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Journal of Banking & Finance

1977 - 2018

Current editor(s): Ike Mathur

From Elsevier
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Volume 32, issue 12, 2008

Editorial pp. 2501-2501 Downloads
Helyette Geman
Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity pp. 2502-2519 Downloads
Álvaro Cartea and Pablo Villaplana
The price of power: The valuation of power and weather derivatives pp. 2520-2529 Downloads
Craig Pirrong and Martin Jermakyan
Long term spread option valuation and hedging pp. 2530-2540 Downloads
M.A.H. Dempster, Elena Medova and Ke Tang
Computing the market price of volatility risk in the energy commodity markets pp. 2541-2552 Downloads
James Doran and Ehud I. Ronn
WTI crude oil Futures in portfolio diversification: The time-to-maturity effect pp. 2553-2559 Downloads
Hélyette Geman and Cécile Kharoubi
Credit derivatives and loan pricing pp. 2560-2569 Downloads
Lars Norden and Wolf Wagner
Corporate governance in banking: The role of the board of directors pp. 2570-2580 Downloads
Pablo de Andrés Alonso and Eleuterio Vallelado
Liquidity in auction and specialist market structures: Evidence from the Italian bourse pp. 2581-2588 Downloads
Alex Frino, Dionigi Gerace and Andrew Lepone
Combining fair pricing and capital requirements for non-life insurance companies pp. 2589-2596 Downloads
Nadine Gatzert and Hato Schmeiser
Determinants of yield spread dynamics: Euro versus US dollar corporate bonds pp. 2597-2605 Downloads
Astrid Van Landschoot
Macroeconomic cycles and the stock market's reaction to monetary policy pp. 2606-2616 Downloads
Arabinda Basistha and Alexander Kurov
A first-passage-time model under regime-switching market environment pp. 2617-2627 Downloads
Mi Ae Kim, Bong-Gyu Jang and Ho-Seok Lee
Corporate restructuring in Japan: Who monitors the monitor? pp. 2628-2635 Downloads
Kotaro Inoue, Hideaki Kiyoshi Kato and Marc Bremer
Controlling-minority shareholder incentive conflicts and directors' and officers' liability insurance: Evidence from China pp. 2636-2645 Downloads
Hong Zou, Sonia Wong, Clement Shum, Jun Xiong and Jun Yan
The stocks at stake: Return and risk in socially responsible investment pp. 2646-2654 Downloads
Rients Galema, Auke Plantinga and Bert Scholtens
The dynamics of operational loss clustering pp. 2655-2666 Downloads
Anna Chernobai and Yildiray Yildirim
Two-sided coherent risk measures and their application in realistic portfolio optimization pp. 2667-2673 Downloads
Zhiping Chen and Yi Wang
Exploring the nexus between banking sector reform and performance: Evidence from newly acceded EU countries pp. 2674-2683 Downloads
Sophocles Brissimis, Manthos Delis and Nikolaos Papanikolaou
Bank concentration and financial constraints on firm-level investment in Europe pp. 2684-2694 Downloads
Ronald Ratti, Sunglyong Lee and Youn Seol
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model pp. 2695-2705 Downloads
Caio Almeida and José Valentim Vicente
Individual stock-option prices and credit spreads pp. 2706-2715 Downloads
Martijn Cremers, Joost Driessen, Pascal Maenhout and David Weinbaum
Does corporate international diversification destroy value? Evidence from cross-border mergers and acquisitions pp. 2716-2724 Downloads
Marcelo B. Dos Santos, Vihang R. Errunza and Darius P. Miller
Loan pricing under Basel II in an imperfectly competitive banking market pp. 2725-2733 Downloads
David Ruthenberg and Yoram Landskroner

