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Journal of Financial and Quantitative Analysis

1966 - 2018

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 53, issue 01, 2018

Innovation Strategy of Private Firms pp. 1-32 Downloads
Huasheng Gao, Po-Hsuan Hsu and Kai Li
Passive versus Active Fund Performance: Do Index Funds Have Skill? pp. 33-64 Downloads
Alan D. Crane and Kevin Crotty
Director Connectedness: Monitoring Efficacy and Career Prospects pp. 65-108 Downloads
Vincent J. Intintoli, Kathleen M. Kahle and Wanli Zhao
Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from U.S. States pp. 109-136 Downloads
Zhi Da, Mitch Warachka and Hayong Yun
Crash Risk in Currency Returns pp. 137-170 Downloads
Mikhail Chernov, Jeremy Graveline and Irina Zviadadze
Flow-Induced Trading Pressure and Corporate Investment pp. 171-201 Downloads
Xiaoxia Lou and Albert Y. Wang
Do Financial Analysts Restrain Insiders’ Informational Advantage? pp. 203-241 Downloads
Andrew Ellul and Marios Panayides
The Liquidity Effects of Official Bond Market Intervention pp. 243-268 Downloads
Michiel De Pooter, Robert F. Martin and Seth Pruitt
Pitfalls in the Use of Systemic Risk Measures pp. 269-298 Downloads
Gunter Löffler and Peter Raupach
Are Ratings the Worst Form of Credit Assessment Except for All the Others? pp. 299-334 Downloads
Andreas Blöchlinger and Markus Leippold
Managerial Ability and the Shareholder Tax Sensitivity of Dividends pp. 335-364 Downloads
Jenny Xinjiao Guan, Oliver Zhen Li and Jiameng Ma
Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments pp. 365-393 Downloads
Xin Gao and Federico Nardari
Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices pp. 395-436 Downloads
D’Amico, Stefania, Don H. Kim and Min Wei
Risk Premium Information from Treasury-Bill Yields pp. 437-454 Downloads
Jaehoon Lee
Securities Transaction Taxes and Market Quality pp. 455-484 Downloads
Anna Pomeranets and Daniel G. Weaver

Volume 52, issue 06, 2017

Corporate Risk Culture pp. 2327-2367 Downloads
Yihui Pan, Stephan Siegel and Tracy Yue Wang
A Lottery-Demand-Based Explanation of the Beta Anomaly pp. 2369-2397 Downloads
Turan G. Bali, Stephen Brown, Scott Murray and Yi Tang
An Empirical Analysis of Market Segmentation on U.S. Equity Markets pp. 2399-2427 Downloads
Frank Hatheway, Amy Kwan and Hui Zheng
Davids, Goliaths, and Business Cycles pp. 2429-2460 Downloads
Jefferson Duarte and Nishad Kapadia
Risk Premia and the VIX Term Structure pp. 2461-2490 Downloads
Travis L. Johnson
Deleveraging Risk pp. 2491-2522 Downloads
Scott Richardson, Pedro A. C. Saffi and Kari Sigurdsson
Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections pp. 2523-2564 Downloads
Gönül Çolak, Art Durnev and Yiming Qian
CEO Turnovers and Disruptions in Customer–Supplier Relationships pp. 2565-2610 Downloads
Vincent J. Intintoli, Matthew Serfling and Sarah Shaikh
Investment Efficiency and Product Market Competition pp. 2611-2642 Downloads
Neal M. Stoughton, Kit Pong Wong and Long Yi
Market Timing and Investment Selection: Evidence from Real Estate Investors pp. 2643-2675 Downloads
Yael V. Hochberg and Tobias Mühlhofer
What Explains the Difference in Leverage between Banks and Nonbanks? pp. 2677-2702 Downloads
Tobias Berg and Jasmin Gider
Cultural Proximity and the Processing of Financial Information pp. 2703-2726 Downloads
Qianqian Du, Frank Yu and Xiaoyun Yu
Equity Volatility Term Structures and the Cross Section of Option Returns pp. 2727-2754 Downloads
Aurelio Vasquez
Institutional Investor Expectations, Manager Performance, and Fund Flows pp. 2755-2777 Downloads
Howard Jones and Jose Vicente Martinez
Horses for Courses: Fund Managers and Organizational Structures pp. 2779-2807 Downloads
Yufeng Han, Tom Noe and Michael Rebello
The Unintended Consequences of the Launch of the Single Supervisory Mechanism in Europe pp. 2809-2836 Downloads
Franco Fiordelisi, Ornella Ricci and Francesco Saverio Stentella Lopes

