Journal of Finance

1946 - 2025

From American Finance Association
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Volume 56, issue 6, 2001

The Market for Corporate Assets: Who Engages in Mergers and Asset Sales and Are There Efficiency Gains? pp. 2019-2065

Vojislav Maksimovic and Gordon Phillips

The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence pp. 2067-2109

Francis Longstaff, Pedro Santa‐Clara and Eduardo S. Schwartz

Dividend Changes and Future Profitability pp. 2111-2133

Doron Nissim and Amir Ziv

Characteristics of Risk and Return in Risk Arbitrage pp. 2135-2175

Mark Mitchell and Todd Pulvino

The Determinants of Credit Spread Changes pp. 2177-2207

Pierre Collin-Dufresn, Robert S. Goldstein and J. Spencer Martin

On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option pp. 2209-2236

John M. R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

A Theory of the Syndicate: Form Follows Function pp. 2237-2264

Pegaret Pichler and William Wilhelm

Internal Monitoring Mechanisms and CEO Turnover: A Long‐Term Perspective pp. 2265-2297

Mark R. Huson, Robert Parrino and Laura T. Starks

Executive Compensation and Corporate Acquisition Decisions pp. 2299-2336

Sudip Datta, Mai Iskandar‐Datta and Kartik Raman

Bookbuilding and Strategic Allocation pp. 2337-2369

Francesca Cornelli and David Goldreich

A Rose.com by Any Other Name pp. 2371-2388

Michael Cooper, Orlin Dimitrov and Raghavendra Rau

Feedback from Stock Prices to Cash Flows pp. 2389-2413

Avanidhar Subrahmanyam and Sheridan Titman

A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases pp. 2415-2430

Edwin J. Elton, Martin J. Gruber and Christopher R. Blake

The Stock Market Valuation of Research and Development Expenditures pp. 2431-2456

Louis K. C. Chan, Josef Lakonishok and Theodore Sougiannis

Volume 56, issue 5, 2001

Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets pp. 1629-1666

James Claus and Jacob Thomas

Is It Inefficient Investment that Causes the Diversification Discount? pp. 1667-1691

Toni Whited

The Diversification Discount: Cash Flows Versus Returns pp. 1693-1721

Owen Lamont and Christopher Polk

Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects pp. 1723-1746

Brian F. Smith, D. Alasdair S. Turnbull and Robert W. White

Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock pp. 1747-1764

Shlomo Benartzi

Counterparty Risk and the Pricing of Defaultable Securities pp. 1765-1799

Robert Jarrow and Fan Yu

True Spreads and Equilibrium Prices pp. 1801-1835

Clifford A. Ball and Tarun Chordia

LAPM: A Liquidity‐Based Asset Pricing Model pp. 1837-1867

Bengt Holmstrom and Jean Tirole

Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry pp. 1869-1886

Stephen Brown, William Goetzmann and James Park

Is Sound Just Noise? pp. 1887-1910

Joshua D. Coval and Tyler Shumway

Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC) pp. 1911-1927

Michael S. Rashes

Do Credit Spreads Reflect Stationary Leverage Ratios? pp. 1929-1957

Pierre Collin‐Dufresne and Robert S. Goldstein

Location Matters: An Examination of Trading Profits pp. 1959-1983

Harald Hau

Evaluating Mutual Fund Performance pp. 1985-2010

S. P. Kothari and Jerold B. Warner

Volume 56, issue 4, 2001

Do Financial Institutions Matter? pp. 1165-1175

Franklin Allen

Merton H. Miller pp. 1177-1177

George Constantinides

Merton H. Miller: Memories of a Great Mentor and Leader pp. 1179-1182

Myron Scholes

Merton H. Miller: His Contribution to Financial Economics pp. 1183-1206

Bruce D. Grundy

The Equity Premium and Structural Breaks pp. 1207-1239

Lubos Pastor and Robert Stambaugh

Discussion pp. 1240-1245

Zhenyu Wang

Mental Accounting, Loss Aversion, and Individual Stock Returns pp. 1247-1292

Nicholas Barberis and Ming Huang

Discussion pp. 1292-1295

M.J. Brennan

Variable Selection for Portfolio Choice pp. 1297-1351

Yacine Aït‐sahali and Michael W. Brandt

Discussion pp. 1351-1355

Jessica Wachter

Expectations Hypotheses Tests pp. 1357-1394

Geert Bekaert and Robert Hodrick

Discussion pp. 1394-1399

Matthew Richardson

Contagion as a Wealth Effect pp. 1401-1440

Albert S. Kyle and Wei Xiong

Discussion pp. 1440-1443

Stephen Ross

Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges pp. 1445-1485

Kumar Venkataraman

Discussion pp. 1485-1488

Ananth Madhavan

The Bright Side of Internal Capital Markets pp. 1489-1528

Naveen Khanna and Sheri Tice

Discussion pp. 1528-1531

Paola Sapienza

Investor Psychology and Asset Pricing pp. 1533-1597

David Hirshleifer

Minutes of the Annual Membership Meeting pp. 1599-1600

David H. Pyle

Report of the Executive Secretary and Treasurer pp. 1603-1605

David H. Pyle

Report of the Editor of The Journal of Finance for the year 2000 pp. 1607-1620

Richard Green

Report of the Representative to the National Bureal of Economic Research pp. 1621-1622

