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 29, issue 4, 2006

MOMENTUM: DOES THE DATABASE MAKE A DIFFERENCE? pp. 441-462

Bidisha Chakrabarty and Charles Trzcinka

INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! pp. 463-479

Ozgur S. Ince and R. Burt Porter

THE INFORMATIONAL ROLE OF BANK LOAN RATINGS pp. 481-501

Ha‐Chin Yi and Donald J. Mullineaux

THE USE OF ACQUISITIONS AND JOINT VENTURES BY U.S. BANKS EXPANDING ABROAD pp. 503-522

Kimberly C. Gleason, Ike Mathur and Roy A. Wiggins

THE INTERACTION OF MONETARY POLICY AND STOCK RETURNS pp. 523-535

William Crowder

VALUATION OF EVENT‐CONTINGENT OPTIONS pp. 537-557

António Câmara

SUBORDINATED BINOMIAL OPTION PRICING pp. 559-573

Carolyn W. Chang, Jack S. K. Chang and Yisong Sam Tian

ARE TREASURY INFLATION PROTECTED SECURITIES REALLY TAX DISADVANTAGED? pp. 575-592

Scott Hein and Jeffrey M. Mercer

SECONDARY MORTGAGE MARKET PURCHASE COMMITMENT YIELDS pp. 593-608

Andrea J. Heuson, Adam Schwartz and V. Carlos Slawson

PRESIDENTIAL ELECTION UNCERTAINTY AND COMMON STOCK RETURNS IN THE UNITED STATES pp. 609-622

Jinliang Li and Jeffery A. Born

Volume 29, issue 3, 2006

MARKET TIMING IN REGRESSIONS AND REALITY pp. 293-304

Kenneth L. Fisher and Meir Statman

EVIDENCE ON THE COMPENSATION OF PORTFOLIO MANAGERS pp. 305-324

Heber Farnsworth and Jonathan Taylor

WINDOW DRESSING IN BOND MUTUAL FUNDS pp. 325-347

Matthew R. Morey and Edward S. O'Neal

MUTUAL FUND PERFORMANCE PERSISTENCE AND COMPETITION: A CROSS‐SECTOR ANALYSIS pp. 349-366

Aneel Keswani and David Stolin

A SPECIALIST'S QUOTED DEPTH AS A STRATEGIC CHOICE VARIABLE: AN APPLICATION TO SPREAD DECOMPOSITION MODELS pp. 367-382

Cecilia Caglio and Kenneth A. Kavajecz

ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE pp. 383-403

Recep Bildik and Güzhan Gülay

THE DYNAMICS OF BOND YIELD SPREADS AROUND RATING REVISION DATES pp. 405-420

Roy Batchelor and Katiuscia Manzoni

CREDIT SPREADS AND THE ZERO‐COUPON TREASURY SPOT CURVE pp. 421-439

Nicolas Papageorgiou and Frank S. Skinner

Volume 29, issue 2, 2006

COSTS OF FINANCIAL DISTRESS AND INTEREST COVERAGE RATIOS pp. 147-162

Michael Dothan

RELATIONSHIPS AND UNDERWRITER SPREADS IN THE EUROBOND FLOATING RATE NOTE MARKET pp. 163-180

Michael G. Kollo and Ian G. Sharpe

INDUSTRY EFFECTS OF ANALYST STOCK REVISIONS pp. 181-198

Aigbe Akhigbe, Jeff Madura and Melinda Newman

DIRECT EVIDENCE ON THE MARKET‐DRIVEN ACQUISITION THEORY pp. 199-216

James S. Ang and Yingmei Cheng

INVESTOR OVERREACTION DURING MARKET DECLINES: EVIDENCE FROM THE 1997 ASIAN FINANCIAL CRISIS pp. 217-234

David Michayluk and Karyn L. Neuhauser

MUTUAL FUND MORTALITY, 12B‐1 FEES, AND THE NET EXPENSE RATIO pp. 235-252

William P. Dukes, Philip C. English and Sean M. Davis

MARKET EXPECTATIONS AND THE VALUATION EFFECTS OF EQUITY ISSUANCE pp. 253-269

Aigbe Akhigbe, Melinda Newman and Assem Safieddine

THE EFFECTS OF BANK CONSOLIDATION ON RISK CAPITAL ALLOCATION AND MARKET LIQUIDITY pp. 271-291

Chris D'Souza and Alexandra Lai

Volume 29, issue 1, 2006

ARE COMMON STOCKS A HEDGE AGAINST INFLATION? pp. 1-19

Kul Luintel and Krishna Paudyal

INTANGIBLE ASSETS, BOOK‐TO‐MARKET, AND COMMON STOCK RETURNS pp. 21-41

James M. Nelson

TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONS pp. 43-62

Kam C. Chan, Louis T. W. Cheng and Peter P. Lung

SECURITIES PRICE EFFECTS OF UNIONIZATION LEGISLATION pp. 63-78

Vic Naiker and Farshid Navissi

IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY pp. 79-93

Weiyu Guo and Mark Wohar

ESTIMATING EXPECTED EXCESS RETURNS USING HISTORICAL AND OPTION‐IMPLIED VOLATILITY pp. 95-112

Charles Corrado and Thomas W. Miller

DIVERGENCE OF OPINION AND LONG‐TERM PERFORMANCE OF INITIAL PUBLIC OFFERINGS pp. 113-129

Yan Gao, Connie X. Mao and Rui Zhong

DAY‐END EFFECT ON THE PARIS BOURSE pp. 131-146

David Michayluk and Gary C. Sanger

Volume 28, issue 4, 2005

IS THE BOOK‐TO‐MARKET RATIO A MEASURE OF RISK? pp. 487-502

Robert F. Peterkort and James F. Nielsen

UNDERSTANDING SIZE AND THE BOOK‐TO‐MARKET RATIO: AN EMPIRICAL EXPLORATION OF BERK'S CRITIQUE pp. 503-518

Xinting Fan and Ming Liu

VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION‐IMPLIED VOLATILITY TRADE‐OFF pp. 519-538

