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 19, issue 4, 1984

Professional Expectations: Accurary and Diagonosis of Errors pp. 351-363

Edwin J. Elton, Martin J. Gruber and Mustafa N. Gultekin

Currency Risk and Relative Price Risk pp. 365-373

Alan C. Shapiro

Unbiased Estimators of Long-Run Expected Returns Revisited pp. 375-393

Pao L. Cheng

On Information Dissemination and Equilibrium Asset Prices: A Note pp. 395-402

Robert H. Jennings and Christopher B. Barry

On Measuring the Risk of Common Stocks Implied by Options Prices: A Note pp. 403-412

Menachem Brenner and Dan Galai

A Two-Factor Model of the Term Structure: An Approximate Analytical Solution pp. 413-424

Stephen M. Schaefer and Eduardo S. Schwartz

The Effects of Inflation and Income Taxes on Interest Rates: Some New Evidence pp. 425-448

Young-Sup Yun

Size and Earnings/Price Ratio Anomalies: One Effect or Two? pp. 449-466

Thomas J. Cook and Michael S. Rozeff

Pricing Municipal Debt pp. 467-483

Edward Henry Robbins

Executive Committee Meeting Minutes pp. 485-486

Anonymous

Annual Meeting Minutes pp. 487-487

Anonymous

Treasurer's Report pp. 488-488

Anonymous

Volume 19, issue 3, 1984

A New Approach to Estimation of the Term Structure of Interest Rates pp. 233-252

Donald R. Chambers, Willard T. Carleton and Donald Waldman

Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations pp. 253-269

Gary Shea

A Pure Financial Explanation for Trade Credit pp. 271-285

Gary W. Emery

Consumption Basket, Exchange Risk, and Asset Demand pp. 287-298

Jongmoo Jay Choi

Firm Size and the Informational Content of Financial Statements pp. 299-310

Daniel Zeghal

Difference Equation Solutions to the Valuation of Lease Contracts pp. 311-328

Anthony Steele

Gini's Mean Difference and Portfolio Selection: An Empirical Evaluation pp. 329-338

Roger P. Bey and Keith M. Howe

The Transactions Velocity of Money and Its Efficiency pp. 339-350

R. J. Sweeney

Volume 19, issue 2, 1984

Optimal Hedging Policies pp. 127-140

René Stulz

On the Adequacy of Bank Capital Regulation pp. 141-162

George Emir Morgan

Repurchase Tender Offers, Signaling, and Managerial Incentives pp. 163-181

Theo Vermaelen

SEC Rule 415: The Ultimate Competitive Bid pp. 183-195

David S. Kidwell, M. Wayne Marr and G. Rodney Thompson

An Examination of Investor Behavior during Periods of Large Dividend Changes pp. 197-216

Terry E. Dielman and Henry R. Oppenheimer

The Stationarity of the Conditional Mean of Real Rates of Return on Common Stocks: An Empirical Investigation pp. 217-230

Louis O. Scott

The Valuation of Corporate Liabilities as Compound Options: A Correction pp. 231-232

Robert Geske and H. E. Johnson

Volume 19, issue 1, 1984

On the Robustness of the Roll and Ross Arbitrage Pricing Theory pp. 1-10

D. Chinhyung Cho, Edwin J. Elton and Martin J. Gruber

The Behavior of Stock Returns: Is It Stationary or Evolutionary? pp. 11-28

D. A. Hsu

Market Resolution and Valuation in Incomplete Markets pp. 29-44

Kose John

The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock pp. 45-57

Gershon Mandelker and S. Ghon Rhee

Dividends and Debt under Alternative Tax Systems pp. 59-72

William K. H. Fung and Michael F. Theobald

Refunding Noncallable Debt pp. 73-82

Douglas R. Emery and Wilbur G. Lewellen

Risk-Adjusted Values, Timing of Uncertainty Resolution, and the Measurement of Project Worth pp. 83-99

Richard H. Bernhard

A Risk-Return Measure of Hedging Effectiveness pp. 101-112

Charles T. Howard and Louis J. D'Antonio

Alternative Mortgage Instruments, the Tilt Problem, and Consumer Welfare pp. 113-126

James Alm and James R. Follain

Volume 18, issue 4, 1983

Mean-Variance Utility Functions and the Demand for Risky Assets: An Empirical Analysis Using Flexible Functional Forms pp. 411-424

Varouj Aivazian, Jeffrey L. Callen, Itzhak Krinsky and Clarence C. Y. Kwan

The Modigliani-Miller Leverage Equation Considered in a Product Market Context pp. 425-437

William W. Alberts and Gailen L. Hite

A Reexamination of the Empirical Relationship between Investment and Financing Decisions pp. 439-453

