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 37, issue 4, 2002

The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds pp. 523-557

Diane Del Guercio and Paula Tkac

Returns-Chasing Behavior, Mutual Funds, and Beta's Death pp. 559-594

Jason Karceski

Partial Adjustment to Public Information and IPO Underpricing pp. 595-616

Daniel J. Bradley and Bradford Jordan

Does Market Structure Affect the Immediacy of Stock Price Responses to News? pp. 617-648

Ronald Masulis and Lakshmanan Shivakumar

Option Pricing in a Multi-Asset, Complete Market Economy pp. 649-666

Ren-Raw Chen, San-Lin Chung and Tyler T. Yang

Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy pp. 667-692

San-Lin Chung

An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds pp. 693-721

Tao-Hsien Dolly King

Errata pp. 722-722

Anonymous

Volume 37, issue 3, 2002

Option Value, Uncertainty, and the Investment Decision pp. 341-374

Eugene Kandel and Neil D. Pearson

Daily Momentum and Contrarian Behavior of Index Fund Investors pp. 375-389

William Goetzmann and Massimo Massa

Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings pp. 391-424

Hans G. Heidle and Roger D. Huang

Price Leadership in the Spot Foreign Exchange Market pp. 425-448

Stephen G. Sapp

Preferencing, Internalization of Order Flow, and Tacit Collusion: Evidence from Experiments pp. 449-469

Brian D. Kluger and Steve B. Wyatt

Risk-Neutral Skewness: Evidence from Stock Options pp. 471-493

Patrick Dennis and Stewart Mayhew

International Cross-Listing and Visibility pp. 495-521

H. Kent Baker, John R. Nofsinger and Daniel G. Weaver

Volume 37, issue 2, 2002

Agency Conflicts in Closed-End Funds: The Case of Rights Offerings pp. 177-200

Ajay Khorana, Sunil Wahal and Marc Zenner

How Large are the Benefits from Using Options? pp. 201-220

Anthony Neuberger and Stewart Hodges

Order Submission Strategy and the Curious Case of Marketable Limit Orders pp. 221-241

Mark Peterson and Erik Sirri

Intraday Market Price Integration for Shares Cross-Listed Internationally pp. 243-269

Lawrence Kryzanowski and Hao Zhang

Asset Pricing under the Quadratic Class pp. 271-295

Markus Leippold and Liuren Wu

A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model pp. 297-318

John Hull and Wulin Suo

How Stock Flippers Affect IPO Pricing and Stabilization pp. 319-340

Raymond P. H. Fishe

Volume 37, issue 1, 2002

Stock Market Volatility in a Heterogeneous Information Economy pp. 1-27

Bruce D. Grundy and Youngsoo Kim

The Decline of Inflation and the Bull Market of 1982–1999 pp. 29-61

Jay Ritter and Richard S. Warr

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets pp. 63-91

Jessica Wachter

Average Rate Claims with Emphasis on Catastrophe Loss Options pp. 93-115

Gurdip Bakshi and Dilip Madan

Analytical Upper Bounds for American Option Prices pp. 117-135

Ren-Raw Chen and Shih-Kuo Yeh

Operating Performance and the Method of Payment in Takeovers pp. 137-155

Randall Heron and Erik Lie

Put Option Values of Thrifts in the 1980s: Evidence from Thrift Stock Reactions to the FIRREA pp. 157-176

Sangkyun Park

Volume 36, issue 4, 2001

Long-Run Performance and Insider Trading in Completed and Canceled Seasoned Equity Offerings pp. 415-430

Jonathan Clarke, Craig Dunbar and Kathleen M. Kahle

The Effect of Green Investment on Corporate Behavior pp. 431-449

Robert Heinkel, Alan Kraus and Josef Zechner

Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints pp. 451-484

Bartley R. Danielsen and Sorin M. Sorescu

Trade Size and Information-Motivated Trading in the Options and Stock Markets pp. 485-501

Jason Lee and Cheong H. Yi

Tick Size, Bid-Ask Spreads, and Market Structure pp. 503-522

Roger D. Huang and Hans Stoll

Economic News and Bond Prices: Evidence from the U.S. Treasury Market pp. 523-543

Pierluigi Balduzzi, Edwin J. Elton and T. Clifton Green

Trading Volume and Information Revelation in Stock Market pp. 545-565

Matti Suominen

Volume 36, issue 3, 2001

Day Trading International Mutual Funds: Evidence and Policy Solutions pp. 287-309

William Goetzmann, Zoran Ivković and K. Rouwenhorst

Takeover Defenses and Dilution: A Welfare Analysis pp. 311-334

Atreya Chakraborty and Richard Arnott

Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions? pp. 335-344

Abhay Abhyankar and Devraj Basu

Managerial Ownership, Incentive Contracting, and the Use of Zero-Cost Collars and Equity Swaps by Corporate Insiders pp. 345-370

J. Carr Bettis, John M. Bizjak and Michael L. Lemmon

Performance Changes following Top Management Turnover: Evidence from Open-End Mutual Funds pp. 371-393

Ajay Khorana

Firm Internationalization and the Cost of Debt Financing: Evidence from Non-Provisional Publicly Traded Debt pp. 395-414

David Reeb, Sattar A. Mansi and John M. Allee

Volume 36, issue 2, 2001

Is the Market Optimistic about the Future Earnings of Seasoned Equity Offering Firms? pp. 141-168

Peter A. Brous, Vinay Datar and Omseh Kini

Is the Market Surprised by Poor Earnings Realizations following Seasoned Equity Offerings? pp. 169-193

David J. Denis and Atulya Sarin

The Market Demand Curve for Common Stocks: Evidence from Equity Mutual Fund Flows pp. 195-220

Heung-Joo Cha and Bong-Soo Lee

Corporate Hedging and Speculative Incentives: Implications for Swap Market Default Risk pp. 221-250

Abon Mozumdar

Are Treasury Securities Free of Default? pp. 251-265

Srinivas Nippani, Pu Liu and Craig T. Schulman

Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between the Differences in Trading Costs between NYSE and Nasdaq Issues? pp. 267-286

Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness

Volume 36, issue 1, 2001

The Debt-Equity Choice pp. 1-24

Armen Hovakimian, Tim Opler and Sheridan Titman

How Stock Splits Affect Trading: A Microstructure Approach pp. 25-51

David Easley, Maureen O'Hara and Gideon Saar

Another Look at Mutual Fund Tournaments pp. 53-73

Jeffrey A. Busse

Derivatives Performance Attribution pp. 75-92

Mark Rubinstein

Are Corporations Reducing or Taking Risks with Derivatives? pp. 93-118

Ludger Hentschel and S. P. Kothari

Record Date, When-Issued, and Ex-Date Effects in Stock Splits pp. 119-139

Nandkumar Nayar and Michael S. Rozeff