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 53, issue 6, 2018

When Factors Do Not Span Their Basis Portfolios pp. 2335-2354

Mark Grinblatt and Konark Saxena

Text-Based Industry Momentum pp. 2355-2388

Gerard Hoberg and Gordon Phillips

Deal Initiation in Mergers and Acquisitions pp. 2389-2430

Ronald Masulis and Serif Aziz Simsir

Time Will Tell: Information in the Timing of Scheduled Earnings News pp. 2431-2464

Travis L. Johnson and Eric C. So

Investor Myopia and the Momentum Premium across International Equity Markets pp. 2465-2490

Paul Docherty and Gareth Hurst

Is It Who You Know or What You Know? Evidence from IPO Allocations and Mutual Fund Performance pp. 2491-2523

Chuan-Yang Hwang, Sheridan Titman and Yuxi Wang

Beta Active Hedge Fund Management pp. 2525-2558

Jun Duanmu, Alexey Malakhov and William R. McCumber

Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions pp. 2559-2586

Jian Hua and Liuren Wu

Anticipating Uncertainty: Straddles around Earnings Announcements pp. 2587-2617

Chao Gao, Yuhang Xing and Xiaoyan Zhang

The Term Structure of Expected Recovery Rates pp. 2619-2661

Hitesh Doshi, Redouane Elkamhi and Chayawat Ornthanalai

Event-Related Exchange-Rate Forecasts Combining Information from Betting Quotes and Option Prices pp. 2663-2683

Michael Hanke, Rolf Poulsen and Alex Weissensteiner

Executive Overconfidence and Securities Class Actions pp. 2685-2719

Suman Banerjee, Mark Humphery-Jenner, Vikram Nanda and Mandy Tham

Volume 53, issue 5, 2018

Know Thy Neighbor: Industry Clusters, Information Spillovers, and Market Efficiency pp. 1937-1961

Joseph Engelberg, Arzu Ozoguz and Sean Wang

Life-Cycle Asset Allocation with Ambiguity Aversion and Learning pp. 1963-1994

Kim Peijnenburg

The Effect of Cultural Similarity on Mergers and Acquisitions: Evidence from Corporate Social Responsibility pp. 1995-2039

Fred Bereskin, Seong K. Byun, Micah S. Officer and Jong-Min Oh

When Banks Grow Too Big for Their National Economies: Tail Risks, Risk Channels, and Government Guarantees pp. 2041-2066

Jens Hagendorff, Kevin Keasey and Francesco Vallascas

Hedge Fund Boards and the Market for Independent Directors pp. 2067-2101

Christopher P. Clifford, Jesse A. Ellis and William Gerken

The Scarcity Value of Treasury Collateral: Repo-Market Effects of Security-Specific Supply and Demand Factors pp. 2103-2129

D’Amico, Stefania, Roger Fan and Yuriy Kitsul

Earthly Reward to the Religious: Religiosity and the Costs of Public and Private Debt pp. 2131-2160

Feng Jiang, Kose John, C. Wei Li and Yiming Qian

The Term Structure of Bond Liquidity pp. 2161-2197

Monika Gehde-Trapp, Philipp Schuster and Marliese Uhrig-Homburg

Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions pp. 2199-2225

Zheng Sun, Ashley W. Wang and Lu Zheng

Global Political Risk and Currency Momentum pp. 2227-2259

Ilias Filippou, Arie E. Gozluklu and Mark Taylor

CEO Compensation in Japan: Why So Different from the United States? pp. 2261-2292

Luyao Pan and Xianming Zhou

State Ownership and Corporate Cash Holdings pp. 2293-2334

Chen, Ruiyuan (Ryan), Sadok El Ghoul, Omrane Guedhami and Robert Nash

Volume 53, issue 4, 2018

Corporate Resilience to Banking Crises: The Roles of Trust and Trade Credit pp. 1441-1477

