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Journal of Banking & Finance

1977 - 2019

Current editor(s): Ike Mathur

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Volume 34, issue 12, 2010

International financial integration pp. 2837-2837 Downloads
Brian Lucey
Integrated models of capital adequacy - Why banks are undercapitalised pp. 2838-2850 Downloads
Gavin Kretzschmar, Alexander J. McNeil and Axel Kirchner
EMU and European government bond market integration pp. 2851-2860 Downloads
Pilar Abad, Helena Chuliá and Marta Gómez-Puig
The reaction of emerging market credit default swap spreads to sovereign credit rating changes pp. 2861-2873 Downloads
Iuliana Ismailescu and Hossein Kazemi
Assessing financial market integration in Asia - Equity markets pp. 2874-2885 Downloads
Ip-Wing Yu, Kang-Por Fung and Chi-Sang Tam
Does the difference in valuation between domestic and foreign investors help explain their distinct holdings of domestic stocks? pp. 2886-2896 Downloads
Hyung Cheol Kang, Dong Wook Lee and Kyung Suh Park
Trading activity and bid-ask spreads of individual equity options pp. 2897-2916 Downloads
Jason Wei and Jinguo Zheng
Timing exchange rates using order flow: The case of the Loonie pp. 2917-2928 Downloads
Michael King, Lucio Sarno and Elvira Sojli
Loan growth and riskiness of banks pp. 2929-2940 Downloads
Daniel Foos, Lars Norden and Martin Weber
Understanding partial mergers in Japan pp. 2941-2953 Downloads
Tatsuo Ushijima
Behavior of liquidity and returns around Canadian seasoned equity offerings pp. 2954-2967 Downloads
Lawrence Kryzanowski, Skander Lazrak and Ian Rakita
Does gender matter in bank-firm relationships? Evidence from small business lending pp. 2968-2984 Downloads
Andrea Bellucci, Alexander Borisov and Alberto Zazzaro
Probability of information-based trading and the January effect pp. 2985-2994 Downloads
Moonsoo Kang
Using the credit spread as an option-risk factor: Size and value effects in CAPM pp. 2995-3009 Downloads
Young-Soon Hwang, Hong-Ghi Min, Judith A. McDonald, Hwagyun Kim and Bong-Han Kim
The impact of conglomeration on the option value of equity pp. 3010-3024 Downloads
Gunnar Grass
A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008 pp. 3025-3036 Downloads
Dominik Maltritz
The economic function of credit rating agencies - What does the watchlist tell us? pp. 3037-3049 Downloads
Christina Bannier and Christian W. Hirsch
The effect of bank ownership and deposit insurance on monetary policy transmission pp. 3050-3054 Downloads
Natalia Andries and Steve Billon
An analysis of portfolio selection with background risk pp. 3055-3060 Downloads
Chonghui Jiang, Yongkai Ma and Yunbi An
Securitization and systematic risk in European banking: Empirical evidence pp. 3061-3077 Downloads
Andre Uhde and Tobias C. Michalak
Multi-country event-study methods pp. 3078-3090 Downloads
Cynthia J. Campbell, Arnold Cowan and Valentina Salotti

