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 29, issue 4, 1994

Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information pp. 499-518

Frederick Foster and S Viswanathan

Econometrics of Financial Models and Market Microstructure Effects pp. 519-540

Tom Smith

Mergers as a Means of Restructuring Distressed Firms: An Empirical Investigation pp. 541-565

Kent Clark and Eli Ofek

The Information Content of Dividend Changes: Cash Flow Signaling, Overinvestment, and Dividend Clienteles pp. 567-587

David J. Denis, Diane K. Denis and Atulya Sarin

Stochastic Volatility Option Pricing pp. 589-607

Clifford A. Ball and Antonio Roma

Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing pp. 609-631

Myung-Jig Kim, Young-Ho Oh and Robert Brooks

Is There News in the Prime Rate? pp. 633-646

Myron B. Slovin, Marie E. Sushka and Edward R. Waller

Volume 29, issue 3, 1994

Behavioral Capital Asset Pricing Theory pp. 323-349

Hersh Shefrin and Meir Statman

Corporate Financing Decisions and Anonymous Trading pp. 351-377

Ronald Giammarino, Robert Heinkel and Burton Hollifield

Bubbles, Stock Returns, and Duration Dependence pp. 379-401

Grant McQueen and Steven Thorley

Liquidity, Taxes, and Short-Term Treasury Yields pp. 403-417

Avraham Kamara

A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques pp. 419-444

Mark Grinblatt and Sheridan Titman

Managerial Voting Rights and Seasoned Public Equity Issues pp. 445-457

L. Paige Fields and Eric L. Mais

Are Dividend Omissions Truly the Cruelest Cut of All? pp. 459-480

William G. Christie

Shareholder Wealth Effects of Directors' Liability Limitation Provisions pp. 481-497

Yaron Brook and Ramesh K. S. Rao

Volume 29, issue 2, 1994

Investment Opportunities and the Market Reaction to Equity Offerings pp. 159-177

David J. Denis

Optimal Maturity Structure with Multiple Debt Claims pp. 179-197

Joel F. Houston and S. Venkataraman

Leverage Constraints and the Optimal Hedging of Stock and Bond Options pp. 199-222

Vasanttilak Naik and Raman Uppal

Securities Markets, Diffusion State Processes, and Arbitrage-Free Shadow Prices pp. 223-239

John Heaney and Geoffrey Poitras

Derivative Security Markets, Market Manipulation, and Option Pricing Theory pp. 241-261

Robert Jarrow

The Individual Investor and the Weekend Effect pp. 263-277

Abraham Abraham and David L. Ikenberry

On the Efficiency of Least Squares Regression with Security Abnormal Returns as the Dependent Variable pp. 279-300

Imre Karafiath

Immunization in Markets with Tax-Clientele Effects: Evidence from the Canadian Market pp. 301-321

Eliezer Z. Prisman and Yisong Tian

Volume 29, issue 1, 1994

Insider Trading and the Managerial Choice among Risky Projects pp. 1-14

Lucian Bebchuk and Chaim Fershtman

Tests of Conditional Asset Pricing with Time-Varying Moments and Risk Prices pp. 15-29

Harry Turtle, Adolf Buse and Bob Korkie

Analysis of the Term Structure of Implied Volatilities pp. 31-56

Ronald Heynen, Angelien Kemna and Ton Vorst

The Term Structure of Volatility Implied by Foreign Exchange Options pp. 57-74

Xinzhong Xu and Stephen J. Taylor

Foreign Exchange Forward and Futures Prices: Are They Equal? pp. 75-87

Hashem Dezhbakhsh

The Valuation of PBGC Insurance Premiums Using an Option Pricing Model pp. 89-99

Su-Jane Hsieh, Andrew H. Chen and Kenneth R. Ferris

A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information pp. 101-116

Matthew Richardson and Tom Smith

Pre-Tender Offer Share Acquisition Strategy in Takeovers pp. 117-129

Bhagwan Chowdhry and Narasimhan Jegadeesh

An Empirical Examination of Dividend Policy Following Debt Issues pp. 131-144

Michael S. Long, Ileen B. Malitz and Stephan E. Sefcik

Holiday Effects and Stock Returns: Further Evidence pp. 145-157

Chan-Wung Kim and Jinwoo Park

Volume 28, issue 4, 1993

The Impact of Managerial Ownership on Acquisition Attempts and Target Shareholder Wealth pp. 439-457