Ross Levine, Chen Lin and Wensi Xie

Asymmetry in Stock Comovements: An Entropy Approach pp. 1479-1507

Lei Jiang, Ke Wu and Guofu Zhou

Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes pp. 1509-1546

Ohad Kadan, Roni Michaely and Pamela C. Moulton

Empirical Evidence of Overbidding in M&A Contests pp. 1547-1579

Eric de Bodt, Jean-Gabriel Cousin and Richard Roll

Technological Specialization and the Decline of Diversified Firms pp. 1581-1614

Fernando Anjos and Cesare Fracassi

Unknown Unknowns: Uncertainty About Risk and Stock Returns pp. 1615-1651

Guido Baltussen, Sjoerd van Bekkum and Bart van der Grient

Equilibrium Price Dynamics of Emission Permits pp. 1653-1678

Steffen Hitzemann and Marliese Uhrig-Homburg

Playing Favorites? Industry Expert Directors in Diversified Firms pp. 1679-1714

Jesse A. Ellis, C. Edward Fee and Shawn Thomas

Information, Investment Adjustment, and the Cost of Capital pp. 1715-1754

Lixin Huang and Qiang Kang

Do Banks Price Independent Directors’ Attention? pp. 1755-1780

Henry He Huang, Gerald J. Lobo, Chong Wang and Jian Zhou

Local Political Uncertainty, Family Control, and Investment Behavior pp. 1781-1804

Mario Amore and Alessandro Minichilli

The Role of Data Providers as Information Intermediaries pp. 1805-1838

Nic Schaub

The Effect of State Solvency on Bank Values and Credit Supply: Evidence from State Pension Cut Legislation pp. 1839-1870

Lee Jeremy Cohen, Marcia Millon Cornett, Hamid Mehran and Hassan Tehranian

Organization Capital and Mergers and Acquisitions pp. 1871-1909

Kai Li, Buhui Qiu and Rui Shen

Choosing the Precision of Performance Metrics pp. 1911-1935

Alan D. Crane, Andrew Koch and Chishen Wei

Volume 53, issue 3, 2018

Taxes, Capital Structure Choices, and Equity Value pp. 967-995

Mara Faccio and Jin Xu

Do Short Sellers Trade on Private Information or False Information? pp. 997-1023

Amiyatosh Purnanandam and H. Nejat Seyhun

Right on Schedule: CEO Option Grants and Opportunism pp. 1025-1058

Robert M. Daines, Grant R. McQueen and Robert J. Schonlau

Crash Sensitivity and the Cross Section of Expected Stock Returns pp. 1059-1100

Fousseni Chabi-Yo, Stefan Ruenzi and Florian Weigert

Does the Political Power of Nonfinancial Stakeholders Affect Firm Values? Evidence from Labor Unions pp. 1101-1133

Jared Stanfield and Robert Tumarkin

Market Sentiment and Innovation Activities pp. 1135-1161

Tri Vi Dang and Zhaoxia Xu

Do Antitakeover Provisions Spur Corporate Innovation? A Regression Discontinuity Analysis pp. 1163-1194

Thomas Chemmanur and Xuan Tian

The Effect of Credit Competition on Banks’ Loan-Loss Provisions pp. 1195-1226

Yiwei Dou, Stephen G. Ryan and Youli Zou

Credit Default Swaps and Firm Value pp. 1227-1259

Rajesh Narayanan and Cihan Uzmanoglu

Recruiting the CEO from the Board: Determinants and Consequences pp. 1261-1295

Udi Hoitash and Anahit Mkrtchyan

The Effect of Monitoring on CEO Compensation in a Matching Equilibrium pp. 1297-1339

Pierre Chaigneau and Nicolas Sahuguet

Does Knowledge Protection Benefit Shareholders? Evidence from Stock Market Reaction and Firm Investment in Knowledge Assets pp. 1341-1370

Buhui Qiu and Teng Wang

Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions pp. 1371-1390

Marco Valerio Geraci and Jean-Yves Gnabo

Do IPOs Affect Market Price? Evidence from China pp. 1391-1416

Song Shi, Qian Sun and Xin Zhang

Beta Matrix and Common Factors in Stock Returns pp. 1417-1440

Seung C. Ahn, Alex Horenstein and Na Wang

Volume 53, issue 2, 2018

Overnight Returns and Firm-Specific Investor Sentiment pp. 485-505

David Aboody, Omri Even-Tov, Reuven Lehavy and Brett Trueman

A New Partial-Segmentation Approach to Modeling International Stock Returns pp. 507-546

