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 17, issue 5, 1982

Rational Expectations and the Impact of Money upon Stock Prices pp. 649-662

Eric H. Sorensen

The Monetary Impact on Return Variability and Market Risk Premia pp. 663-681

Robert C. Klemkosky and Kwang W. Jun

Optimal Sequential Futures Trading pp. 683-695

Jerome Baesel and Dwight Grant

A More Accurate Finite Difference Approximation for the Valuation of Options pp. 697-703

Georges Courtadon

Capital Accumulation and Deposit Pricing in Mutual Financial Institutions pp. 705-725

Sudhakar D. Deshmukh, Stuart I. Greenbaum and Anjan Thakor

Risk in International Banking pp. 727-739

Alan C. Shapiro

Investment in Developed and Less Developed Countries pp. 741-762

Vihang R. Errunza and Barr Rosenberg

Mean-Lower Partial Moment Asset Pricing Model: Some Empirical Evidence pp. 763-782

Timothy J. Nantell, Kelly Price and Barbara Price

A Generalization of the CAPM Based on a Property of the Covariance Operator pp. 783-797

Etienne Losq and John Peter D. Chateau

The Effect of Changing Expectations upon Stock Returns pp. 799-813

David Peterson and Pamela Peterson

Volume 17, issue 4, 1982

Empirical Evidence on Dividends as a Signal of Firm Value pp. 471-500

Kenneth M. Eades

Discussion: Empirical Evidence on Dividends as a Signal of Firm Value pp. 501-502

James A. Brickley

Moral Hazard, Agency Costs, and Asset Prices in a Competitive Equilibrium pp. 503-532

Ram T. S. Ramakrishnan and Anjan Thakor

Further Results on the Constant Elasticity of Variance Call Option Pricing Model pp. 533-554

David C. Emanuel and James D. MacBeth

The Impossibility of Efficient Decision Rules for Firms in Competitive Stock Market Economies pp. 555-574

Robert Forsythe and Gerry L. Suchanek

Discussion: The Impossibility of Efficient Decision Rules for Firms in Competitive Stock Market Economies pp. 575-577

Samuel S. Stewart

Timing Decisions and the Behavior of Mutual Fund Systematic Risk pp. 579-602

Gordon Alexander, P. George Benson and Carol E. Eger

Multiperiod Pension Plans and ERISA pp. 603-631

T. C. Langetieg, M. C. Findlay and L. F. J. da Motta

Discussion: Multiperiod Pension Plans and ERISA pp. 633-635

Linda M. Kahn

Minutes of the Annual Meeting pp. 637-637

Anonymous

Minutes of the Executive Committee Meeting pp. 639-640

Anonymous

Treasurer's Report pp. 641-641

Anonymous

Report of the Program Chairperson pp. 643-647

Edward A. Dyl

Volume 17, issue 3, 1982

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency pp. 301-329

Michael Brennan and Eduardo S. Schwartz

Growth and Risk pp. 331-340

Lemma W. Senbet and Howard E. Thompson

Agency Theory and Stochastic Dominance pp. 341-361

John S. Hughes

Systematic Risk and the Firm's Experimental Strategy pp. 363-389

Giora Harpaz and Stavros B. Thomadakis

Measuring Portfolio Risk in Options pp. 391-409

R. Stephen Sears and Gary L. Trennepohl

The Decision to Establish a Foreign Bank Branch or Subsidiary: An Application of Binary Classification Procedures pp. 411-424

Clifford A. Ball and Adrian Tschoegl

Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach pp. 425-440

Son-Nan Chen and William T. Moore

On Valuation, Beta, and the Cost of Equity Capital: A Note pp. 441-449

Joe Yagill

Fixed Rate or Index-Linked Mortgages from the Borrower's Point of View: A Note pp. 451-457

Meir Statman

Volume 17, issue 2, 1982

Capital Structure and the Financing of the Multinational Corporation: A Fractional Multiobjective Approach pp. 147-178

Jonathan S. H. Kornbluth and Joseph D. Vinso

The Pricing of Municipal Bonds pp. 179-193

Miles Livingston

On the Seasoning Process of New Bonds: Some Are More Seasoned than Others pp. 195-208

Eric H. Sorensen

The Effects of Interest-Bearing Required Reserves on Bank Portfolio Riskiness pp. 209-216

Douglas W. Mitchell

An Empirical Comparison of Stochastic Dominance among Lognormal Prospects pp. 217-226

Hassan Tehranian and Billy P. Helms

Alternative Multivariate Tests in Limited Dependent Variable Models: An Empirical Assessment pp. 227-240

F. Jerry Ingram and Emma L. Frazier

Tracking Asset Volatility By Means of a Bayesian Switching Regression pp. 241-263

Cyrus R. Mehta and William Beranek

An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas pp. 265-286

Son-Nan Chen

Correct Procedures for the Evaluation of Risky Cash Outflows pp. 287-300

Laurence D. Booth

Volume 17, issue 1, 1982

Optimal Consumption and Portfolio Strategies in a Discrete-Time Model with Summary-Dependent Preferences pp. 1-14

Samuel E. Bodily and Chelsea C. White

Skewness Preference and Portfolio Choice pp. 15-25

Alex Kane

More on Beta as a Random Coefficient pp. 27-36

Gordon Alexander and P. George Benson

Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis pp. 37-61

Stephen J. Taylor

Asset Pricing Models When the Number of Securities Held is Constrained: A Comparison and Reconciliation of the Mao and Levy Models pp. 63-73

Lawrence Kryzanowski and To Minh Chau

The Pricing of Options on Default-Free Bonds pp. 75-100

Georges Courtadon

Lower Bounds on Portfolio Performance: An Extension of the Immunization Strategy pp. 101-113

William J. Marshall and Jess B. Yawitz

The Impact of Yield Changes on the Systematic Risk of Bonds pp. 115-127

Ramesh K. S. Rao

Investor Response to Suggested Criteria for the Selection of Mutual Funds pp. 129-137

Walt Woerheide