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Review of Financial Studies

Volume 1 - 29

Current editor(s): Maureen O'Hara

From Society for Financial Studies
Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA..
Contact information at EDIRC.

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Volume 12, issue 5, 1999

On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model pp. 937-74
Louis K C Chan, Jason Karceski and Josef Lakonishok
Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model pp. 975-1007
Pietro Veronesi
Volatility Timing in Mutual Funds: Evidence from Daily Returns pp. 1009-41
Jeffrey A Busse
The Determinants of Mutual Fund Starts pp. 1043-74
Ajay Khorana and Henri Servaes
The Specialist's Discretion: Stopped Orders and Price Improvement pp. 1075-1112
Mark Ready
A New Estimate of Transaction Costs pp. 1113-41
David A Lesmond, Joseph P Ogden and Charles Trzcinka
Changes of Numeraire for Pricing Futures, Forwards, and Options pp. 1143-63
Mark Schroder
Adaptive Learning in Financial Markets pp. 1165-1202
Bryan Routledge
Stock Returns and Inflation with Supply and Demand Disturbances pp. 1203-18
Patrick J Hess and Bong-Soo Lee
The Second Fundamental Theorem of Asset Pricing: A New Approach pp. 1219-35
Robert J Battig and Robert Jarrow

Volume 12, issue 4, 1999

Conflict of Interest and the Credibility of Underwriter Analyst Recommendations pp. 653-86
Roni Michaely and Kent Womack
Modeling Term Structures of Defaultable Bonds pp. 687-720
Darrell Duffie and Kenneth J Singleton
A Parametric Nonlinear Model of Term Structure Dynamics pp. 721-62
Dong-Hyun Ahn and Bin Gao
Using Proxies for the Short Rate: When Are Three Months Like an Instant? pp. 763-806
David Chapman, Long, John B, and Neil Pearson
Empty Promises and Arbitrage pp. 807-34
Gregory A Willard and Philip Dybvig
Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach pp. 835-72
Jerome Detemple and Suresh Sundaresan
Trade Disclosure Regulations in Markets with Negotiated Trades pp. 873-900
Narayan Y Naik, Anthony Neuberger and S Viswanathan
Filter Rules Based on Price and Volume in Individual Security Overreaction pp. 901-35
Michael Cooper

Volume 12, issue 3, 1999

Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts pp. 429-59
Anthony Neuberger
Risk Spillovers and Required Returns in Capital Budgeting pp. 461-79
Sugato Bhattacharyya and J Chris Leach
Cheap Talk, Fraud, and Adverse Selection in Financial Markets: Some Experimental Evidence pp. 481-518
Robert Forsythe, Russell Lundholm and Thomas Rietz
The Underreaction Hypothesis and the New Issue Puzzle: Evidence from Japan pp. 519-34
Jun-Koo Kang, Yong-Cheol Kim and René Stulz
The Dynamics of Default and Debt Reorganization pp. 535-78
Pierre Mella-Barral
Deposits and Relationship Lending pp. 579-607
Mitchell Berlin and Loretta Mester
A Transactions Data Analysis of Nonsynchronous Trading pp. 609-30
Gregory B Kadlec and Douglas M Patterson
Time-Varying Risk and Return in the Bond Market: A Test of a New Equilibrium Pricing Model pp. 631-42
Cynthia J Campbell, Hossein B Kazemi and Prasad Nanisetty

Volume 12, issue 2, 1999

The Demand for Stocks: An Analysis of IPO Auctions pp. 227-47
Shmuel Kandel, Oded Sarig and Avi Wohl
A Theory of the Going-Public Decision pp. 249-79
Thomas Chemmanur and Paolo Fulghieri
On the Heterogeneity of Leveraged Going Private Transactions pp. 281-309
Paul Halpern, Robert Kieschnick and Wendy Rotenberg
Causes and Effects of Corporate Refocusing Programs pp. 311-45
Philip G Berger and Eli Ofek
Optimal Bankruptcy Laws across Different Economic Systems pp. 347-77
Elazar Berkovitch and Ronen Israel
The Dynamics of the Management-Shareholder Conflict pp. 379-404
Zsuzsanna Fluck
Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? pp. 405-28
Peter Bossaerts and Pierre Hillion

