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 25, issue 4, 2002

On the Statistical Significance of Event Effects on Unsystematic Volatility pp. 447-462

Jimmy E. Hilliard and Robert Savickas

The Hull and White Model of the Short Rate: An Alternative Analytical Representation pp. 463-476

Dwight Grant and Gautam Vora

Cross‐Listings and Home Market Trading Volume: The Case of Malaysia and Singapore pp. 477-484

Sie Ting Lau and Thomas McInish

Estimating the Probability of Informed Trading pp. 485-505

Ken Nyholm

Explaining Monday Returns pp. 507-520

Paul Draper and Krishna Paudyal

Commonality in Liquidity: Evidence from an Order‐Driven Market Structure pp. 521-539

Paul Brockman and Dennis Y. Chung

Diversification Benefits of iShares and Closed‐End Country Funds pp. 541-557

Anita K. Pennathur, Natalya Delcoure and Dwight Anderson

The Effect of Credit Risk on Bank and Bank Holding Company Bond Yields: Evidence from the Post‐FDICIA Period pp. 559-575

Julapa Jagtiani, George Kaufman and Catharine Lemieux

The Costs of Issuing Preferred Stock pp. 577-592

Mukesh Bajaj, Sumon C. Mazumdar and Atulya Sarin

Optimal Control of Credit Risk pp. 593-594

Steven V. Mann

Volume 25, issue 3, 2002

Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis pp. 305-320

Keshab Shrestha, Sheng‐Syan Chen and Cheng Few Lee

The Effect of Time‐Series and Cross‐Sectional Heterogeneity on Panel Unit Root Test Power pp. 321-335

John M. Geppert, Timothy E. Jares and Angeline M. Lavin

Stock Returns and Operating Performance of Securities Issuers pp. 337-352

Gil S. Bae, Jinho Jeong, Huey‐Lian Sun and Alex P. Tang

Forecasting Emerging Market Exchange Rates from Foreign Equity Options pp. 353-366

Ting‐Heng Chu and Steve Swidler

An Investigation of the Effect of the 1990 Reserve Requirement Change on Financial Asset Prices pp. 367-382

Jonathan D. Stewart and Scott Hein

Momentum Strategies: Evidence from Pacific Basin Stock Markets pp. 383-397

Allaudeen Hameed and Yuanto Kusnadi

Competitive and Information Effects of Cross‐Border Stock Listings pp. 399-413

Bruce M. Bradford, Anna D. Martin and Ann Marie Whyte

Are All Security Analysts Equal? pp. 415-430

Carl R. Chen, Kam C. Chan and Thomas L. Steiner

On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret? pp. 431-444

Ali F. Darrat, Shafiqur Rahman and Maosen Zhong

Analysis of Financial Time Series pp. 445-446

Rohan Christie‐David

Volume 25, issue 2, 2002

The Biggest Mistakes We Teach pp. 159-168

Jay Ritter

Are the Best Small Companies the Best Investments? pp. 169-186

W. Scott Bauman, C. Mitchell Conover and Don R. Cox

An Analysis of Nonunderwritten Rights Offers: The Case of Closed‐END Funds pp. 187-202

James A. Miles and Mark A. Peterson

Government Bond Market Seasonality, Diversification, and Cointegration: International Evidence pp. 203-221

Kenneth L. Smith

News Releases, Market Integration, and Market Leadership pp. 223-245

Rohan Christie‐David, Mukesh Chaudhry and Walayet Khan

Consolidating Corporate Control: Divisional Versus Whole‐Company Leveraged Buyouts pp. 247-262

Sung C. Bae and Hoje Jo

Merger Announcements and Trading pp. 263-278

N. Asli Ascioglu, Thomas McInish and Robert A. Wood

Skewness and Kurtosis Implied by Option Prices: A Correction pp. 279-282

Christine Brown and David M. Robinson

A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility pp. 283-299

Martin Martens, Yuan‐Chen Chang and Stephen J. Taylor

The Random Character of Currency Prices pp. 301-302

Bruce Resnick

Increasing Shareholder Value: Distribution Policy, A Corporate Challenge pp. 302-303