Volume 32, issue 11, 2008

Editorial pp. 2287-2287 Downloads
Fariborz Moshirian
Financial services in an increasingly integrated global financial market pp. 2288-2292 Downloads
Fariborz Moshirian
Inflation-indexed swaps and swaptions pp. 2293-2306 Downloads
Mia Hinnerich
Effective fair pricing of international mutual funds pp. 2307-2324 Downloads
Choong Tze Chua, Sandy Lai and Yangru Wu
The expansion of services in European banking: Implications for loan pricing and interest margins pp. 2325-2335 Downloads
Laetitia Lepetit, Emmanuelle Nys, Philippe Rous and Amine Tarazi
The contribution of product mix versus efficiency and technical change in US banking pp. 2336-2345 Downloads
Gabriel Asaftei
Characteristics determining the efficiency of foreign banks in Australia pp. 2346-2360 Downloads
Jan-Egbert Sturm and Barry Williams
Pre-IPO ownership structure and its impact on the IPO process pp. 2361-2375 Downloads
Arash Alavi, Peter Kien Pham and Toan My Pham
Foreign versus local investors: Who knows more? Who makes more? pp. 2376-2389 Downloads
Petko S. Kalev, Anh H. Nguyen and Natalie Y. Oh
The dynamics of quote adjustments pp. 2390-2400 Downloads
Kee H. Chung, Chairat Chuwonganant and Jing Jiang
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices pp. 2401-2411 Downloads
Eirini Konstantinidi, George Skiadopoulos and Emilia Tzagkaraki
Rating agencies and the role of rating publication rights pp. 2412-2422 Downloads
Thomas Mählmann
Family values: Ownership structure, performance and capital structure of Canadian firms pp. 2423-2432 Downloads
Michael King and Eric Santor
The determinants of the voting premium in Italy: The evidence from 1974 to 2003 pp. 2433-2443 Downloads
Lorenzo Caprio and Ettore Croci
Portfolio choice and mortality-contingent claims: The general HARA case pp. 2444-2452 Downloads
Huaxiong Huang and Moshe A. Milevsky
Ex-dividend returns: The Mexican puzzle pp. 2453-2461 Downloads
Palani-Rajan Kadapakkam and Valeria Martinez
Deviations from optimal CEO ownership and firm value pp. 2462-2470 Downloads
Zhenxu Tong
Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach pp. 2471-2481 Downloads
Loukia Meligkotsidou and Ioannis D. Vrontos
Accurate minimum capital risk requirements: A comparison of several approaches pp. 2482-2492 Downloads
A. Grané and Helena Veiga
Cross-country variation in household access to financial services pp. 2493-2500 Downloads
Patrick Honohan

