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 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

Volume 17, issue 4, 1994

THE DIVIDEND PAYOUTS OF PRIVATE FIRMS: EVIDENCE FROM TAX COURT DECISIONS pp. 449-464

Ramesh K. S. Rao and Susan A. White

TACTICAL ASSET ALLOCATION: CAN IT WORK? pp. 465-479

Joong-soo Nam and Ben Branch

THE VALUATION EFFECTS OF OUT-OF-THE-MONEY CALLS OF CONVERTIBLE SECURITIES pp. 481-493

Alex P. Tang, Palani-Rajan Kadapakkam and Ronald F. Singer

SIMULTANEOUS DEBT AND EQUITY ISSUES AND CAPITAL STRUCTURE TARGETS pp. 495-516

Randall S. Billingsley, David Smith and Robert E. Lamy

AN INVESTIGATION INTO THE CAUSALITY AMONG FIRMS' DIVIDEND, INVESTMENT, AND FINANCING DECISIONS pp. 517-530

Mbodja Mougoue and Tarun K. Mukherjee

THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETS pp. 531-538

J. Clay Singleton and John R. Wingender

FOREIGN EXCHANGE MARKET REACTION TO THE U.S.-CANADA FREE TRADE AGREEMENT pp. 539-549

Kedreth Hogan and Jahangir Sultan

IS THE REAL INTEREST RATE REALLY UNSTABLE? pp. 551-559

Seungmook Choi

THE PRICING AND HEDGING OF LIMITED EXERCISE CAPS AND SPREADS pp. 561-584

Don Chance

COMMERCIAL BANK RISK: MARKET, INTEREST RATE, AND FOREIGN EXCHANGE pp. 585-596

Jill L. Wetmore and John R. Brick

Volume 17, issue 3, 1994

VARIANCE, RETURN, AND HIGH-LOW PRICE SPREADS pp. 301-319

Ji-Chai Lin and Michael S. Rozeff

COMPENSATION CONTRACTS OF CHIEF EXECUTIVE OFFICERS: DETERMINANTS OF PAY-PERFORMANCE SENSITIVITY pp. 321-332

Robert L. Lippert and William T. Moore

EXCESS RETURNS OF INDEX REPLACEMENT STOCKS: EVIDENCE OF LIQUIDITY AND SUBSTITUTABILITY pp. 333-346

Robert O. Edmister, A. Steven Graham and Wendy L. Pirie

RISK-RETURN SEASONALITY AND MACROECONOMIC VARIABLES pp. 347-361

Partha Gangopadhyay

USING DIVIDEND POLICY AND MANAGERIAL OWNERSHIP TO REDUCE AGENCY COSTS pp. 363-373

Diane K. Schooley and L. Dwayne Barney

BID-ASK SPREAD COMPONENTS AROUND ANTICIPATED ANNOUNCEMENTS pp. 375-386

Raymond M. Brooks

RATIONAL EXPECTATIONS AND THE DYNAMIC ADJUSTMENT OF SECURITY ANALYSTS' FORECASTS TO NEW INFORMATION pp. 387-401

Lucy Ackert and William C. Hunter

ON COMPUTING BOND RETURNS: THE EVALUATION OF LOW-GRADE DEBT pp. 403-415

Michael J. Alderson and Terry L. Zivney

THE VALUATION EFFECTS OF FREQUENT COMMON STOCK ISSUANCES pp. 417-426

Wm R McDaniel, Jeff Madura and Aigbe Akhigbe

REGULARITIES IN THE VARIATION OF SKEWNESS IN ASSET RETURNS pp. 427-438

Lakshman A. Alles and John L. Kling

STOCK PRICE BEHAVIOR OF PURE CAPITAL STRUCTURE ISSUANCE AND CANCELLATION ANNOUNCEMENTS pp. 439-448

Robert M. Hull

Volume 17, issue 2, 1994

