Journal of Financial Research

1978 - 2025

Current editor(s): Jayant Kale and Gerald Gay

From:
Southern Finance Association
Contact information at EDIRC.
Southwestern Finance Association
Contact information at EDIRC.
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Volume 20, issue 4, 1997

TIME-VARYING FACTORS AND CROSS-AUTOCORRELATIONS IN SHORT-HORIZON STOCK RETURNS pp. 435-458

Allaudeen Hameed

VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES pp. 459-482

Philip Hans Franses, Reinoud Leperen, Paul Kofman, Martin Martens and Albert Menkveld

EARNINGS ANNOUNCEMENTS, QUALITY AND QUANTITY OF INFORMATION, AND STOCK PRICE CHANGES pp. 483-502

Carl R. Chen, James Wuh Lin and David A. Sauer

TIME-VARYING TERM PREMIA AND THE BEHAVIOR OF FORWARD INTEREST RATE PREDICTION ERRORS pp. 503-507

Sridhar Iyer

CORPORATE CONTROL IN COMMERCIAL BANKS pp. 509-527

Stephen Prowse

THE DIFFERENTIAL INFORMATION CONVEYED BY SHARE REPURCHASE TENDER OFFERS AND DIVIDEND INCREASES pp. 529-543

Dosoung Choi and Sheng-Syan Chen

INTRA-INDUSTRY EFFECTS OF BOND RATING ADJUSTMENTS pp. 545-561

Aigbe Akhigbe, Jeff Madura and Ann Marie Whyte

Volume 20, issue 3, 1997

MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE pp. 291-304

Allen B. Atkins and Edward A. Dyl

CO-MOVEMENTS IN INTERNATIONAL EQUITY MARKETS pp. 305-322

Salim M. Darbar and Partha Deb

OPTIMAL BIDDING FOR TENDER OFFERS pp. 323-342

Naveen Khanna

AN INVESTIGATION OF PREFERRED STOCK FINANCING BY BANK AND NONBANK FINANCIAL INSTITUTIONS pp. 343-353

L. Paige Fields and Shelly E. Webb

FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES pp. 355-372

John T. Barkoulas and Christopher Baum

FIRM CHARACTERISTICS AND THE PRESENCE OF EVENT RISK COVENANTS IN BOND INDENTURES pp. 373-388

Sung C. Bae, Daniel P. Klein and Raj Padmaraj

CHANGES IN MARKET PERCEPTION OF RISKINESS: THE CASE OF TOO-BIG-TO-FAIL pp. 389-406

Harold A. Black, M. Cary Collins, Breck L. Robinson and Robert L. Schweitzer

MARKET REACTION TO DIVIDEND-DECREASE ANNOUNCEMENTS: PUBLIC UTILITIES VS. UNREGULATED INDUSTRIAL FIRMS pp. 407-422

Michael Impson

