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 35, issue 4, 2000

The Long-Run Performance of Global Equity Offerings pp. 499-528

Stephen R. Foerster and G. Karolyi

The Accuracy of Trade Classification Rules: Evidence from Nasdaq pp. 529-551

Katrina Ellis, Roni Michaely and Maureen O'Hara

A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data pp. 553-576

Thomas J. Finucane

Market Segmentation and the Cost of the Capital in International Equity Markets pp. 577-600

Vihang R. Errunza and Darius P. Miller

Predictability in International Asset Returns: A Reexamination pp. 601-620

Christopher Neely and Paul Weller

Blockholder Ownership and Market Liquidity pp. 621-633

Frank Heflin and Kenneth W. Shaw

Volume 35, issue 3, 2000

Monthly Measurement of Daily Timers pp. 257-290

William Goetzmann, Jonathan Ingersoll and Zoran Ivković

Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases pp. 291-307

William Fung and David A. Hsieh

Hedge Funds: The Living and the Dead pp. 309-326

Bing Liang

Multi-Period Performance Persistence Analysis of Hedge Funds pp. 327-342

Vikas Agarwal and Narayan Y. Naik

The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers pp. 343-368

Hsiu-Lang Chen, Narasimhan Jegadeesh and Russell Wermers

Tax-Motivated Trading and Price Pressure: An Analysis of Mutual Fund Holdings pp. 369-386

Scott Gibson, Assem Safieddine and Sheridan Titman

The Value Added from Investment Managers: An Examination of Funds of REITs pp. 387-408

Jarl G. Kallberg, Crocker L. Liu and Charles Trzcinka

Performance and Characteristics of Swedish Mutual Funds pp. 409-423

Magnus Dahlquist, Stefan Engström and Paul Söderlind

Small Sample Analysis of Performance Measures in the Asymmetric Response Model pp. 425-450

Christian S. Pedersen and Stephen E. Satchell

Morningstar Ratings and Mutual Fund Performance pp. 451-483

Christopher R. Blake and Matthew R. Morey

The Value Line Enigma: The Sum of Known Parts? pp. 485-498

James Choi

Volume 35, issue 2, 2000

Behavioral Portfolio Theory pp. 127-151

Hersh Shefrin and Meir Statman

Profitability of Momentum Stragegies in the International Equity Markets pp. 153-172

Kalok Chan, Allaudeen Hameed and Wilson Tong

Dividend Behaviour and Dividend Signaling pp. 173-189

Ian Garrett and Richard Priestley

Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate pp. 191-215

Turan G. Bali

The Impact of Takeovers on Shareholder Wealth during the 1920s Merger Wave pp. 217-238

John D. Leeth and J. Rody Borg

Do the Portfolios of Small Investors Reflect Positive Feedback Trading? pp. 239-255

Mary M. Bange

Volume 35, issue 1, 2000

Gains to Bidder Firms Revisited: Domestic and Foreign Acquisitions in Canada pp. 1-25

Bjorn Eckbo and Karin Thorburn

The Rationality of Asset Allocation Recommendations pp. 27-41

Edwin J. Elton and Martin J. Gruber

A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads pp. 43-65

Dilip Madan and Haluk Unal

A Rexamination of the Motives and Gains in Joint Ventures pp. 67-85

Shane Johnson and Mark B. Houston

The Determinants of Contract Terms in Bank Revolving Credit Agreements pp. 87-110

Steven Dennis, Debarshi Nandy and Lan G. Sharpe

Prices as Aggregators of Private Information: Evidence from S&P 500 Futures Data pp. 111-126

Jin-Wan Cho and Murugappa Krishnan

Volume 34, issue 4, 1999

IPO Underpricing Explanations: Implications from Investor Application and Allocation Schedules pp. 425-444

Philip J. Lee, Stephen L. Taylor and Terry Walter

Informational Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle pp. 445-464

Chunsheng Zhou

Autoregressive Conditional Skewness pp. 465-487

Campbell Harvey and Akhtar Siddique

Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments? pp. 489-511

Warren Bailey, Y. Peter Chung and Jun-koo Kang

Dynamic Asset Allocation and Fixed Income Management pp. 513-531

Carsten Sørensen

The Role of Personal Taxes in Corporate Decisions: An Empirical Analysis of Share Repurchases and Dividends pp. 533-552

Erik Lie and Heidi J. Lie

Volume 34, issue 3, 1999

Discontinuous Interest Rate Processes: An Equilibrium Model for Bond Option Prices pp. 293-322

Mukarram Attari

Adding Risks: Samuelson's Fallacy of Large Numbers Revisited pp. 323-339

Stephen Ross

Long Swings with Memory and Stock Market Fluctuations pp. 341-367

Ying-Foon Chow and Ming Liu

Differential Interpretations and Trading Volume pp. 369-386

Linda Smith Bamber, Orie E. Barron and Thomas L. Stober

Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison pp. 387-407

Hendrik Bessembinder

The Signaling Power of Specially Designated Dividends pp. 409-424

Michael J. Gombola and Feng-Ying Liu

Volume 34, issue 2, 1999

Optimal vs. Traditional Securities under Moral Hazard pp. 161-189

Michel Robe

Does Insider Trading Really Move Stock Prices? pp. 191-209

Sugato Chakravarty and John J. McConnell

Of Smiles and Smirks: A Term Structure Perspective pp. 211-239

Sanjiv Das and Rangarajan K. Sundaram

Pricing Lookback and Barrier Options under the CEV Process pp. 241-264

Phelim P. Boyle and Tian, Yisong “Sam”

Non-Informative Tests of the Unbiased Forward Exchange Rate pp. 265-291

Scott W. Barnhart, Robert McNown and Myles S. Wallace

Volume 34, issue 1, 1999

Re-Emerging Markets pp. 1-32

William Goetzmann and Philippe Jorion

Volatility in Emerging Stock Markets pp. 33-55

Reena Aggarwal, Carla Inclan and Ricardo Leal

Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence from Dual Trading Restrictions pp. 57-88

Peter R. Locke, Asani Sarkar and Lifan Wu

A Trading Volume Benchmark: Theory and Evidence pp. 89-114

Paula Tkac

Kalman Filtering of Generalized Vasicek Term Structure Models pp. 115-130

Simon H. Babbs and K. Ben Nowman

The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables pp. 131-157

Frank de Jong and Pedro Santa-Clara