Volume 34, issue 11, 2010

The use of technical analysis by fund managers: International evidence pp. 2573-2586 Downloads
Lukas Menkhoff
Accelerated investment effect of risky debt pp. 2587-2599 Downloads
Evgeny Lyandres and Alexei Zhdanov
What drives the performance of convertible-bond funds? pp. 2600-2613 Downloads
Manuel Ammann, Axel Kind and Ralf Seiz
Leads and lags in sovereign credit ratings pp. 2614-2626 Downloads
Rasha Alsakka and Owain ap Gwilym
International equity portfolio allocations and transaction costs pp. 2627-2638 Downloads
Chandra Thapa and Sunil S. Poshakwale
What drives bank securitisation? The Spanish experience pp. 2639-2651 Downloads
Cardone-Riportella, Clara, Samaniego-Medina, Reyes and Antonio Trujillo-Ponce
Dynamic portfolio choice with deferred annuities pp. 2652-2664 Downloads
Wolfram Horneff, Raimond Maurer and Ralph Rogalla
Limit-order submission strategies under asymmetric information pp. 2665-2677 Downloads
Lukas Menkhoff, Carol Osler and Maik Schmeling
A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices pp. 2678-2693 Downloads
Mark Shackleton, Stephen J. Taylor and Peng Yu
An advanced perspective on the predictability in hedge fund returns pp. 2694-2708 Downloads
Christian Wegener, Rüdiger von Nitzsch and Cetin Cengiz
Parliamentary election cycles and the Turkish banking sector pp. 2709-2719 Downloads
Christopher Baum, Mustafa Caglayan and Oleksandr Talavera
Combining mean reversion and momentum trading strategies in foreign exchange markets pp. 2720-2727 Downloads
Alina F. Serban
Regime switching correlation hedging pp. 2728-2741 Downloads
Hsiang-Tai Lee
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics pp. 2742-2752 Downloads
Raphael Paschke and Marcel Prokopczuk
Bank fund reallocation and economic growth: Evidence from China pp. 2753-2766 Downloads
Philip C. Chang, Chunxin Jia and Zhicheng Wang
Consumer credit-risk models via machine-learning algorithms pp. 2767-2787 Downloads
Amir E. Khandani, Adlar J. Kim and Andrew Lo
Competition for small firm banking business: Bank actions versus market structure pp. 2788-2800 Downloads
Jonathan A. Scott and William C. Dunkelberg
Bank profitability and taxation pp. 2801-2810 Downloads
Ugo Albertazzi and Leonardo Gambacorta
Substitution between monetary assets and consumer goods: New evidence on the monetary transmission mechanism pp. 2811-2821 Downloads
Leigh Drake and Adrian R. Fleissig
The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market pp. 2822-2836 Downloads
Anthony D. May

Volume 34, issue 10, 2010

Is the diversification discount caused by the book value bias of debt? pp. 2307-2317 Downloads
Markus Glaser and Sebastian Müller
Auditor reputation and earnings management: International evidence from the banking industry pp. 2318-2327 Downloads
Kiridaran Kanagaretnam, Chee Yeow Lim and Gerald J. Lobo
Corporate bond credit spreads and forecast dispersion pp. 2328-2345 Downloads
Levent Güntay and Dirk Hackbarth
Liquidity and market efficiency: A large sample study pp. 2346-2357 Downloads
Dennis Chung and Karel Hrazdil
Misreaction or misspecification? A re-examination of volatility anomalies pp. 2358-2369 Downloads
George J. Jiang and Yisong S. Tian
Does information drive trading in option strategies? pp. 2370-2385 Downloads
Ruediger Fahlenbrach and Patrik Sandås
Operational outages and aggregate uncertainty in the federal funds market pp. 2386-2402 Downloads
Elizabeth Klee
Short-sale inflow and stock returns: Evidence from Japan pp. 2403-2412 Downloads
Hidetomo Takahashi
The Other January Effect: Evidence against market efficiency? pp. 2413-2424 Downloads
Ben Marshall and Nuttawat Visaltanachoti
How loss averse are investors in financial markets? pp. 2425-2438 Downloads
Soosung Hwang and Steve E. Satchell
Investor sentiment, executive compensation, and corporate investment pp. 2439-2449 Downloads
Bruce D. Grundy and Hui Li
Capital-based regulation, portfolio risk and capital determination: Empirical evidence from the US property-liability insurers pp. 2450-2461 Downloads
Jeungbo Shim
Are price limits really bad for equity markets? pp. 2462-2471 Downloads
Saikat Sovan Deb, Petko S. Kalev and Vijaya B. Marisetty
The increasing default risk of US Treasury securities due to the financial crisis pp. 2472-2480 Downloads
Srinivas Nippani and Stanley D. Smith
Control/ownership structure, creditor rights protection, and the cost of debt financing: International evidence pp. 2481-2499 Downloads
Narjess Boubakri and Hatem Ghouma
Index composition changes and the cost of incumbency pp. 2500-2509 Downloads
André F. Gygax and Isaac Otchere
Forecasting bank loans loss-given-default pp. 2510-2517 Downloads
João Bastos
Do executive stock options induce excessive risk taking? pp. 2518-2529 Downloads
Zhiyong Dong, Cong Wang and Fei Xie
Tactical allocation in commodity futures markets: Combining momentum and term structure signals pp. 2530-2548 Downloads
Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis
Stakeholder welfare and firm value pp. 2549-2561 Downloads
Yawen Jiao
Liquidity skewness pp. 2562-2571 Downloads
Richard Roll and Avanidhar Subrahmanyam

