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 52, issue 6, 2017

Corporate Risk Culture pp. 2327-2367

Yihui Pan, Stephan Siegel and Tracy Yue Wang

A Lottery-Demand-Based Explanation of the Beta Anomaly pp. 2369-2397

Turan G. Bali, Stephen Brown, Scott Murray and Yi Tang

An Empirical Analysis of Market Segmentation on U.S. Equity Markets pp. 2399-2427

Frank Hatheway, Amy Kwan and Hui Zheng

Davids, Goliaths, and Business Cycles pp. 2429-2460

Jefferson Duarte and Nishad Kapadia

Risk Premia and the VIX Term Structure pp. 2461-2490

Travis L. Johnson

Deleveraging Risk pp. 2491-2522

Scott Richardson, Pedro Saffi and Kari Sigurdsson

Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections pp. 2523-2564

Gönül Çolak, Art Durnev and Yiming Qian

CEO Turnovers and Disruptions in Customer–Supplier Relationships pp. 2565-2610

Vincent J. Intintoli, Matthew Serfling and Sarah Shaikh

Investment Efficiency and Product Market Competition pp. 2611-2642

Neal M. Stoughton, Kit Pong Wong and Long Yi

Market Timing and Investment Selection: Evidence from Real Estate Investors pp. 2643-2675

Yael V. Hochberg and Tobias Mühlhofer

What Explains the Difference in Leverage between Banks and Nonbanks? pp. 2677-2702

Tobias Berg and Jasmin Gider

Cultural Proximity and the Processing of Financial Information pp. 2703-2726

Qianqian Du, Frank Yu and Xiaoyun Yu

Equity Volatility Term Structures and the Cross Section of Option Returns pp. 2727-2754

Aurelio Vasquez

Institutional Investor Expectations, Manager Performance, and Fund Flows pp. 2755-2777

Howard Jones and Jose Vicente Martinez

Horses for Courses: Fund Managers and Organizational Structures pp. 2779-2807

Yufeng Han, Tom Noe and Michael Rebello

The Unintended Consequences of the Launch of the Single Supervisory Mechanism in Europe pp. 2809-2836

Franco Fiordelisi, Ornella Ricci and Francesco Saverio Stentella Lopes

Volume 52, issue 5, 2017

Banks’ Internal Capital Markets and Deposit Rates pp. 1797-1826

Itzhak Ben-David, Ajay Palvia and Chester Spatt

Did Saving Wall Street Really Save Main Street? The Real Effects of TARP on Local Economic Conditions pp. 1827-1867

Allen N. Berger and Raluca Roman

What Affects Innovation More: Policy or Policy Uncertainty? pp. 1869-1901

Utpal Bhattacharya, Po-Hsuan Hsu, Xuan Tian and Yan Xu

Why Do Fund Managers Identify and Share Profitable Ideas? pp. 1903-1926

Steven S. Crawford, Wesley R. Gray and Andrew E. Kern

Economic Risk Premia in the Fixed-Income Markets: The Intraday Evidence pp. 1927-1950

Pierluigi Balduzzi and Fabio Moneta

Cash Reserves as a Hedge against Supply-Chain Risk pp. 1951-1988

Manoj Kulchania and Shawn Thomas

To Group or Not to Group? Evidence from Mutual Fund Databases pp. 1989-2021

Saurin Patel and Sergei Sarkissian

Corporate Environmental Policy and Shareholder Value: Following the Smart Money pp. 2023-2051

Chitru S. Fernando, Mark P. Sharfman and Vahap B. Uysal

Does Information Asymmetry Affect Corporate Tax Aggressiveness? pp. 2053-2081

Tao Chen and Chen Lin

Equilibrium-Informed Trading with Relative Performance Measurement pp. 2083-2118

Zhigang Qiu

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions pp. 2119-2156

Peter Carr and Liuren Wu

Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals? pp. 2157-2181

Richard Sias, Harry J. Turtle and Blerina Zykaj

CoMargin pp. 2183-2215

Jorge A. Cruz Lopez, Jeffrey Harris, Christophe Hurlin and Christophe Perignon

Entrepreneurial Litigation and Venture Capital Finance pp. 2217-2250

Douglas Cumming, Bruce Haslem and April Knill

A Multivariate Model of Strategic Asset Allocation with Longevity Risk pp. 2251-2275

