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 47, issue 6, 2012

Aggregate Idiosyncratic Volatility pp. 1155-1185

Geert Bekaert, Robert Hodrick and Xiaoyan Zhang

Corporate Governance, Finance, and the Real Sector pp. 1187-1214

Paolo Fulghieri and Matti Suominen

The Principal Principle pp. 1215-1246

Sanjiv Das

Effects of Bank Regulation and Lender Location on Loan Spreads pp. 1247-1278

Li Hao, Debarshi Nandy and Gordon Roberts

Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? pp. 1279-1301

Mahmoud Botshekan, Roman Kraeussl and Andre Lucas

Information Content of Earnings Announcements: Evidence from After-Hours Trading pp. 1303-1330

Christine X. Jiang, Tanakorn Likitapiwat and Thomas McInish

Modeling the Cross Section of Stock Returns: A Model Pooling Approach pp. 1331-1360

O’Doherty, Michael, N. E. Savin and Ashish Tiwari

Futures Cross-Hedging with a Stationary Basis pp. 1361-1395

Stefan Ankirchner, Georgi Dimitroff, Gregor Heyne and Christian Pigorsch

Volume 47, issue 5, 2012

It Pays to Follow the Leader: Acquiring Targets Picked by Private Equity pp. 901-931

Amy Dittmar, Di Li and Amrita Nain

“Preparing” the Equity Market for Adverse Corporate Events: A Theoretical Analysis of Firms Cutting Dividends pp. 933-972

Thomas Chemmanur and Xuan Tian

The Optimal Use of Return Predictability: An Empirical Study pp. 973-1001

Abhay Abhyankar, Devraj Basu and Alexander Stremme

Dividend Growth, Cash Flow, and Discount Rate News pp. 1003-1028

Ian Garrett and Richard Priestley

Shareholders in the Boardroom: Wealth Effects of the SEC’s Proposal to Facilitate Director Nominations pp. 1029-1057

Ali C. Akyol, Wei Fen Lim and Patrick Verwijmeren

The Credibility of Open Market Share Repurchase Signaling pp. 1059-1088

Ilona Babenko, Yuri Tserlukevich and Alexander Vedrashko

Validation of Default Probabilities pp. 1089-1123

Andreas Blöchlinger

Loss Allocation in Securitization Transactions pp. 1125-1153

Günter Franke, Markus Herrmann and Thomas Weber

Volume 47, issue 4, 2012

Leverage Expectations and Bond Credit Spreads pp. 689-714

Mark Flannery, Stanislava (Stas) Nikolova and Ozde Oztekin

Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open pp. 715-741

Henk Berkman, Paul D. Koch, Laura Tuttle and Ying Jenny Zhang

Are CFOs’ Trades More Informative Than CEOs’ Trades? pp. 743-762

Weimin Wang, Yong-Chul Shin and Bill B. Francis

Sell-Side Information Production in Financial Markets pp. 763-794

Zhaohui Chen and William J. Wilhelm

The Prevalence of the Disposition Effect in Mutual Funds’ Trades pp. 795-820

Gjergji Cici

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate pp. 821-849

Albert Menkveld, Asani Sarkar and Michel van der Wel

Heterogeneous Beliefs and Risk-Neutral Skewness pp. 851-872

Geoffrey C. Friesen, Yi Zhang and Thomas S. Zorn

Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion pp. 873-899

Changling Chen, Alan Guoming Huang and Ranjini Jha

Volume 47, issue 3, 2012

The Desire to Acquire and IPO Long-Run Underperformance pp. 493-510

James C. Brau, Robert B. Couch and Ninon K. Sutton

A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds pp. 511-535

Joost Driessen, Tse-Chun Lin and Ludovic Phalippou

The Performance of Investment Bank-Affiliated Mutual Funds: Conflicts of Interest or Informational Advantage? pp. 537-565

Hao, (Grace) Qing and Yan, Xuemin (Sterling)

Do Pension-Related Business Ties Influence Mutual Fund Proxy Voting? Evidence from Shareholder Proposals on Executive Compensation pp. 567-588

Rasha Ashraf, Narayanan Jayaraman and Harley E. Ryan

Equity Mispricing and Leverage Adjustment Costs pp. 589-616

Richard S. Warr, William B. Elliott, Johanna Koëter-Kant and Ozde Oztekin

Long-Term Effects of a Financial Crisis: Evidence from Cash Holdings of East Asian Firms pp. 617-641

Song, Kyojik (Roy) and Youngjoo Lee

The Log-Linear Return Approximation, Bubbles, and Predictability pp. 643-665

Tom Engsted, Thomas Pedersen and Carsten Tanggaard

The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns? pp. 667-688

Pengfei Ye

Volume 47, issue 2, 2012

Volatility Trading: What Is the Role of the Long-Run Volatility Component? pp. 273-307

Guofu Zhou and Yingzi Zhu

Stocks, Bonds, and Long-Run Consumption Risks pp. 309-332

Henrik Hasseltoft

Asset Liquidity and Stock Liquidity pp. 333-364

Radhakrishnan Gopalan, Ohad Kadan and Mikhail Pevzner

The Dividend Initiation Decision of Newly Public Firms: Some Evidence on Signaling with Dividends pp. 365-396

Jayant R. Kale, Omesh Kini and Janet D. Payne

Corporate Governance and Innovation pp. 397-413

O’Connor, Matthew and Matthew Rafferty

Clean Sweep: Informed Trading through Intermarket Sweep Orders pp. 415-435

Sugato Chakravarty, Pankaj Jain, James Upson and Robert Wood

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification pp. 437-467

Chris Kirby and Barbara Ostdiek

Repurchases, Reputation, and Returns pp. 469-491

Alice Adams Bonaimé

Volume 47, issue 1, 2012

Inefficient Labor or Inefficient Capital? Corporate Diversification and Productivity around the World pp. 1-22

Todd Mitton

An International Comparison of Capital Structure and Debt Maturity Choices pp. 23-56

Joseph P. H. Fan, Sheridan Titman and Garry Twite

Sources of Gains in Corporate Mergers: Refined Tests from a Neglected Industry pp. 57-89

David Becher, J. Harold Mulherin and Ralph A. Walkling

Survival of Overconfidence in Currency Markets pp. 91-113

Thomas Oberlechner and Carol Osler

The Cross Section of Expected Returns with MIDAS Betas pp. 115-135

Mariano Gonzalez Sanchez, Juan Nave and Gonzalo Rubio

Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle pp. 137-158

Henri Nyberg

The Performance of Corporate Bond Mutual Funds: Evidence Based on Security-Level Holdings pp. 159-178

Gjergji Cici and Scott Gibson

Financial Strength and Product Market Competition: Evidence from Asbestos Litigation pp. 179-211

Charles J. Hadlock and Ramana Sonti

Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity pp. 213-239

Balasingham Balachandran, Robert Faff, Michael Theobald and Tony van Zijl

Term Structure Estimation with Survey Data on Interest Rate Forecasts pp. 241-272

Don H. Kim and Athanasios Orphanides