INVESTMENT OPPORTUNITIES AND MULTINATIONALITY: EVIDENCE FROM CAPITAL STRUCTURE CHANGES pp. 423-434

Manzur Rahman

Volume 20, issue 2, 1997

COGNITIVE DISSONANCE AND MUTUAL FUND INVESTORS pp. 145-158

William Goetzmann and Nadav Peles

THE EFFECT OF FDICIA REGULATION ON BANK HOLDING COMPANIES pp. 159-174

Kenneth A. Carow and Glen A. Larsen

AN EMPIRICAL ANALYSIS OF MUTUAL FUND EXPENSES pp. 175-190

D. K. Malhotra and Robert W. McLeod

THE ECONOMIC EXPOSURE OF U.S. MULTINATIONAL FIRMS pp. 191-210

Edward H. Chow, Wayne Y. Lee and Michael E. Solt

PRICE PRESSURE AND THE ROLE OF INSTITUTIONAL INVESTORS IN CLOSED-END FUNDS pp. 211-229

Richard W. Sias

THE CORPORATE SELL-OFF DECISION OF DIVERSIFIED FIRMS pp. 231-241

Thomas Lorenz Steiner

EMERGING EQUITY MARKETS: ARE THEY FOR REAL? pp. 243-262

Kent Hargis and William Maloney

PRIOR UNCERTAINTY, ANALYST BIAS, AND SUBSEQUENT ABNORMAL RETURNS pp. 263-273

Lucy Ackert and George Athanassakos

BANKING RELATIONSHIPS AND THE EFFECT OF MONITORING ON LOAN PRICING pp. 275-289

David W. Blackwell and Drew B. Winters

Volume 20, issue 1, 1997

THE RELATION BETWEEN OPTION MISPRICING AND VOLUME IN THE BLACK‐SCHOLES OPTION MODEL pp. 1-12

D. Michael Long and Dennis T. Officer

A SIMULTANEOUS TEST OF COMPETING THEORIES REGARDING THE JANUARY EFFECT pp. 13-32

James A. Ligon

JANUARY RETURN SEASONALITY IN REAL ESTATE INVESTMENT TRUSTS: INFORMATION VS. TAX‐LOSS SELLING EFFECTS pp. 33-51

H. Swint Friday and David R. Peterson

INTERTEMPORAL ASSET PRICING WITHOUT CONSUMPTION DATA: EMPIRICAL TESTS pp. 53-69

Yuming Li

A VARIANCE DECOMPOSITION ANALYSIS OF THE INFORMATION IN THE TERM STRUCTURE pp. 71-91

Louis H. Ederington and Jeremy C. Goh

THE SURVIVAL OF INITIAL PUBLIC OFFERINGS IN THE AFTERMARKET pp. 93-110

Douglas A. Hensler, Ronald C. Rutherford and Thomas M. Springer

THE VALUE OF A REGULATORY SEAL OF APPROVAL pp. 111-128

Atul Gupta

AN INVESTIGATION OF ALTERNATIVE ESTIMATORS OF EXPECTED RETURNS IN MEAN‐VARIANCE ANALYSIS pp. 129-143

Jonathan Fletcher

Volume 19, issue 4, 1996

PERFORMANCE OF STOLL's SPREAD COMPONENT ESTIMATOR: EVIDENCE FROM SIMULATIONS, TIME-SERIES, AND CROSS-SECTIONAL DATA pp. 459-476