Pamela P. Peterson and Gary A. Benesh

On Estimates of Long-Run Rates of Return: A Note pp. 455-461

Joel Hasbrouck

On Bond Ratings and Pension Obligations: A Note pp. 463-470

Linda J. Martin and Glenn V. Henderson

On the Estimation Risk in First-Order Stochastic Dominance: A Note pp. 471-476

William Stein, Roger Pfaffenberger and P. C. Kumar

Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests pp. 477-497

Wayne E. Ferson

Fixed Rate Loan Commitments, Take-Down Risk, and the Dynamics of Hedging with Futures pp. 499-516

Thomas S. Y. Ho and Anthony Saunders

Bond Price Dynamics and Options pp. 517-531

Clifford A. Ball and Walter N. Torous

The Role of Cash Balances in Firm Valuation pp. 533-545

James R. Morris

An Empirical Test of the Redistribution Effect in Pure Exchange Mergers pp. 547-572

Carol Ellen Eger

Minutes of the Executive Committee Meeting pp. 573-574

Anonymous

Minutes of the Annual Meeting pp. 575-575

Anonymous

Treasurer's Report pp. 576-576

Anonymous

Volume 18, issue 3, 1983

Nonparametric Tests of Models of Investor Behavior pp. 269-278

Hal Varian

The Use of Risk and Return Models for Multiattribute Decisions with Decomposable Utilities pp. 279-285

Mustafa R. Yilmaz

Geometric Mean Approximations pp. 287-293

William H. Jean and Billy P. Helms

On Optimal Asset Abandonment and Replacement pp. 295-305

Keith M. Howe and George M. McCabe

Assumption Financing and Selling Price of Single-Family Homes pp. 307-317

G. Stacy Sirmans, Stanley D. Smith and C. F. Sirmans

Functional Forms and the Capital Asset Pricing Model pp. 319-329

Bill McDonald

Negotiated Brokerage Commissions and the Individual Investor pp. 331-343

Gerald A. Blum and Wilbur G. Lewellen

Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing Models pp. 345-354

William E. Sterk

A Dynamic Global Portfolio Immunization Strategy in the World of Multiple Interest Rate Changes: A Dynamic Immunization and Minimax Theorem pp. 355-363

Chulsoon Khang

Floating Rate Notes and Immunization pp. 365-380

Don M. Chance

The Impact of the New York City Fiscal Crisis on the Interest Cost of New Issue Municipal Bonds pp. 381-399

David S. Kidwell and Charles Trzcinka

An Analysis of the Performance of Publicly Traded Venture Capital Companies pp. 401-410

John D. Martin and J. William Petty

Volume 18, issue 2, 1983

Abnormal Returns from Merger Profiles pp. 149-162

James W. Wansley, Rodney L. Roenfeldt and Philip L. Cooley

Market Responses to Dividend Increases and Changes in Payout Ratios pp. 163-173

Arjun Divecha and Dale Morse

A Mechanism for the Allocation of Corporate Investment pp. 175-188

Enrique Arzac

Statistical Inference in Two-Parameter Portfolio Theory with Multiple Regression Software pp. 189-197

J. D. Jobson and Bob Korkie

The Analytic Relationship between Intervaling and Nontrading Effects in Continuous Time pp. 199-209

Michael Theobald

More Evidence on the Nature of the Distribution of Security Returns pp. 211-221

Philip R. Perry

On the Use of a Covariance Function in a Portfolio Model pp. 223-227

Ardeshir J. Dalal

Costly Information Production Equilibria in the Bank Credit Market with Applications to Credit Rationing pp. 229-256

Anjan Thakor and Richard Callaway

Capital Market Equilibrium with Divergent Investment Horizon Length Assumptions pp. 257-268

John E. Gilster

Volume 18, issue 1, 1983

Information Dissemination and Portfolio Choice pp. 1-19

Robert H. Jennings and Christopher B. Barry

On the Asset Substitution Problem pp. 21-30

Bezalel Gavish and Avner Kalay

General Factor Models and the Structure of Security Returns pp. 31-52

Lawrence Kryzanowski and Minh Chau To

A Simplified Jump Process for Common Stock Returns pp. 53-65

Clifford A. Ball and Walter N. Torous

Market Model Stationarity of Individual Public Utilities pp. 67-85

Roger P. Bey

Intra-Industry Effects of the Accident at Three Mile Island pp. 87-111

Robert M. Bowen, Richard P. Castanias and Lane A. Daley

Immunization Strategies for Funding Multiple Liabilities pp. 113-123

G. O. Bierwag, George G. Kaufman and Alden Toevs

A Canonical Correlation Analysis of Commercial Bank Asset/Liability Structures pp. 125-140

Donald G. Simonson, John Stowe and Collin J. Watson

An Analytic Approximation for the American Put Price pp. 141-148

H. E. Johnson