Volume 12, issue 1, 1999

Market Transparency: Who Wins and Who Loses? pp. 5-35
Robert Bloomfield and O'Hara, Maureen
Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets pp. 37-59
Flood, Mark D, et al
FX Spreads and Dealer Competition across the 24-Hour Trading Day pp. 61-93
Roger D Huang and Ronald Masulis
Information Revelation through Option Exercise pp. 95-129
Steven R Grenadier
The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium pp. 131-63
Huining Cao
Portfolio Turnpikes pp. 165-95
Philip Dybvig, Leonard Rogers and Kerry Back
Estimating the Price of Default Risk pp. 197-226
Greg Duffee

Volume 11, issue 4, 1998

Errata: Risk Aversion, Liquidity, and Endogenous Short Horizons pp. i
Craig W Holden and Avanidhar Subrahmanyam
Takeover Bidding with Toeholds: The Case of the Owner's Curse pp. 679-704
Rajdeep Singh
Pricing Strategy and Financial Policy pp. 705-37
Sudipto Dasgupta and Sheridan Titman
Arbitrage, Hedging, and Financial Innovation pp. 739-55
James Dow
Competitive Entry and Endogenous Risk in the Foreign Exchange Market pp. 757-87
Harald Hau
Price Dynamics in Limit Order Markets pp. 789-816
Christine A Parlour
Modeling Asymmetric Comovements of Asset Returns pp. 817-44
Kenneth F Kroner and Victor K Ng
Payment System Settlement and Bank Incentives pp. 845-70
Charles Kahn and William Roberds

Volume 11, issue 3, 1998

Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models pp. 449-87
Matt Pritsker
An Anatomy of Trading Strategies pp. 489-519
Jennifer Conrad and Gautam Kaul
Participation Costs, Trend Chasing, and Volatility of Stock Prices pp. 521-57
Gerhard O Orosel
Optimal Contracting with Moral Hazard and Cascading pp. 559-96
Naveen Khanna
Randomization and the American Put pp. 597-626
Peter Carr
Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function pp. 627-46
Nengjiu Ju
Market Efficiency and Natural Selection in a Commodity Futures Market pp. 647-74
Guo Ying Luo

Volume 11, issue 2, 1998

Agency and Brokerage of Real Assets in Competitive Equilibrium pp. 239-80
Joseph T Williams
Default Risk Cannot Explain the Muni Puzzle: Evidence from Municipal Bonds That Are Secured by U.S. Treasury Obligations pp. 281-308
John M R Chalmers
An Equilibrium Model with Restricted Stock Market Participation pp. 309-41
Suleyman Basak and Domenico Cuoco
The Restrictions on Predictability Implied by Rational Asset Pricing Models pp. 343-82
Chris Kirby
Optimal Financial Contracting: Debt versus Outside Equity pp. 383-418
Zsuzsanna Fluck
Stock Price Volatility in a Multiple Security Overlapping Generations Model pp. 419-47
Matthew Spiegel

Volume 11, issue 1, 1998

Transaction Costs and Asset Prices: A Dynamic Equilibrium Model pp. 1-58
Dimitri Vayanos
Optimal Replication of Contingent Claims under Portfolio Constraints pp. 59-79
Mark Broadie, Jaksa Cvitanic and H Mete Soner
Market Making with Discrete Prices pp. 81-109
V Ravi Anshuman and Avner Kalay
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance pp. 111-42
Jon A Christopherson, Wayne Ferson and Debra A Glassman
Measurement Effects and the Variance of Returns after Stock Splits and Stock Dividends pp. 143-62
Jennifer Koski
Monitoring, Liquidation, and Security Design pp. 163-87
Rafael Repullo and Javier Suarez
Equilibrium Dominance in Experimental Financial Markets pp. 189-232
Charles Cadsby, Murray Frank and Vojislav Maksimovic
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