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 33, issue 4, 1998

The Design of Bankruptcy Law: A Case for Management Bias in Bankruptcy Reorganizations pp. 441-464

Elazar Berkovitch, Ronen Israel and Jaime F. Zender

Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities pp. 465-497

George J. Jiang

Are Shareholder Proposals All Bark and No Bite? Evidence from Shareholder Resolutions to Rescind Poison Pills pp. 499-521

John M. Bizjak and Christopher J. Marquette

Do Measures of Investor Sentiment Predict Returns? pp. 523-547

Robert Neal and Simon M. Wheatley

An Empirical Analysis of the Reincorporation Decision pp. 549-568

Randall A. Heron and Wilbur G. Lewellen

Bond Rating Agencies and Stock Analysts: Who Knows What When? pp. 569-585

Louis H. Ederington and Jeremy C. Goh

Volume 33, issue 3, 1998

Capital Budgeting for Interrelated Projects: A Real Options Approach pp. 305-334

Paul D. Childs, Steven H. Ott and Alexander J. Triantis

The Determinants of Corporate Liquidity: Theory and Evidence pp. 335-359

Chang-Soo Kim, David C. Mauer and Ann Sherman

Is Foreign Exchange Risk Priced in the Japanese Stock Market? pp. 361-382

Jongmoo Jay Choi, Takato Hiraki and Nobuya Takezawa

The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior pp. 383-408

Alvaro Almeida, Charles Goodhart and Richard Payne

Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution pp. 409-422

Moshe Milevsky and Steven E. Posner

A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models pp. 423-440

Koji Inui and Masaaki Kijima

Volume 33, issue 2, 1998

The Risk and Return from Factors pp. 159-188

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

Country and Currency Risk Premia in an Emerging Market pp. 189-216

Ian Domowitz, Jack Glen and Ananth Madhavan

Determining the Number of Priced State Variables in the ICAPM pp. 217-231

Eugene F. Fama

Shareholder Heterogeneity, Adverse Selection, and Payout Policy pp. 233-253

Deborah Lucas and Robert L. McDonald

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market pp. 255-289

Arkadev Chatterjea and Robert Jarrow

Extraordinary Antitakeover Provisions and Insider Ownership Structure: The Case of Converting Savings and Loans pp. 291-304

Glenn Boyle, Richard B. Carter and Roger D. Stover

Volume 33, issue 1, 1998

Permanent, Temporary, and Non-Fundamental Components of Stock Prices pp. 1-32

Bong-Soo Lee

Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates pp. 33-59

Kristian R. Miltersen and Eduardo S. Schwartz

Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot pp. 61-86

Jimmy E. Hilliard and Jorge Reis

Loan Commitments and the Debt Overhang Problem pp. 87-116

Christopher Snyder

A Strategic Analysis of Corners and Squeezes pp. 117-137

David Cooper and R. Glen Donaldson

Pricing Term Structure Risk in Futures Markets pp. 139-157

Frans A. de Roon, Theo Nijman and Chris Veld

Volume 32, issue 4, 1997

Bookbuilding vs. Fixed Price: An Analysis of Competing Strategies for Marketing IPOs pp. 383-403

Lawrence M. Benveniste and Walid Y. Busaba

Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach pp. 405-426

Christopher Neely, Paul Weller and Rob Dittmar

Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility pp. 427-462

Alexander David

A Reexamination of Firm Size, Book-to-Market, and Earnings Price in the Cross-Section of Expected Stock Returns pp. 463-489

Dongcheol Kim

Board Monitoring and Antitakeover Amendments pp. 491-505

Victoria B. McWilliams and Nilanjan Sen

Market Structure, Informed Trading, and Analysts' Recommendations pp. 507-524

Sok Tae Kim, Ji-Chai Lin and Myron B. Slovin

A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening pp. 525-540

Raymond M. Brooks and Tie Su

Volume 32, issue 3, 1997

Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect? pp. 249-268

Tim Loughran

Optimal Financial Contracts for a Start-Up with Unlimited Operating Discretion pp. 269-286

S. Abraham Ravid and Matthew Spiegel

A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks pp. 287-310

Hendrik Bessembinder and Herbert M. Kaufman

Ownership Studies: The Data Source Does Matter pp. 311-329

Ronald C. Anderson and D. Scott Lee

Reciprocally Interlocking Boards of Directors and Executive Compensation pp. 331-344

Kevin Hallock

Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange pp. 345-365

Marc Bremer, Takato Hiraki and Richard J. Sweeney

Herding on Noise: The Case of Johnson Redbook's Weekly Retail Sales Data pp. 367-381

Joseph Golec

Volume 32, issue 2, 1997

Price Barriers and the Dynamics of Asset Prices in Equilibrium pp. 137-159

Pierluigi Balduzzi, Silverio Foresi and David J. Hait

The Market Reaction to the Choice of Accounting Method for Stock Splits and Large Stock Dividends pp. 161-182

Graeme Rankine and Earl K. Stice

Tests and Properties of Variance Ratios in Microstructure Studies pp. 183-204

Tavy Ronen

Performance Attribution using an APT with Prespecified Macrofactors and Time-Varying Risk Premia and Betas pp. 205-224

Lawrence Kryzanowski, Simon Lalancette and Minh Chau To

SOES Trading and Market Volatility pp. 225-238

Robert H. Battalio, Brian Hatch and Robert Jennings

Valuing Risky Fixed Rate Debt: An Extension pp. 239-248

Eric Briys and François de Varenne

Volume 32, issue 1, 1997

Why Include Warrants in New Equity Issues? A Theory of Unit IPOs pp. 1-24

Thomas Chemmanur and Paolo Fulghieri

Do Noise Traders “Create Their Own Space?” pp. 25-45

Ravi Bhushan, David P. Brown and Antonio S. Mello

An Empirical Analysis of the Determinants of Corporate Debt Ownership Structure pp. 47-69

Shane Johnson

Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory? pp. 71-90

Michael L. Hemler and Thomas W. Miller

Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis pp. 91-115

Will Melick and Charles Thomas

Do Investors Ignore Dividend Taxation? A Reexamination of the Citizens Utilities Case pp. 117-135

Jeff Hubbard and Roni Michaely