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 14, issue 5, 1979

Optimal Investment Financing Decisions and the Value of Confidentiality pp. 913-924

Tim S. Campbell

Efficient Portfolios and Superfluous Diversification pp. 925-938

George M. Frankfurter and Thomas J. Frecka

Capital Market Seasonality: The Case of Bond Returns pp. 939-958

Thomas Schneeweis and J. Randall Woolridge

Inflation and the Holding Period Returns on Bonds pp. 959-979

Jeffrey F. Jaffe and Gershon Mandelker

Statistical Analysis of Risk Surrogates for Nyse Stocks pp. 981-997

Jack Clark Francis

Diversification, Financial Leverage and Conglomerate Systematic Risk pp. 999-1013

James M. Gahlon and Roger D. Stover

An Analysis of Risk in Bull and Bear Markets pp. 1015-1025

Moon K. Kim and J. Kenton Zumwalt

Autocorrelation, Market Imperfections, and the CAPM pp. 1027-1034

Stewart L. Brown

The Cross-Sectional Stability of Financial Ratio Patterns pp. 1035-1048

W. Bruce Johnson

On Costs of Capital in Programming Approaches to Capital Budgeting pp. 1049-1058

Louis H. Ederington and William R. Henry

Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm pp. 1059-1070

Roger P. Bey

Portfolio Management and the Shrinking Knapsack Algorithm pp. 1071-1083

Bernell K. Stone and Ned C. Hill

Bond Immunization When Short-Term Interest Rates Fluctuate More Than Long-Term Rates pp. 1085-1090

Chulsoon Khang

Comment: The Unique, Real Internal Rate of Return pp. 1091-1094

Robert Capettini, Richard A. Grimlund and Howard R. Toole

Comment: Evaluating Negative Benefits pp. 1095-1099

James Miles and Dosoung Choi

Volume 14, issue 4, 1979

Abstract: An Exploration of Nondissipative Dividend-Signaling Structures pp. 667-668

Sudipto Bhattacharya

Abstract: Optimal Investment Financing Decisions and the Value of Confidentiality pp. 669-669

Tim S. Campbell

New Perspectives on Informational Asymmetry and Agency Relationships pp. 671-694

Robert A. Haugen and Lemma W. Senbet

Communication of Aggregate Preferences through Market Prices pp. 695-703

Alan Kraus and Gordon A. Sick

Comment: Bhattacharya Paper pp. 705-710

Richard P. Castanias

Comment: Haugen and Senbet Paper pp. 711-714

Avner Kalay

Comment: Kraus and Sick Paper pp. 715-716

George Feiger

The Fantastic World of Finance: Progress and the Free Lunch pp. 717-734

Nils H. Hakansson

Housing Choice and Relative Tenure Prices pp. 735-751

William B. Brueggeman and Richard B. Peiser

An Appraisal of Residential Property Tax Regressivity pp. 753-768

Robert H. Edelstein

A Study of the Demand for Housing by Low Versus High Income Households pp. 769-782

James R. Follain

Assessing Hedonic Indexes for Housing pp. 783-800

Charles W. Noland

Comment: Brueggeman-Peiser and Noland Papers pp. 801-803

Lawrence B. Smith

Comment: Edelstein and Follain Papers pp. 805-806

George G. Kaufman

Abstract: Stock Returns over Open and Closed Trading Periods pp. 807-811

George S. Oldfield and Richard J. Rogalski

Market Makers and the Market Spread: A Review of Recent Literature pp. 813-835

Kalman J. Cohen, Steven F. Maier, Robert A. Schwartz and David K. Whitcomb

Continuous Versus Intermittent Trading on Auction Markets pp. 837-866

Seymour Smidt

Comment: Cohen, Maier, Schwartz and Whitcomb Paper pp. 867-868

Alan Kraus

Comment: Smidt Paper pp. 869-872

Thomas E. Copeland

Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium pp. 873-894

Hans Stoll

A New Role for Options pp. 895-899

Roger F. Murray

Minutes of the Annual Meeting pp. 900-901

Anonymous

Minutes of the Executive Committee Meeting pp. 902-903

Anonymous

Treasurer's Report1 pp. 904-905

Anonymous

Volume 14, issue 3, 1979

International Capital Market Equilibrium and the Multinational Firm Financing and Investment Policies pp. 455-480

Lemma W. Senbet

Graph Theoretic Approaches to Foreign Exchange Operations pp. 481-500

N. Christofides, R. D. Hewins and G. R. Salkin

Bankruptcy Avoidance as a Motive For Merger* pp. 501-515

Ronald Shrieves and Donald L. Stevens

The Pricing of Premium Bonds pp. 517-527

Miles Livingston

A State Preference Model of Capital Gains Taxation pp. 529-535

Edward A. Dyl

A Capital Asset Pricing Model with Investors Taxes and Three Categories of Investment Income pp. 537-545

