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 25, issue 4, 1990

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation pp. 419-440

David Heath, Robert Jarrow and Andrew Morton

The Dynamics of Stock Index and Stock Index Futures Returns pp. 441-468

Hans Stoll and Robert E. Whaley

Asymmetric Information, Collateral, and Moral Hazard pp. 469-490

Kazuhiro Igawa and George Kanatas

Valuation Effects of Greenmail Prohibitions pp. 491-505

Bjorn Eckbo

The Systematic Risk of Discretely Rebalanced Option Hedges pp. 507-516

John E. Gilster

Stock Market Seasonals and Prespecified Multifactor Pricing Relations pp. 517-533

Eric C. Chang and J. Michael Pinegar

Price Reversals, Bid-Ask Spreads, and Market Efficiency pp. 535-547

Allen B. Atkins and Edward A. Dyl

Stock Returns before and after Calls of Convertible Bonds pp. 549-554

Arnold Cowan, Nandkumar Nayar and Ajai K. Singh

Volume 25, issue 3, 1990

Estimation of Stock Price Variances and Serial Covariances from Discrete Observations pp. 291-306

Lawrence Harris

Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations pp. 307-321

Gautam Kaul

Time-Varying Return and Risk in the Corporate Bond Market pp. 323-340

Eric C. Chang and Roger D. Huang

Securityholder Taxes and Corporate Restructurings pp. 341-360

David C. Mauer and Wilbur G. Lewellen

The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications pp. 361-376

Cheng F. Lee, Chunchi Wu and K. C. John Wei

The Relation between Risk and Optimal Debt Maturity and the Value of Leverage pp. 377-386

James B. Wiggins

Stock Returns, Money, and Fiscal Deficits pp. 387-398

Ali F. Darrat

Stock Price Reactions to The Wall Street Journal's Securities Recommendations pp. 399-410

Pu Liu, Stanley D. Smith and Azmat A. Syed

A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A. Correction pp. 411-415

Charles Corrado and John Schatzberg

A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A Comment pp. 417-418

Richard Ashley and Douglas Patterson

Volume 25, issue 2, 1990

Large Shareholders and the Monitoring of Managers: The Case of Antitakeover Charter Amendments pp. 143-161

Anup Agrawal and Gershon Mandelker

Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics pp. 163-185

John Affleck-Graves and Bill McDonald

Stock Return Seasonalities and Earnings Information pp. 187-201

David R. Peterson

Stock Returns and Volatility pp. 203-214

Richard T. Baillie and Ramon Degennaro

An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets pp. 215-227

Phelim P. Boyle and Y. K. Tse

Informative Conversion Ratios: A Signalling Approach pp. 229-243

Yong O. Kim

Shelf Registration and the Reduced Due Diligence Argument: Implications of the Underwriter Certification and the Implicit Insurance Hypotheses pp. 245-259

David W. Blackwell, M. Wayne Marr and Michael F. Spivey

An Empirical Analysis of Common Stock Delistings pp. 261-272

Gary C. Sanger and James D. Peterson

Short Interest: Explanations and Tests pp. 273-289

Averil Brent, Dale Morse and E. Kay Stice

Volume 25, issue 1, 1990

The Role of Debt and Perferred Stock as a Solution to Adverse Investment Incentives pp. 1-24

Robert Heinkel and Josef Zechner

A Multiperiod Theory of Corporate Financial Policy under Taxation pp. 25-43

Craig M. Lewis

Delivery Uncertainty and the Efficiency of Futures Markets pp. 45-64

Avraham Kamara

Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices pp. 65-86

Theodore M. Barnhill

Valuing Derivative Securities Using the Explicit Finite Difference Method pp. 87-100

John Hull and Alan White

On the Presence of Speculative Bubbles in Stock Prices pp. 101-112

Hashem Dezhbakhsh and Asli Demirguc-Kunt

Size, Seasonality, and Stock Market Overreaction pp. 113-125

Paul Zarowin

A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions pp. 127-142

Eliezer Z. Prisman

Volume 24, issue 4, 1989

Executive Stock Option Plans and Corporate Dividend Policy pp. 409-425

Richard A. Lambert, William N. Lanen and David F. Larcker

Dynamic Recapitalization Policies and the Role of Call Premia and Issue Discounts pp. 427-446

