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 39, issue 4, 2004

Abnormal Returns from the Common Stock Investments of the U.S. Senate pp. 661-676

Alan J. Ziobrowski, Ping Cheng, James W. Boyd and Brigitte J. Ziobrowski

Capital Investments and Stock Returns pp. 677-700

Sheridan Titman, K. C. John Wei and Feixue Xie

The Allocation and Monitoring Role of Capital Markets: Theory and International Evidence pp. 701-730

Solomon Tadesse

Market Response to European Regulation of Business Combinations pp. 731-757

Nihat Aktas, Eric de Bodt and Richard Roll

Managerial Entrenchment and Payout Policy pp. 759-790

Aidong Hu and Praveen Kumar

Executive Loans pp. 791-811

Kathleen M. Kahle and Kuldeep Shastri

Predictive Regressions: A Reduced-Bias Estimation Method pp. 813-841

Yakov Amihud and Clifford Hurvich

Risk Premia and Preemption in R&D Ventures pp. 843-872

Lorenzo Garlappi

Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium pp. 873-886

Ramdan Dridi and Laurent Germain

Volume 39, issue 3, 2004

Financial Innovation, Market Participation, and Asset Prices pp. 431-459

Laurent Calvet, Martin Gonzalez-Eiras and Paolo Sodini

Economic Sources of Gain in Stock Repurchases pp. 461-479

Konan Chan, David Ikenberry and Inmoo Lee

Optimum Centralized Portfolio Construction with Decentralized Portfolio Management pp. 481-494

Edwin J. Elton and Martin J. Gruber

Limited Stock Market Participation and Asset Prices in a Dynamic Economy pp. 495-516

Hui Guo

Negotiation and the IPO Offer Price: A Comparison of Integer vs. Non-Integer IPOs pp. 517-540

Daniel J. Bradley, John W. Cooney, Bradford Jordan and Ajai K. Singh

Initial Public Offerings in Hot and Cold Markets pp. 541-569

Jean Helwege and Nellie Liang

Why Do IPO Underwriters Allocate Extra Shares when They Expect to Buy Them Back? pp. 571-594

Donghang Zhang

The Effect of Transaction Size on Off-the-Run Treasury Prices pp. 595-611

David Babbel, Craig B. Merrill, Mark F. Meyer and Meiring de Villiers

Do Indirect Investment Barriers Contribute to Capital Market Segmentation? pp. 613-630

George Nishiotis

Limited Partnerships and Reputation Formation pp. 631-659

Jarl G. Kallberg, Crocker H. Liu and Anand Srinivasan

Volume 39, issue 2, 2004

The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry pp. 209-225

Venkat Eleswarapu, Rex Thompson and Kumar Venkataraman

Cookie Cutter vs. Character: The Micro Structure of Small Business Lending by Large and Small Banks pp. 227-251

Rebel Cole, Lawrence G. Goldberg and Lawrence White

Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier pp. 253-275

Alfredo Ibáñez and Fernando Zapatero

Third Market Reforms: The Overlooked Goal of the SEC's Order Handling Rules pp. 277-304

Elizabeth R. Odders-White

Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data pp. 305-326

Joel Hasbrouck

Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange pp. 327-341

Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam

Weather, Stock Returns, and the Impact of Localized Trading Behavior pp. 343-364

Tim Loughran and Paul Schultz

Price Dynamics in the Regular and E-Mini Futures Markets pp. 365-384

Alexander Kurov and Dennis J. Lasser

Opportunity Cost of Capital for Venture Capital Investors and Entrepreneurs pp. 385-405

Frank Kerins, Janet Smith and Richard Smith

The Economic Value of Predicting Stock Index Returns and Volatility pp. 407-429

Wessel Marquering and Marno Verbeek

Volume 39, issue 1, 2004

Discounting and Clustering in Seasoned Equity Offering Prices pp. 1-23

Simona Mola and Tim Loughran

Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations pp. 25-46

Charles Cao, Laura Casares Field and Gordon Hanka

Confidence in the Familiar: An International Perspective pp. 47-68

Kai Li

Common Factors and Local Factors: Implications for Term Structures and Exchange Rates pp. 69-102

Dong-Hyun Ahn

Sharpe Ratios and Alphas in Continuous Time pp. 103-114

Lars Nielsen and Maria Vassalou

Demographics, Stock Market Flows, and Stock Returns pp. 115-142

Amit Goyal

Changing Risk, Return, and Leverage: The 1997 Asian Financial Crisis pp. 143-166

Neal Maroney, Atsuyuki Naka and Theresia Wansi

Minority Shareholder Protections and the Private Benefits of Control for Swedish Mergers pp. 167-191

Martin Holmen and John D. Knopf

A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium pp. 193-208

Vicentiu Covrig, Buen Sin Low and Michael Melvin

Volume 38, issue 4, 2003

Agency Costs of Controlling Minority Shareholders pp. 695-719

Henrik Cronqvist and Mattias Nilsson

Do Takeover Targets Underperform? Evidence from Operating and Stock Returns pp. 721-746

