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 6, issue 5, 1971

The Effect of Short Selling and Margin Requirements in Perfect Capital Markets pp. 1173-1195

John Lintner

Capital Market Equilibrium with Divergent Borrowing and Lending Rates pp. 1197-1205

Michael Brennan

Efficient Portfolio Selections beyond the Markowitz Frontier pp. 1207-1234

Pao Lun Cheng

Two Problems in Portfolio Analysis: Conditional and Multiplicative Random Variables* pp. 1235-1250

Guy V. G. Stevens

Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances pp. 1251-1262

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

A Linear Programming Approximation for the General Portfolio Analysis Problem pp. 1263-1275

William Sharpe

A Note on Geometric Mean Portfolio Selection and the Market Prices of Equities pp. 1277-1282

Robert H. Litzenberger and A. P. Budd

Rate Regulation and the Cost of Capital in the Insurance Industry pp. 1283-1305

Robert A. Haugen and Charles O. Kroncke

Volume 6, issue 4, 1971

Ordinal Predictions and the Selection of Common Stocks pp. 1059-1068

Robert H. Litzenberger, O. Maurice Joy and Charles P. Jones

Evaluating Intercorporate Risk, Returns, and Trends pp. 1069-1082

Richard L. Norgaard

Statistical Analysis of Price Series Obscured by Averaging Measures pp. 1083-1094

Barr Rosenberg

A Statistical Grouping of Corporations by their Financial Characteristics pp. 1095-1104

W. H. Williams and M. L. Goodman

Security Pricing in an Imperfect Capital Market pp. 1105-1116

James C.T. Mao

A New Theoretical Model for Depicting Profit Optimality pp. 1117-1121

A. Edward Spitz and André DeKorvin

Balance Sheet Additivity of Risk Measures pp. 1123-1133

G. A. Mumey and R. M. Korkie

Normative Stock Price Models pp. 1135-1144

Harold Bierman and Jerome Hass

A Pedagogic Note on Dividend Policy pp. 1147-1154

Robert E. Krainer

Money Market Development and the Demand for Money: Some Preliminary Evidence pp. 1155-1157

Bruce C. Cohen

A Comment on Payback pp. 1159-1160

Morris Mendelson

A Comment on Payback: A Reply pp. 1161-1161

Haim Levy

Calculation of Tax Effective Yields: A Correction pp. 1163-1164

J. W. Colin and Edward A. Dyl

A Note on Evaluating Liquidity under Conditions of Uncertainty in Mutual Savings Banks pp. 1165-1169

Alan S. McCall and Neil B. Murphy

Volume 6, issue 3, 1971

Another Look at Mutual Fund Performance pp. 909-912

Fred D. Arditti

Utility Implications of Portfolio Selection and Performance Appraisal Models pp. 913-924

Ronald F. Wippern

Firm Financial Structure and Investment pp. 925-942

Lawrence D. Schall

Equilibrium in the Pricing of Capital Assets, Risk-Bearing Debt Instruments, and the Question of Optimal Capital Structure pp. 943-953

Robert A. Haugen and James L. Pappas

A Stochastic Programming Model for Commercial Bank Bond Portfolio Management pp. 955-976

Dwight B. Crane

Statistical Biases and Security Rates of Return pp. 977-994

Pao L. Cheng and M. King Deets

Static Models of Bank Credit Expansion pp. 995-1014

George F. Brown and Richmond M. Lloyd

Individual Common Stocks as Inflation Hedges* pp. 1015-1024

Glenn L. Johnson, Frank K. Reilly and Ralph E. Smith

Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes pp. 1025-1034

Bruce D. Fielitz

Decision Models for University Budget Requests pp. 1035-1040

David Charles Heinze

A Comment: “Short-Run Interest Rate Cycles in the U.S.: 1954–1967 ” pp. 1043-1045

John Peraival

More on the Short Cycles of Interest Rates pp. 1047-1052

Arie Melnik and Alan Kraus

A Note on Student's t Test in Multiple Regression pp. 1053-1056

V. Smith

Volume 6, issue 2, 1971

Target Rates of Return and Corporate Asset and Liability Structure Under Uncertainty pp. 675-686

R. H. Litzenberger and O. M. Joy

An Investigation of the Extrapolative Determinants of Short-Run Earnings Expectations pp. 687-706

Richard W. McEnally

A Multivariate Time-Series Investigation of Annual Returns on Highest Grade Corporate Bonds pp. 707-721

Donald L. Tuttle and William L. Wilbur

Discussion pp. 723-728

David H. Pyle

Discussion pp. 729-731

David D. Chase

Cost of Capital and Dividend Policies in Commercial Banks pp. 733-746

S. D. Magen

The Pricing of Bank Deposits: A Theoretical and Empirical Analysis pp. 747-761

Michael A. Klein and Neil B. Murphy

Risk, Return, and the Morphology of Commercial Banking pp. 763-776

John T. Emery

Discussion pp. 777-781

Vincent P. Apilado

Discussion pp. 783-784

Thomas R. Harter

Unsystematic Risk Over Time pp. 785-796

Per B. Mokkelbost

An Empirical Analysis of Some Aspects of Common Stock Diversification pp. 797-813

Edward H. Jennings

The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results pp. 815-833

Nancy L. Jacob

Further Tests of the Validity of the Industry Approach to Investment Analysis pp. 835-847

Milford S. Tysseland

Discussion pp. 849-853

Peter O. Dietz

Discussion pp. 855-860

Dale D. McFarlane

Real Estate Investment and Portfolio Theory pp. 861-874

Harris C. Friedman

Random and Nonrandom Relationships Among Financial Variables: A Financial Model pp. 875-885

Joseph E. Murphy and J. Russell Nelson

Discussion pp. 887-889

Edgar D. Cook

Discussion pp. 891-893

Michael H. Hopewell

Proceedings of WFA Meeting, August 27–28, 1970 pp. 901-907

Anonymous

Volume 6, issue 1, 1971

The Extension of Portfolio Analysis to Three or More Parameters pp. 505-515

William H. Jean

Errata pp. 516-516

Anonymous

Capital Growth and the Mean-Variance Approach to Portfolio Selection pp. 517-557

Nils H. Hakansson

Estimation Risk in the Portfolio Selection Model pp. 559-582

Basil A. Kalymon

An Empirical Study of Financial Intermediation in Canada pp. 583-600

Jagdish Handa

More on Baking Structure and Performance: The Evidence from Texas pp. 601-611

Donald R. Fraser and Peter S. Rose

Separation of Ownership and Control and Profit Rates, the Evidence from Banking: Comment pp. 615-625

Jack R. Vernon

An Efficient Algorithm for Solving Large-Scale Portfolio Problems pp. 627-637

William Breen and Richard Jackson

A Note on Portfolio Selection and Investors' Wealth pp. 639-642

Haim Levy and Marshall Sarnat

A Note on Risk and the Theory of Asset Value pp. 643-647

Yoram Peles

Terminal Value or Present Value in Capital Budgeting Programs pp. 649-651

William H. Jean

A Note on Biases in Capital Budgeting Introduced by Inflation pp. 653-658

James C. Van Horne

A Note on a Planning Horizon Model of Cash Management pp. 659-664

Suresh Sethi

Effect of State Usury Laws on Housing Starts in 1966 pp. 665-669

Raymond Strangways and Bruce Yandle