Volume 34, issue 9, 2010

Multiple directorships and acquirer returns pp. 2011-2026 Downloads
Seoungpil Ahn, Pornsit Jiraporn and Young Kim
Does proximity matter in international bond underwriting? pp. 2027-2041 Downloads
Sie Ting Lau and Jing Yu
Market response to bank relationships: Evidence from Korean bank reform pp. 2042-2055 Downloads
Wook Sohn
Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade pp. 2056-2064 Downloads
Nikolaos Mylonidis and Christos Kollias
Measuring portfolio credit risk correctly: Why parameter uncertainty matters pp. 2065-2076 Downloads
Nikola Tarashev
The choice of ADRs pp. 2077-2095 Downloads
Narjess Boubakri, Jean-Claude Cosset and Anis Samet
Tempered stable and tempered infinitely divisible GARCH models pp. 2096-2109 Downloads
Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi and Frank Fabozzi
Detecting insider trading: The theory and validation in Korea Exchange pp. 2110-2120 Downloads
Young S. Park and Jaehyun Lee
A cultural explanation of the foreign bias in international asset allocation pp. 2121-2131 Downloads
Sjoerd Beugelsdijk and Bart Frijns
Analytic valuation formulas for range notes and an affine term structure model with jump risks pp. 2132-2145 Downloads
Bong-Gyu Jang and Ji Hee Yoon
Market-making costs in Treasury bills: A benchmark for the cost of liquidity pp. 2146-2157 Downloads
Mark D. Griffiths, James T. Lindley and Drew B. Winters
The efficiency of Greek public pension fund portfolios pp. 2158-2167 Downloads
Timotheos Angelidis and Nikolaos Tessaromatis
Information asymmetry and the value of cash pp. 2168-2184 Downloads
Wolfgang Drobetz, Matthias C. Grüninger and Simone Hirschvogl
Active portfolio management with benchmarking: A frontier based on alpha pp. 2185-2197 Downloads
Gordon Alexander and Alexandre Baptista
Borrowing in foreign currency: Austrian households as carry traders pp. 2198-2211 Downloads
Christian Beer, Steven Ongena and Marcel Peter
Incentive and entrenchment effects in European ownership pp. 2212-2229 Downloads
Morten Bennedsen and Kasper Meisner Nielsen
Convergence to market efficiency of top gainers pp. 2230-2237 Downloads
Yong-Chern Su, Han-Ching Huang and Ming-Wei Hsu
Preference heterogeneity and asset prices: An exact solution pp. 2238-2246 Downloads
David Weinbaum
Evidence on the insurance effect of bankruptcy exemptions pp. 2247-2254 Downloads
Charles Grant
Bank regulation, property prices and early warning systems for banking crises in OECD countries pp. 2255-2264 Downloads
Ray Barrell, E Davis, Dilruba Karim and Iana Liadze
Information uncertainty, information asymmetry and corporate bond yield spreads pp. 2265-2279 Downloads
Chia-Wu Lu, Tsung-Kang Chen and Hsien-Hsing Liao
Bank involvement with SMEs: Beyond relationship lending pp. 2280-2293 Downloads
Augusto de la Torre, Maria Martinez Peria and Sergio Schmukler
Information content of IPO grading pp. 2294-2305 Downloads
Saikat Sovan Deb and Vijaya B. Marisetty
Erratum to "Variations in sovereign credit quality assessments across rating agencies" [J. Bank. Finance 34 (2010) 1327-1343] pp. 2306-2306 Downloads
Paula Hill, Robert Brooks and Robert Faff

