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 11, issue 5, 1976

Stochastic Dominance with Riskless Assets pp. 743-777

Haim Levy and Yoram Kroll

Competition, Scale Economies, and Transaction Cost in the Stock Market pp. 779-802

James L. Hamilton

On the Relationship between the Systematic Risk and the Investment Horizon pp. 803-815

Cheng F. Lee

The Derivation of Efficient Sets pp. 817-830

Gordon Alexander

Portfolio Selection with an Imperfectly Competitive Asset Market pp. 831-846

John James

The Effects of Sampling Fluctuations on the Required Inputs of Security Analysis pp. 847-854

Richard C. Burgess and Keith H. Johnson

A Stock Price Predictive Model Based on Changes in Ratios of Short Interest to Trading Volume pp. 857-872

Mark Hanna

Investor Behavior and Changes in Accounting Methods pp. 873-881

J. Winsen and D. Ng

An Integrated Theory of Exchange Rate Equilibrium pp. 883-892

Ian H. Giddy

International Cash Management–The Determination of Multicurrency Cash Balances pp. 893-900

Alan C. Shapiro

Comment: Assessing the Impact of Stock Exchange Specialists on Stock Volatility pp. 901-908

Robert A. Schwartz and David K. Whitcomb

Reply: Specialists' Performance and Serial Dependence of Stock Price Changes pp. 909-911

Amir Barnea

Volume 11, issue 4, 1976

E-V and E-S Capital Asset Pricing Models: Some Empirical Tests pp. 513-528

Ali Jahankhani

The Challenge of Economic Leadership pp. 529-539

Sidney L. Jones

A Near-Term Look at the Capital Shortage pp. 541-547

Henry C. Wallich

Abstract: An Analysis of the Erosion of Shareholder Equity among Short-Term Real Estate Investment Trusts pp. 549-549

Brian M. Neuberger and Michael A. Hughes

Abstract: Transactions Costs and Hedging Strategies in Secondary Mortgage Markets pp. 551-551

Allen A. Abrahamson and John T. Emery

Abstract: Stochastic Demand and the Equity Capitalization Rate pp. 553-553

Mike Long and George Racette

The Intertemporal Behavior of Corporate Debt Policy pp. 555-566

James S. Ang

Abstract: On the Portfolio Effects of Nonmarketable Assets: Government Transfers and Human Capital Payments pp. 567-567

C. H. Rorke

Abstract: A Theory of the Impact of Monetary and Regulatory Policy on Bank Portfolio Composition pp. 569-569

Tim S. Campbell

Abstract: Deposit Ceilings and the Efficiency of Financial Intermediation pp. 571-571

Lewis J. Spellman

Abstract: A Multivariate Analysis of Stock versus Mutual Performance in the Savings and Loan Industry pp. 573-573

James A. Verbrugge

Abstract: Information Effects and Stock Market Response to Signs of Firm Deterioration pp. 575-575

Edward Altman and Menachem Brenner

Stock Price Movement Associated with Temporary Trading Suspensions: Bear Market versus Bull Market pp. 577-590

Michael H. Hopewell and Arthur L. Schwartz

Teaching the Financial Markets Course pp. 591-594

Robert Haney Scott

Classroom Simulation as a Pedagogical Device in Teaching Money and Banking pp. 595-606

William Breen and John Boyd

Teaching of the Basic Money and Financial Institutions Course pp. 607-612

George G. Kaufman

Panel Discussion on the Teaching of Money and Banking pp. 613-616

Edward Kane

Industry Effects and Multivariate Stock Price Behavior pp. 617-624

John W. Aber

Abstract: A CAPM View of VRMs pp. 625-625

M. Chapman Findlay, Rocky A. Tarantello and Richard V. Eastin

Degree of Industry Concentration and Market Risk-Return Performance pp. 627-635

Ronald W. Melicher, David F. Rush and Daryl N. Winn

Abstract: Functional Form, Skewness Effect, and Risk-Return Relationship pp. 637-637

Cheng F. Lee

Abstract: Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals pp. 639-639

Robert A. Schwartz and David K. Whitcomb

Abstract: The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates pp. 641-641

