Journal of Financial and Quantitative Analysis

1966 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 15, issue 5, 1980

Orthogonal Portfolios pp. 1005-1023

Richard Roll

Consumption, Investment, Market Price of Risk, and the Risk-Free Rate pp. 1025-1040

Winston T. Lin and Frank C. Jen

Asset Pricing Under a Subset of Linear Risk Tolerance Functions and Log-Normal Market Returns pp. 1041-1061

Jimmy E. Hilliard

Applying the Market Model to Long-Term Corporate Bonds pp. 1063-1080

Gordon Alexander

Empirical Properties of the Black-Scholes Formula Under Ideal Conditions pp. 1081-1105

Mihir Bhattacharya

Generalized Functional Form for Mutual Fund Returns pp. 1107-1120

Frank Fabozzi, Jack C. Francis and Cheng F. Lee

An Analytical Examination of the Intervaling Effect on Skewness and Other Moments pp. 1121-1127

Gabriel Hawawini

Asymmetrical Information in Securities Markets and Trading Volume pp. 1129-1148

Dale Morse

Inter-Temporal Correlation of Cash Flows and the Risk of Multi-Period Investment Projects pp. 1149-1162

Russell J. Fuller and Sang-Hoon Kim

The Influence of Dividends, Growth, and Leverage on Share Prices in the Electric Utility Industry: An Econometric Study pp. 1163-1196

Dileep R. Mehta, Edward A. Moses, Benoit Deschamps and Michael C. Walker

Volume 15, issue 4, 1980

Real and Nominal Magnitudes in Economics pp. 773-783

Kenneth Arrow

A Normative Approach to Bank Capital Adequacy pp. 785-811

Eli Talmor

Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending pp. 813-832

Edward Altman

The Theory of Housing and Interest Rates pp. 833-847

James Kau and Donald Keenan

Discussion: The Theory of Housing and Interest Rates pp. 849-850

Steve Wyatt

Abstract: The Investment Banking Contract for New Issues Under Asymmetric Information: Delegation and the Incentive Problem pp. 851-851

D. P. Baron and B. R. Holmström

Abstract: Innovation and Communication: Signaling with Partial Disclosure pp. 853-854

Sudipto Bhattacharya and Jay Ritter

Signaling, Information Content, and the Reluctance to Cut Dividends pp. 855-869

Avner Kalay

Discussion: Signaling, Information Content, and the Reluctance to Cut Dividends pp. 871-873

Lemma W. Senbet

Term-Risk Structures and the Valuation of Projects pp. 875-905

Uri Dothan and Joseph Williams

Analyzing Convertible Bonds pp. 907-929

Michael Brennan and Eduardo S. Schwartz

Discussion: Analyzing Convertible Bonds pp. 931-932

Stephen M. Schaefer

The Denomination of Foreign Trade Contracts Once Again pp. 933-944

Bradford Cornell

Discussion: The Denomination of Foreign Trade Contracts Once Again pp. 945-947

Richard M. Levich

Inflation and Foreign Exchange Rates Under Production and Monetary Uncertainty pp. 949-967

Mark B. Garman and Steven W. Kohlhagen

Disscussion: Inflation and Foreign Exchange Rates Under Production and Monetary Uncertainty pp. 969-972

Tamir Agmon

The Exposure of Long-Term Foreign Currency Bonds pp. 973-994

Michael Adler and Bernard Dumas

Discussion: The Exposure of Long-Term Foreign Currency Bonds pp. 995-996

Robert C. Higgins

Volume 15, issue 3, 1980

The Cost of Information and Equilibrium in the Capital Asset Market pp. 497-508

Joel Owen and Ramon Rabinovitch

Divergent Rates, Financial Restrictions and Relative Prices in Capital Market Equilibrium pp. 509-540

Pao L. Cheng

The Market Prefers Republicans: Myth or Reality pp. 541-560

William B. Riley and William A. Luksetich

The Capital Asset Pricing Model, Inflation, and the Investment Horizon: The Israeli Experience pp. 561-593

Haim Levy

Accounting Betas, Systematic Operating Risk, and Financial Leverage: A Risk-Composition Approach to the Determinants of Systematic Risk pp. 595-637

Ned C. Hill and Bernell K. Stone

Nonstationarity and Evaluation of Mutual Fund Performance pp. 639-654

Tom W. Miller and Nicholas Gressis

Sampling Errors and Portfolio Efficient Analysis pp. 655-688

Yoram Kroll and Haim Levy

Merger and Stockholder Risk pp. 689-717

Terence C. Langetieg, Robert A. Haugen and Dean W. Wichern

The Weighted Average Cost of Capital, Perfect Capital Markets, and Project Life: A Clarification pp. 719-730