Volume 34, issue 8, 2010

Retail payments: New contributions, empirical results, and unanswered questions pp. 1729-1737 Downloads
David B. Humphrey
Incentives at the counter: An empirical analysis of surcharging card payments and payment behaviour in the Netherlands pp. 1738-1744 Downloads
Wilko Bolt, Nicole Jonker and Corry van Renselaar
Why are (some) consumers (finally) writing fewer checks? The role of payment characteristics pp. 1745-1758 Downloads
Scott Schuh and Joanna Stavins
Price incentives and consumer payment behaviour pp. 1759-1772 Downloads
John Simon, Kylie Smith and Tim West
Payment card rewards programs and consumer payment choice pp. 1773-1787 Downloads
Andrew Ching and Fumiko Hayashi
Credit card interchange fees pp. 1788-1797 Downloads
Jean Rochet and Julian Wright
Private cards and the bypass of payment systems by merchants pp. 1798-1807 Downloads
Marc Bourreau and Marianne Verdier
Bank competition efficiency in Europe: A frontier approach pp. 1808-1817 Downloads
Wilko Bolt and David Humphrey
A study of competing designs for a liquidity-saving mechanism pp. 1818-1826 Downloads
Antoine Martin and James McAndrews
The coskewness puzzle pp. 1827-1838 Downloads
Valerio Potì and DengLi Wang
How resilient is the German banking system to macroeconomic shocks? pp. 1839-1848 Downloads
Jonas Dovern, Carsten-Patrick Meier and Johannes Vilsmeier
The relationship between house prices and house purchase loans: The Spanish case pp. 1849-1855 Downloads
Ricardo Gimeno and Martí­nez-Carrascal, Carmen
Going private transactions, bondholder returns, and wealth transfer effects pp. 1856-1872 Downloads
Lindsay C. Baran and Tao-Hsien Dolly King
Limit order revisions pp. 1873-1885 Downloads
Kingsley Y.L. Fong and Wai-Man Liu
Is gold a safe haven? International evidence pp. 1886-1898 Downloads
Dirk Baur and Thomas McDermott
Portfolio performance gauging in discrete time using a Luenberger productivity indicator pp. 1899-1910 Downloads
Olivier Brandouy, Walter Briec, Kristiaan Kerstens and Ignace Van de Woestyne
An empirical analysis of herd behavior in global stock markets pp. 1911-1921 Downloads
Thomas Chiang and Dazhi Zheng
Earnings management, market discounts and the performance of private equity placements pp. 1922-1932 Downloads
An-Sing Chen, Lee-Young Cheng, Kuang-Fu Cheng and Shu-Wei Chih
Liquidity and the dynamic pattern of asset price adjustment: A global view pp. 1933-1945 Downloads
Ansgar Belke, Walter Orth and Ralph Setzer
Are cooperatives the weakest link in European banking? A non-parametric metafrontier approach pp. 1946-1957 Downloads
Alexandra Kontolaimou and Kostas Tsekouras
Underpricing of IPOs: Firm-, issue- and country-specific characteristics pp. 1958-1969 Downloads
Peter-Jan Engelen and Marc van Essen
Firm age and the evolution of borrowing costs: Evidence from Japanese small firms pp. 1970-1981 Downloads
Koji Sakai, Iichiro Uesugi and Tsutomu Watanabe
Estimating financial risk measures for options pp. 1982-1992 Downloads
Ghulam Sorwar and Kevin Dowd
The performance of hedge funds and mutual funds in emerging markets pp. 1993-2009 Downloads
Martin Eling and Roger Faust

