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 14, issue 4, 1991

BOND REFUNDING IN EFFICIENT MARKETS: A DYNAMIC ANALYSIS WITH TAX EFFECTS pp. 287-302

Raymond C. Chiang and M. P. Narayanan

HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES pp. 303-315

Thomas McInish and Robert A. Wood

DEALER BID-ASK SPREADS AND OPTIONS TRADING ON OVER-THE-COUNTER STOCKS pp. 317-325

Ramesh Rao, Niranjan Tripathy and William P. Dukes

FORECASTING THE TREASURY BILL RATE: A TIME-VARYING COEFFICIENT APPROACH pp. 327-336

Thomas C. Chiang and Douglas R. Kahl

DEFAULT RISK PREMIA IN THE NEAR-CASH INVESTMENT MARKET: THE CASE OF AUCTION RATE PREFERRED STOCK VERSUS COMMERCIAL PAPER pp. 337-343

Daniel T. Winkler and George B. Flanigan

ERODING MARKET IMPERFECTIONS, REINTERMEDIATION, AND DISINTERMEDIATION pp. 347-358

John C. Easterwood and George Emir Morgan

BENCHMARK ERROR AND THE SMALL FIRM EFFECT: A REVISIT pp. 359-369

K. C. John Wei and Stanley R. Stansell

Volume 14, issue 3, 1991

THE ARBITRAGE PRICING THEORY AND COST-OF-CAPITAL ESTIMATION: THE CASE OF ELECTRIC UTILITIES pp. 181-196

David H. Goldenberg and Ashok J. Robin

PRIVATE INFORMATION ACQUISITION IN EXPERIMENTAL MARKETS PRONE TO BUBBLE AND CRASH pp. 197-206

Ronald R. King

A TEST OF THE RISK PREMIUM HYPOTHESIS pp. 207-216

Mohammad Najand

FURTHER ANALYSIS OF THE PUT-CALL PARITY IMPLIED RISK-FREE INTEREST RATE pp. 217-232

George M. Frankfurter and Wai K. Leung

RISK-TAKING INCENTIVES OF BANKS AND RISK-ADJUSTED DEPOSIT INSURANCE pp. 233-239

Lawrence G. Goldberg and T. Harikumar

A CERTAINTY EQUIVALENT APPROACH TO MUNICIPAL BOND DEFAULT RISK ESTIMATION pp. 241-247

Chunchi Wu

TAX SCHEDULE CHANGES AND DISCOUNT BOND PRICES pp. 249-253

Ricardo J. Rodriguez

EX-DIVIDEND DAY PRICE CHANGES AND IMPLIED TAX RATES: AN EVALUATION pp. 255-262

Jean-Marie Gagnon and Jean-Marc Suret

THE EARNINGS-PRICE AND STANDARDIZED UNEXPECTED EARNINGS EFFECTS: ONE ANOMALY OR TWO? pp. 263-275

James B. Wiggins

CAUSALITY TESTS OF SHORT SALES ON THE NEW YORK STOCK EXCHANGE pp. 277-286

Anand K. Bhattacharya and George W. Gallinger

Volume 14, issue 2, 1991

EQUITY VALUATION EFFECTS OF WARRANT-DEBT FINANCING pp. 93-103

Katherine L. Phelps, William T. Moore and Rodney L. Roenfeldt

THE TWO-STATE INTEREST RATE MODEL FOR PRICING BONDS: AN EMPIRICAL ANALYSIS pp. 105-115

Yatin N. Bhagwat, Michael C. Ehrhardt and David W. Johnson

THE RELATIONSHIP BETWEEN OTC BID-ASK SPREADS AND DEALER SIZE: THE IMPACT OF ORDER-PROCESSING AND DIVERSIFICATION COSTS pp. 117-127

