Journal of Finance

1946 - 2025

From American Finance Association
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Volume 51, issue 5, 1996

General Properties of Option Prices pp. 1573-1610

Yaacov Z Bergman, Bruce D Grundy and Zvi Wiener

Recovering Probability Distributions from Option Prices pp. 1611-32

Jens Carsten Jackwerth and Mark Rubinstein

A Simple Nonparametric Approach to Derivative Security Valuation pp. 1633-52

Michael Stutzer

The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets pp. 1653-79

Steven R Grenadier

Momentum Strategies pp. 1681-1713

Louis K C Chan, Narasimhan Jegadeesh and Josef Lakonishok

Expectations and the Cross-Section of Stock Returns pp. 1715-42

Rafael La Porta

Measuring International Economic Linkages with Stock Market Data pp. 1743-63

John Ammer and Jianping Mei

Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules pp. 1765-90

Gordon Gemmill

Quotes, Prices, and Estimates in a Laboratory Market pp. 1791-1808

Robert Bloomfield

The Determinants of the Maturity of Corporate Debt Issues pp. 1809-33

Jose Guedes and Tim Opler

Limit Order Trading pp. 1835-61

Puneet Handa and Robert A Schwartz

Bank Information Monopolies and the Mix of Private and Public Debt Claims pp. 1863-89

Joel Houston and Christopher James

Tests of the Relations among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model pp. 1891-1908

He, Jia, et al

An Anatomy of the "S&P Game": The Effects of Changing the Rules pp. 1909-30

Messod D Beneish and Robert E Whaley

The Wealth Effects of Bank Financing Announcements in Highly Leveraged Transactions pp. 1931-46

William A Kracaw and Marc Zenner

The CAPM Is Wanted, Dead or Alive pp. 1947-58

Eugene Fama and Kenneth French

Long-Term Market Overreaction: The Effect of Low-Priced Stocks pp. 1959-70

Tim Loughran and Jay Ritter

Volume 51, issue 4, 1996

Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry pp. 1097-1137

Peter Tufano

The Capital Budgeting Process: Incentives and Information pp. 1139-74

Milton Harris and Artur Raviv

Bustup Takeovers of Value-Destroying Diversified Firms pp. 1175-1200

Philip G Berger and Eli Ofek

The Value of Diversification during the Conglomerate Merger Wave pp. 1201-25

Henri Servaes

The Method of Payment in Corporate Acquisitions, Investment Opportunities, and Management Ownership pp. 1227-46

Kenneth J Martin

Tax-Exempt Debt and the Capital Structure of Nonprofit Organizations: An Application to Hospitals pp. 1247-83

Gerard J Wedig, Mahmud Hassan and Michael Morrisey

Regulatory Incentives and the Thrift Crisis: Dividends, Mutual-to-Stock Conversions, and Financial Distress pp. 1285-1319

Randall S Kroszner and Philip E Strahan

Impact of the 1988 Basle Accord on International Banks pp. 1321-46

John D Wagster

Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991 pp. 1347-77

Mark Flannery and Sorin M Sorescu

Equilibrium Analysis of Portfolio Insurance pp. 1379-1403

Sanford Grossman and Zhongquan Zhou

Liquidity, Information, and Infrequently Traded Stocks pp. 1405-36

Easley, David, et al

Strategic Trading When Agents Forecast the Forecasts of Others pp. 1437-78

Frederick Foster and S Viswanathan

Decision Frequency and Synchronization across Agents: Implications for Aggregate Consumption and Equity Return pp. 1479-97