H. Kent Baker

Volume 25, issue 1, 2002

Firm Transparency and the Costs of Going Public pp. 1-17

James S. Ang and James C. Brau

Forms of Foreign Investment Liberalization and Risk in Emerging Stock Markets pp. 19-38

Kent Hargis

Intra‐Industry Reactions to Stock Split Announcements pp. 39-57

Oranee Tawatnuntachai and Ranjan D'Mello

Differences in Performance of Independent and Finance‐Affiliated Venture Capital Firms pp. 59-80

Kangmao Wang, Clement K. Wang and Qing Lu

Gains to Mutual Fund Sponsors Offering Multiple Share Class Funds pp. 81-98

Vance P. Lesseig, D. Michael Long and Thomas I. Smythe

Valuing the Option to Purchase an Asset at a Proportional Discount pp. 99-109

Anthony Yanxiang Gu

The Firm Size Effect and the Economic Cycle pp. 111-124

Moon K. Kim and David A. Burnie

Monetary Policy and the Cross‐Section of Expected Stock Returns pp. 125-139

Gerald R. Jensen and Jeffrey M. Mercer

Asian Economic Integration and Stock Market Comovement pp. 141-157

Robert Johnson and Luc Soenen

Volume 24, issue 4, 2001

VENTURE CAPITAL AND IPO LOCKUP EXPIRATION: AN EMPIRICAL ANALYSIS pp. 465-493

Daniel J. Bradley, Bradford Jordan, Ha-Chin Yi and Ivan C. Roten

EXECUTIVE COMPENSATION STRUCTURE AND CORPORATE GOVERNANCE CHOICES pp. 495-512

Keith D. Harvey and Ronald Shrieves

OPENING RETURNS, NOISE, AND OVERREACTION pp. 513-521

Patricia Chelley-Steeley

STOCK RETURNS AND VOLATILITY ON CHINA'S STOCK MARKETS pp. 523-543

Cheng F. Lee, Gong-meng Chen and Oliver Rui

MODELING THE TERM STRUCTURE FROM THE ON-THE-RUN TREASURY YIELD CURVE pp. 545-564

Sattar A. Mansi and Jeffery H. Phillips

PRICING CURRENCY OPTIONS UNDER STOCHASTIC INTEREST RATES AND JUMP-DIFFUSION PROCESSES pp. 565-585

Ako Doffou and Jimmy E. Hilliard

STOCK PRICES AND INFLATION pp. 587-602

Ali Anari and James Kolari

WITHDRAWN SPIN-OFFS: AN EMPIRICAL ANALYSIS pp. 603-616

Kasim Alli, Gabriel Ramirez and Kenneth K. Yung

Volume 24, issue 3, 2001

LETTER FROM THE EDITOR pp. ii-ii

William T. Moore

IS NOISE TRADER RISK PRICED? pp. 311-329

Richard W. Sias, Laura T. Starks and Seha M. Tiniç

A MULTIFACTOR ANALYSIS OF COUNTRY FUND RETURNS pp. 331-346

Seth C. Anderson, B. Jay Coleman, Cheryl J. Frohlich and Jeffrey W. Steagall

EXECUTIVE PAY AND THE DISCLOSURE ENVIRONMENT: CANADIAN EVIDENCE pp. 347-365

Yun Park, Toni Nelson and Mark R. Huson

INVESTORS' DIFFERENTIAL RESPONSE TO MANAGED FUND PERFORMANCE pp. 367-384

J. Sawicki

THE ROBUSTNESS OF ABNORMAL RETURNS FROM THE EARNINGS YIELD CONTRARIAN INVESTMENT STRATEGY pp. 385-401