Niranjan Tripathy and Richard L. Peterson

THE DEALER AND MARKET CONCEPTS OF BID-ASK SPREAD: A COMPARISON FOR NASDAQ STOCKS pp. 129-139

James L. Hamilton

THE EFFECT OF TRADED OPTION INTRODUCTION ON SHAREHOLDER WEALTH pp. 141-151

Wi Saeng Kim and Colin M. Young

BANK FAILURE AND CONTAGION EFFECTS: EVIDENCE FROM HONG KONG pp. 153-165

Gerald D. Gay, Stephen G. Timme and Kenneth Yung

AN ANALYSIS OF REGULATED RATES OF RETURN FOR WHOLLY OWNED SUBSIDIARIES pp. 167-179

John R. Ezzell, H. Christine Hsu and James A. Miles

Volume 14, issue 1, 1991

FROM THE EDITORS pp. ii-ii

Michael D. Joehnk and Richard L. Smith

RAISING CAPITAL WITH PRIVATE PLACEMENTS OF DEBT pp. 1-13

Samuel H. Szewczyk and Raj Varma

INFLATION, INVESTMENT, AND DEBT pp. 15-26

Alexandros P. Prezas

MEASURING RISK AVERSION: ALLOCATION, LEVERAGE, AND ACCUMULATION pp. 27-35

Frederick W. Siegel and James P. Hoban

DIVIDEND CHANGE ANNOUNCEMENT EFFECTS AND EARNINGS VOLATILITY AND TIMING pp. 33-49

James W. Wansley, C. F. Sirmans, James D. Shilling and Young‐jin Lee

PE RATIOS, EARNINGS EXPECTATIONS, AND ABNORMAL RETURNS pp. 51-64

April Klein and James Rosenfeld

THE MAGNITUDE OF PRICING ERRORS IN THE ARBITRAGE PRICING THEORY pp. 65-82

Ashok Robin and Ravi Shukla

NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM pp. 83-92

Seungmook Choi and Mark Wohar

Volume 13, issue 4, 1990

DIVIDENDS, UNCERTAINTY, AND UNDERWRITING COSTS UNDER ASYMMETRIC INFORMATION pp. 265-277

Jayant R. Kale and Thomas Noe

IS THE DISTRIBUTION OF BETAS STATIONARY? pp. 279-283

Robert W. Kolb and Ricardo J. Rodriguez

CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES pp. 285-296

Robert J. Ritchey

THE PRICING OF FUTURES CONTRACTS AND THE ARBITRAGE PRICING THEORY pp. 297-306

Jack S. K. Chang, Jean C. H. Loo and Carolyn C. Wu Chang

HEDGING PERFORMANCE AND HEDGING OBJECTIVES: TESTS OF NEW PERFORMANCE MEASURES IN THE FOREIGN CURRENCY MARKET pp. 307-323

Jerry A. Hammer

OTC MARKET SWITCHING AND STOCK RETURNS: SOME EMPIRICAL EVIDENCE pp. 325-338

H. Kent Baker and Richard B. Edelman

THE 1982 DEPOSITORY INSTITUTIONS ACT AND SECURITY RETURNS IN THE SAVINGS AND LOAN INDUSTRY pp. 339-347

Donald R. Fraser and James W. Kolari

Volume 13, issue 3, 1990

STOCK RETURNS AND OPTION PRICES: AN EXPLORATORY STUDY pp. 173-185

Esther Weinstock Ancel and Ramesh K. S. Rao

UNITS OF DEBT WITH WARRANTS: EVIDENCE OF THE “PENALTY-FREE” ISSUANCE OF AN EQUITY-LIKE SECURITY pp. 187-199

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

AN EMPIRICAL EXAMINATION OF THE EXISTENCE OF A SIGNALING VALUE FUNCTION FOR DIVIDENDS pp. 201-210

Herman Manakyan and Carolyn Carroll

REGIONAL VARIATION OF MORTGAGE YIELDS AND SIMULTANEITY BIAS pp. 211-219

Mel Jameson, James D. Shilling and C. F. Sirmans

STATE ANTITAKEOVER LEGISLATION AND SHAREHOLDER WEALTH pp. 221-231

William N. Pugh and John S. Jahera

USING THE CAPM AS A GENERAL FRAMEWORK FOR ASSET PRICING ANALYSIS pp. 233-241

J. Austin Murphy

TRANSACTION COSTS AND DAY-OF-THE-WEEK EFFECTS IN THE OTC/NASDAQ EQUITY MARKET pp. 243-248

Rich Fortin

REGULARITIES IN TOKYO STOCK EXCHANGE SECURITY RETURNS: P/E, SIZE, AND SEASONAL INFLUENCES pp. 249-263

Raj Aggarwal, Ramesh Rao and Takato Hiraki

Volume 13, issue 2, 1990

ON USING THE BLACK-SCHOLES MODEL TO VALUE WARRANTS pp. 81-92

David C. Leonard and Michael E. Solt

TAX-TIMING OPTIONS AND THE PRICING OF GOVERNMENT BONDS pp. 93-103

Andrea J. Heuson and Dennis J. Lasser

STOCHASTIC DOMINANCE AND TRUNCATED SAMPLE DATA pp. 105-116

Moshe Ben-Horim

A TRANSACTION DATA STUDY OF DAY-OF-THE-WEEK AND INTRADAY PATTERNS IN OPTION RETURNS pp. 117-131

David R. Peterson

THE EFFECT OF PAYMENT DELAYS ON STOCK PRICES pp. 133-145

Ramon Degennaro

INTEREST RATE SENSITIVITY OF BANK STOCK RETURNS: SPECIFICATION EFFECTS AND STRUCTURAL CHANGES pp. 147-154

Srinivas R. Akella and Su-Jane Chen

RISKY DEBT MATURITY CHOICE IN A SEQUENTIAL GAME EQUILIBRIUM pp. 155-166

Jayant R. Kale and Thomas Noe

DIVESTITURE TO UNIT MANAGERS AND SHAREHOLDER WEALTH pp. 167-172

Jack W. Trifts, Neil W. Sicherman, Rodney L. Roenfeldt and Francisco de Cossio

Volume 13, issue 1, 1990

VOLUME AND R2: A FIRST LOOK pp. 1-6

Bradford Cornell

PRICING CRB FUTURES CONTRACTS pp. 7-14

Michael C. Ehrhardt and Alan L. Tucker

BOOTSTRAPPING THE NUMBER OF FACTORS IN THE ARBITRAGE PRICING THEORY pp. 15-21

Sangit Chatterjee and Robert A. Pari

SINGLE‐FACTOR DURATION MODELS: CANADIAN TESTS pp. 23-38

G. O. Bierwag and Gordon S. Roberts

THE STOCK RETURN PERFORMANCE OF CORPORATIONS THAT ARE PARTIALLY OWNED BY OTHER CORPORATIONS pp. 39-51

Stuart Rosenstein and David F. Rush

THE ELIMINATION OF DIRECTOR LIABILITY AND STOCKHOLDER RETURNS: AN EMPIRICAL INVESTIGATION pp. 53-60

Vahan Janjigian and Paul J. Bolster

THE IMPACT OF FINANCING SOURCES ON MULTINATIONAL PROJECTS pp. 61-69

Jeff Madura and Richard H. Fosberg

INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED pp. 71-79

Sung C. Bae