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 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

Volume 18, issue 4, 1995

EVIDENCE ON THE BEHAVIOR OF BID AND ASK PRICES AT THE TURN OF THE YEAR: IMPLICATIONS FOR THE SURVIVAL OF STOCK RETURN SEASONALITY pp. 383-400

Steven L. Jones and Winson Lee

BID-ASK SPREAD AND OWNERSHIP STRUCTURE pp. 401-414

Omesh Kini and Shehzad Mian

DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS pp. 415-430

David A. Volkman and Mark Wohar

LONG-RUN RELATIONS IN EXCHANGE MARKETS: A TEST OF COVERED INTEREST PARITY pp. 431-447

Sarath P. Abeysekera and Harry J. Turtle

ON ESTIMATING STOCK MARKET VOLATILITY: AN EXPLORATORY APPROACH pp. 449-463

John A. MacDonald and Hany A. Shawky

ABNORMAL RETURNS AND ANALYSTS' EARNINGS FORECAST REVISIONS ASSOCIATED WITH THE PUBLICATION OF “STOCK HIGHLIGHTS” BY VALUE LINE INVESTMENT SURVEY pp. 465-477

David R. Peterson and Pamela P. Peterson

VOLATILITY AND LIQUIDITY AT NYSE OPENING CALLS: A CLOSER LOOK pp. 479-493

Jie-Haun Lee and Ji-Chai Lin

Volume 18, issue 3, 1995

A MULTIFACTOR MODEL OF THE QUALITY OPTION IN TREASURY FUTURES CONTRACTS pp. 261-279

Peter Ritchken and L. Sankarasubramanian

MANAGERIAL OWNERSHIP CHANGE AND FIRM VALUE: EVIDENCE FROM DUAL-CLASS RECAPITALIZATIONS AND INSIDER TRADING pp. 281-297

Robert C. Hanson and Moon H. Song

TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS pp. 299-309

Jorge L. Urrutia

INFORMED TRADING RISK AND BID-ASK SPREAD CHANGES AROUND OPEN MARKET STOCK REPURCHASES IN THE NASDAQ MARKET pp. 311-327

Diana R. Franz, Ramesh Rao and Niranjan Tripathy

PRICE AND VOLUME EFFECTS ASSOCIATED WITH THE CREATION OF STANDARD & POOR'S MIDCAP INDEX pp. 329-350

M. Cary Collins, James W. Wansley and Breck Robinson

A NO-ARBITRAGE MARTINGALE ANALYSIS FOR JUMP-DIFFUSION VALUATION pp. 351-381

Carolyn W. Chang

Volume 18, issue 2, 1995

THE EFFECT OF SIZE, BOOK-TO-MARKET EQUITY, PRIOR RETURNS, AND BETA ON STOCK RETURNS: JANUARY VERSUS THE REMAINDER OF THE YEAR pp. 129-142

L. Franklin Fant and David R. Peterson

THE SPEED OF ADJUSTMENT OF PRICES TO PRIVATE INFORMATION: EMPIRICAL TESTS pp. 143-156

Ji-Chai Lin and Michael S. Rozeff

EQUITY VALUATION EFFECTS OF FORCED WARRANT EXERCISE pp. 157-170

L. Paige Fields and William T. Moore

LONG-TERM AND SHORT-TERM CAUSAL RELATIONS BETWEEN DIVIDENDS AND STOCK PRICES: A TEST OF LINTNER'S DIVIDEND MODEL AND THE PRESENT VALUE MODEL OF STOCK PRICES pp. 171-188

Hyun Mo Sung and Jorge L. Urrutia

ANATOMY OF SATELLITE TRADING IN THE NATIONAL MARKET SYSTEM FOR NYSE-LISTED STOCKS pp. 189-206

James L. Hamilton

EXTERNAL FINANCING, LIQUIDITY, AND CAPITAL EXPENDITURES pp. 207-222

William Beranek, Christopher Cornwell and Sunho Choi

DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL pp. 223-237

Tarun K. Mukherjee and Atsuyuki Naka

THE ROLE OF INFORMATION AND THE TIME BETWEEN TRADES: AN EMPIRICAL INVESTIGATION pp. 239-260

Roy A. Fletcher

Volume 18, issue 1, 1995

BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE pp. 1-13

Jeff Madura and Emilio R. Zarruk

REORGANIZATION AND FINANCIAL DISTRESS: AN EMPIRICAL INVESTIGATION pp. 15-32

Sudip Datta and Mai E. Iskandar‐Datta

THE INFLUENCE OF ORGANIZED OPTIONS TRADING ON STOCK PRICE BEHAVIOR FOLLOWING LARGE ONE‐DAY STOCK PRICE DECLINES pp. 33-44

David R. Peterson

INSIDER TRADING EFFECTS ON STOCK RETURNS AROUND OPEN‐MARKET STOCK REPURCHASE ANNOUNCEMENTS: AN EMPIRICAL STUDY pp. 45-57

Elias Raad and H. K. Wu

THE INDIVIDUAL INVESTOR pp. 59-74

M. J. Brennan

THE RELATION AMONG DIVIDEND POLICY, FIRM SIZE, AND THE INFORMATION CONTENT OF EARNINGS ANNOUNCEMENTS pp. 75-88

Haim Mozes and Donna Rapaccioli

AN INDIRECT TEST FOR DIVIDEND RELEVANCE pp. 89-101

Mazhar A. Siddiqi

EVIDENCE ON THE ROLE OF TAXES ON FINANCING CHOICE: CONSIDERATION OF MANDATORILY REDEEMABLE PREFERRED STOCK pp. 103-114

Mary Ellen Carter and Gil B. Manzon

TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE pp. 115-127

Jack Strauss and Guofu Zhou