Edwin Fischer, Robert Heinkel and Josef Zechner

Pricing Stock and Bond Options when the Default-Free Rate is Stochastic pp. 447-457

Ramon Rabinovitch

Mergers, Executive Risk Reduction, and Stockholder Wealth pp. 459-472

Wilbur Lewellen, Claudio Loderer and Ahron Rosenfeld

The Valuation of Forestry Resources under Stochastic Prices and Inventories pp. 473-487

Randall Morck, Eduardo Schwartz and David Stangeland

Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments pp. 489-501

John Hull

Security Analyst Monitoring Activity: Agency Costs and Information Demands pp. 503-512

R. Charles Moyer, Robert E. Chatfield and Phillip M. Sisneros

Errors in Recorded Security Prices and the Turn-ofthe-Year Effect pp. 513-526

James Thomson

Black-Scholes Approximations of Call Option Prices with Stochastic Volatilities: A Note pp. 527-532

Thomas J. Finucane

A New Linear Programming Approach to Bond Portfolio Management: A Comment pp. 533-537

Michael C. Ehrhardt

Volume 24, issue 3, 1989

Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model pp. 267-284

Marc Chesney and Louis Scott

Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence pp. 285-311

W. V. Harlow and Ramesh K. S. Rao

Determinants of Hedging and Risk Premia in Commodity Futures Markets pp. 313-331

David Hirshleifer

Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data pp. 333-355

Kenneth Froot

Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach pp. 357-365

David P. Simon

Bond Price Data and Bond Market Liquidity pp. 367-378

Oded Sarig and Arthur Warga

The Incidence of Secured Debt: Evidence from the Small Business Community pp. 379-394

John D. Leeth and Jonathan A. Scott

Seasonality in NASDAQ Dealer Spreads pp. 395-407

Richard D. Fortin, R. Corwin Grube and O. Maurice Joy

Volume 24, issue 2, 1989

An Examination of the Robustness of the Weekend Effect pp. 133-169

Robert Connolly

Takeover Bids below the Expected Value of Minority Shares pp. 171-184

Lucian Bebchuk

A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency pp. 185-204

J. D. Jobson and Bob Korkie

A New Test of the Three-Moment Capital Asset Pricing Model pp. 205-216

Kian-Guan Lim

Hedging Interest Rate Risk with Futures Portfolios under Full-Rank Assumptions pp. 217-240

Jimmy E. Hilliard and Susan D. Jordan

International Transmission of Stock Market Movements pp. 241-256

Cheol S. Eun and Sangdal Shim

Signalling and the Valuation of Unseasoned New Issues Revisited pp. 257-266

I. Krinsky and W. Rotenberg

Volume 24, issue 1, 1989

The Pricing of Stock Index Options in a General Equilibrium Model pp. 1-12

Warren Bailey and René Stulz

All Roads Lead to Risk Preference: A Turnpike Theorem for Conditionally Independent Returns pp. 13-28

Kevin F. McCardle and Robert L. Winkler

A Day-End Transaction Price Anomaly pp. 29-45

Lawrence Harris

Stock Returns as Predictors of Interest Rates and Inflation pp. 47-58

Sheridan Titman and Arthur Warga

Seasonal Fluctuations in Industrial Production and Stock Market Seasonals pp. 59-74

Eric C. Chang and J. Michael Pinegar

Market-Making in Initial Public Offerings of Common Stocks:An Empirical Analysis pp. 75-90

Shantaram P. Hegde and Robert E. Miller

On the Call Provision in Corporate Zero-Coupon Bonds pp. 91-103

M. P. Narayanan and Suk-Pil Lim

The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses pp. 105-116

Joyce A. Hall, B Brorsen and Scott Irwin

An Equilibrium Model of Asset Pricing with Progressive Personal Taxes pp. 117-127

Tsong-Yue Lai

The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment pp. 129-130

Don B. Panton

The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Reply pp. 131-131

G. M. Frankfurter and C. G. Lamoureux