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 21, issue 4, 1986

The Microeconomics of Market Making pp. 361-376

Maureen O'Hara and George S. Oldfield

An Empirical Test of a Valuation Model for American Options on Futures Contracts pp. 377-392

Kuldeep Shastri and Kishore Tandon

Mergers and Investment Incentives pp. 393-413

Teresa A. John

Corporate Debt Management and the Value of the Firm pp. 415-426

Wilbur G. Lewellen and Douglas R. Emery

State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments pp. 427-436

Frank Fabozzi and Thom Thurston

A General Derivation of the Jump Process Option Pricing Formula pp. 437-446

Frank Page and Anthony B. Sanders

Using Jump-Diffusion Return Models to Measure Differential Information by Firm Size pp. 447-458

Greggory A. Brauer

Financial Innovation: The Last Twenty Years and the Next pp. 459-471

Merton Miller

Minutes of the Executive Committee Meeting pp. 472-473

Anonymous

Minutes of the Annual Meeting pp. 474-474

Anonymous

Treasurer's Report pp. 475-475

Anonymous

Volume 21, issue 3, 1986

Stochastic Control of Corporate Investment when Output Affects Future Prices pp. 239-263

Terence C. Langetieg

Normality, Solvency, and Portfolio Choice pp. 265-278

Robert R. Grauer

Bayes-Stein Estimation for Portfolio Analysis pp. 279-292

Philippe Jorion

An Empirical Bayes Approach to Efficient Portfolio Selection pp. 293-305

Peter A. Frost and James E. Savarino

A Shifting Regimes Approach to the Stationarity of the Market Model Parameters of Individual Securities pp. 307-321

Patrick A. Hays and David E. Upton

SEC Trading Suspensions: Empirical Evidence pp. 323-333

John S. Howe and Gary G. Schlarbaum

Skewness Persistence in Common Stock Returns pp. 335-341

J. Clay Singleton and John Wingender

Interpreting Common Stock Returns around Proxy Statement Disclosures and Annual Shareholder Meetings pp. 343-349

James A. Brickley

Corporate Taxation and Leasing pp. 351-359

Hal Heaton

Volume 21, issue 2, 1986

The Relationship between the Level of Capital Expenditures and Firm Value pp. 115-129

Brett Trueman

Evidence on the Impact of the Agency Costs of Debt on Corporate Debt Policy pp. 131-144

Wi Saeng Kim and Eric H. Sorensen

Valuation of Foreign Currency Options: Some Empirical Tests pp. 145-160

Kuldeep Shastri and Kishore Tandon

Market Line Deviations and Market Anomalies with Reference to Small and Large Firms pp. 161-180

Bob Korkie

The Effect of Management's Choice between Negotiated and Competitive Equity Offerings on Shareholder Wealth pp. 181-196

Sanjai Bhagat

Corporate Bond Price Data Sources and Return/Risk Measurement pp. 197-208

Kenneth P. Nunn, Joanne Hill and Thomas Schneeweis

Testing for Nonstationarity of Market Risk: An Exact Test and Power Considerations pp. 209-220

Richard R. Simonds, Lynn Roy LaMotte and Archer McWhorter

A Nonparametric, Distribution-Free Test for Serial Independence in Stock Returns pp. 221-227

Richard Ashley and Douglas M. Patterson

An Analytic Approximation for the American Put Price for Options on Stocks with Dividends pp. 229-233

Edward C. Blomeyer

On the Equality of Two Lower Bounds on the Call Price: A Note pp. 235-237

Kanwal Sachdeva

Volume 21, issue 1, 1986

Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ pp. 1-25

Gary C. Sanger and John J. McConnell

Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares pp. 27-38

Paul Malatesta

Cross-Security Tests of the Mixture of Distributions Hypothesis pp. 39-46

Lawrence Harris

The Information Content of Dividends: A Signalling Approach pp. 47-58

Sasson Bar-Yosef and Lucy Huffman

Some Observations on Capital Structure and the Impact of Recent Recapitalizations on Share Prices pp. 59-71

Robert H. Litzenberger

The Valuation of a Random Number of Put Options: An Application to Agricultural Price Supports pp. 73-86

Alan Marcus and David M. Modest

Floating Rate Securities and Immunization: Some Further Results pp. 87-94

George Emir Morgan

Refunding Discounted Debt: A Clarifying Analysis pp. 95-106

John D. Finnerty

On the Listing of Corporate Debt: A Note pp. 107-114

Calvin M. Boardman, Frederick H. Dark and Ronald C. Lease

Volume 20, issue 4, 1985

The Determinants of Firms' Hedging Policies pp. 391-405

Clifford W. Smith and René Stulz

Differential Information and Security Market Equilibrium pp. 407-422

Christopher B. Barry and Stephen Brown

Economic Events, Information Structure, and the Return-Generating Process pp. 423-434

