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 43, issue 4, 2008

Investment Banking and Analyst Objectivity: Evidence from Analysts Affiliated with Mergers and Acquisitions Advisors pp. 817-842

Adam C. Kolasinski and S. P. Kothari

Managerial Traits and Capital Structure Decisions pp. 843-881

Dirk Hackbarth

Style Investing and Institutional Investors pp. 883-906

Kenneth Froot and Melvyn Teo

Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow pp. 907-936

Diane Del Guercio and Paula Tkac

Blockholder Scarcity, Takeovers, and Ownership Structures pp. 937-974

Gary Gorton and Matthias Kahl

The Impact of Commercial Banks on Underwriting Spreads: Evidence from Three Decades pp. 975-1000

Dongcheol Kim, Darius Palia and Anthony Saunders

Using Innovative Securities under Asymmetric Information: Why Do Some Firms Pay with Contingent Value Rights? pp. 1001-1035

Sris Chatterjee and An Yan

Recovering Risk Neutral Densities from Option Prices: A New Approach pp. 1037-1053

Leonidas Rompolis and Elias Tzavalis

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? pp. 1055-1090

Nicole Branger and Christian Schlag

Volume 43, issue 3, 2008

Pseudo Market Timing: A Reappraisal pp. 547-579

Magnus Dahlquist and Frank de Jong

The Cost to Firms of Cooking the Books pp. 581-611

Jonathan Karpoff, D. Scott Lee and Gerald S. Martin

Portfolio Concentration and the Performance of Individual Investors pp. 613-655

Zoran Ivković, Clemens Sialm and Scott Weisbenner

Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns pp. 657-684

Turan G. Bali, K. Ozgur Demirtas and Hassan Tehranian

Home-Biased Analysts in Emerging Markets pp. 685-716

Sandy Lai and Melvyn Teo

The Costs of Owning Employer Stocks: Lessons from Taiwan pp. 717-740

Yi-Tsung Lee, Yu-Jane Liu and Ning Zhu

Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance pp. 741-767

Yan, Xuemin (Sterling)

Irreversible Investment, Financing, and Bankruptcy Decisions in an Oligopoly pp. 769-786

Jyh-bang Jou and Tan Lee

New Evidence of Asymmetric Dependence Structures in International Equity Markets pp. 787-815

Tatsuyoshi Okimoto

Volume 43, issue 2, 2008

Conditional Return Smoothing in the Hedge Fund Industry pp. 267-298

Nicolas P. B. Bollen and Veronika K. Pool

Investment and Competition pp. 299-330

Evrim Akdoğu and Peter MacKay

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression pp. 331-353

Wayne E. Ferson, Sergei Sarkissian and Timothy Simin

The Poor Predictive Performance of Asset Pricing Models pp. 355-380

Timothy Simin

Corporate Governance, Shareholder Rights, and Shareholder Rights Plans: Poison, Placebo, or Prescription? pp. 381-400

Gary L. Caton and Jeremy Goh

Are Household Portfolios Efficient? an Analysis Conditional on Housing pp. 401-431

Loriana Pelizzon and Guglielmo Weber

Debt Capacity, Cost of Debt, and Corporate Insurance pp. 433-466

Hong Zou and Mike B. Adams

Macroeconomic News, Order Flows, and Exchange Rates pp. 467-488

Ryan Love and Richard Payne

International Diversification with Large- and Small-Cap Stocks pp. 489-524

Cheol S. Eun, Wei Huang and Sandy Lai

Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM pp. 525-546

Enrico De Giorgi and Thierry Post

Volume 43, issue 1, 2008

Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? pp. 1-28

Amber Anand and Avanidhar Subrahmanyam

Idiosyncratic Volatility and the Cross Section of Expected Returns pp. 29-58

Turan G. Bali and Nusret Cakici

The Determinants of Capital Structure: Capital Market-Oriented versus Bank-Oriented Institutions pp. 59-92

Antonios Antoniou, Yilmaz Guney and Krishna Paudyal

Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks pp. 93-121

Michael J. Barclay, Terrence Hendershott and Charles Jones

An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors pp. 123-160

Ren-Raw Chen, Xiaolin Cheng, Frank Fabozzi and Bo Liu

Control Transfers, Privatization, and Corporate Performance: Efficiency Gains in China's Listed Companies pp. 161-190

Gongmeng Chen, Michael Firth, Yu Xin and Liping Xu

Stock Market Participation and the Internet pp. 191-211

Vicki Bogan

Insiders' Tax Preferences and Firms' Choices between Dividends and Share Repurchases pp. 213-244

Jim Hsieh and Qinghai Wang

The Genesis of Home Bias? The Location and Portfolio Choices of Investment Company Start-Ups pp. 245-266

Jerry Parwada

Volume 42, issue 4, 2007

Incentive Contracts and Hedge Fund Management pp. 811-826

James E. Hodder and Jens Carsten Jackwerth

Do Market Timing Hedge Funds Time the Market? pp. 827-856

Yong Chen and Bing Liang

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and APT Pricing Restrictions pp. 857-891

