Journal of Financial and Quantitative Analysis

1966 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 49, issue 5-6, 2014

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns pp. 1133-1165

René Garcia, Daniel Mantilla-García and Lionel Martellini

Communicating Private Information to the Equity Market Before a Dividend Cut: An Empirical Analysis pp. 1167-1199

Thomas Chemmanur and Xuan Tian

Do Better-Connected CEOs Innovate More? pp. 1201-1225

Olubunmi Faleye, Tunde Kovacs and Anand Venkateswaran

Treasury Bond Illiquidity and Global Equity Returns pp. 1227-1253

Ruslan Goyenko and Sergei Sarkissian

Dividend Predictability Around the World pp. 1255-1277

Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

Corporate Policies of Republican Managers pp. 1279-1310

Irena Hutton, Danling Jiang and Alok Kumar

Managed Distribution Policies in Closed-End Funds and Shareholder Activism pp. 1311-1337

Martin Cherkes, Jacob S. Sagi and Z. Jay Wang

Detecting Regime Shifts in Credit Spreads pp. 1339-1364

Olfa Maalaoui Chun, Georges Dionne and Pascal François

Inside Debt and Mergers and Acquisitions pp. 1365-1401

Hieu V. Phan

On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom pp. 1403-1442

Junye Li and Gabriele Zinna

Volume 49, issue 4, 2014

Debt Maturity Structure and Credit Quality pp. 817-842

Radhakrishnan Gopalan, Fenghua Song and Vijay Yerramilli

Do Hedge Funds Reduce Idiosyncratic Risk? pp. 843-877

Namho Kang, Péter Kondor and Ronnie Sadka

Aggregate Earnings and Market Returns: International Evidence pp. 879-901

Wen He and Hu, Maggie (Rong)

Portfolio Concentration and Firm Performance pp. 903-931

Anders Ekholm and Benjamin Maury

Antitakeover Provisions and Shareholder Wealth: A Survey of the Literature pp. 933-956

Miroslava Straska and H. Gregory Waller

Corporate Governance and Innovation: Theory and Evidence pp. 957-1003

Haresh Sapra, Ajay Subramanian and Krishnamurthy V. Subramanian

Deviations from Norms and Informed Trading pp. 1005-1037

Alok Kumar and Jeremy K. Page

Success in Global Venture Capital Investing: Do Institutional and Cultural Differences Matter? pp. 1039-1070

Rajarishi Nahata, Sonali Hazarika and Kishore Tandon

Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios pp. 1071-1099

Paolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias Villani

Shareholder Litigation, Reputational Loss, and Bank Loan Contracting pp. 1101-1132

Saiying Deng, Richard H. Willis and Li Xu

Volume 49, issue 3, 2014

Contingent Capital: The Case of COERCs pp. 541-574

George Pennacchi, Theo Vermaelen and Christian Wolff

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach pp. 575-598

Zeno Adams, Roland Füss and Reint Gropp

Asset Specificity, Industry-Driven Recovery Risk, and Loan Pricing pp. 599-631

Christopher James and Atay Kizilaslan

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence pp. 633-661

Tim Bollerslev, James Marrone, Lai Xu and Hao Zhou

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation pp. 663-697

Peter Christoffersen, Bruno Feunou, Kris Jacobs and Nour Meddahi

The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics pp. 699-724

Naresh Bansal, Robert Connolly and Chris Stivers

Trading in the Options Market around Financial Analysts’ Consensus Revisions pp. 725-747

Darren K. Hayunga and Peter P. Lung

The Role of Growth Options in Explaining Stock Returns pp. 749-771

Lenos Trigeorgis and Neophytos Lambertides

The Strategic Listing Decisions of Hedge Funds pp. 773-796

Philippe Jorion and Christopher Schwarz

Recovering Delisting Returns of Hedge Funds pp. 797-815

James E. Hodder, Jens Carsten Jackwerth and Olga Kolokolova

Volume 49, issue 2, 2014

How Does the Market Value Toxic Assets? pp. 297-319

Francis A. Longstaff and Brett W. Myers

Leaders, Followers, and Risk Dynamics in Industry Equilibrium pp. 321-349

Murray Carlson, Engelbert Dockner, Adlai Fisher and Ron Giammarino

Financial Expertise of the Board, Risk Taking, and Performance: Evidence from Bank Holding Companies pp. 351-380

Bernadette A. Minton, Jérôme P. Taillard and Rohan Williamson

Transparency and Financing Choices of Family Firms pp. 381-408

Tai-Yuan Chen, Sudipto Dasgupta and Yangxin Yu

Solvency Constraint, Underdiversification, and Idiosyncratic Risks pp. 409-430

Hong Liu

Individual Investors and Broker Types pp. 431-451

Kingsley Y. L. Fong, David Gallagher and Adrian Lee

Managerial Incentives, Risk Aversion, and Debt pp. 453-481

Andreas Milidonis and Konstantinos Stathopoulos

Interest Rate Risk and the Cross Section of Stock Returns pp. 483-511

Abraham Lioui and Paulo Maio

Who Gains from Buying Bad Bidders? pp. 513-540

David Offenberg, Miroslava Straska and H. Gregory Waller

Volume 49, issue 1, 2014

Real Asset Illiquidity and the Cost of Capital pp. 1-32

Hernán Ortiz-Molina and Gordon Phillips

Volume and Volatility in a Common-Factor Mixture of Distributions Model pp. 33-49

Xiaojun He and Raja Velu

Bribe Payments and Innovation in Developing Countries: Are Innovating Firms Disproportionately Affected? pp. 51-75

Meghana Ayyagari, Asli Demirguc-Kunt and Vojislav Maksimovic

Local Gambling Preferences and Corporate Innovative Success pp. 77-106

Yangyang Chen, Edward Podolski, S. Ghon Rhee and Madhu Veeraraghavan

Momentum Effect as Part of a Market Equilibrium pp. 107-130

Seung Mo Choi and Hwagyun Kim

Does the Location of Directors Matter? Information Acquisition and Board Decisions pp. 131-164

Zinat S. Alam, Mark A. Chen, Conrad S. Ciccotello and Harley E. Ryan

Investing in the “New Economy”: Mutual Fund Performance and the Nature of the Firm pp. 165-191

Swasti Gupta-Mukherjee

The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads pp. 193-220

Redouane Elkamhi, Kris Jacobs and Xuhui Pan

Does the Disposition Effect Matter in Corporate Takeovers? Evidence from Institutional Investors of Target Companies pp. 221-248

Pengfei Ye

Hindsight Effects in Dollar-Weighted Returns pp. 249-269

Simon Hayley

On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns pp. 271-296

Hui Guo, Haimanot Kassa and Michael F. Ferguson