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 27, issue 4, 1992

Inflation Forecast Errors and Time Variation in Term Premia pp. 479-496

Werner F. M. De Bondt and Mary M. Bange

Are Debt and Leases Substitutes? pp. 497-511

Craig M. Lewis and James S. Schallheim

Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns pp. 513-537

Michael J. Best and Robert R. Grauer

Executive Incentive Plans, Corporate Control, and Capital Structure pp. 539-560

Hamid Mehran

The Effect of Adoption of Long-Term Performance Plans on Stock Prices and Accounting Numbers pp. 561-573

Raman Kumar and Parvez R. Sopariwala

The Role of Asset Structure, Ownership Structure, and Takeover Defenses in Determining Acquisition Likelihood pp. 575-589

Brent Ambrose and William L. Megginson

Odd-Lot Transactions around the Turn of the Year and the January Effect pp. 591-604

Edward A. Dyl and Edwin Maberly

Bond Returns, Liquidity, and Missing Data pp. 605-617

Arthur Warga

Logarithmic Preferences, Myopic Decisions, and Incomplete Information pp. 619-629

David Feldman

Beta Changes around Stock Splits Revisited pp. 631-640

James B. Wiggins

Volume 27, issue 3, 1992

Market Manipulation, Bubbles, Corners, and Short Squeezes pp. 311-336

Robert Jarrow

Does Market Risk Really Explain the Size Effect? pp. 337-351

Narasimhan Jegadeesh

The International Crash of October 1987: Causality Tests pp. 353-364

Anastasios Malliaris and Jorge L. Urrutia

Trading Rules and Excess Volatility pp. 365-382

George Bulkley and Ian Tonks

The Contrarian Investment Strategy Does Not Work in Canadian Markets pp. 383-395

Lawrence Kryzanowski and Hao Zhang

Equity Issues with Time-Varying Asymmetric Information pp. 397-417

Robert Korajczyk, Deborah Lucas and Robert L. McDonald

The Robustness of Risk-Return Nonlinearities to the Normality Assumption pp. 419-435

Carolyn Carroll, Paul D. Thistle and K. C. John Wei

Implied volatilities and Transaction Costs pp. 437-447

Steve Swidler and J. David Diltz

The Treasury Yield Curve as a Cointegrated System pp. 449-463

Michael G. Bradley and Stephen A. Lumpkin

The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns pp. 465-478

Charles Corrado and Terry L. Zivney

Volume 27, issue 2, 1992

Optimal Dynamic Trading with Leverage Constraints pp. 151-168

Sanford Grossman and Jean-Luc Vila

Information and Diversity of Analyst Opinion pp. 169-183

Christopher B. Barry and Robert H. Jennings

Adverse Selection and Large Trade Volume: The Implications for Market Efficiency pp. 185-208

David Easley and Maureen O'Hara

The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior pp. 209-227

David C. Porter

The Valuation of Multiple Claim Insurance Contracts pp. 229-246

David C. Shimko

Simultaneous Determination of Insider Ownership, Debt, and Dividend Policies pp. 247-263

Gerald R. Jensen, Donald P. Solberg and Thomas S. Zorn

Robust Measurement of Beta Risk pp. 265-282

Louis K. C. Chan and Josef Lakonishok

The Tylenol Incident, Ensuing Regulation, and Stock Prices pp. 283-301

Thomas D. Dowdell, Suresh Govindaraj and Prem C. Jain

Spanning with Index Options pp. 303-309

Jin-Chuan Duan, Arthur F. Moreau and C. W. Sealey

Volume 27, issue 1, 1992

Long-Horizon Mean-Reverting Stock Prices Revisited pp. 1-18

Grant McQueen

On Universal Currency Hedges pp. 19-38

Michael Adler and Bhaskar Prasad

Standard Errors in Event Studies pp. 39-53

Michael Salinger

The Effect of the Secondary Market on the Pricing of Initial Public Offerings: Theory and Evidence pp. 55-79

David C. Mauer and Lemma W. Senbet

Empirical Tests of a Principal-Agent Model of the Investor-Investment Advisor Relationship pp. 81-95

Joseph H. Golec

Exact Solutions for Futures and European Futures Options on Pure Discount Bonds pp. 97-107

Ren-Raw Chen

Target Firm Abnormal Returns and Trading Volume around the Initiation of Change in Control Transactions pp. 109-129

Ralph W. Sanders and John S. Zdanowicz

The Estimation of Quality-Adjusted Auction Returns with Varying Transaction Intervals pp. 131-142

