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 23, issue 4, 1988

The Relative Valuation of American Currency Spot and Futures Options: Theory and Empirical Tests pp. 351-368

Joseph P. Ogden and Alan L. Tucker

Corporate Investment and Dividend Decisions under Differential Personal Taxation pp. 369-385

Ronald Masulis and Brett Trueman

Tax Options and Corporate Capital Structures pp. 387-400

Wilbur G. Lewellen and David C. Mauer

The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability pp. 401-416

Paul A. Spindt and J. Ronald Hoffmeister

On the Intertemporal Behavior of the Short-Term Rate of Interest pp. 417-423

Anthony B. Sanders and Haluk Unal

Performance Evaluation of Market Timers: Theory and Evidence pp. 425-435

Alex Kane and Stephen Gary Marks

The Early Exercise of Options on Treasury Bond Futures pp. 437-449

James A. Overdahl

Hedging with Mispriced Futures pp. 451-464

John J. Merrick

Trading Frictions and Futures Price Movements pp. 465-481

David H. Goldenberg

Errata pp. 482-482

Anonymous

Volume 23, issue 3, 1988

The Use of the Control Variate Technique in Option Pricing pp. 237-251

John Hull and Alan White

Excess Stock Price Volatility as a Misspecified Euler Equation pp. 253-267

Wayne Joerding

The Dependence between Hourly Prices and Trading Volume pp. 269-283

Prem C. Jain and Gun-Ho Joh

Some New Filter Rule Tests: Methods and Results pp. 285-300

Richard J. Sweeney

The Valuation Impacts of Specially Designated Dividends pp. 301-312

Narayanan Jayaraman and Kuldeep Shastri

Tax-Adjusted Duration for Amortizing Debt Instruments pp. 313-327

Duane Stock and Donald G. Simonson

Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model pp. 329-336

Lars Nielsen

The Delivery Option on Forward Contracts: A Note pp. 337-341

Alex Kane and Alan Marcus

The Delivery Option on Forward Contracts: A Comment pp. 343-349

Theodore M. Barnhill

Volume 23, issue 2, 1988

Withdrawn Security Offerings pp. 119-133

Wayne H. Mikkelson and M. Megan Partch

International Listings and Stock Returns: Some Empirical Evidence pp. 135-151

Gordon Alexander, Cheol S. Eun and S. Janakiramanan

Producing Derivative Assets with Forward Contracts pp. 153-160

Avi Bick

Efficient Discrete Time Jump Process Models in Option Pricing pp. 161-174

Edward Omberg

The Information Content of Corporate Merger and Acquisition Offers pp. 175-197

Neal M. Stoughton

The Use of Excess Cash and Debt Capacity as a Motive for Merger pp. 199-217

Robert F. Bruner

On the Estimation of Bid-Ask Spreads: Theory and Evidence pp. 219-230

J. Y. Choi, Dan Salandro and Kuldeep Shastri

The Determinants of Bank Interest Margins: A Note pp. 231-235

Linda Allen

Volume 23, issue 1, 1988

A Lattice Framework for Option Pricing with Two State Variables pp. 1-12

Phelim P. Boyle

An Empirical Examination of the Pricing of American Put Options pp. 13-22

Edward C. Blomeyer and Herb Johnson

A Put Option Paradox pp. 23-26

Mark Grinblatt and Herb Johnson

Bankruptcy and Agency Costs: Their Significance to the Theory of Optimal Capital Structure pp. 27-38

Robert A. Haugen and Lemma W. Senbet

Debt versus Equity under Asymmetric Information pp. 39-51

M. P. Narayanan

Information Quality and Market Efficiency pp. 53-70

Thomas S. Y. Ho and Roni Michaely

Measuring Event Impacts in Thinly Traded Stocks pp. 71-88

Robert Heinkel and Alan Kraus

Immunizing Default-Free Bond Portfolios with a Duration Vector pp. 89-104

Donald R. Chambers, Willard T. Carleton and Richard W. McEnally

Long-Term Behavior of Yield Curves pp. 105-110

Andrew F. Siegel and Charles Nelson

Default Risk, Yield Spreads, and Time to Maturity pp. 111-117

Ricardo J. Rodriguez

Volume 22, issue 4, 1987

Effects of Classifying Equity or Debt on the Value of the Firm under Tax Asymmetry pp. 383-399

Ivan E. Brick and Lawrence Fisher

A Comparison of Single and Multifactor Portfolio Performance Methodologies pp. 401-417