Federico Nardari and John T. Scruggs

Analysts' Conflicts of Interest and Biases in Earnings Forecasts pp. 893-913

Louis K. C. Chan, Jason Karceski and Josef Lakonishok

Characterizing World Market Integration through Time pp. 915-940

Francesca Carrieri, Vihang Errunza and Ked Hogan

The Value of Outside Directors: Evidence from Corporate Governance Reform in Korea pp. 941-962

Jongmoo Jay Choi, Sae Woon Park and Sean Sehyun Yoo

Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited? pp. 963-990

O. Miguel Villanueva

The Effect of Shareholder Taxes on Corporate Payout Choice pp. 991-1019

William J. Moser

Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures pp. 1021-1040

Jonathan Dark

Reassessing the Impact of Option Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects pp. 1041-1062

Bartley R. Danielsen, Bonnie F. van Ness and Richard S. Warr

Volume 42, issue 3, 2007

Board Composition, Corporate Performance, and the Cadbury Committee Recommendation pp. 535-564

Jay Dahya and John J. McConnell

Is Ipo Underperformance a Peso Problem? pp. 565-594

Andrew Ang, Li Gu and Yael V. Hochberg

The Dynamics of Credit Spreads and Ratings Migrations pp. 595-620

Heber Farnsworth and Tao Li

Optimal Portfolio Choice with Parameter Uncertainty pp. 621-656

Raymond Kan and Guofu Zhou

Information Disclosure and Market Quality: The Effect of SEC Rule 605 on Trading Costs pp. 657-682

Xin Zhao and Kee H. Chung

Mutual Fund Attributes and Investor Behavior pp. 683-708

Nicolas P. B. Bollen

Competitive Equilibrium with Debt pp. 709-734

Alexei Zhdanov

The Value of the Designated Market Maker pp. 735-758

Kumar Venkataraman and Andrew C. Waisburd

Board Composition and Corrective Action: Evidence from Corporate Responses to Bad Acquisition Bids pp. 759-783

Donna L. Paul

The Role of Underwriter-Investor Relationships in the IPO Process pp. 785-809

Murat M. Binay, Vladimir A. Gatchev and Christo A. Pirinsky

Volume 42, issue 2, 2007

The Impact of Mutual Fund Family Membership on Investor Risk pp. 257-277

Edwin J. Elton, Martin J. Gruber and T. Clifton Green

A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings pp. 279-312

Mark Broadie and Özgür Kaya

Initial Public Offerings of State-Owned Enterprises: An International Study of Policy Risk pp. 313-337

Swee-Sum Lam, Ruth Seow-Kuan Tan and Glenn Tsao-Min Wee

Why Do Controlling Families of Public Firms Sell Their Remaining Ownership Stake? pp. 339-367

Sandy Klasa

Stock Market Liquidity and Firm Dividend Policy pp. 369-397

Suman Banerjee, Vladimir A. Gatchev and Paul A. Spindt

Systematic Share Price Fluctuations after Bankruptcy Filings and the Investors Who Drive Them pp. 399-419

Mark C. Dawkins, Nilabhra Bhattacharya and Linda Smith Bamber

Why Do Firms Go Dark? pp. 421-442

András Marosi and Nadia Massoud

Underpricing in Discriminatory and Uniform-Price Treasury Auctions pp. 443-466

David Goldreich

Missed Opportunities: Optimal Investment Timing When Information is Costly pp. 467-488

Graeme Guthrie

Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio pp. 489-515

Thierry Post and Philippe Versijp

The Impact of Overnight Periods on Option Pricing pp. 517-533

Mark-Jan Boes, Feike C. Drost and Bas J. M. Werker

Volume 42, issue 1, 2007

The U-Shaped Investment Curve: Theory and Evidence pp. 1-39

Sean Cleary, Paul Povel and Michael Raith

An International Examination of Affine Term Structure Models and the Expectations Hypothesis pp. 41-80

Huarong Tang and Yihong Xia

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields pp. 81-100

Lucio Sarno, Daniel Thornton and Giorgio Valente

Chapter 11: Duration, Outcome, and Post-Reorganization Performance pp. 101-118

Diane K. Denis and Kimberly J. Rodgers

Time-Series Behavior of Share Repurchases and Dividends pp. 119-142

Bong-Soo Lee and Oliver Rui

Derivative Lawsuits as a Corporate Governance Mechanism: Empirical Evidence on Board Changes Surrounding Filings pp. 143-165

Stephen P. Ferris, Tomas Jandik, Robert M. Lawless and Anil Makhija

Stealth Trading in Options Markets pp. 167-187

Amber Anand and Sugato Chakravarty

Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery pp. 189-208

Nikolaus Hautsch and Dieter Hess

Generalized Analytical Upper Bounds for American Option Prices pp. 209-227

San-Lin Chung and Hsieh-Chung Chang

All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary across Firms pp. 229-256

Scott E. Harrington and David G. Shrider