Robert S. Hamada

Volume 56, issue 3, 2001

Consumption, Aggregate Wealth, and Expected Stock Returns pp. 815-849

Martin Lettau and Sydney Ludvigson

Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market pp. 851-876

Allen M. Poteshman

The High‐Volume Return Premium pp. 877-919

Simon Gervais, Ron Kaniel and Dan H. Mingelgrin

Overconfidence, Arbitrage, and Equilibrium Asset Pricing pp. 921-965

Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam

The Efficient Use of Conditioning Information in Portfolios pp. 967-982

Wayne E. Ferson and Andrew F. Siegel

Expected Option Returns pp. 983-1009

Joshua D. Coval and Tyler Shumway

An Exploration of Neo‐Austrian Theory Applied to Financial Markets pp. 1011-1027

Harald Benink and Peter Bossaerts

Do Depositors Punish Banks for Bad Behavior? Market Discipline, Deposit Insurance, and Banking Crises pp. 1029-1051

Maria Martinez Peria and Sergio Schmukler

How Distance, Language, and Culture Influence Stockholdings and Trades pp. 1053-1073

Mark Grinblatt and Matti Keloharju

On the Timing Ability of Mutual Fund Managers pp. 1075-1094

Nicolas P. B. Bollen and Jeffrey A. Busse

On the Term Structure of Default Premia in the Swap and LIBOR Markets pp. 1095-1115

Pierre Collin‐Dufresne and Bruno Solnik

Why Do Money Fund Managers Voluntarily Waive Their Fees? pp. 1117-1140

Susan Christoffersen

Insider Trading, Investment, and Liquidity: A Welfare Analysis pp. 1141-1156

Sudipto Bhattacharya and Giovanna Nicodano

Volume 56, issue 2, 2001

Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income pp. 433-470

Luis Viceira

The Expiration of IPO Share Lockups pp. 471-500

Laura Casares Field and Gordon Hanka

Market Liquidity and Trading Activity pp. 501-530

Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam

Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns pp. 531-563

Brad Barber, Reuven Lehavy, Maureen McNichols and Brett Trueman

Valuation and Control in Venture Finance pp. 565-587

Andrei A. Kirilenko

What Makes Investors Trade? pp. 589-616

Mark Grinblatt and Matti Keloharju

Banking Market Structure, Financial Dependence and Growth: International Evidence from Industry Data pp. 617-648

Nicola Cetorelli and Michele Gambera

Extreme Correlation of International Equity Markets pp. 649-676

François Longin and Bruno Solnik

Corporate Bond Trading Costs: A Peek Behind the Curtain pp. 677-698

Paul Schultz

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations pp. 699-720

Narasimhan Jegadeesh and Sheridan Titman

Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets pp. 721-742

Frans A. De Roon, Theo E. Nijman and Bas J. M. Werker

Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics? pp. 743-766

Kent Daniel, Sheridan Titman and K.C. John Wei

Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong pp. 767-788

Hee‐Joon Ahn, Kee‐Hong Bae and Kalok Chan

The Price of Options Illiquidity pp. 789-805

Menachem Brenner, Rafi Eldor and Shmuel Hauser

Volume 56, issue 1, 2001

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk pp. 1-43

John Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu

Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation pp. 45-85

Klaas P. Baks, Andrew Metrick and Jessica Wachter

Capital Structures in Developing Countries pp. 87-130

Laurence Booth, Varouj Aivazian, Asli Demirguc‐Kunt and Vojislav Maksimovic

Strategic Trading in a Dynamic Noisy Market pp. 131-171

Dimitri Vayanos

The Long‐Run Stock Returns Following Bond Ratings Changes pp. 173-203

Ilia D. Dichev and Joseph D. Piotroski

Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation pp. 205-246

Yihong Xia

Explaining the Rate Spread on Corporate Bonds pp. 247-277

Edwin J. Elton, Martin J. Gruber, Deepak Agrawal and Christopher Mann

Affine Term Structure Models and the Forward Premium Anomaly pp. 279-304

David Backus, Silverio Foresi and Chris I. Telmer

Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns pp. 305-327

Torben Andersen, Tim Bollerslev and Ashish Das

The Economic Value of Volatility Timing pp. 329-352

Jeff Fleming, Chris Kirby and Barbara Ostdiek

Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns pp. 353-368

James M. Poterba and Scott Weisbenner

Rationality and Analysts' Forecast Bias pp. 369-385

Terence Lim

Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar pp. 387-396

Gur Huberman and Tomer Regev

Institutional Trading and Soft Dollars pp. 397-416

Jennifer S. Conrad, Kevin M. Johnson and Sunil Wahal