Anthony W Lynch

Relative Pricing of Eurodollar Features and Forward Contracts pp. 1499-1522

Mark Grinblatt and Narasimhan Jegadeesh

Earnings Announcements and the Components of the Bid-Ask Spread pp. 1523-35

Itzhak Krinsky and Jason Lee

Noise Trading in Small Markets pp. 1537-50

Frederic Palomino

Evidence of Discrimination in Lending: An Extension pp. 1551-54

Sherrill Shaffer

Volume 51, issue 3, 1996

Another Puzzle: The Growth in Activity Managed Mutual Funds pp. 783-810

Martin J Gruber

Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow pp. 811-33

David Easley, Nicholas Kiefer and Maureen O'Hara

Diversification, Integration and Emerging Market Closed-End Funds pp. 835-69

Geert Bekaert and Michael S Urias

Investment Policy and Exit-Exchange Offers within Financially Distressed Firms pp. 871-88

Antonio E Bernardo and Eric L Talley

Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns pp. 889-919

Grant McQueen, Michael Pinegar and Steven Thorley

Swap Rates and Credit Quality pp. 921-49

Darrell Duffie and Ming Huang

Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements pp. 951-86

G. Karolyi and René Stulz

Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads pp. 987-1019

Hayne Leland and Klaus Bjerre Toft

Volume 51, issue 2, 1996

On the Predictability of Stock Returns: An Asset-Allocation Perspective pp. 385-424

Shmuel Kandel and Robert Stambaugh

Measuring Fund Strategy and Performance in Changing Economic Conditions pp. 425-61

Wayne E Ferson and Rudi W Schadt

Oil and the Stock Markets pp. 463-91

Charles Jones and Gautam Kaul

Special Repo Rates pp. 493-526

Darrell Duffie

Idiosyncratic Variation of Treasury Bill Yields pp. 527-51

Greg Duffee

Non-fundamental Speculation pp. 553-78

Vicente Madrigal

Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading pp. 579-611

Marco Pagano and Ailsa Roell

Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation pp. 613-36

Charles R Schnitzlein

Asymmetric Information, Managerial Opportunism, Financing, and Payout Policies pp. 637-60

Thomas Noe and Michael J Rebello

Dividends and Profits: Some Unsubtle Foreign Influences pp. 661-89

James Hines

A Theory of Corporate Scope and Financial Structure pp. 691-709

David D Li and Shan Li

Bank Debt Restructurings and the Composition of Exchange Offers in Financial Distress pp. 711-27

Christopher James

An Empirical Investigation of Short-Selling Activity Prior to Seasoned Equity Offerings pp. 729-49

Assem Safieddine and Wilhelm, William J,

Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market pp. 751-62

Timothy Falcon Crack and Olivier Ledoit

Volume 51, issue 1, 1996

The Conditional CAPM and the Cross-Section of Expected Returns pp. 3-53

Ravi Jagannathan and Zhenyu Wang

Multifactor Explanations of Asset Pricing Anomalies pp. 55-84

Eugene Fama and Kenneth French

Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry pp. 85-110

Keith C Brown, W V Harlow and Laura T Starks

Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings pp. 111-35

Eric G Falkenstein

Do Brokerage Analysts' Recommendations Have Investment Value? pp. 137-67

Kent Womack

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility pp. 169-204

Torben Andersen

Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis pp. 205-25

Shmuel Kandel, Aharon R Ofer and Oded Sarig

Shareholder Activism by Institutional Investors: Evidence for CalPERS pp. 227-52

Michael P Smith

Is There a Window of Opportunity for Seasoned Equity Issuance? pp. 253-78

Mark Bayless and Susan Chaplinsky

Capital Requirements, Monetary Policy, and Aggregate Bank Lending: Theory and Empirical Evidence pp. 279-324

Anjan Thakor

Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality pp. 325-43

Susan Crain and Jae Ha Lee

Does Money Explain Asset Returns? Theory and Empirical Analysis pp. 345-61

K C Chan, Silverio Foresi and Larry Lang

Determinants of Contract Choice: The Use of Warrants to Compensate Underwriters of Seasoned Equity Issues pp. 363-80

Chee K Ng and Richard Smith

A Simple Measure of Price Adjustment Coefficients: A Correction pp. 381-82

Neil Brisley and Michael Theobald