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 12, issue 5, 1977

Asset Values, Interest-Rate Changes, and Duration pp. 701-723

I. A. Cooper

Immunization, Duration, and the Term Structure of Interest Rates pp. 725-742

G. O. Bierwag

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models pp. 743-765

Randolph Westerfield

A Spectral Analysis of Aggregate Commercial Bank Liability Management and Its Relationship to Short-Run Earning Asset Behavior pp. 767-778

John L. Eatman and Calvin W. Sealey

Identifying Large Problem/Failed Banks: The Case of Franklin National Bank of New York pp. 779-800

Joseph F. Sinkey

The Effect of Compensating Balance Requirements on the Profitability of Borrowers and Lenders pp. 801-815

Richard Kolodny, Peter Seeley and Murray E. Polakoff

Mixed Security Testing of Alternative Portfolio Selection Models pp. 817-832

Gordon Alexander

Market Phase and the Stationarity of Beta pp. 833-857

Arthur E. Gooding and Terence P. O'Malley

Multiperiod Capital Budgeting under Uncertainty: A Suggested Application pp. 859-877

Haim Ben-Shahar and Frank M. Werner

Comment: “An Autoregressive Forecast of the World Sugar Future Option Market” pp. 879-881

O. D. Anderson

Comment: “An Autoregressive Forecast of the World Sugar Future Option Market” pp. 883-890

Stephen J. Taylor and Brian G. Kingsman

Comment: “An Investment Paradox” pp. 891-894

Giulio Ghidini

Volume 12, issue 4, 1977

The Valuation of Corporate Liabilities as Compound Options pp. 541-552

Robert Geske

The Theorems of Modern Finance in a General Equilibrium Setting: Paradoxes Resolved pp. 553-562

Paul H. Cootner

A Probability Model of Asset Trading pp. 563-578

Thomas E. Copeland

Leasing and the Cost of Capital pp. 579-586

Michael S. Long

Municipal Bond Ratings: A Discriminant Analysis Approach pp. 587-598

Allen J. Michel

Integrating International Finance into a Unified Business Program pp. 599-600

William R. Folks

A Note on the Macroeconomic Assumptions of International Financial Management pp. 601-605

Ian H. Giddy

Teaching International Finance–An Economist's Perspective pp. 607-608

Mark R. Eaker

Teaching International Finance–An Accountant's Perspective pp. 609-614

Frederick D. S. Choi

The Relationship between Risk of Default and Return on Equity: An Empirical Investigation pp. 615-625

Avner Arbel, Richard Kolodny and Josef Lakonishok

Abstract: An Equilibrium Characterization of the Term Structure pp. 627-627

Oldrich Alfonso Vasicek

Abstract: Characterizations of Exchange Convertibility Schemes: A Structure for Analysis pp. 629-629

William R. Folks

Abstract: An Examination of the Forward Exchange Market during Pegged and Floating Systems: United States, Canada, Germany, and United Kingdom pp. 631-631

James R. F. Guy

Abstract: Exchange Rate Risk, Foreign-Pay Bond Issues and the Financial Behavior of Canadian Corporations pp. 633-633

Karl A. Stroetmann

Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework pp. 635-635

Vijay S. Bawa and Eric B. Lindenberg

Abstract: Institutional Portfolio Restrictions, Diverse Investor Opportunity Sets, and Securities Market Equilibrium pp. 637-637

David W. Glenn

Abstract: Stochastic Dominance in the Laplace Transformation Domain pp. 639-639

Stylianos Perrakis

Abstract Executive Compensation Models: Some Problems with Traditional Methods of Estimation pp. 641-641

Richard J. Arnould

Abstract: A Portfolio Model for Identifying Banks Operating under Capital Constraints pp. 643-643

Willard T. Carleton and Hugh S. McLaughlin

Abstract: Monitoring Discrimination in Housing-Related Lending pp. 645-645

Harold Black and Lewis Mandell

Abstract: The Macroeconomic Effects of Allowing Interest Payment on Demand Deposits pp. 647-647

Peter Lloyd-Davies

Abstract: A Comparison of Alternative Approaches to Monetary Control pp. 649-649

William R. McDonough and Clifford L. Fry

Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee pp. 651-652

Michael Brennan and Eduardo S. Schwartz

Abstract: Nuclear Power and Electric Utility Capital Costs: The Announcement Effect pp. 653-653

Charles M. Linke and J. Kenton Zumwalt

Abstract: An Empirical Assessment of Lessee Disclosure Policy pp. 655-655

John S. Hughes and George S. Oldfield

Abstract: A Resolution of the Leasing Controversies pp. 657-657

J. Fred Weston and Larry Y. Dann

Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis pp. 659-659

Michael Brennan and Eduardo S. Schwartz

Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims pp. 661-661

John C. Cox, Jonathan E. Ingersoll and Stephen Ross

Abstract: Direct Evaluation and Corporate Financial Theory pp. 663-663

A. Beja and Hayne Leland

Abstract: Short-Term Financial Planning under Uncertainty pp. 665-665

J. G. Kallberg, R. W. White and W. T. Ziemba

Abstract: Option Valuation Models–Some Implications of Parameter Estimation pp. 667-667

P. P. Boyle and A. L. Ananthanarayan

Abstract: The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification pp. 669-669

Roger Klein and Vijay S. Bawa

Abstract: The Forecast Error Impact of Alternative Length Beta Estimation Periods, Adjustment Techniques, and Risk Classes pp. 671-671

Arthur A. Eubank and J. Kenton Zumwalt

Abstract: Recursive Experimental Design for Econometric Research: The Multiple Response Case pp. 673-674