Emilio Bisetti, Carlo Favero, Giacomo Nocera and Claudio Tebaldi

Long-Term versus Short-Term Contingencies in Asset Allocation pp. 2277-2303

Mahmoud Botshekan and Andre Lucas

Time-Disaggregated Dividend–Price Ratio and Dividend Growth Predictability in Large Equity Markets pp. 2305-2326

Panagiotis Asimakopoulos, Stylianos Asimakopoulos, Nikolaos Kourogenis and Emmanuel Tsiritakis

Volume 52, issue 4, 2017

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation pp. 1301-1342

Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong

Valuations in Corporate Takeovers and Financial Constraints on Private Targets pp. 1343-1373

Daniel Greene

Interactions among High-Frequency Traders pp. 1375-1402

Evangelos Benos, James Brugler, Erik Hjalmarsson and Filip Zikes

The Performance of Short-Term Institutional Trades pp. 1403-1428

Bidisha Chakrabarty, Pamela C. Moulton and Charles Trzcinka

Regulatory Sanctions and Reputational Damage in Financial Markets pp. 1429-1448

John Armour, Colin Mayer and Andrea Polo

How Do Foreign Institutional Investors Enhance Firm Innovation? pp. 1449-1490

Hoang Luong, Fariborz Moshirian, Lily Nguyen, Xuan Tian and Bohui Zhang

The Interpretation of Unanticipated News Arrival and Analysts’ Skill pp. 1491-1518

Amir Rubin, Benjamin Segal and Dan Segal

Tournament-Based Incentives, Corporate Cash Holdings, and the Value of Cash pp. 1519-1550

Hieu V. Phan, Thuy Simpson and Hang T. Nguyen

Time-Varying Beta and the Value Premium pp. 1551-1576

Hui Guo, Chaojiang Wu and Yan Yu

Mutual Fund Performance Evaluation and Best Clienteles pp. 1577-1604

Stéphane Chrétien and Manel Kammoun

Stock Liquidity and Stock Price Crash Risk pp. 1605-1637

Xin Chang, Yangyang Chen and Leon Zolotoy

Payout Yields and Stock Return Predictability: How Important Is the Measure of Cash Flow? pp. 1639-1666

Gregory W. Eaton and Bradley S. Paye

Expected Business Conditions and Bond Risk Premia pp. 1667-1703

Jonas Nygaard Eriksen

Liquidity Constraints and Credit Card Delinquency: Evidence from Raising Minimum Payments pp. 1705-1730

d’Astous, Philippe and Stephen H. Shore

Common Macro Factors and Currency Premia pp. 1731-1763

Ilias Filippou and Mark Taylor

DRIPs and the Dividend Pay Date Effect pp. 1765-1795

Henk Berkman and Paul D. Koch

Volume 52, issue 3, 2017

Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith? pp. 837-866

Thomas W. Bates and David Becher

Investor Attrition and Fund Flows in Mutual Funds pp. 867-893

Susan Christoffersen and Haoyu Xu

Fortune Favors the Bold pp. 895-925

Costanza Meneghetti and Ryan Williams

Short-Term Interest Rates and Stock Market Anomalies pp. 927-961

Paulo Maio and Pedro Santa-Clara

Individual Investors’ Dividend Taxes and Corporate Payout Policies pp. 963-990

Oliver Zhen Li, Hang Liu, Chenkai Ni and Kangtao Ye

Gender Differences in Executives’ Access to Information pp. 991-1016

A. Can Inci, M. P. Narayanan and H. Nejat Seyhun

Social Capital and Debt Contracting: Evidence from Bank Loans and Public Bonds pp. 1017-1047

Iftekhar Hasan, Chun Keung Hoi, Qiang Wu and Hao Zhang

When and Why Do Venture-Capital-Backed Companies Obtain Venture Lending? pp. 1049-1080

Tereza Tykvova

Hedge Funds: The Good, the Bad, and the Lucky pp. 1081-1109

Yong Chen, Michael Cliff and Haibei Zhao

Investment–Cash Flow Sensitivity: Fact or Fiction? pp. 1111-1141

Şenay Ağca and Abon Mozumdar

The Diminishing Benefits of U.S. Cross-Listing: Economic Consequences of SEC Rule 12h-6 pp. 1143-1181