Volume 34, issue 7, 2010

Performance measurement in the financial services sector: Frontier efficiency methodologies and other innovative techniques pp. 1413-1416 Downloads
Rajiv D. Banker, John Cummins and Paul J.M. Klumpes
The effects of focus versus diversification on bank performance: Evidence from Chinese banks pp. 1417-1435 Downloads
Allen N. Berger, Iftekhar Hasan and Mingming Zhou
The impact of non-traditional activities on the estimation of bank efficiency: International evidence pp. 1436-1449 Downloads
Ana Lozano-Vivas and Fotios Pasiouras
Differential impact of Korean banking system reforms on bank productivity pp. 1450-1460 Downloads
Rajiv D. Banker, Hsihui Chang and Seok-Young Lee
First Financial Restructuring and operating efficiency: Evidence from Taiwanese commercial banks pp. 1461-1471 Downloads
Hsing-Chin Hsiao, Hsihui Chang, Anna M. Cianci and Li-Hua Huang
Malmquist-type indices in the presence of negative data: An application to bank branches pp. 1472-1483 Downloads
Maria C.A.S. Portela and Emmanuel Thanassoulis
Scaling models for the severity and frequency of external operational loss data pp. 1484-1496 Downloads
Hela Dahen and Georges Dionne
Efficiency in the international insurance industry: A cross-country comparison pp. 1497-1509 Downloads
Martin Eling and Michael Luhnen
The robustness of output measures in property-liability insurance efficiency studies pp. 1510-1524 Downloads
J. Tyler Leverty and Martin Grace
Economies of scope in financial services: A DEA efficiency analysis of the US insurance industry pp. 1525-1539 Downloads
John Cummins, Mary Weiss, Xiaoying Xie and Hongmin Zi
Single Market effects on productivity in the German insurance industry pp. 1540-1548 Downloads
Bernhard Mahlberg and Thomas Url
Are publicly held firms less efficient? Evidence from the US property-liability insurance industry pp. 1549-1563 Downloads
Xiaoying Xie
Sales order backlogs and momentum profits pp. 1564-1575 Downloads
Li Gu and Dayong Huang
Bought deals: The value of underwriter certification in seasoned equity offerings pp. 1576-1589 Downloads
J. Ari Pandes
Endogenously structured boards of directors in banks pp. 1590-1606 Downloads
Shams Pathan and Michael Skully
Derivative pricing using multivariate affine generalized hyperbolic distributions pp. 1607-1617 Downloads
José Fajardo and Aquiles de Farias
Are non-risk based capital requirements for insurance companies binding? pp. 1618-1627 Downloads
Leo de Haan and Jan Kakes
News announcements and price discovery in foreign exchange spot and futures markets pp. 1628-1636 Downloads
Yu-Lun Chen and Yin-Feng Gau
Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns pp. 1637-1649 Downloads
Hui Guo and Robert Savickas
Strategic online banking adoption pp. 1650-1663 Downloads
Ruben Hernandez-Murillo, Gerard Llobet and Roberto Fuentes
The non-7% solution pp. 1664-1674 Downloads
Jacqueline L. Garner and Beverly B. Marshall
No-arbitrage conditions for storable commodities and the modeling of futures term structures pp. 1675-1687 Downloads
Liu, Peng (Peter) and Ke Tang
Dynamics and causality in industry-specific volatility pp. 1688-1699 Downloads
Zijun Wang
Structural models of corporate bond pricing with personal taxes pp. 1700-1718 Downloads
Howard Qi, Sheen Liu and Chunchi Wu
The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data pp. 1719-1728 Downloads
Christian Calmès and Raymond Théoret