Volume 32, issue 10, 2008

Risk management in commodity and financial markets pp. 1989-1990 Downloads
D'Ecclesia, Rita L.
Time-consistency in managing a commodity portfolio: A dynamic risk measure approach pp. 1991-2005 Downloads
Hélyette Geman and Steve Ohana
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium pp. 2006-2021 Downloads
Fred Espen Benth, Álvaro Cartea and Rüdiger Kiesel
An econometric analysis of emission allowance prices pp. 2022-2032 Downloads
Marc S. Paolella and Luca Taschini
Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets pp. 2033-2045 Downloads
Gianluca Fusai, Marina Marena and Andrea Roncoroni
Robust optimization of conditional value at risk and portfolio selection pp. 2046-2056 Downloads
Anna Grazia Quaranta and Alberto Zaffaroni
Beyond Sharpe ratio: Optimal asset allocation using different performance ratios pp. 2057-2063 Downloads
Simone Farinelli, Manuel Ferreira, Damiano Rossello, Markus Thoeny and Luisa Tibiletti
A revisited and stable Fourier transform method for affine jump diffusion models pp. 2064-2075 Downloads
Marcello Minenna and Paolo Verzella
Pricing discretely monitored Asian options under Levy processes pp. 2076-2088 Downloads
Gianluca Fusai and Attilio Meucci
On real interest rate dynamics and regime switching pp. 2089-2098 Downloads
Angelos Kanas
The performance effect of managerial ownership: Evidence from China pp. 2099-2110 Downloads
Yifan Hu and Xianming Zhou
An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility pp. 2111-2123 Downloads
Charles Cao, Eric C. Chang and Ying Wang
Influence of disclosure and governance on risk of US financial services firms following Sarbanes-Oxley pp. 2124-2135 Downloads
Aigbe Akhigbe and Anna D. Martin
Information acquisition and financial contagion pp. 2136-2147 Downloads
Augusto Hasman and Margarita Samartín
A century of corporate takeovers: What have we learned and where do we stand? pp. 2148-2177 Downloads
Marina Martynova and Luc Renneboog
Tunneling and propping: A justification for pyramidal ownership pp. 2178-2187 Downloads
Yohanes Riyanto and Linda A. Toolsema
Financial distress, corporate control, and management turnover pp. 2188-2204 Downloads
Philipp Jostarndt and Zacharias Sautner
How does the call market method affect price efficiency? Evidence from the Singapore Stock Market pp. 2205-2219 Downloads
Rosita P. Chang, S. Ghon Rhee, Gregory R. Stone and Ning Tang
Developing a stress testing framework based on market risk models pp. 2220-2236 Downloads
Carol Alexander and Elizabeth Sheedy
Bank shareholding and lending: Complementarity or substitution? Some evidence from a panel of large Italian firms pp. 2237-2247 Downloads
Emilio Barucci and Fabrizio Mattesini
Market quality changes in the London Stock Market pp. 2248-2253 Downloads
Patricia Chelley-Steeley
A behavioral explanation for the negative asymmetric return-volatility relation pp. 2254-2266 Downloads
Ann Marie Hibbert, Robert T. Daigler and Brice Dupoyet
Bayesian inference for issuer heterogeneity in credit ratings migration pp. 2267-2274 Downloads
Ashay Kadam and Peter Lenk
The optimal structure of PD buckets pp. 2275-2286 Downloads
Thiemo Krink, Sandra Paterlini and Andrea Resti

Volume 32, issue 9, 2008

Improving VWAP strategies: A dynamic volume approach pp. 1709-1722 Downloads
Jedrzej Bialkowski, Serge Darolles and Gaelle Le Fol
Socially responsible investments: Institutional aspects, performance, and investor behavior pp. 1723-1742 Downloads
Luc Renneboog, Jenke ter Horst and Chendi Zhang
Diversification and ownership concentration pp. 1743-1753 Downloads
Bruno M. Parigi and Loriana Pelizzon
Weather and intraday patterns in stock returns and trading activity pp. 1754-1766 Downloads
Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou and Yueh-Hsiang Lin
Institutional ownership stability and BHC performance pp. 1767-1781 Downloads
Elyas Elyasiani and Jingyi Jane Jia
Reference point formation by market investors pp. 1782-1794 Downloads
Doron Kliger and Andrey Kudryavtsev
Internal financial constraints, external financial constraints, and investment choice: Evidence from a panel of UK firms pp. 1795-1809 Downloads
Alessandra Guariglia
Can commodity futures be profitably traded with quantitative market timing strategies? pp. 1810-1819 Downloads
Ben R. Marshall, Rochester H. Cahan and Jared M. Cahan
Competition versus efficiency: What drives franchise values in European banking? pp. 1820-1835 Downloads
Olivier De Jonghe and Rudi Vander Vennet
The diversification and financial performance of US credit unions pp. 1836-1849 Downloads
John Goddard, Donal McKillop and John Wilson
Socially responsible investment funds: Investor reaction to current and past returns pp. 1850-1859 Downloads
Karen L. Benson and Jacquelyn E. Humphrey
Inside shareholders' effective tax rates and dividends pp. 1860-1869 Downloads
Martin Holmen, John D. Knopf and Stefan Peterson
Spectral risk measures and portfolio selection pp. 1870-1882 Downloads
Alexandre Adam, Mohamed Houkari and Jean-Paul Laurent
Offsetting the implicit incentives: Benefits of benchmarking in money management pp. 1883-1893 Downloads
Suleyman Basak, Anna Pavlova and Alexander Shapiro
Cash flow, investment, and investment opportunities: New tests using UK panel data pp. 1894-1906 Downloads
Robert Carpenter and Alessandra Guariglia
Nonparametric, conditional pricing of higher order multivariate contingent claims pp. 1907-1915 Downloads
Kostas Giannopoulos
US ADR and Hong Kong H-share discounts of Shanghai-listed firms pp. 1916-1927 Downloads
Gregory C. Arquette, William O. Brown and Richard Burdekin
The decision to first enter the public bond market: The role of firm reputation, funding choices, and bank relationships pp. 1928-1940 Downloads
Galina Hale and Joao Santos
Stock market volatility around national elections pp. 1941-1953 Downloads
Jedrzej Bialkowski, Katrin Gottschalk and Tomasz Wisniewski
Capital structure around the world: The roles of firm- and country-specific determinants pp. 1954-1969 Downloads
Abe de Jong, Rezaul Kabir and Thuy Nguyen
A Markov regime switching approach for hedging energy commodities pp. 1970-1983 Downloads
Amir Alizadeh, Nikos K. Nomikos and Panos K. Pouliasis
A note on "Inflation and Welfare" pp. 1984-1987 Downloads
Rubens Cysne