Anup Agrawal and Jeffrey F. Jaffe

Trade Execution Costs and Market Quality after Decimalization pp. 747-777

Hendrik Bessembinder

Errors in Implied Volatility Estimation pp. 779-810

Ludger Hentschel

An Examination of the Performance of the Trades and Stock Holdings of Fund Managers: Further Evidence pp. 811-828

Matt Pinnuck

The Value of Trading Consolidation: Evidence from the Exercise of Warrants pp. 829-846

Yakov Amihud, Beni Lauterbach and Haim Mendelson

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives pp. 847-880

Sandra Peterson, Richard C. Stapleton and Marti G. Subrahmanyam

On Inferring the Direction of Option Trades pp. 881-902

Robert Savickas and Arthur J. Wilson

Volume 38, issue 3, 2003

Financial Advisors and Shareholder Wealth Gains in Corporate Takeovers pp. 475-501

Jayant R. Kale, Omesh Kini and Harley E. Ryan

Reputation and the Market for Distressed Firm Debt pp. 503-521

Thomas Noe and Michael J. Rebello

On the Impossibility of Weak-Form Efficient Markets pp. 523-554

Steve L. Slezak

Cross-Hedging with Currency Options and Futures pp. 555-574

Eric C. Chang and Kit Pong Wong

The Impact of Minimum Trading Units on Stock Value and Price Volatility pp. 575-589

Shmuel Hauser and Beni Lauterbach

Market Structure and Trader Anonymity: An Analysis of Insider Trading pp. 591-610

Jon A. Garfinkel and M. Nimalendran

Is There Really a When-Issued Premium? pp. 611-634

John R. Ezzell, James A. Miles and J. Harold Mulherin

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions pp. 635-672

Joost Driessen, Pieter Klaassen and Bertrand Melenberg

The Clustering of IPO Gross Spreads: International Evidence pp. 673-694

Sami Torstila

Volume 38, issue 2, 2003

Hedge Fund Performance 1990–2000: Do the “Money Machines” Really Add Value? pp. 251-274

Gaurav S. Amin and Harry Kat

Do Persistent Large Cash Reserves Hinder Performance? pp. 275-294

Wayne H. Mikkelson and M. Megan Partch

Risk Premia and the Dynamic Covariance between Stock and Bond Returns pp. 295-316

John T. Scruggs and Paskalis Glabadanidis

Does Coordinated Institutional Investor Activism Reverse the Fortunes of Underperforming Firms? pp. 317-336

Wei-Ling Song and Samuel H. Szewczyk

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model pp. 337-358

Robert Jarrow and Yildiray Yildirim

The Valuation of Default-Triggered Credit Derivatives pp. 359-382

Ren-Raw Chen and Ben J. Sopranzetti

A Multifactor Explanation of Post-Earnings Announcement Drift pp. 383-398

Dongcheol Kim and Myungsun Kim

Interaction of Debt Agency Problems and Optimal Capital Structure: Theory and Evidence pp. 399-423

Connie X. Mao

Do Momentum-Based Strategies Still Work in Foreign Currency Markets? pp. 425-447

John Okunev and Derek White

Pricing Bounds on Asian Options pp. 449-473

J. Aase Nielsen and Klaus Sandmann

Volume 38, issue 1, 2003

International Corporate Governance pp. 1-36

Diane K. Denis and John J. McConnell

Creditor Rights, Enforcement, and Debt Ownership Structure: Evidence from the Global Syndicated Loan Market pp. 37-60

Benjamin C. Esty and William L. Megginson

Strategic Transparency and Informed Trading: Will Capital Market Integration Force Convergence of Corporate Governance? pp. 61-86

Enrico Perotti and Ernst-Ludwig von Thadden

Corporate Governance and the Home Bias pp. 87-110

Magnus Dahlquist, Lee Pinkowitz, René Stulz and Rohan Williamson

International Corporate Governance and Corporate Cash Holdings pp. 111-133

Amy Dittmar, Jan Mahrt-Smith and Henri Servaes

Capital Market Development, International Integration, Legal Systems, and the Value of Corporate Diversification: A Cross-Country Analysis pp. 135-158

Larry Fauver, Joel Houston and Andy Naranjo

Equity Ownership and Firm Value in Emerging Markets pp. 159-184

Karl Lins

Do Better Institutions Mitigate Agency Problems? Evidence from Corporate Finance Choices pp. 185-212

Mariassunta Giannetti

U. S. Investors' Perceptions of Corporate Control in Mexico: Evidence from Sibling ADRs pp. 213-230

J. Michael Pinegar and R. Ravichandran

Is Corporate Governance Ineffective in Emerging Markets? pp. 231-250

Michael S. Gibson