Volume 52, issue 05, 2017

Banks’ Internal Capital Markets and Deposit Rates pp. 1797-1826 Downloads
Itzhak Ben-David, Ajay Palvia and Chester Spatt
Did Saving Wall Street Really Save Main Street? The Real Effects of TARP on Local Economic Conditions pp. 1827-1867 Downloads
Allen N. Berger and Raluca A. Roman
What Affects Innovation More: Policy or Policy Uncertainty? pp. 1869-1901 Downloads
Utpal Bhattacharya, Po-Hsuan Hsu, Xuan Tian and Yan Xu
Why Do Fund Managers Identify and Share Profitable Ideas? pp. 1903-1926 Downloads
Steven S. Crawford, Wesley R. Gray and Andrew E. Kern
Economic Risk Premia in the Fixed-Income Markets: The Intraday Evidence pp. 1927-1950 Downloads
Pierluigi Balduzzi and Fabio Moneta
Cash Reserves as a Hedge against Supply-Chain Risk pp. 1951-1988 Downloads
Manoj Kulchania and Shawn Thomas
To Group or Not to Group? Evidence from Mutual Fund Databases pp. 1989-2021 Downloads
Saurin Patel and Sergei Sarkissian
Corporate Environmental Policy and Shareholder Value: Following the Smart Money pp. 2023-2051 Downloads
Chitru S. Fernando, Mark P. Sharfman and Vahap B. Uysal
Does Information Asymmetry Affect Corporate Tax Aggressiveness? pp. 2053-2081 Downloads
Tao Chen and Chen Lin
Equilibrium-Informed Trading with Relative Performance Measurement pp. 2083-2118 Downloads
Zhigang Qiu
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions pp. 2119-2156 Downloads
Peter Carr and Liuren Wu
Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals? pp. 2157-2181 Downloads
Richard Sias, Harry J. Turtle and Blerina Zykaj
CoMargin pp. 2183-2215 Downloads
Jorge A. Cruz Lopez, Jeffrey Harris, Christophe Hurlin and Christophe Pérignon
Entrepreneurial Litigation and Venture Capital Finance pp. 2217-2250 Downloads
Douglas Cumming, Bruce Haslem and April Knill
A Multivariate Model of Strategic Asset Allocation with Longevity Risk pp. 2251-2275 Downloads
Emilio Bisetti, Carlo Favero, Giacomo Nocera and Claudio Tebaldi
Long-Term versus Short-Term Contingencies in Asset Allocation pp. 2277-2303 Downloads
Mahmoud Botshekan and Andre Lucas
Time-Disaggregated Dividend–Price Ratio and Dividend Growth Predictability in Large Equity Markets pp. 2305-2326 Downloads
Panagiotis Asimakopoulos, Stylianos Asimakopoulos, Nikolaos Kourogenis and Emmanuel Tsiritakis