R. Glen Donaldson and Mark Kamstra

DURATION, DEFAULT RISK, AND THE TERM STRUCTURE OF INTEREST RATES pp. 539-554

Yan Alice Xie, Sheen Liu and Chunchi Wu

DO FOREIGN INVESTORS PRICE FOREIGN EXCHANGE RISK DIFFERENTLY? pp. 555-573

Taek Ho Kwon, Sung C. Bae and Jay M. Chung

EVIDENCE ON THE MARKET FOR PROFESSIONAL DIRECTORS pp. 575-589

Phyllis Y. Keys and Joanne Li

INVESTOR OVEROPTIMISM AND PRIVATE EQUITY PLACEMENTS pp. 591-608

Dalia Marciukaityte, Samuel H. Szewczyk and Raj Varma

MATCHING FINANCIAL AND REAL INVESTMENT OPTIONS: EVIDENCE FROM WARRANT CALLS pp. 609-620

Luis Garcia‐Feijóo and John S. Howe

Volume 28, issue 3, 2005

EXACT FORMULAS FOR PRICING BONDS AND OPTIONS WHEN INTEREST RATE DIFFUSIONS CONTAIN JUMPS pp. 319-341

John D. Finnerty

EXPONENTIAL DURATION: A MORE ACCURATE ESTIMATION OF INTEREST RATE RISK pp. 343-361

Miles Livingston and Lei Zhou

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS pp. 363-383

Jana Hranaiova, Robert Jarrow and William G. Tomek

AGENT BANK BEHAVIOR IN BANK LOAN SYNDICATIONS pp. 385-402

Jonathan D. Jones, William Lang and Peter Nigro

MARKET STRUCTURE, CHANGING INCENTIVES, AND UNDERWRITER CERTIFICATION pp. 403-419

Steven D. Dolvin

CAN STOCK MARKET LIBERALIZATION IN EMERGING ECONOMIES MITIGATE LEGAL SYSTEMS DEFICIENCIES? pp. 421-437

Wi Saeng Kim, Esmeralda Lyn and Edward J. Zychowicz

TRADING COSTS OF NON‐U.S. STOCKS ON THE NEW YORK STOCK EXCHANGE: THE EFFECT OF INSTITUTIONAL OWNERSHIP, ANALYST FOLLOWING, AND MARKET REGULATION pp. 439-459

Christine X. Jiang and Jang‐Chul Kim

THE IMPACT OF MARKET MAKER CONCENTRATION ON ADVERSE‐SELECTION COSTS FOR NASDAQ STOCKS pp. 461-485

Bonnie F. Van Ness, Robert A. Van Ness and Richard S. Warr

Volume 28, issue 2, 2005

ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS* pp. 165-176

Michael Fleming, Kenneth Garbade and Frank Keane

LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZES pp. 177-195

Kee H. Chung, Kenneth Kim and Pattanaporn Kitsabunnarat

DO TRACKING STOCKS REDUCE INFORMATION ASYMMETRIES? AN ANALYSIS OF LIQUIDITY AND ADVERSE SELECTION pp. 197-213

John Elder, Pankaj Jain and Jang‐Chul Kim

UNDERPRICING AND LONG‐RUN PERFORMANCE OF SHARE ISSUE PRIVATIZATIONS IN THE EGYPTIAN STOCK MARKET pp. 215-234

Mohammed Omran

MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS pp. 235-259

Robert Connolly and Chris Stivers

WHAT DRIVES TIME VARIATION IN EMERGING MARKET SEGMENTATION? pp. 261-280

Delroy M. Hunter

WHO ARE THE NOISE TRADERS? pp. 281-298

J. Christopher Hughen and Cynthia G. McDonald

EVIDENCE ON DELTA HEDGING AND IMPLIED VOLATILITIES FOR THE BLACK‐SCHOLES, GAMMA, AND WEIBULL OPTION PRICING MODELS pp. 299-317

Robert Savickas

Volume 28, issue 1, 2005

INTERSTATE BANKING DEREGULATION AND THE CHANGING NATURE OF BANK MERGERS pp. 1-20

David Becher and Terry L. Campbell

SENSITIVITY OF INVESTOR REACTION TO MARKET DIRECTION AND VOLATILITY: DIVIDEND CHANGE ANNOUNCEMENTS pp. 21-40

Diane Scott Docking and Paul D. Koch

SOCIALLY RESPONSIBLE INVESTING AND PORTFOLIO DIVERSIFICATION pp. 41-57

Zakri Y. Bello

THE MEAN‐GINI EFFICIENT PORTFOLIO FRONTIER pp. 59-75

Haim Shalit and Shlomo Yitzhaki

THE EFFECTS OF DECIMALIZATION ON RETURN VOLATILITY COMPONENTS, SERIAL CORRELATION, AND TRADING COSTS pp. 77-96

Yan He and Chunchi Wu

END‐OF‐DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK pp. 97-113

Susan D. Jordan and David R. Kuipers

MARKET STRUCTURE AND TRADING VOLUME pp. 115-131

Anne‐Marie Anderson and Edward A. Dyl

TRADE SIZE AND INFORMED TRADING: WHICH TRADES ARE “BIG”? pp. 133-163

Frank Heflin and Kenneth W. Shaw