Volume 32, issue 8, 2008

Editorial pp. 1431-1431 Downloads
Fariborz Moshirian
The significance of a world government in the process of globalization in the 21st century pp. 1432-1439 Downloads
Fariborz Moshirian
The cyclical behaviour of European bank capital buffers pp. 1440-1451 Downloads
Terhi Jokipii and Alistair Milne
Bank income structure and risk: An empirical analysis of European banks pp. 1452-1467 Downloads
Laetitia Lepetit, Emmanuelle Nys, Philippe Rous and Amine Tarazi
The economics of credit cards, debit cards and ATMs: A survey and some new evidence pp. 1468-1483 Downloads
Barry Scholnick, Nadia Massoud, Anthony Saunders, Santiago Carbo-Valverde and Francisco Rodríguez-Fernández
Investment decisions and internal capital markets: Evidence from acquisitions pp. 1484-1498 Downloads
John Doukas and Ozgur B. Kan
Credit to government and banking sector performance pp. 1499-1507 Downloads
David Hauner
What lies beneath: Foreign exchange rate exposure, hedging and cash flows pp. 1508-1521 Downloads
Söhnke Bartram
Financial market integration and the value of global diversification: Evidence for US acquirers in cross-border mergers and acquisitions pp. 1522-1540 Downloads
Bill B. Francis, Iftekhar Hasan and Xian Sun
Comparing the performance of market-based and accounting-based bankruptcy prediction models pp. 1541-1551 Downloads
Vineet Agarwal and Richard Taffler
Mutual funds' ownership and firm performance: Evidence from China pp. 1552-1565 Downloads
Rongli Yuan, Jason Zezhong Xiao and Hong Zou
Hedging, financing, and investment decisions: Theory and empirical tests pp. 1566-1582 Downloads
Chen-Miao Lin, Richard Phillips and Stephen D. Smith
An empirical analysis of aggregate household portfolios pp. 1583-1597 Downloads
Michel Normandin and Pascal St-Amour
Bank consolidation and new business formation pp. 1598-1612 Downloads
Bill Francis, Iftekhar Hasan and Haizhi Wang
Split bond ratings and rating migration pp. 1613-1624 Downloads
Miles Livingston, Andy Naranjo and Lei Zhou
Common liquidity shocks and market collapse: Lessons from the market for perps pp. 1625-1635 Downloads
Chitru S. Fernando, Richard J. Herring and Avanidhar Subrahmanyam
How important is asymmetric covariance for the risk premium of international assets? pp. 1636-1647 Downloads
Stefano Mazzotta
Utilitarianism and fairness in portfolio positioning pp. 1648-1660 Downloads
André de Palma and Jean-Luc Prigent
Demand estimation and consumer welfare in the banking industry pp. 1661-1676 Downloads
Astrid A. Dick
Bank capital regulation in a barrier option framework pp. 1677-1686 Downloads
Athanasios Episcopos
Decomposing liquidity along the limit order book pp. 1687-1698 Downloads
David Rakowski and Xiaoxin Wang Beardsley
Why 'Basel II' may need a leverage ratio restriction pp. 1699-1707 Downloads
Jürg M. Blum