Volume 52, issue 04, 2017

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation pp. 1301-1342 Downloads
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
Valuations in Corporate Takeovers and Financial Constraints on Private Targets pp. 1343-1373 Downloads
Daniel Greene
Interactions among High-Frequency Traders pp. 1375-1402 Downloads
Evangelos Benos, James Brugler, Erik Hjalmarsson and Filip Zikes
The Performance of Short-Term Institutional Trades pp. 1403-1428 Downloads
Bidisha Chakrabarty, Pamela C. Moulton and Charles Trzcinka
Regulatory Sanctions and Reputational Damage in Financial Markets pp. 1429-1448 Downloads
John Armour, Colin Mayer and Andrea Polo
How Do Foreign Institutional Investors Enhance Firm Innovation? pp. 1449-1490 Downloads
Hoang Luong, Fariborz Moshirian, Lily Nguyen, Xuan Tian and Bohui Zhang
The Interpretation of Unanticipated News Arrival and Analysts’ Skill pp. 1491-1518 Downloads
Amir Rubin, Benjamin Segal and Dan Segal
Tournament-Based Incentives, Corporate Cash Holdings, and the Value of Cash pp. 1519-1550 Downloads
Hieu V. Phan, Thuy Simpson and Hang T. Nguyen
Time-Varying Beta and the Value Premium pp. 1551-1576 Downloads
Hui Guo, Chaojiang Wu and Yan Yu
Mutual Fund Performance Evaluation and Best Clienteles pp. 1577-1604 Downloads
Stéphane Chrétien and Manel Kammoun
Stock Liquidity and Stock Price Crash Risk pp. 1605-1637 Downloads
Xin Chang, Yangyang Chen and Leon Zolotoy
Payout Yields and Stock Return Predictability: How Important Is the Measure of Cash Flow? pp. 1639-1666 Downloads
Gregory W. Eaton and Bradley S. Paye
Expected Business Conditions and Bond Risk Premia pp. 1667-1703 Downloads
Jonas Eriksen
Liquidity Constraints and Credit Card Delinquency: Evidence from Raising Minimum Payments pp. 1705-1730 Downloads
d’Astous, Philippe and Stephen H. Shore
Common Macro Factors and Currency Premia pp. 1731-1763 Downloads
Ilias Filippou and Mark P. Taylor
DRIPs and the Dividend Pay Date Effect pp. 1765-1795 Downloads
Henk Berkman and Paul D. Koch

Volume 52, issue 03, 2017

Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith? pp. 837-866 Downloads
Thomas W. Bates and David Becher
Investor Attrition and Fund Flows in Mutual Funds pp. 867-893 Downloads
Susan Christoffersen and Haoyu Xu
Fortune Favors the Bold pp. 895-925 Downloads
Costanza Meneghetti and Ryan Williams
Short-Term Interest Rates and Stock Market Anomalies pp. 927-961 Downloads
Paulo Maio and Pedro Santa-Clara
Individual Investors’ Dividend Taxes and Corporate Payout Policies pp. 963-990 Downloads
Oliver Zhen Li, Hang Liu, Chenkai Ni and Kangtao Ye
Gender Differences in Executives’ Access to Information pp. 991-1016 Downloads
A. Can Inci, M. P. Narayanan and H. Nejat Seyhun
Social Capital and Debt Contracting: Evidence from Bank Loans and Public Bonds pp. 1017-1047 Downloads
Iftekhar Hasan, Chun Keung Hoi, Qiang Wu and Hao Zhang
When and Why Do Venture-Capital-Backed Companies Obtain Venture Lending? pp. 1049-1080 Downloads
Tereza Tykvova
Hedge Funds: The Good, the Bad, and the Lucky pp. 1081-1109 Downloads
Yong Chen, Michael Cliff and Haibei Zhao
Investment–Cash Flow Sensitivity: Fact or Fiction? pp. 1111-1141 Downloads
Şenay Ağca and Abon Mozumdar
The Diminishing Benefits of U.S. Cross-Listing: Economic Consequences of SEC Rule 12h-6 pp. 1143-1181 Downloads
Chinmoy Ghosh and Fan He
Stock Market Mean Reversion and Portfolio Choice over the Life Cycle pp. 1183-1209 Downloads
Alexander Michaelides and Yuxin Zhang
Firm Default Prediction: A Bayesian Model-Averaging Approach pp. 1211-1245 Downloads
Jeffrey Traczynski
Dynamic Portfolio Choice with Linear Rebalancing Rules pp. 1247-1278 Downloads
Ciamac C. Moallemi and Mehmet Sağlam
New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods pp. 1279-1299 Downloads
David Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks

