199-227 Downloads
Spiros Bougheas, Paul Mizen and Cihan Yalcin
Taxes and dividend clientele: Evidence from trading and ownership structure pp. 229-246 Downloads
Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam
Fitting prices with a complete model pp. 247-258 Downloads
Gianna Figa-Talamanca and Maria Guerra
Bank capital and loan asymmetry in the transmission of monetary policy pp. 259-285 Downloads
Ruby P. Kishan and Timothy Opiela
Unconditional return disturbances: A non-parametric simulation approach pp. 287-314 Downloads
Robert G. Tompkins and D'Ecclesia, Rita L.
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