S. G. Badrinath and Omesh Kini

ANALYSIS OF FEDERAL FUNDS RATE CHANGES AND VARIANCE PATTERNS pp. 403-418

Ken B. Cyree and Drew B. Winters

THE PERFORMANCE OF BANK-MANAGED MUTUAL FUNDS pp. 419-442

Melissa B. Frye

VOLATILITY SPILLOVERS BETWEEN THE BLACK MARKET AND OFFICIAL MARKET FOR FOREIGN CURRENCY IN GREECE pp. 443-461

Angelos Kanas and Georgios Kouretas

BOOK REVIEW pp. 463-464

Chris R. McNeil

Volume 24, issue 2, 2001

LETTER FROM THE EDITOR pp. ii-ii

William T. Moore

SYSTEMATIC LIQUIDITY pp. 161-178

Gur Huberman and Dominika Halka

DO U.S. STOCK MARKET INDEXES OVER- OR UNDERREACT? pp. 179-204

Oliver Schnusenberg and Jeff Madura

NUMBER OF TRANSACTIONS AND VOLATILITY: AN EMPIRICAL STUDY USING HIGH-FREQUENCY DATA FROM NASDAQ STOCKS pp. 205-218

Saji Gopinath and Chandrasekhar Krishnamurti

DIVERGENT EXPECTATIONS AND THE ASIAN FINANCIAL CRISIS OF 1997 pp. 219-238

Ming-Shiun Pan, Kam C. Chan and David J. Wright

THE PROPOSED INTRODUCTION OF FUTURES-STYLE MARGINING IN THE UNITED STATES: AN AUSTRALIAN COMPARISON pp. 239-259

George W. Kutner, David C. Porter and John G. Thatcher

INDIVIDUAL, INSTITUTIONAL, AND SPECIALIST TRADE PATTERNS BEFORE AND AFTER DISCLOSURE pp. 261-287

Michael Welker and H. Charles Sparks

MARGINAL CONDITIONAL STOCHASTIC DOMINANCE, STATISTICAL INFERENCE, AND MEASURING PORTFOLIO PERFORMANCE pp. 289-307

K. Victor Chow

BOOK REVIEW pp. 309-310

Carl R. Chen

Volume 24, issue 1, 2001

LETTER FROM THE EDITOR pp. ii-ii

William T. Moore

ORGANIZATIONAL ARCHITECTURE AND CORPORATE FINANCE pp. 1-13

Clifford W. Smith

STRATEGIC RULES ON SPECULATION IN THE FOREIGN EXCHANGE MARKET pp. 15-26

Dilip K. Ghosh and Arun Prakash

IS THERE A SIGNALING EFFECT OF UNDERWRITER REPUTATION? pp. 27-43

Abe Helou and Gonyung Park

INFLUENCES AND TRENDS IN MUTUAL FUND EXPENSE RATIOS pp. 45-63

Michele LaPlante

ADVERSE SELECTION, INVENTORY‐HOLDING COSTS, AND DEPTH pp. 65-82

Frank Heflin and Kenneth W. Shaw

MARKET SEGMENTATION AND INTERNATIONAL ASSET PRICES: EVIDENCE FROM THE LISTING OF WORLD EQUITY BENCHMARK SHARES pp. 83-98

Dilip Kumar Patro

FINANCING DECISIONS AND SIGNALING BY PARTIALLY ACQUIRED FIRMS pp. 99-118

Aigbe Akhigbe, Jeff Madura and Carol Spencer

SHORT‐TERM EFFECTS OF PRIVATIZATION ON OPERATING PERFORMANCE IN THE CZECH REPUBLIC pp. 119-131

Joel T. Harper

FOREIGN OWNERSHIP RESTRICTIONS AND MARKET SEGMENTATION IN CHINA'S STOCK MARKETS pp. 133-155

G. M. Chen, Bong‐Soo Lee and Oliver Rui

BOOK REVIEWS pp. 157-158

Anthony K. Byrd

BOOK REVIEWS pp. 158-160

Jennifer S. Conrad