Volume 32, issue 7, 2008

Francesco Paris, the power of the will pp. 1177-1177 Downloads
Giorgio Szego
Risk aversion and skewness preference pp. 1178-1187 Downloads
Thierry Post, Pim Vliet and Haim Levy
A comparison of MAD and CVaR models with real features pp. 1188-1197 Downloads
Enrico Angelelli, Renata Mansini and M. Grazia Speranza
Implicit recourse and credit card securitizations: What do fraud losses reveal? pp. 1198-1208 Downloads
Todd A. Vermilyea, Elizabeth R. Webb and Andrew A. Kish
Determinants of corporate cash holdings: Evidence from spin-offs pp. 1209-1220 Downloads
D'Mello, Ranjan, Sudha Krishnaswami and Patrick J. Larkin
Information shares in the US Treasury market pp. 1221-1233 Downloads
Bruce Mizrach and Christopher Neely
Opacity of young businesses: Evidence from rating disagreements pp. 1234-1241 Downloads
Ari Hyytinen and Mika Pajarinen
Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output? pp. 1242-1254 Downloads
Qaisar Akram and Øyvind Eitrheim
Volume and skewness in international equity markets pp. 1255-1268 Downloads
Elaine Hutson, Colm Kearney and Margaret Lynch
The delivery option in credit default swaps pp. 1269-1285 Downloads
Rainer Jankowitsch, Rainer Pullirsch and Tanja Veza
Commodity betas with mean reverting output prices pp. 1286-1296 Downloads
Gwangheon Hong and Sudipto Sarkar
Is there cyclical bias in bank holding company risk ratings? pp. 1297-1309 Downloads
Timothy J. Curry, Gary Fissel and Gerald Hanweck
Can tax convexity be ignored in corporate financing decisions? pp. 1310-1321 Downloads
Sudipto Sarkar
Forecasting foreign exchange rates using idiosyncratic volatility pp. 1322-1332 Downloads
Hui Guo and Robert Savickas
Investor protection and the value effects of bank merger announcements in Europe and the US pp. 1333-1348 Downloads
Jens Hagendorff, Michael Collins and Kevin Keasey
Emerging market exchange rate exposure pp. 1349-1362 Downloads
Timothy K. Chue and David Cook
Financial market models with Lévy processes and time-varying volatility pp. 1363-1378 Downloads
Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi and Frank Fabozzi
Legal insider trading and market efficiency pp. 1379-1392 Downloads
Nihat Aktas, Eric de Bodt and Hervé Van Oppens
Interest rate clustering in UK financial services markets pp. 1393-1403 Downloads
John Ashton and Robert Hudson
Backtesting trading risk of commercial banks using expected shortfall pp. 1404-1415 Downloads
Woon Wong
A flight to Q? Firm investment and financing in Korea before and after the 1997 financial crisis pp. 1416-1429 Downloads
Peter Rousseau and Jong Hun Kim