Aswath Damodaran

Efficiency Analysis and Option Portfolio Selection pp. 435-450

James R. Booth, Hassan Tehranian and Gary L. Trennepohl

Market Timing and Risk Reduction pp. 451-459

Phillip E. Pfeifer

Predicting Tender Offer Success: A Logistic Analysis pp. 461-478

Ralph A. Walkling

Debt Policy and the Rate of Return Premium to Leverage pp. 479-499

Alex Kane, Alan Marcus and Robert L. McDonald

The Application of Errors-in-Variables Methodology to Capital Market Research: Evidence on the Small-Firm Effect pp. 501-515

James R. Booth and Richard Smith

Portfolio Serial Correlation and Nonsynchronous Trading pp. 517-523

Philip R. Perry

Executive Committee Meeting Minutes pp. 524-525

Anonymous

Annual Meeting Minutes pp. 526-526

Anonymous

Treasurer's Report pp. 527-527

Anonymous

Volume 20, issue 3, 1985

The Market for Managerial Labor Services and Capital Market Equilibrium pp. 277-297

Tim S. Campbell and William A. Kracaw

Arbitrage Equilibrium with Skewed Asset Returns pp. 299-313

Giovanni Barone-Adesi

An Examination of Event Dependency and Structural Change in Security Pricing Models pp. 315-334

Keith C. Brown, Larry J. Lockwood and Scott L. Lummer

Daily Cash Forecasting and Seasonal Resolution: Alternative Models and Techniques for Using the Distribution Approach pp. 335-351

Tom W. Miller and Bernell K. Stone

Simple Optimal Policy for Cash Management: The Average Balance Requirement Case pp. 353-369

R. G. Vickson

The Impact of Financial Futures on the Cash Market for Treasury Bills pp. 371-379

W. Gary Simpson and Timothy C. Ireland

On the Necessary Condition for Linear Sharing and Separation: A Note pp. 381-384

Chi-fu Huang and Robert Litzenberger

On Mergers, Divestments, and Options: A Note pp. 385-389

Oded H. Sarig

Volume 20, issue 2, 1985

Forecasting Systematic Risk: Estimates of “Raw” Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns pp. 127-149

Lawrence Fisher and Jules H. Kamin

Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods pp. 151-168

Rex Thompson

Introduction to Japanese Finance: Markets, Institutions, and Firms pp. 169-172

Robert C. Higgins

Some Aspects of Japanese Corporate Finance pp. 173-191

James E. Hodder and Adrian Tschoegl

Recent Developments of Interdealer Brokerage in the Japanese Secondary Bond Markets pp. 193-210

Junko Maru and Toshiharu Takahashi

Implicit Contracts in the Japanese Bank Loan Market pp. 211-229

Hiroshi Osano and Yoshiro Tsutsui

Valuation of Underwriting Agreements for Raising Capital in the Japanese Capital Market pp. 231-241

Michio Kunimura and Yoshio Iihara

Seasonal and Size Anomalies in the Japanese Stock Market pp. 243-260

Kiyoshi Kato and James S. Schallheim

Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects pp. 261-272

Jeffrey Jaffe and Randolph Westerfield

Data Sources for Research in Japanese Finance pp. 273-276

Tom Roehl

Volume 20, issue 1, 1985

A Comparison of the Information Content of Insider Trading and Management Earnings Forecasts pp. 1-17

Stephen H. Penman

The Effect of Forward Markets on the Debt-Equity Mix of Investor Portfolios and the Optimal Capital Structure of Firms pp. 19-27

Sheridan Titman

Inflation, the Interest Rate, and the Required Return on Equity pp. 29-44

Jeffrey F. Jaffe

Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques pp. 45-71

Robert Geske and Kuldeep Shastri

Explanations for the Instability of Equity Beta: Risk-Free Rate Changes and Leverage Effects pp. 73-94

Douglas V. DeJong and Daniel W. Collins

The Relative Tax Benefits of Alternative Call Features in Corporate Debt pp. 95-105

Ivan E. Brick and Buckner A. Wallingford

Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns pp. 107-117

James A. Brickley and James S. Schallheim

On the Geometric Mean Index: A Note pp. 119-122

Michael Brennan and Eduardo S. Schwartz

Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note pp. 123-126

Michael Giliberto