Moon H. Song and Ralph A. Walkling

Information, Investment Horizon, and Price Reactions pp. 459-482

Anjan Thakor

Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing pp. 483-495

Bjorn Flesaker

International Evidence on the Robustness of the Day-of-the-Week Effect pp. 497-513

Eric C. Chang, J. Michael Pinegar and R. Ravichandran

Privileged Traders and Asset Market Efficiency: A Laboratory Study pp. 515-534

Daniel Friedman

Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures pp. 535-551

Kenneth F. Kroner and Jahangir Sultan

Changes in Organizational Structure and Shareholder Wealth: The Case of Limited Partnerships pp. 553-564

Karen C. Denning and Kuldeep Shastri

Bond and Stock Market Response to Unexpected Earnings Announcements pp. 565-577

Sudip Datta and Upinder S. Dhillon

A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation pp. 579-594

G. Karolyi

Volume 28, issue 3, 1993

Price Barriers in the Dow Jones Industrial Average pp. 313-330

R. Glen Donaldson and Harold Y. Kim

Explaining the Cross-Section of Returns via a Multi-Factor APT Model pp. 331-345

Jianping Mei

Motives for Takeovers: An Empirical Investigation pp. 347-362

Elazar Berkovitch and M. P. Narayanan

Government Regulation and Structural Change in the Corporate Acquisitions Market: The Impact of the Williams Act pp. 363-379

Paul Malatesta and Rex Thompson

Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market pp. 381-397

Thomas J. George and Francis Longstaff

Information Asymmetry and the Sinking Fund Provision pp. 399-416

Chunchi Wu

Time Varying Volatilities and Calculation of the Weighted Implied Standard Deviation pp. 417-430

Bruce Resnick, Aamir M. Sheikh and Yo-Shin Song

The Relation between Aggregate Insider Transactions and Stock Market Returns pp. 431-437

Mustafa Chowdhury, John S. Howe and Ji-Chai Lin

Volume 28, issue 2, 1993

Temporary Components of Stock Prices: New Univariate Results pp. 161-176

Bjorn Eckbo and Jian Liu

Short-Sale Restrictions and Market Reaction to Short-Interest Announcements pp. 177-194

A. J. Senchack and Laura T. Starks

Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach pp. 195-212

H. Nejat Seyhun

Strategic Considerations, the Pecking Order Hypothesis, and Market Reactions to Equity Financing pp. 213-234

P. V. Viswanath

One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities pp. 235-254

John Hull and Alan White

Warrant Pricing: Jump-Diffusion vs. Black-Scholes pp. 255-272

Joseph W. Kremer and Rodney L. Roenfeldt

The “Dartboard” Column: Second-Hand Information and Price Pressure pp. 273-284

Brad Barber and Douglas Loeffler

Product Risk, Asymmetric Information, and Trade Credit pp. 285-300

Yul W. Lee and John Stowe

Negative Moments, Risk Aversion, and Stochastic Dominance pp. 301-311

Paul D. Thistle

Volume 28, issue 1, 1993

The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options pp. 1-20

Lenos Trigeorgis

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets pp. 21-39

Hendrik Bessembinder and Paul J. Seguin

Implications of Nonlinear Dynamics for Financial Risk Management pp. 41-64

David A. Hsieh

No Arbitrage and Valuation in Markets with Realistic Transaction Costs pp. 65-80

Jaime Cuevas Dermody and Eliezer Z. Prisman

Arbitrage Pricing with Estimation Risk pp. 81-100

Puneet Handa and Scott Linn

The Risk and Required Return of Common Stock following Major Price Innovations pp. 101-116

Keith C. Brown, W. V. Harlow and Seha Tinic

Optimal Replication of Options with Transactions Costs and Trading Restrictions pp. 117-138

Chanaka Edirisinghe, Vasanttilak Naik and Raman Uppal

Optimality of Spin-Offs and Allocation of Debt pp. 139-160

Teresa A. John