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 45, issue 6, 2010

Why Do Firms with Diversification Discounts Have Higher Expected Returns? pp. 1367-1390

Todd Mitton and Keith Vorkink

Political Connections and Minority-Shareholder Protection: Evidence from Securities-Market Regulation in China pp. 1391-1417

Henk Berkman, Rebel Cole and Lawrence J. Fu

Information Quality and Stock Returns Revisited pp. 1419-1446

Frode Brevik and d’Addona, Stefano

Trading Volume in Dealer Markets pp. 1447-1484

Katya Malinova and Andreas Park

Heterogeneity and Volatility Puzzles in International Finance pp. 1485-1516

Tao Li and Mark L. Muzere

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk pp. 1517-1547

Paul Schneider, Leopold Sögner and Tanja Veža

Market Dynamics and Momentum Profits pp. 1549-1562

Ebenezer Asem and Gloria Y. Tian

The Sensitivity of American Options to Suboptimal Exercise Strategies pp. 1563-1590

Alfredo Ibáñez and Ioannis Paraskevopoulos

Volume 45, issue 5, 2010

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements pp. 1111-1131

Malcolm Baker, Lubomir Litov, Jessica Wachter and Jeffrey Wurgler

Seasonality in the Cross Section of Stock Returns: The International Evidence pp. 1133-1160

Steven L. Heston and Ronnie Sadka

Debt Capacity and Tests of Capital Structure Theories pp. 1161-1187

Michael L. Lemmon and Jaime F. Zender

Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence pp. 1189-1220

Sudipto Dasgupta, Jie Gan and Ning Gao

Information, Expected Utility, and Portfolio Choice pp. 1221-1251

Jun Liu, Ehud Peleg and Avanidhar Subrahmanyam

What Drove the Increase in Idiosyncratic Volatility during the Internet Boom? pp. 1253-1278

Jason Fink, Kristin E. Fink, Gustavo Grullon and James P. Weston

The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments pp. 1279-1310

Daniel Egloff, Markus Leippold and Liuren Wu

Level-Dependent Annuities: Defaults of Multiple Degrees pp. 1311-1339

Aksel Mjøs and Svein-Arne Persson

Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates pp. 1341-1365

Bing Anderson, Peter Hammond and Cyrus A. Ramezani

Volume 45, issue 4, 2010

Estimating the Equity Premium pp. 813-846

R. Glen Donaldson, Mark Kamstra and Lisa Kramer

Rational Cross-Sectional Differences in Market Efficiency: Evidence from Mutual Fund Returns pp. 847-881

Paul Schultz

Idiosyncratic Risk, Long-Term Reversal, and Momentum pp. 883-906

R. David McLean

Arbitrage Risk and Stock Mispricing pp. 907-934

John Doukas, Kim, Chansog (Francis) and Christos Pantzalis

Behavioral and Rational Explanations of Stock Price Performance around SEOs: Evidence from a Decomposition of Market-to-Book Ratios pp. 935-958

Michael G. Hertzel and Zhi Li

Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty pp. 959-986

Jun Tu and Guofu Zhou

Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums pp. 987-1014

Chris Stivers and Licheng Sun

Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors pp. 1015-1053

Anthony W. Lynch and Sinan Tan

Longer-Term Time-Series Volatility Forecasts pp. 1055-1076

Louis H. Ederington and Wei Guan

Stock Returns and the Volatility of Liquidity pp. 1077-1110

João Pedro Pereira and Harold Zhang

Volume 45, issue 3, 2010

The Response of Corporate Financing and Investment to Changes in the Supply of Credit pp. 555-587

Michael Lemmon and Michael Roberts

Financing Frictions and the Substitution between Internal and External Funds pp. 589-622

Heitor Almeida and Murillo Campello

Disagreement, Portfolio Optimization, and Excess Volatility pp. 623-640

Ran Duchin and Moshe Levy

What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? pp. 641-662

Yuhang Xing, Xiaoyan Zhang and Rui Zhao

A Reexamination of the Causes of Time-Varying Stock Return Volatilities pp. 663-684

Chu Zhang

Friend or Foe? The Role of State and Mutual Fund Ownership in the Split Share Structure Reform in China pp. 685-706

Michael Firth, Chen Lin and Hong Zou

Dynamic Factors and Asset Pricing pp. 707-737

He, Zhongzhi (Lawrence), Sahn-Wook Huh and Bong-Soo Lee

Market Feedback and Equity Issuance: Evidence from Repeat Equity Issues pp. 739-762

Armen Hovakimian and Irena Hutton

A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market pp. 763-789

Byoung Uk Kang, Francis In, Gunky Kim and Tong Suk Kim

Prospect Theory and the Disposition Effect pp. 791-812

Markku Kaustia

Volume 45, issue 2, 2010

Corporate Governance and Liquidity pp. 265-291

Kee H. Chung, John Elder and Jang-Chul Kim

Factoring Information into Returns pp. 293-309

David Easley, Soeren Hvidkjaer and O’Hara, Maureen

Portfolio Optimization with Mental Accounts pp. 311-334

Sanjiv Das, Harry Markowitz, Jonathan Scheid and Meir Statman

Deviations from Put-Call Parity and Stock Return Predictability pp. 335-367

Martijn Cremers and David Weinbaum

Dynamic General Equilibrium and T-Period Fund Separation pp. 369-400

Anke Gerber, Thorsten Hens and Peter Woehrmann

Informational Efficiency and Liquidity Premium as the Determinants of Capital Structure pp. 401-440

Chun Chang and Xiaoyun Yu

How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing pp. 441-471

Björn Bartling and Andreas Park

The Impact of the Euro on Equity Markets pp. 473-502

Lorenzo Cappiello, Arjan Kadareja and Simone Manganelli

Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation under SFAS 123R pp. 503-533

George J. Jiang and Yisong S. Tian

Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market pp. 535-553

Guy Kaplanski and Haim Levy

Volume 45, issue 1, 2010

Is There Shareholder Expropriation in the United States? An Analysis of Publicly Traded Subsidiaries pp. 1-26

Vladimir Atanasov, Audra Boone and David Haushalter

Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks pp. 27-48

Zhi Da and Pengjie Gao

Predicting Global Stock Returns pp. 49-80

Erik Hjalmarsson

The Signaling Hypothesis Revisited: Evidence from Foreign IPOs pp. 81-106

Bill B. Francis, Iftekhar Hasan, James Lothian and Xian Sun

How Does Liquidity Affect Government Bond Yields? pp. 107-134

Carlo Favero, Marco Pagano and Ernst-Ludwig von Thadden

Investor Protection, Equity Returns, and Financial Globalization pp. 135-168

Mariassunta Giannetti and Yrjö Koskinen

An Epidemic Model of Investor Behavior pp. 169-198

Sophie Shive

Predicting Hedge Fund Failure: A Comparison of Risk Measures pp. 199-222

Bing Liang and Hyuna Park

Fund Flow Volatility and Performance pp. 223-237

David Rakowski

Pharmaceutical R&D Spending and Threats of Price Regulation pp. 239-264

Joseph Golec, Shantaram Hegde and John A. Vernon