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 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

Volume 27, issue 4, 2004

MODELS OF STOCK MARKET PREDICTABILITY pp. 449-459

Burton G. Malkiel

CAN INEFFICIENT TRADERS CREATE VALUE? pp. 461-479

C. N. V. Krishnan

FINANCIAL CONTRACTING BETWEEN MANAGERS AND VENTURE CAPITALISTS: THE ROLE OF VALUE‐ADDED SERVICES, REPUTATION SEEKING, AND BARGAINING POWER pp. 481-495

Richard Fairchild

PRICE AND QUANTITY QUOTES ON NASDAQ: A STUDY OF DEALER QUOTATION BEHAVIOR pp. 497-519

Kee H. Chung and Xin Zhao

THE PRICING OF EQUITY CARVE‐OUTS DURING THE 1990s pp. 521-537

Karen M. Hogan and Gerard T. Olson

UNDERWRITER REPUTATION AND AFTERMARKET PERFORMANCE OF CLOSED‐END FUNDS pp. 539-557

Lena Chua Booth

THE WEALTH EFFECTS OF TRACKING STOCK RESTRUCTURINGS pp. 559-583

Matthew T. Billett and Anand M. Vijh

ANALYZING STOCK MARKET VOLATILITY USING EXTREME‐DAY MEASURES pp. 585-601

Charles P. Jones, Mark D. Walker and Jack W. Wilson

BOOK REVIEW pp. 603-604

Ray R. Sturm

Volume 27, issue 3, 2004

TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATION pp. 309-328

Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness

WARRANT PRICING USING OBSERVABLE VARIABLES pp. 329-339

Andrey D. Ukhov

THE FAMA‐FRENCH MODEL, LEVERAGE, AND THE MODIGLIANI‐MILLER PROPOSITIONS pp. 341-349

Martin Lally

ALL THINGS CONSIDERED, TAXES DRIVE THE JANUARY EFFECT pp. 351-372

Honghui Chen and Vijay Singal

MARKET TIMING OF INTERNATIONAL STOCK MARKETS USING THE YIELD SPREAD pp. 373-391

Wei (Wendy) Liu, Bruce Resnick and Gary Shoesmith

ASYMMETRIC COVARIANCE, VOLATILITY, AND THE EFFECT OF NEWS pp. 393-413

Warren G. Dean and Robert Faff

WHEN‐ISSUED SHARES, SMALL TRADES, AND THE VARIANCE OF RETURNS AROUND STOCK SPLITS pp. 415-433

James Angel, Raymond M. Brooks and Prem G. Mathew

THE GRAMM‐LEACH‐BLILEY ACT OF 1999: RISK IMPLICATIONS FOR THE FINANCIAL SERVICES INDUSTRY pp. 435-446

Aigbe Akhigbe and Ann Marie Whyte

BOOK REVIEW pp. 447-448

Yaman Ömer Erzurumlu

Volume 27, issue 2, 2004

Do Demand Curves for Small Stocks Slope Down? pp. 161-178

Ernest N. Biktimirov, Arnold Cowan and Bradford Jordan

Free Float And Market Liquidity: A Study Of Hong Kong Government Intervention pp. 179-197

Kalok Chan, Yue‐Cheong Chan and Wai‐Ming Fong

Board Composition And Corporate Use Of Interest Rate Derivatives pp. 199-216

Kenneth A. Borokhovich, Kelly R. Brunarski, Claire E. Crutchley and Betty Simkins

Unit Ipos: The Who, When, And Why Of Warrant Amendment pp. 217-233

Jacqueline L. Garner and Beverly B. Marshall

Does Information Asymmetry Explain The Diversification Discount? pp. 235-249

Ronald W. Best, Charles W. Hodges and Bing‐Xuan Lin

Convexity: A Comparison And Reconciliation Of Its Different Forms pp. 251-272

Louis D'Antonio and Thomas J. Cook

Anomalies: Is it the Economy? pp. 273-287

TeWhan Hahn, Michele O'Neill and Mario G. Reyes

Performance Evaluation Of U.K. Unit Trusts Within The Stochastic Discount Factor Framework pp. 289-306

Jonathan Fletcher and David N. Forbes

Book Review pp. 307-308

J. Edward Graham

Volume 27, issue 1, 2004

Relational Investing And Firm Performance pp. 1-30

Sanjai Bhagat, Bernard Black and Margaret Blair

Equity‐Based Compensation for Employees: Firm Performance and Determinants pp. 31-54

Melissa B. Frye

Competition For Board Seats Following Stock‐For‐Stock Mergers pp. 55-73

Wallace N. Davidson, Sameh Sakr and Yixi Ning

Decimals And Liquidity: A Study Of The Nyse pp. 75-94

Sugato Chakravarty, Robert A. Wood and Robert A. Van Ness

Contagion in financial markets after September 11: myth or reality? pp. 95-114

Mark Hon, Jack Strauss and Soo‐Keong Yong

The Evolution Of Bank Resolution Policies In Japan: Evidence From Market Equity Values pp. 115-132

Mark Spiegel and Nobuyoshi Yamori

Syndicated Loan Announcements and Borrower Value pp. 133-141

Dominic Gasbarro, Kim‐Song Le, Robert G. Schwebach and J. Kenton Zumwalt

Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis pp. 143-158

Ahmet E. Kocagil

Book Review pp. 159-159

William T. Moore