William M. Taylor

Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance pp. 143-149

Emilio R. Zarruk and Jeff Madura

Volume 26, issue 4, 1991

Arbitrage, Clientele Effects, and the Term Structure of Interest Rates pp. 435-443

Eliakim Katz and Eliezer Z. Prisman

Put-Call Parity and Expected Returns pp. 445-457

Thomas J. Finucane

Transaction Data Tests of S&P 100 Call Option Pricing pp. 459-475

Aamir M. Sheikh

On the Computation of Continuous Time Option Prices Using Discrete Approximations pp. 477-495

Kaushik I. Amin

An Empirical Examination of Models of Contract Choice in Initial Public Offerings pp. 497-518

Ivo Welch

Forward Contracts and Firm Value: Investment Incentive and Contracting Effects pp. 519-532

Hendrik Bessembinder

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests pp. 533-547

Robert Jarrow and J. Chris Leach

The Stock Price Effect of Risky versus Safe Debt pp. 549-558

Lakshmi Shyam-Sunder

Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation pp. 559-564

S. David Young, Michael A. Berry, David W. Harvey and John R. Page

The Hedging of an Uncertain Future Foreign Currency Cash Flow pp. 565-578

Joe Kerkvliet and Michael H. Moffett

Volume 26, issue 3, 1991

General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence pp. 287-308

Michael L. Hemler and Francis Longstaff

A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments pp. 309-326

Lenos Trigeorgis

A Model of Capital Structure when Earnings Are Mean-Reverting pp. 327-344

Steven Raymar

Measuring Risk in Fixed Payment Securities: An Empirical Test of the Structured Full Rank Covariance Matrix pp. 345-362

Jimmy E. Hilliard and Susan D. Jordan

The Pricing of Exchange Rate Risk in the Stock Market pp. 363-376

Philippe Jorion

A Quick Algorithm for Pricing European Average Options pp. 377-389

Stuart M. Turnbull and Lee Macdonald Wakeman

Toehold Acquisitions, Shareholder Wealth, and the Market for Corporate Control pp. 391-407

Dosoung Choi

Futures Prices on Yields, Forward Prices, and Implied Forward Prices from Term Structure pp. 409-424

Suresh Sundaresan

Valuation Effects of Cancelled Debt Offerings pp. 425-431

Marlin R. H. Jensen and William N. Pugh

Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment pp. 433-434

Ren-Raw Chen

Volume 26, issue 2, 1991

Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates pp. 139-151

Jimmy E. Hilliard, Jeff Madura and Alan L. Tucker

The Accelerated Binomial Option Pricing Model pp. 153-164

Richard Breen

Financial Signalling by Committing to Cash Outflows pp. 165-180

S. Abraham Ravid and Oded H. Sarig

Information Asymmetry and Equity Issues pp. 181-199

Nathalie Dierkens

The Call, Sinking Fund, and Term-To-Maturity Features of Corporate Bonds: An Empirical Investigation pp. 201-222

Karlyn Mitchell

The Multi-Period CAPM and the Valuation of Multi-Period Stochastic Cash Flows pp. 223-231

Hossein B. Kazemi

Share Repurchase as a Takeover Defense pp. 233-244

Sidharth Sinha

Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients pp. 245-267

Scott W. Barnhart and Andrew C. Szakmary

Seasonality in Daily Bond Returns pp. 269-285

Susan D. Jordan and Bradford Jordan

Volume 26, issue 1, 1991

Fundamentals, Factor Structure, and Multibeta Models in Large Asset Markets pp. 1-10

Kose John and Haim Reisman

Equilibrium Factor Pricing with Heterogeneous Beliefs pp. 11-22

Puneet Handa and Scott Linn

Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts pp. 23-44

Elizabeth Tashijan Johnston, William A. Kracaw and John J. McConnell

The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume pp. 45-61

Scott E. Stickel

Interest Rate Uncertainty and the Optimal Debt Maturity Structure pp. 63-81

Ivan E. Brick and S. Abraham Ravid

The Loan Commitment as an Optimal Financing Contract pp. 83-95

Elazar Berkovitch and Stuart I. Greenbaum

Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills pp. 97-108

David P. Simon

The Influence of Production Technology on Risk and the Cost of Capital pp. 109-127

Laurence Booth

The Value of Early Exercise in Option Prices: An Empirical Investigation pp. 129-138

Terry L. Zivney