Panagiotis A. Papakyriazis

Abstract: A Note on Dummy Variables and the Chow Test: Their Equivalence and Uses in Testing pp. 675-675

Marcellus S. Snow

Abstract: A Multiple Discriminant Analysis of Technical Indicators on the NYSE pp. 677-678

Robert T. Daigler and Bruce D. Fielitz

Abstract: Investor Objectives, Stock Recommendations and Abnormal Returns pp. 679-679

John Groth

Minutes of Executive Committee Meeting pp. 681-682

Anonymous

Minutes of the Annual Meeting pp. 683-683

Anonymous

Treasurer's Report pp. 684-685

Anonymous

Constitution pp. 686-688

Anonymous

By-Laws pp. 689-693

Anonymous

Managing Editor's Report pp. 694-696

Anonymous

Volume 12, issue 3, 1977

Simple Rules for Optimal Portfolio Selection: The Multi Group Case pp. 329-345

Edwin J. Elton, Martin J. Gruber and Manfred W. Padberg

Mean-Variance Portfolio Selection with Either a Singular or Nonsingular Variance-Covariance Matrix pp. 347-361

Stephen A. Buser

A Test of Stone's Two-Index Model of Returns pp. 363-376

William P. Lloyd and Richard A. Shick

An Empirical Analysis of the Risk-Return Preferences of Individual Investors pp. 377-389

H. Kent Baker, Michael B. Hargrove and John A. Haslem

A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges pp. 391-413

J. L. Sharma and Robert E. Kennedy

Stock Exchange Listings and Securities Returns pp. 415-432

Louis K. W. Ying, Wilbur G. Lewellen, Gary G. Schlarbaum and Ronald C. Lease

Price Spreads, Performance, and the Seasoning of New Treasury and Agency Bond Issues pp. 433-455

John S. Bildersee

Using Pooled Time-Series and Cross-Section Data to Test the Firm and Time Effects in Financial Analyses pp. 457-471

Hui-shyong Chang and Cheng F. Lee

Forward Exchange Price Determination in Continuous Time pp. 473-479

George S. Oldfield and Richard J. Messina

An Analytical Model of Interest Rate Differentials and Different Default Recoveries pp. 481-490

Jess B. Yawitz

A Ranking of Doctoral Programs by Financial Research Contributions of Graduates pp. 491-497

Robert C. Klemkosky and Donald L. Tuttle

A Reformulation of the API Approach to Evaluating Accounting Income Numbers pp. 499-504

Joseph K. Winsen

An Unbiased Estimator of the N-Period Relative pp. 505-507

Cliff J. Huang

A Note on Risk Aversion and Indifference Curves pp. 509-513

Yakov Amihud

Comment: Convertible Debt Financing pp. 515-518

Miles Livingston

Comment: An Economic Model of Trade Credit pp. 519-524

Calvin R. Myers

A Note on Fisher Hypothesis and Price Level Uncertainty pp. 525-530

Yakov Amihud and A. Barnea

Volume 12, issue 2, 1977

The Association between Firm Risk and Wealth Transfers Due to Inflation pp. 151-163

Michael S. Rozeff

On Mean Variance Models of Capital Structure and the Absurdity of Their Predictions pp. 165-179

Nestor Gonzalez, Robert Litzenberger and Jacques Rolfo

Interest Rate Sensitivity and Portfolio Risk pp. 181-195

John D. Martin and Arthur J. Keown

Portfolio Selection with Stochastic Cash Demand pp. 197-213

Andrew H. Chen

A Monte Carlo Investigation of Characteristics of Optimal Geometric Mean Portfolios pp. 215-233

Steven F. Maier, David W. Peterson and James H. Vander Weide

Further Applications of Stochastic Dominance to Mutual Fund Performance pp. 235-242

Jack Meyer

A Model for Bond Portfolio Improvement pp. 243-260

S. D. Hodges and S. M. Schaefer

A Capital Budgeting Decision Model with Subjective Criteria pp. 261-275

John J. Bernardo and Howard P. Lanser

Simple Goodness-of-Fit Tests for Symmetric Stable Distributions pp. 276-289

Erwin M. Saniga and Jack C. Hayya

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals pp. 291-313

Robert A. Schwartz and David K. Whitcomb

A Warning Note on Empirical Research Using Foreign Exchange Rates pp. 315-319

David A. Bowers

Utility Analysis of Chance-Constrained Portfolio Selection: A Correction pp. 321-323

Enrique Arzac

Volume 12, issue 1, 1977

Interest Rates, Leverage, and Investor Rationality pp. 1-16

Robert E. Krainer

The Weighted Average Cost of Capital and Shareholder Wealth Maximization pp. 17-31

William Beranek

Unrecovered Investment, Uniqueness of the Internal Rate, and the Question of Project Acceptability pp. 33-38

Richard B. Bernhard

Capital Investment under Uncertainty with Abandonment Options pp. 39-54

Charles P. Bonini

Functional Form, Skewness Effect, and the Risk-Return Relationship pp. 55-72

Cheng F. Lee

On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions pp. 73-84

R. G. Vickson and M. Altmann

Analysis of the Warrant Hedge in a Stable Paretian Market pp. 85-103

Jimmy E. Hilliard and Robert A. Leitch

Investor Preferences for Futures Straddles pp. 105-120

Richard L. Peterson

A Note on Indifference Curves in the Mean-Variance Model pp. 121-126

Joseph T. Williams

Bond Portfolio Strategies, Returns, and Skewness: A Note pp. 127-140

H. Russell Fogler, William A. Groves and James G. Richardson

Security Price Changes and Transaction Volumes: Some Additional Evidence pp. 141-146

Thomas W. Epps