W. Bradford Cornell and J. Kimball Dietrich

Abstract: Bond Risk Premia pp. 643-644

Jack Clark Francis

Abstract: Rate-of-Return Characteristics and Risk-Return Relationships of Low-Priced, Highly Speculative Securities pp. 645-645

Norman D. Gardner

Minutes of the Annual Meeting pp. 647-647

Anonymous

Minutes of Executive Committee Meeting pp. 648-649

Anonymous

Treasurer's Report pp. 650-651

Anonymous

Volume 11, issue 3, 1976

A Model for Corporate Debt Maturity Decisions pp. 339-357

James R. Morris

Dealer Inventory Behavior: An Empirical Investigation of NASDAQ Stocks pp. 359-380

Hans Stoll

Capital Asset Pricing with Price Level Changes pp. 381-391

Robert L. Hagerman and E. Han Kim

The Stationary Distribution of Returns and Portfolio Separation in Capital Markets: A Fundamental Contradiction pp. 393-402

Barr Rosenberg and James Ohlson

Flotation Costs and the Weighted Average Cost of Capital pp. 403-413

John R. Ezzell and R. Burr Porter

Comovement of International Equity Markets: A Taxonomic Approach pp. 415-432

Don B. Panton, V. Parker Lessig and O. Maurice Joy

Valuation of a Mortgage Company's Servicing Portfolio pp. 433-453

John J. McConnell

An Empirical Analysis of the Impact of Branching on Demand Deposit Variability pp. 455-464

R. N. Anderson, John A. Haslem and John B. Leonard

The Effects of Large Bank Failures upon Investors' Risk Cognizance in the Commercial Banking Industry pp. 465-477

Richard H. Pettway

An Algorithm for Counting the Number of Possible Portfolios Given Linear Restrictions on the Weights pp. 479-480

Rowland R. Hill

A Note on the Uniqueness of Portfolio Choice pp. 481-484

Laurie Davies and Gerd Ronning

Limited Liability, Short Selling, Bounded Utility, and Infinite-Variance Stable Distributions pp. 485-503

Paul Samuelson

On the Use of Two-Stage Least Squares in Financial Models: A Comment pp. 505-509

V. Smith

Volume 11, issue 2, 1976

The Geometry of Separation and Myopia pp. 171-193

Michael Brennan and A. Kraus

Performance of the Sharpe Portfolio Selection Model: A Comparison pp. 195-204

George M. Frankfurter, Herbert E. Phillips and John P. Seagle

Insiders' Activity and Inside Information: A Multivariate Analysis pp. 205-215

Joseph E. Finnerty

Nonstationarity and Portfolio Choice pp. 217-235

Christopher B. Barry and Robert L. Winkler

The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation pp. 237-249

Cheng F. Lee and William P. Lloyd

Portfolio Selection and Purchasing Power Risk–Recent Canadian Experience pp. 251-267

Nahum Biger

The Predictive Power of Stock Market Indicators pp. 269-285

Ben Branch

Solution Properties of Deterministic Auctions pp. 287-311

James L. Barr and Timothy L. Shaftel

Credit Screening System Selection pp. 313-328

Michael S. Long

A Sufficient Condition for a Unique Nonnegative Internal Rate of Return–Comment pp. 329-332

Donald C. Aucamp and Walter L. Eckardt

Volume 11, issue 1, 1976

Nonmarketable Assets, Market Segmentation, and the Level of Asset Prices pp. 1-12

David Mayers

Investor Behavior and Information pp. 13-37

Joseph K. Winsen

Further Results on Asymmetric Stable Distributions of Stock Price Chances pp. 39-55

Bruce D. Fielitz

Portfolio Selection in a Lognormal Market When the Investor Has a Power Utility Function pp. 57-71

James Ohlson and W. T. Ziemba

A Note on the Interdependent Structure of Security Returns pp. 73-86

Cheng F. Lee

A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates pp. 87-114

Michael E. Echols and Jan Walter Elliott

Risk, Return, and the Capital Market: The Insurer Case pp. 115-131

J. D. Hammond, E. R. Melander and N. Shilling

The Demand for Credit Union Shares pp. 133-141

Ronald S. Koot

Warrant Financing pp. 143-153

Bernell K. Stone

A Note on Optimal Equity Financing of the Corporation pp. 157-164

Stylianos Perrakis