Volume 32, issue 6, 2008

Information acquisition, coordination, and fundamentals in a financial crisis pp. 907-914 Downloads
Maxim Nikitin and Richard Smith
Bank incentives and suboptimal lending decisions: Evidence from the valuation effect of bank loan announcements in Japan pp. 915-929 Downloads
Jun-Koo Kang and Wei-Lin Liu
The information content of stock split announcements: Do options matter? pp. 930-946 Downloads
Keh-Yiing Chern, Kishore Tandon, Susana Yu and Gwendolyn Webb
A tale of two prices: Liquidity and asset prices in multiple markets pp. 947-960 Downloads
Justin S.P. Chan, Dong Hong and Marti G. Subrahmanyam
Ownership structure, corporate governance and analyst following: A study of French listed firms pp. 961-976 Downloads
Sabri Boubaker and Florence Labégorre
Optimal delegated portfolio management with background risk pp. 977-985 Downloads
Alexandre Baptista
On Haezendonck risk measures pp. 986-994 Downloads
Fabio Bellini and Emanuela Rosazza Gianin
Bank stock returns and economic growth pp. 995-1007 Downloads
Rebel Cole, Fariborz Moshirian and Qiongbing Wu
Regime dependent determinants of credit default swap spreads pp. 1008-1021 Downloads
Carol Alexander and Andreas Kaeck
On measuring synchronization of bulls and bears: The case of East Asia pp. 1022-1035 Downloads
Bertrand Candelon, Jan Piplack and Stefan Straetmans
Information asymmetry and investment-cash flow sensitivity pp. 1036-1048 Downloads
Asli Ascioglu, Shantaram P. Hegde and John McDermott
Practical methods for measuring and managing operational risk in the financial sector: A clinical study pp. 1049-1061 Downloads
Ariane Chapelle, Yves Crama, Georges Hübner and Jean-Philippe Peters
Credit rating dynamics and Markov mixture models pp. 1062-1075 Downloads
Halina Frydman and Til Schuermann
Monetary policy news and exchange rate responses: Do only surprises matter? pp. 1076-1086 Downloads
Rasmus Fatum and Barry Scholnick
Optimal portfolios when volatility can jump pp. 1087-1097 Downloads
Nicole Branger, Christian Schlag and Eva Schneider
The causal effect of board size in the performance of small and medium-sized firms pp. 1098-1109 Downloads
Morten Bennedsen, Hans Christian Kongsted and Kasper Meisner Nielsen
Can subordinated debt constrain banks' risk taking? pp. 1110-1119 Downloads
Jijun Niu
Are there long-run implications of analyst coverage for IPOs? pp. 1120-1132 Downloads
Daniel Bradley, Konan Chan, Joonghyuk Kim and Ajai Singh
Liquidity, default, taxes, and yields on municipal bonds pp. 1133-1149 Downloads
Junbo Wang, Chunchi Wu and Frank X. Zhang
Unraveling the complex interrelationships between exchange rates and fundamentals pp. 1150-1160 Downloads
Austin Murphy and Zhu, Yun (Ellen)
Finance and development: Is Schumpeter's analysis still relevant? pp. 1161-1175 Downloads
Giancarlo Bertocco

Volume 32, issue 5, 2008

Bounds and prices of currency cross-rate options pp. 631-642 Downloads
San-Lin Chung and Yaw-Huei Wang
Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits pp. 643-653 Downloads
Soosung Hwang, Aneel Keswani and Mark Shackleton
Minimum variance hedging when spot price changes are partially predictable pp. 654-663 Downloads
Louis H. Ederington and Jesus M. Salas
The behaviour of the real exchange rate: Evidence from regression quantiles pp. 664-679 Downloads
Kleopatra Nikolaou
Do Federal Home Loan Bank membership and advances increase bank risk-taking? pp. 680-698 Downloads
Dusan Stojanovic, Mark D. Vaughan and Timothy J. Yeager
Asset restructuring strategies in bank acquisitions: Does distance between dealing partners matter? pp. 699-713 Downloads
Pietro Alessandrini, Giorgio Calcagnini and Alberto Zazzaro
The economic determinants of interest rate option smiles pp. 714-728 Downloads
Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam
Do Euro exchange rates follow a martingale? Some out-of-sample evidence pp. 729-740 Downloads
Jian Yang, Xiaojing Su and James W. Kolari
Hedge fund pricing and model uncertainty pp. 741-753 Downloads
Spyridon D. Vrontos, Ioannis D. Vrontos and Daniel Giamouridis
Equity market timing and capital structure: International evidence pp. 754-766 Downloads
Arvind Mahajan and Semih Tartaroglu
Nonlinear mean reversion in stock prices pp. 767-782 Downloads
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Do banks overstate their Value-at-Risk? pp. 783-794 Downloads
Christophe Pérignon, Zi Yin Deng and Zhi Jun Wang
Share reacquisitions, surplus cash, and agency problems pp. 795-806 Downloads
Dennis Oswald and Steven Young
Equity market information, bank holding company risk, and market discipline pp. 807-819 Downloads
Timothy J. Curry, Gary Fissel and Gerald Hanweck
An examination of Value Line's long-term projections pp. 820-833 Downloads
Andrew C. Szakmary, C. Mitchell Conover and Carol Lancaster
Bank efficiency and foreign ownership: Do good institutions matter? pp. 834-844 Downloads
Robert Lensink, Aljar Meesters and Ilko Naaborg
Executive option exercises and financial misreporting pp. 845-857 Downloads
Natasha Burns and Simi Kedia
What drives credit dollarization in transition economies? pp. 858-869 Downloads
Alina Luca and Iva Petrova
Operational risk pp. 870-879 Downloads
Robert Jarrow
The value of shorting pp. 880-891 Downloads
Roland Nilsson
An analysis of the implications of uncertainty and agency problems on the wealth effects to acquirers of private firms pp. 892-905 Downloads
Tomas Mantecon