PROBABILITY OF PRICE REVERSAL AND RELATIVE NOISE IN STOCK AND OPTION MARKETS pp. 147-159

Michel Gendron, Nabil Khoury and Pierre Yourougou

AN ANALYSIS OF THE WALL STREET JOURNAL'S COVERAGE OF CORPORATE NEWS AND THE RESEARCH DESIGN OF EVENT STUDIES pp. 161-173

Jot Yau, Michael G. Ferri and Timothy F. Sugrue

THE EFFECT OF THE 1986 TAX REFORM ACT ON EX-DIVIDEND DAY RETURN BEHAVIOR pp. 175-186

Ki C. Han

NONLINEAR DYNAMICS AND THE DISTRIBUTION OF DAILY STOCK INDEX RETURNS pp. 187-203

B Brorsen and Seung-Ryong Yang

THE WEALTH EFFECTS OF ANNOUNCEMENTS OF R&D EXPENDITURE INCREASES pp. 205-216

Zaher Z. Zantout and George P. Tsetsekos

OPEN MARKET STOCK REPURCHASE PROGRAMS AND LIQUIDITY pp. 217-229

James B. Wiggins

A RE-EXAMINATION OF THE EFFECT OF 12B–1 PLANS ON MUTUAL FUND EXPENSE RATIOS pp. 231-240

Robert W. McLeod and D. K. Malhotra

THIN TRADING AND THE ESTIMATION OF BETAS: THE EFFICACY OF ALTERNATIVE TECHNIQUES pp. 241-254

Jan Bartholdy and Allan Riding

INTRADAY CHANGES IN TARGET FIRMS' SHARE PRICE AND BID-ASK QUOTES AROUND TAKEOVER ANNOUNCEMENTS pp. 255-270

Robert Jennings

CAUSALITY TESTS OF THE REAL STOCK RETURN-REAL ACTIVITY HYPOTHESIS pp. 271-288

George W. Gallinger

THE DIFFERENTIAL EFFECTS OF DEREGULATION ON SAVINGS AND LOAN ASSOCIATIONS AND BANKS pp. 289-300

Duane B. Graddy, Reuben Kyle and Thomas H. Strickland

Volume 17, issue 1, 1994

INVESTMENT PERFORMANCE OF INTERNATIONAL MUTUAL FUNDS pp. 1-14

William G. Droms and David A. Walker

CONVERTIBLE DEBT AND INVESTMENT INCENTIVES pp. 15-29

T. Harikumar, P. Kadapakkam and Ronald F. Singer

OVERREACTION AND REVERSE ANTICIPATION: TWO RELATED PUZZLES? pp. 31-43

Youguo Liang and Donald J. Mullineaux

STOCKHOLDER RETURNS AMONG HOMOGENEOUS GROUPS OF MERGERS pp. 45-63

Granville M. Sawyer and Ronald Shrieves

INVESTOR TAX‐TRADING OPPORTUNITIES AND DISCOUNTS ON CLOSED‐END MUTUAL FUNDS pp. 65-75

Chang‐Soo Kim

AN ANALYSIS OF THE UNDERWRITER SELECTION PROCESS FOR INITIAL PUBLIC OFFERINGS pp. 77-90

Glenn A. Wolfe, Elizabeth S. Cooperman and Stephen P. Ferris

CAPITAL STRUCTURE MANAGEMENT AS A MOTIVATION FOR CALLING CONVERTIBLE DEBT pp. 91-104

Douglas R. Emery, Mai E. Iskandar‐Datta and Jong‐Chul Rhim

TIME‐SERIES PROPERTIES OF THE EQUITY RISK PREMIUM pp. 105-116

John M. Clinebell, Douglas R. Kahl and Jerry L. Stevens

THE INFLUENCE OF PREDICTABILITY ON DIFFERENCES IN THE MARKET REACTION TO DEBT AND EQUITY ISSUE ANNOUNCEMENTS pp. 117-131

Mark Bayless

THE CHANGING RISK PROFILE OF U.S.‐BASED MULTINATIONAL CORPORATIONS EXPOSED TO EUROPEAN COMMUNITY MARKETS pp. 133-146

Karen Chambliss, Jeff Madura and Francis W. Wright