Volume 52, issue 02, 2017

Upper Bounds on Return Predictability pp. 401-425 Downloads
Dashan Huang and Guofu Zhou
Best Practice for Cost-of-Capital Estimates pp. 427-463 Downloads
Yaron Levi and Ivo Welch
Institutional Investment Constraints and Stock Prices pp. 465-489 Downloads
Jie Cao, Bing Han and Qinghai Wang
The Timing and Source of Long-Run Returns Following Repurchases pp. 491-517 Downloads
Leonce Bargeron, Alice Bonaime and Shawn Thomas
CEO Tournaments: A Cross-Country Analysis of Causes, Cultural Influences, and Consequences pp. 519-551 Downloads
Natasha Burns, Kristina Minnick and Laura Starks
The Effect of Labor Unions on CEO Compensation pp. 553-582 Downloads
Qianqian Huang, Feng Jiang, Erik Lie and Tingting Que
CEO Turnover–Performance Sensitivity in Private Firms pp. 583-611 Downloads
Huasheng Gao, Jarrad Harford and Kai Li
Policy Uncertainty and Mergers and Acquisitions pp. 613-644 Downloads
Nam H. Nguyen and Hieu V. Phan
Why Do Short Sellers Like Qualitative News? pp. 645-675 Downloads
Bastian von Beschwitz, Oleg Chuprinin and Massimo Massa
Stapled Financing, Value Certification, and Lending Efficiency pp. 677-703 Downloads
Hadiye Aslan and Praveen Kumar
Informed Trading around Stock Split Announcements: Evidence from the Option Market pp. 705-735 Downloads
Philip Gharghori, Edwin D. Maberly and Annette Nguyen
Information Characteristics and Errors in Expectations: Experimental Evidence pp. 737-750 Downloads
Constantinos Antoniou, Glenn Harrison, Morten I. Lau and Daniel Read
Gender and Board Activeness: The Role of a Critical Mass pp. 751-780 Downloads
Miriam Schwartz-Ziv
Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses pp. 781-809 Downloads
Natalie Y. Oh, Jerry T. Parwada and Kian Tan
Annual Report Readability, Tone Ambiguity, and the Cost of Borrowing pp. 811-836 Downloads
Mine Ertugrul, Jin Lei, Jiaping Qiu and Chi Wan

Volume 52, issue 01, 2017

Strategic Delays and Clustering in Hedge Fund Reported Returns pp. 1-35 Downloads
George O. Aragon and Vikram Nanda
Industrial Electricity Usage and Stock Returns pp. 37-69 Downloads
Zhi Da, Dayong Huang and Hayong Yun
Seasonal Asset Allocation: Evidence from Mutual Fund Flows pp. 71-109 Downloads
Mark J. Kamstra, Lisa Kramer, Maurice D. Levi and Russ Wermers
The Dynamics of Performance Volatility and Firm Valuation pp. 111-142 Downloads
Jianxin Daniel Chi and Xunhua Su
Short-Term Reversals: The Effects of Past Returns and Institutional Exits pp. 143-173 Downloads
Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam and Sheridan Titman
Key Human Capital pp. 175-214 Downloads
Ryan D. Israelsen and Scott E. Yonker
Real Options, Idiosyncratic Skewness, and Diversification pp. 215-241 Downloads
Luca Del Viva, Eero Kasanen and Lenos Trigeorgis
What Drives the Commonality between Credit Default Swap Spread Changes? pp. 243-275 Downloads
Mike Anderson
Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing pp. 277-303 Downloads
Jose Faias and Pedro Santa-Clara
Sovereign Default Risk and the U.S. Equity Market pp. 305-339 Downloads
Alexandre Jeanneret
Model Uncertainty and Exchange Rate Forecasting pp. 341-363 Downloads
Roy Kouwenberg, Agnieszka Markiewicz, Ralph Verhoeks and Remco C. J. Zwinkels
Social Screens and Systematic Investor Boycott Risk pp. 365-399 Downloads
H. Arthur Luo and Ronald Balvers
Page updated 2018-03-20