Raymond Brooks and Jean Masson

HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODEL pp. 477-491

Asim Ghosh and Ronnie Clayton

AN EMPIRICAL STUDY OF A NEW CLASS OF NO-ARBITRAGE-BASED DISCRETE MODELS OF THE TERM STRUCTURE pp. 493-513

Ah Boon Sim and David C. Thurston

THE CROSS-SECTIONAL EFFECTS OF OPTION LISTING ON FIRM STOCK RETURN VARIANCES pp. 515-539

Bruce D. Niendorf and David R. Peterson

POST-ANNOUNCEMENT DRIFTS ASSOCIATED WITH DIVIDEND CHANGES pp. 541-559

Gil S. Bae

WEALTH EFFECTS OF ENFORCEMENT ACTIONS AGAINST FINANCIALLY DISTRESSED BANKS pp. 561-577

Peter A. Brous and Keith Leggett

TRADING OF NASDAQ STOCKS ON THE CHICAGO STOCK EXCHANGE pp. 579-584

Sie Ting Lau, Michael S. McCorry, Thomas McInish and Robert A. Van Ness

BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES pp. 585-602

Jimmy E. Hilliard, Adam L. Schwartz and Alan L. Tucker

Volume 19, issue 3, 1996

OPTIMAL FUTURES HEDGE WITH MARKING-TO-MARKET AND STOCHASTIC INTEREST RATES pp. 309-326

Carolyn W. Chang, Jack S. K. Chang and Hsing Fang

EVIDENCE ON THE EFFECT OF TAXES ON FIRMS' DECISIONS TO RETIRE DEBT EARLY pp. 327-337

Gil B. Manzon, Thomas L. Porter and Mark E. Potter

MARKET REACTION TO NATIONAL DISCRETION IN IMPLEMENTING THE BASLE ACCORD pp. 339-357

John Wagster, James Kolari and Kerry Cooper

THE RELATION BETWEEN THE FEDERAL FUNDS CASH AND FUTURES MARKETS pp. 359-376

Mark D. Griffiths and Drew B. Winters

THE DETERMINANTS AND DYNAMICS OF BID-ASK SPREADS ON THE LONDON STOCK EXCHANGE pp. 377-394

Kojo Menyah and Krishna Paudyal

MACROECONOMIC VARIABLES AND SEASONAL MEAN REVERSION IN STOCK RETURNS pp. 395-416

Partha Gangopadhyay

LEVERAGE, RISK-SHIFTING INCENTIVE, AND STOCK-BASED COMPENSATION pp. 417-428

T. Harikumar

THE NEGATIVE RELATION BETWEEN DAILY INDEX RETURN SERIAL CORRELATIONS AND CONDITIONAL VARIANCES: DOES IT HAVE MATHEMATICAL OR ECONOMIC ORIGINS? pp. 429-442

David R. Peterson

EXCESS RETURNS AND RISK AT THE LONG END OF THE TREASURY MARKET: AN EGARCH-M APPROACH pp. 443-457

Allan Brunner and David P. Simon

Volume 19, issue 2, 1996

TAKEOVER RIGHTS AND THE VALUE OF RESTRICTED SHARES pp. 157-173

Elizabeth Maynes

SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES pp. 175-192

Charles Corrado and Tie Su

ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES pp. 193-207

Richard A. Ajayi and Mbodja Mougoue

BANK REGULATIONS, CAPITAL STRUCTURE, AND RISK pp. 209-228

Sumon C. Mazumdar

THE EFFECT OF THE FEDERAL DEPOSIT INSURANCE CORPORATION IMPROVEMENT ACT OF 1991 ON BANK STOCKS pp. 229-242

Youguo Liang, Sunil Mohanty and Frank Song

THE DEALERS' PRICE/SIZE QUOTE AND MARKET LIQUIDITY pp. 243-271

Steven V. Mann and Pradipkumar Ramanlal

MUTUAL FUND BROKERAGE COMMISSIONS pp. 273-292

Miles Livingston and Edward S. O'Neal

THE EFFECTS OF SPIN-OFFS ON CORPORATE INVESTMENT AND PERFORMANCE pp. 293-307

Shane A. Johnson, Daniel P. Klein and Verne L. Thibodeaux

Volume 19, issue 1, 1996

AN ANALYSIS OF THE DECISION TO OPT OUT OF PENNSYLVANIA SENATE BILL 1310 pp. 1-19

Vahan Janjigian and Emery A. Trahan

DETECTING ABNORMAL RETURNS USING THE MARKET MODEL WITH PRE‐TESTED DATA pp. 21-40

A. Steven Graham, Wendy L. Pirie and William A. Powell

WHO GAINS FROM CORPORATE ASSET SALES? pp. 41-58

Sudip Datta and Mai E. Iskandar‐Datta

THE COSTS OF RAISING CAPITAL pp. 59-74

Inmoo Lee, Scott Lochhead, Jay Ritter and Quanshui Zhao

TRADING PATTERNS OF SMALL AND LARGE TRADERS AROUND STOCK SPLIT EX‐DATES pp. 75-90

Lawrence Kryzanowski and Hao Zhang

SEASONED EQUITY OFFERINGS FOR NEW INVESTMENT AND THE INFORMATION CONTENT OF INSIDER TRADES pp. 91-103

Dana J. Johnson, Jan M. Serrano and G. Rodney Thompson

AN EMPIRICAL INVESTIGATION OF STOCK DIVIDENDS‐IN‐KIND pp. 105-119

L. Paige Fields and Michael S. Wilkins

BUSINESS CYCLES AND STOCK MARKET RETURNS: EVIDENCE USING INDUSTRY‐BASED PORTFOLIOS pp. 121-134

Venkat R. Eleswarapu and Ashish Tiwari

ADVERSE CONTRACT INCENTIVES AND INVESTMENT BANKER REPUTATION: TARGET FIRM TENDER OFFER FEES pp. 135-156

Robyn M. McLaughlin