G. Andrew Karolyi and Ying Wu

The Anatomy of a Credit Supply Shock: Evidence from an Internal Credit Market pp. 547-579

José María Liberti and Jason Sturgess

Quiet Life No More? Corporate Bankruptcy and Bank Competition pp. 581-611

Todd Gormley, Nandini Gupta and Anand Jha

High-Frequency Quoting: Short-Term Volatility in Bids and Offers pp. 613-641

Joel Hasbrouck

Managerial Risk-Taking Incentives and Merger Decisions pp. 643-680

Chen Lin, Micah S. Officer and Beibei Shen

Product Market Characteristics and the Choice between IPOs and Acquisitions pp. 681-721

Thomas Chemmanur, Jie He, Shan He and Debarshi Nandy

Short Covering Trades pp. 723-748

Ekkehart Boehmer, Truong X. Duong and Zsuzsa R. Huszár

Why Has the Value of Cash Increased Over Time? pp. 749-787

Thomas W. Bates, Ching-Hung Chang and Jianxin Daniel Chi

Organizational Form and Corporate Payout Policy pp. 789-813

Bradford Jordan, Mark H. Liu and Qun Wu

Short-Term Debt and Bank Risk pp. 815-835

Brian Du and Darius Palia

Price Pressure and Overnight Seasoned Equity Offerings pp. 837-866

Matthew T. Gustafson

Managerial Risk-Taking Incentive and Firm Innovation: Evidence from FAS 123R pp. 867-898

Connie X. Mao and Chi Zhang

Market Reaction to Bank Liquidity Regulation pp. 899-935

Brunella Bruno, Enrico Onali and Klaus Schaeck

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics pp. 937-963

Laurent Calvet, Adlai Fisher and Liuren Wu

Managerial Ability and the Shareholder Tax Sensitivity of Dividends - ERRATUM pp. 965-965

Jenny Xinjiao Guan, Oliver Zhen Li and Jiameng Ma

Volume 53, issue 1, 2018

Innovation Strategy of Private Firms pp. 1-32

Huasheng Gao, Po-Hsuan Hsu and Kai Li

Passive versus Active Fund Performance: Do Index Funds Have Skill? pp. 33-64

Alan D. Crane and Kevin Crotty

Director Connectedness: Monitoring Efficacy and Career Prospects pp. 65-108

Vincent J. Intintoli, Kathleen M. Kahle and Wanli Zhao

Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from U.S. States pp. 109-136

Zhi Da, Mitch Warachka and Hayong Yun

Crash Risk in Currency Returns pp. 137-170

Mikhail Chernov, Jeremy Graveline and Irina Zviadadze

Flow-Induced Trading Pressure and Corporate Investment pp. 171-201

Xiaoxia Lou and Albert Y. Wang

Do Financial Analysts Restrain Insiders’ Informational Advantage? pp. 203-241

Andrew Ellul and Marios Panayides

The Liquidity Effects of Official Bond Market Intervention pp. 243-268

Michiel De Pooter, Robert F. Martin and Seth Pruitt

Pitfalls in the Use of Systemic Risk Measures pp. 269-298

Gunter Löffler and Peter Raupach

Are Ratings the Worst Form of Credit Assessment Except for All the Others? pp. 299-334

Andreas Blöchlinger and Markus Leippold

Managerial Ability and the Shareholder Tax Sensitivity of Dividends pp. 335-364

Jenny Xinjiao Guan, Oliver Zhen Li and Jiameng Ma

Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments pp. 365-393

Xin Gao and Federico Nardari

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices pp. 395-436

D’Amico, Stefania, Don H. Kim and Min Wei

Risk Premium Information from Treasury-Bill Yields pp. 437-454

Jaehoon Lee

Securities Transaction Taxes and Market Quality pp. 455-484

Anna Pomeranets and Daniel G. Weaver