Chinmoy Ghosh and Fan He

Stock Market Mean Reversion and Portfolio Choice over the Life Cycle pp. 1183-1209

Alexander Michaelides and Yuxin Zhang

Firm Default Prediction: A Bayesian Model-Averaging Approach pp. 1211-1245

Jeffrey Traczynski

Dynamic Portfolio Choice with Linear Rebalancing Rules pp. 1247-1278

Ciamac C. Moallemi and Mehmet Sağlam

New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods pp. 1279-1299

David Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks

Volume 52, issue 2, 2017

Upper Bounds on Return Predictability pp. 401-425

Dashan Huang and Guofu Zhou

Best Practice for Cost-of-Capital Estimates pp. 427-463

Yaron Levi and Ivo Welch

Institutional Investment Constraints and Stock Prices pp. 465-489

Jie Cao, Bing Han and Qinghai Wang

The Timing and Source of Long-Run Returns Following Repurchases pp. 491-517

Leonce Bargeron, Alice Bonaime and Shawn Thomas

CEO Tournaments: A Cross-Country Analysis of Causes, Cultural Influences, and Consequences pp. 519-551

Natasha Burns, Kristina Minnick and Laura Starks

The Effect of Labor Unions on CEO Compensation pp. 553-582

Qianqian Huang, Feng Jiang, Erik Lie and Tingting Que

CEO Turnover–Performance Sensitivity in Private Firms pp. 583-611

Huasheng Gao, Jarrad Harford and Kai Li

Policy Uncertainty and Mergers and Acquisitions pp. 613-644

Nam H. Nguyen and Hieu V. Phan

Why Do Short Sellers Like Qualitative News? pp. 645-675

Bastian von Beschwitz, Oleg Chuprinin and Massimo Massa

Stapled Financing, Value Certification, and Lending Efficiency pp. 677-703

Hadiye Aslan and Praveen Kumar

Informed Trading around Stock Split Announcements: Evidence from the Option Market pp. 705-735

Philip Gharghori, Edwin Maberly and Annette Nguyen

Information Characteristics and Errors in Expectations: Experimental Evidence pp. 737-750

Constantinos Antoniou, Glenn Harrison, Morten Lau and Daniel Read

Gender and Board Activeness: The Role of a Critical Mass pp. 751-780

Miriam Schwartz-Ziv

Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses pp. 781-809

Natalie Y. Oh, Jerry Parwada and Kian Tan

Annual Report Readability, Tone Ambiguity, and the Cost of Borrowing pp. 811-836

Mine Ertugrul, Jin Lei, Jiaping Qiu and Chi Wan

Volume 52, issue 1, 2017

Strategic Delays and Clustering in Hedge Fund Reported Returns pp. 1-35

George O. Aragon and Vikram Nanda

Industrial Electricity Usage and Stock Returns pp. 37-69

Zhi Da, Dayong Huang and Hayong Yun

Seasonal Asset Allocation: Evidence from Mutual Fund Flows pp. 71-109

Mark J. Kamstra, Lisa Kramer, Maurice Levi and Russell Wermers

The Dynamics of Performance Volatility and Firm Valuation pp. 111-142

Jianxin Daniel Chi and Xunhua Su

Short-Term Reversals: The Effects of Past Returns and Institutional Exits pp. 143-173

Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam and Sheridan Titman

Key Human Capital pp. 175-214

Ryan Israelsen and Scott E. Yonker

Real Options, Idiosyncratic Skewness, and Diversification pp. 215-241

Luca Del Viva, Eero Kasanen and Lenos Trigeorgis

What Drives the Commonality between Credit Default Swap Spread Changes? pp. 243-275

Mike Anderson

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing pp. 277-303

Jose Faias and Pedro Santa-Clara

Sovereign Default Risk and the U.S. Equity Market pp. 305-339

Alexandre Jeanneret

Model Uncertainty and Exchange Rate Forecasting pp. 341-363

Roy Kouwenberg, Agnieszka Markiewicz, Ralph Verhoeks and Remco Zwinkels

Social Screens and Systematic Investor Boycott Risk pp. 365-399

H. Arthur Luo and Ronald Balvers