Mitchell Trauring

An Effective Algorithm for Estimating Stochastic Dominance Efficient Sets pp. 547-552

Richard B. Kearns and Richard C. Burgess

The Value of Information: Inferences from the Profitability of Insider Trading pp. 553-571

Jerome B. Baesel and Garry R. Stein

Security–Relative Information Market Efficiency: Some Empirical Evidence pp. 573-593

John Groth

Dynamic Estimation of Portfolio Betas pp. 595-614

David A. Umstead and Gary L. Bergstrom

The Effects Of Sample Size And Correlation On The Accuracy Of The Ev Efficiency Criterion pp. 615-628

Erwin Saniga, Nicolas Gressis and Jack Hayya

Comment: A Test of Stone's Two-Index Model of Returns pp. 629-639

N. Bulent Gultekin and Richard J. Rogalski

Comment: A Test of Stone's Two-Index Model of Returns pp. 641-644

Don M. Chance

Comment: The Optimal Price to Trade pp. 645-647

Edward M. Miller

Reply: The Optimal Price to Trade pp. 649-651

Ben Branch

On the Asymmetry of Market Returns pp. 653-660

William L. Beedles

Volume 14, issue 2, 1979

On the Portfolio Effects of Nonmarketable Assets: Government Transfers and Human Capital Payments pp. 167-177

C. Harvey Rorke

Stochastic Dominance With a Riskless Asset: An Imperfect Market pp. 179-204

Yoram Kroll and Haim Levy

Relative Risk Aversion: Increasing or Decreasing? pp. 205-214

Philip Graves

The Effect of Estimation Risk on Capital Market Equilibrium pp. 215-220

Stephen Brown

An Analytical Comparison of Variance and Semivariance Capital Market Theories pp. 221-242

Timothy J. Nantell and Barbara Price

Effects of Purchasing Power Risk on Portfolio Demand for Money pp. 243-254

Andrew H. Chen

Borrowing, Short-Sales, Consumer Default, and the Creation of New Assets pp. 255-273

Frank Milne

A Formal Dynamic Model of Market Making pp. 275-291

James Bradfield

A Comparison of Relative Predictive Power for Financial Models of Rates of Return pp. 293-315

Jerald H. Udinsky and Daniel Kirshner

Risk, Return, Security-Valuation and the Stochastic Behavior of Accounting Numbers pp. 317-336

James Ohlson

A More General Sufficient Condition for A Unique Nonnegative Internal Rate of Return pp. 337-341

Richard H. Bernhard

Measuring Bond Price Volatility pp. 343-349

Miles Livingston

The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model pp. 351-360

Jack Clark Francis and Frank Fabozzi

Composite Measures for the Evaluation of Investment Performance pp. 361-384

James S. Ang and Jess H. Chua

A General Test of a Filter Effect pp. 385-394

P. D. Praetz

A Reexamination of the Ex Post Risk-Return Tradeoff on Common Stocks pp. 395-419

Richard W. McEnally and David E. Upton

The Risk-Return Relationship and Stock Prices pp. 421-441

Benjamin Bachrach and Dan Galai

A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy pp. 443-450

George Constantinides

Volume 14, issue 1, 1979

Marketability of Assets and the Price of Risk pp. 1-10

R. C. Stapleton and M. G. Subrahmanyam

Taxation and Bond Market Equilibrium in a World of Uncertain Future Interest Rates pp. 11-27

Miles Livingston

Investment Performance and Investor Behavior pp. 29-57

Wilbur G. Lewellen, Ronald C. Lease and Gary G. Schlarbaum

The Implications of Recursiveness in Capital Markets–Theory and Empirical Tests pp. 59-76

J. Clay Singleton and Joseph R. Lauer

A Determination of the Risk of Ruin pp. 77-100

Joseph D. Vinso

Equivalent Risk Classes: A Multidimensional Examination pp. 101-118

John D. Martin, David F. Scott and Robert F. Vandell

The Empirical Relationship Between Investment and Financing: A New Look pp. 119-135

George M. McCabe

Implementation of Large-Scale Financial Planning Models: Solution Efficient Transformations pp. 137-152

Roy L. Crum, Darwin D. Klingman and Lee A. Tavis

Branch Banking and the Availability of Banking Services in Metropolitan Areas pp. 153-160

William L. Seaver and Donald R. Fraser