Volume 32, issue 4, 2008

Financial globalization and growth pp. 471-471 Downloads
Fariborz Moshirian
Globalisation, growth and institutions pp. 472-479 Downloads
Fariborz Moshirian
Accounting and capital market measures of risk: Evidence from Asian banks during 1998-2003 pp. 480-488 Downloads
Agusman Agusman, Gary S. Monroe, Dominic Gasbarro and J.K. Zumwalt
The Samuelson hypothesis in futures markets: An analysis using intraday data pp. 489-500 Downloads
Huu Nhan Duong and Petko S. Kalev
Monetary policy transparency and pass-through of retail interest rates pp. 501-511 Downloads
Ming-Hua Liu, Dimitri Margaritis and Alireza Tourani-Rad
Stock exchange demutualization, self-listing and performance: The case of the Australian Stock Exchange pp. 512-525 Downloads
Isaac Otchere and Khaled Abou-Zied
Is it the weather? pp. 526-540 Downloads
Ben Jacobsen and Wessel Marquering
Momentum profits and time-varying unsystematic risk pp. 541-558 Downloads
Xiafei Li, Joëlle Miffre, Chris Brooks and Niall O'Sullivan
"Hot Hands" in bond funds pp. 559-572 Downloads
Joop Huij and Jeroen Derwall
Detecting abnormal credit union performance pp. 573-586 Downloads
Keldon Bauer
The informational content of unsolicited ratings pp. 587-599 Downloads
Patrick Behr and André Güttler
Further analysis of the expectations hypothesis using very short-term rates pp. 600-613 Downloads
Craig R. Brown, Ken B. Cyree, Mark D. Griffiths and Drew B. Winters
Modelling the term structure of interest rates: An efficient nonparametric approach pp. 614-623 Downloads
Lourdes Gómez-Valle and Marti­nez-Rodri­guez, Julia
A note on Chui, Gai and Haldane's "Sovereign liquidity crisis: Analytics and implications for public policy" pp. 624-629 Downloads
Dina Dreisbach and Fabian Kindermann

Volume 32, issue 3, 2008

How do policy and information shocks impact co-movements of China's T-bond and stock markets? pp. 347-359 Downloads
Xiao-Ming Li and Li-Ping Zou
Do improvements in government quality necessarily reduce the incidence of costly sudden stops? pp. 360-373 Downloads
Adam Honig
On the empirics of international smoothing pp. 374-381 Downloads
Pierfederico Asdrubali and Soyoung Kim
Optimal pension insurance design pp. 382-392 Downloads
Trond Døskeland and Helge Nordahl
Investment principles for individual retirement accounts pp. 393-404 Downloads
A.G. Malliaris and Mary Malliaris
Does liberalization reduce agency costs? Evidence from the Indian banking sector pp. 405-419 Downloads
Chinmoy Ghosh, John Harding and B.V. Phani
Cross-listing and liquidity in emerging market stocks pp. 420-433 Downloads
Ana Cristina Silva and Gonzalo A. Chávez
Improving performance of corporate rating prediction models by reducing financial ratio heterogeneity pp. 434-446 Downloads
Martin Niemann, Jan Hendrik Schmidt and Max Neukirchen
The evolution of the January effect pp. 447-457 Downloads
Nicholas Moller and Shlomo Zilca
Credit booms, monetary integration and the new neoclassical synthesis pp. 458-470 Downloads
Peter Backé and Cezary Wójcik