James A. Miles and John R. Ezzell

An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach pp. 731-742

Morgan J. Lynge and J. Kenton Zumwalt

Interest Rates in the $Eurobond Market pp. 743-755

Joseph E. Finnerty, Thomas Schneeweis and Shantaram P. Hegde

A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior pp. 757-770

John C. Wiginton

Volume 15, issue 2, 1980

Capital Asset Pricing with Proportional Transaction Costs pp. 253-266

Frank Milne and Clifford W. Smith

Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis pp. 267-287

David F. Larcker, Lawrence A. Gordon and George E. Pinches

Total Risk, Diversifiable Risk and Nondiversifiable Risk: A Pedagogic Note pp. 289-297

Moshe Ben-Horim and Haim Levy

Additional Evidence of Heteroscedasticity in the Market Model pp. 299-322

Roger P. Bey and George E. Pinches

Stochastic Dominance and the Performance of U.K. Unit Trusts pp. 323-330

Anthony Saunders, Charles Ward and Richard Woodward

Evidence of Intertemporal Systematic Risks in the Dailty Price Movements of NYSE and AMEX Common Stocks pp. 331-339

Gabriel Hawawini and Ashok Vora

The Day Trader: Some Additional Evidence pp. 341-355

M. H. Van Landingham

Portfolio Selection: An Analytic Approach for Selecting Securities from a Large Universe pp. 357-377

George M. Frankfurter and Herbert E. Phillips

On the Social Optimality of the Value Maximization Criterion pp. 379-389

Wayne Y. Lee and Andrew J. Senchack

The AB Procedure and Capital Budgeting pp. 391-406

William Beranek

Asset Growth, Abandonment Value and the Replacement Decision of Like-for-Like Capital Assets pp. 407-419

Jack E. Gaumnitz and Douglas R. Emery

A Further Note on Unrecovered Investment, Uniqueness of the Internal Rate, and the Question of Project Acceptability pp. 421-423

Richard H. Bernhard and Carl J. Norstrøm

A Note on Capital Asset Pricing Model under Uncertain Inflation pp. 425-434

C. S. Pyun

An Analysis of the Relationship between Underwriter Spread and the Pricing of Municipal Bonds pp. 435-447

Eric H. Sorensen

Comment on: “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates” pp. 449-456

H. Russell Fogler and S. Ganapathy

The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages pp. 457-468

Jerome B. Baesel and Nahum Biger

Bank Dividend Policy and Holding Company Affiliation pp. 469-480

Lucille S. Mayne

15th Annual Conference of the Western Finance Association pp. 485-496

Anonymous

Volume 15, issue 1, 1980

Errata pp. i-iv

Anonymous

Spanning the State Space with Options pp. 1-9

Fred D. Arditti and Kose John

The Pricing of Options on Debt Securities pp. 11-24

Richard J. Rendleman and Brit J. Bartter

The Price Effects of Rights Offerings pp. 25-40

R. W. White and P. A. Lusztig

The Term of a Risk-Free Security pp. 41-52

Robert A. Haugen and Dean W. Wichern

Nonspeculative Behavior and the Term Structure pp. 53-83

Wayne Y. Lee, Terry S. Maness and Donald L. Tuttle

Market Structure versus Information Costs as Determinants of Underwriters' Spreads on Municipal Bonds pp. 85-97

W. W. Higgins and Basil Moore

A General Equilibrium Analysis of the Capital Asset Pricing Model pp. 99-122

Richard Harris

On the Estimation and Stability of Beta pp. 123-137

Gordon Alexander and Norman L. Chervany

Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk pp. 139-149

Gabriel Hawawini

Time Aggregation, Autocorrelation, and Systematic Risk Estimates–Additive versus Multiplicative Assumptions pp. 151-174

Son-Nan Chen

Price Effects of Stock Repurchasing: A Random Coefficient Regression Approach pp. 175-189

Terry Dielman, Timothy J. Nantell and Roger L. Wright

A Note on Debt, Assets and Lending under Default Risk pp. 191-200

Gershon Feder

A Simplification and an Extension of the Bernhard-deFaro Sufficient Condition for a Unique Non-Negative Internal Rate of Return pp. 201-209

Richard H. Bernhard

On the Interpretation of Individual Variables in Multiple Discriminant Analysis pp. 211-217

Marvin J. Karson and Terrence F. Martell

Potential Insolvency, Market Efficiency, and Bank Regulation of Large Commercial Banks pp. 219-236

Richard H. Pettway

15th Annual Conference of the Western Finance Association pp. 239-252

Anonymous