Nai-Fu Chen, Thomas E. Copeland and David Mayers

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application pp. 419-438

Louis O. Scott

A New Linear Programming Approach to Bond Portfolio Management pp. 439-466

Ehud I. Ronn

Intra- and Interindustry Effects of Bank Securities Market Activities: The Case of Discount Brokerage pp. 467-482

Anthony Saunders and Michael Smirlock

Security Price Reactions to Initial Reviews of Common Stock by the Value Line Investment Survey pp. 483-494

David R. Peterson

Event Studies and Systems Methods: Some Additional Evidence pp. 495-504

Bill McDonald

The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios pp. 505-511

George M. Frankfurter and Christopher G. Lamoureux

Minutes of the Executive Committee Meeting pp. 512-513

Anonymous

Minutes of the Annual Meeting pp. 514-515

Anonymous

Treasurer's Report pp. 516-516

Anonymous

Volume 22, issue 3, 1987

On the Consistency of the Black-Scholes Model with a General Equilibrium Framework pp. 259-275

Avi Bick

Options on the Maximum or the Minimum of Several Assets pp. 277-283

Herb Johnson

Equilibrium under Uncertain Inflation: A Discrete Time Approach pp. 285-297

Haim Levy and Azriel Levy

Estimating the Signaling Benefits of Debt Insurance: The Case of Municipal Bonds pp. 299-313

David S. Kidwell, Eric H. Sorensen and John M. Wachowicz

Optimal Managerial Incentive Contracts and the Value of Corporate Insurance pp. 315-328

Tim S. Campbell and William A. Kracaw

The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market pp. 329-343

Joseph P. Ogden

The Influence of Market Conditions on Event-Study Residuals pp. 345-351

April Klein and James Rosenfeld

How Many Stocks Make a Diversified Portfolio? pp. 353-363

Meir Statman

On the Bias of the Corporate Tax against High-Risk Projects pp. 365-371

Hal Heaton

A Risk-Return Measure of Hedging Effectiveness: A Comment pp. 373-376

Jack S. K. Chang and Latha Shanker

A Risk-Return Measure of Hedging Effectiveness: A Reply pp. 377-381

Charles T. Howard and Louis J. D'Antonio

Volume 22, issue 2, 1987

Transaction Data Tests of the Mixture of Distributions Hypothesis pp. 127-141

Lawrence Harris

Option Pricing when the Variance Is Changing pp. 143-151

Herb Johnson and David Shanno

Tests of an American Option Pricing Model on the Foreign Currency Options Market pp. 153-167

James N. Bodurtha and Georges R. Courtadon

Commodity Contracts and Common Stocks as Hedges against Relative Consumer Price Risk pp. 169-188

Victor L. Bernard and Thomas J. Frecka

Consolidation, Fragmentation, and Market Performance pp. 189-207

Haim Mendelson

An Optimal Financial Response to Variable Demand pp. 209-225

Gary W. Emery

A Mean-Variance Derivation of a Multi-Factor Equilibrium Model pp. 227-236

Michael C. Ehrhardt

Risk Decomposition: Variance or Standard Deviation—A Reexamination and Extension pp. 237-247

Tony van Zijl

Inflation and Asset Life: The Darby versus the Fisher Effect pp. 249-258

Keith M. Howe and Harvey Lapan

Volume 22, issue 1, 1987

Price Changes of Related Securities: The Case of Call Options and Stocks pp. 1-15

Mihir Bhattacharya

Performance Incentive Fees: An Agency Theoretic Approach pp. 17-32

Laura T. Starks

Short-Term Compensation Contracts and Executive Expenditure Decisions: The Case of Commercial Banks pp. 33-50

David F. Larcker

Seasonality in Canadian Stock Prices: A Test of the “Tax-Loss-Selling” Hypothesis pp. 51-63

Seha Tinic, Giovanni Barone-Adesi and Richard R. West

New Evidence on the Value Additivity Principle pp. 65-77

Malcolm R. Burns

The Delivery Option on Forward Contracts pp. 79-87

Miles Livingston

Risk and Inflation pp. 89-99

Eric C. Chang and J. Michael Pinegar

Unit Roots Tests: Evidence from the Foreign Exchange Futures Market pp. 101-108

John Doukas and Abdul Rahman

The Relation between Price Changes and Trading Volume: A Survey pp. 109-126

Jonathan Karpoff