Volume 32, issue 2, 2008

Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets pp. 187-198 Downloads
Donald Lien and Li Yang
Relative deviation metrics and the problem of strategy replication pp. 199-206 Downloads
Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli and Frank Fabozzi
The impact of capital market imperfections on investment-cash flow sensitivity pp. 207-216 Downloads
Senay Agca and Abon Mozumdar
Cross-country determinants of bank income smoothing by managing loan-loss provisions pp. 217-228 Downloads
Ana Rosa Fonseca and Francisco González
Optimal strike prices of stock options for effort-averse executives pp. 229-239 Downloads
Oded Palmon, Sasson Bar-Yosef, Ren-Raw Chen and Itzhak Venezia
Preferred habitat for liquidity in international short-term interest rates pp. 240-250 Downloads
Vladimir Kotomin, Stanley D. Smith and Drew B. Winters
Overnight information and stochastic volatility: A study of European and US stock exchanges pp. 251-268 Downloads
Ilias Tsiakas
The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR pp. 269-282 Downloads
Turan G. Bali, Hengyong Mo and Yi Tang
Pricing options on scenario trees pp. 283-298 Downloads
Nikolas Topaloglou, Hercules Vladimirou and Stavros Zenios
Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data pp. 299-310 Downloads
Marco Arena
Factorization of European and American option prices under complete and incomplete markets pp. 311-325 Downloads
Alfredo Ibáñez
Hedging index exchange traded funds pp. 326-337 Downloads
Carol Alexander and A. Barbosa
A note on foreign bank ownership and monitoring: An international comparison pp. 338-345 Downloads
Mark Bertus, John S. Jahera and Keven Yost

Volume 32, issue 1, 2008

Dynamics of insurance markets: Structure, conduct, and performance in the 21st century pp. 1-3 Downloads
John Cummins and Georges Dionne
Insurance market mechanisms and government interventions pp. 4-14 Downloads
Denis Kessler
Cross-border M&As in the financial sector: Is banking different from insurance pp. 15-29 Downloads
Dario Focarelli and Alberto Pozzolo
Mergers and acquisitions in the US property-liability insurance industry: Productivity and efficiency effects pp. 30-55 Downloads
John Cummins and Xiaoying Xie
Consolidation and value creation in the insurance industry: The role of governance pp. 56-68 Downloads
Narjess Boubakri, Georges Dionne and Thouraya Triki
On the pricing of intermediated risks: Theory and application to catastrophe reinsurance pp. 69-85 Downloads
Kenneth Froot and O'Connell, Paul G.J.
Market structure and the efficiency of European insurance companies: A stochastic frontier analysis pp. 86-100 Downloads
Paul Fenn, Dev Vencappa, Stephen Diacon, Paul Klumpes and Christopher O'Brien
Reinsurance and corporate taxation in the United Kingdom life insurance industry pp. 101-115 Downloads
Mike Adams, Philip Hardwick and Hong Zou
Regulator performance, regulatory environment and outcomes: An examination of insurance regulator career incentives on state insurance markets pp. 116-133 Downloads
Martin Grace and Richard Phillips
State regulation and the structure, conduct, efficiency and performance of US auto insurers pp. 134-156 Downloads
Mary Weiss and Byeongyong Paul Choi
"Crises" in medical malpractice insurance: Evidence of excessive price-cutting in the preceding soft market pp. 157-169 Downloads
Scott E. Harrington, Patricia Danzon and Andrew J. Epstein
Providers' affiliation, insurance and collusion pp. 170-186 Downloads
Jean-Marc Bourgeon, Pierre Picard and Jerome Pouyet
Page updated 2017-11-22