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 44, issue 6, 2009

On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements pp. 1265-1289

Menachem Brenner, Paolo Pasquariello and Marti Subrahmanyam

Organization and Financing of Innovation, and the Choice between Corporate and Independent Venture Capital pp. 1291-1321

Paolo Fulghieri and Merih Sevilir

Do Firms Target Credit Ratings or Leverage Levels? pp. 1323-1344

Darren J. Kisgen

Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry pp. 1345-1373

Martijn Cremers, Joost Driessen, Pascal Maenhout and David Weinbaum

Hard-to-Value Stocks, Behavioral Biases, and Informed Trading pp. 1375-1401

Alok Kumar

Block Ownership, Trading Activity, and Market Liquidity pp. 1403-1426

Paul Brockman, Dennis Y. Chung and Yan, Xuemin (Sterling)

Paying for Market Quality pp. 1427-1457

Amber Anand, Carsten Tanggaard and Daniel G. Weaver

Stock Option Repricing and Its Alternatives: An Empirical Examination pp. 1459-1487

Swaminathan Kalpathy

How Did Japanese Investments Influence International Art Prices? pp. 1489-1514

Takato Hiraki, Akitoshi Ito, Darius A. Spieth and Naoya Takezawa

Volume 44, issue 5, 2009

Why Do Demand Curves for Stocks Slope Down? pp. 1013-1044

Antti Petajisto

Management Quality, Financial and Investment Policies, and Asymmetric Information pp. 1045-1079

Thomas Chemmanur, Imants Paeglis and Karen Simonyan

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis pp. 1081-1102

Chris Downing, Shane Underwood and Yuhang Xing

A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion pp. 1103-1124

Miloš Kopa and Thierry Post

Stock Market Mispricing: Money Illusion or Resale Option? pp. 1125-1147

Carl R. Chen, Peter P. Lung and F. Albert Wang

Conflicts of Interest in the Stock Recommendations of Investment Banks and Their Determinants pp. 1149-1171

Chung-Hua Shen and Hsiang-Lin Chih

Asset Liquidity and Capital Structure pp. 1173-1196

Valeriy Sibilkov

Nonparametric Estimation of the Short Rate Diffusion Process from a Panel of Yields pp. 1197-1230

Abdoul G. Sam and George J. Jiang

Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy pp. 1231-1263

João Pedro Vidal Nunes

Volume 44, issue 4, 2009

Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence pp. 745-775

Hsiu-lang Chen and George Pennacchi

Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum? pp. 777-794

George Bulkley and Vivekanand Nawosah

Heterogeneous Beliefs and Momentum Profits pp. 795-822

Michela Verardo

Shareholder-Initiated Class Action Lawsuits: Shareholder Wealth Effects and Industry Spillovers pp. 823-850

Amar Gande and Craig M. Lewis

Commonality in Liquidity: A Global Perspective pp. 851-882

Paul Brockman, Dennis Y. Chung and Christophe Perignon

Is There an Intertemporal Relation between Downside Risk and Expected Returns? pp. 883-909

Turan G. Bali, K. Ozgur Demirtas and Haim Levy

Asset Substitution and Structured Financing pp. 911-951

Joel M. Vanden

Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks pp. 953-986

Louis Gagnon and G. Karolyi

Term Structure, Inflation, and Real Activity pp. 987-1011

Andrea Berardi

Volume 44, issue 3, 2009

Institutional versus Individual Investment in IPOs: The Importance of Firm Fundamentals pp. 489-516

Laura Casares Field and Michelle Lowry

A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives pp. 517-550

Massoud Heidari and Liuren Wu

Capital Market Imperfections and the Sensitivity of Investment to Stock Prices pp. 551-578

Alexei Ovtchinnikov and John J. McConnell

Managers’ and Investors’ Responses to Media Exposure of Board Ineffectiveness pp. 579-605

Jennifer R. Joe, Henock Louis and Dahlia Robinson

Dynamic Style Preferences of Individual Investors and Stock Returns pp. 607-640

Alok Kumar

Testing the Elasticity of Corporate Yield Spreads pp. 641-656

Gady Jacoby, Rose C. Liao and Jonathan Batten

The Role of the Media in the Internet IPO Bubble pp. 657-682

Utpal Bhattacharya, Neal Galpin, Rina Ray and Xiaoyun Yu

Sudden Deaths: Taking Stock of Geographic Ties pp. 683-718

Mara Faccio and David Parsley

Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles pp. 719-744

Lucy Ackert, Narat Charupat, Richard Deaves and Brian D. Kluger

Volume 44, issue 2, 2009

Testing Theories of Capital Structure and Estimating the Speed of Adjustment pp. 237-271

Rongbing Huang and Jay Ritter

Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds pp. 273-305

Vikas Agarwal, Nicole M. Boyson and Narayan Y. Naik

Testing International Asset Pricing Models Using Implied Costs of Capital pp. 307-335

Charles Lee, David Ng and Bhaskaran Swaminathan

Money and the C-CAPM pp. 337-368

Ronald Balvers and Dayong Huang

Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices pp. 369-390

Sean D. Campbell and Steven Sharpe

Stock Options and Total Payout pp. 391-410

Charles J. Cuny, Gerald S. Martin and John J. Puthenpurackal

Are the Wall Street Analyst Rankings Popularity Contests? pp. 411-437

Douglas R. Emery and Xi Li

Founder-CEOs, Investment Decisions, and Stock Market Performance pp. 439-466

Ruediger Fahlenbrach

The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market pp. 467-488

Christopher Neely, Paul A. Weller and Joshua M. Ulrich

Volume 44, issue 1, 2009

The Information Content of Idiosyncratic Volatility pp. 1-28

George J. Jiang, Danielle Xu and Tong Yao

Detecting Liquidity Traders pp. 29-54

Avner Kalay and Avi Wohl

Understanding the Penalties Associated with Corporate Misconduct: An Empirical Examination of Earnings and Risk pp. 55-83

Deborah L. Murphy, Ronald Shrieves and Samuel L. Tibbs

Does Sentiment Drive the Retail Demand for IPOs? pp. 85-108

Daniel Dorn

The Determinants of Credit Default Swap Premia pp. 109-132

Jan Ericsson, Kris Jacobs and Rodolfo Oviedo

Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence pp. 133-154

Hui Guo, Robert Savickas, Zijun Wang and Jian Yang

Institutional Investors, Past Performance, and Dynamic Loss Aversion pp. 155-188

O’Connell, Paul G. J. and Melvyn Teo

Stock and Bond Market Liquidity: A Long-Run Empirical Analysis pp. 189-212

Ruslan Y. Goyenko and Andrey D. Ukhov

Firm Characteristics, Relative Efficiency, and Equity Returns pp. 213-236

Giao X. Nguyen and Peggy E. Swanson