Volume 34, issue 6, 2010

De facto exchange rate regimes and currency crises: Are pegged regimes with capital account liberalization really more prone to speculative attacks? pp. 1109-1128 Downloads
Taro Esaka
Real estate prices and bank stability pp. 1129-1138 Downloads
Michael Koetter and Tigran Poghosyan
Domestic liquidity and cross-listing in the United States pp. 1139-1151 Downloads
Henk Berkman and Nhut H. Nguyen
World market risk, country-specific risk and expected returns in international stock markets pp. 1152-1165 Downloads
Turan G. Bali and Nusret Cakici
CAPM and APT-like models with risk measures pp. 1166-1174 Downloads
Alejandro Balbás, Beatriz Balbás and Raquel Balbás
Predictable dynamics in implied volatility surfaces from OTC currency options pp. 1175-1188 Downloads
George Chalamandaris and Andrianos Tsekrekos
The determinants of shareholder value in European banking pp. 1189-1200 Downloads
Franco Fiordelisi and Philip Molyneux
Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options pp. 1201-1214 Downloads
Dirk Broeders and An Chen
Equity financing and innovation: Is Europe different from the United States? pp. 1215-1224 Downloads
Gustav Martinsson
Aggregate insider trading: Contrarian beliefs or superior information? pp. 1225-1236 Downloads
Xiaoquan Jiang and Mir A. Zaman
A stochastic dominance analysis of yen carry trades pp. 1237-1246 Downloads
Wai Mun Fong
The role of household and business credit in banking crises pp. 1247-1256 Downloads
Berrak Büyükkarabacak and Neven T. Valev
Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis pp. 1257-1273 Downloads
Bong Soo Lee
The anatomy of bank diversification pp. 1274-1287 Downloads
Ralf Elsas, Andreas Hackethal and Markus Holzhäuser
Trading strategies with partial access to the derivatives market pp. 1288-1298 Downloads
Matthias Muck
Interest rate deregulation: Monetary policy efficacy and rate rigidity pp. 1299-1307 Downloads
Beng Chong
Sentiment and stock returns: The SAD anomaly revisited pp. 1308-1326 Downloads
Patrick Kelly and Felix Meschke
Variations in sovereign credit quality assessments across rating agencies pp. 1327-1343 Downloads
Paula Hill, Robert Brooks and Robert Faff
What's in a name? What leads a firm to change its name and what the new name foreshadows pp. 1344-1359 Downloads
YiLin Wu
The pricing of temperature futures at the Chicago Mercantile Exchange pp. 1360-1370 Downloads
Gregor Dorfleitner and Maximilian Wimmer
Modeling of CPDOs - Identifying optimal and implied leverage pp. 1371-1382 Downloads
Jochen Dorn
Macroeconomic risks and characteristic-based factor models pp. 1383-1399 Downloads
Kevin Aretz, Söhnke Bartram and Peter F. Pope
Stated and revealed investment decisions concerning retail structured products pp. 1400-1411 Downloads
Barbara Döbeli and Paolo Vanini

Volume 34, issue 5, 2010

Bank loan recovery rates: Measuring and nonparametric density estimation pp. 903-911 Downloads
Raffaella Calabrese and Michele Zenga
The effect of holdings data frequency on conclusions about mutual fund behavior pp. 912-922 Downloads
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake, Yoel Krasny and Sadi O. Ozelge
Excess liquidity, bank pricing rules, and monetary policy pp. 923-933 Downloads
Pierre-Richard Agénor and Karim El Aynaoui
Settlement delays in the money market pp. 934-945 Downloads
Leonardo Bartolini, Spence Hilton and James McAndrews
Economic value in tranching of syndicated loans pp. 946-955 Downloads
Pankaj Kumar Maskara
Employee well-being, firm leverage, and bankruptcy risk pp. 956-964 Downloads
Patrick Verwijmeren and Jeroen Derwall
Risk and the January effect pp. 965-974 Downloads
Qian Sun and Wilson H.S. Tong
Volatility risk and the value premium: Evidence from the French stock market pp. 975-983 Downloads
Yakup Arisoy
Do the equity holding and soundness of bank underwriters affect issue costs of SEOs? pp. 984-995 Downloads
Katsushi Suzuki
China's official rates and bond yields pp. 996-1007 Downloads
Longzhen Fan and Anders Johansson
Unobservable shocks as carriers of contagion pp. 1008-1021 Downloads
Mardi Dungey, George Milunovich and Susan Thorp
World War II events and the Dow Jones industrial index pp. 1022-1031 Downloads
Taufiq Choudhry
Investment horizon and the attractiveness of investment strategies: A behavioral approach pp. 1032-1046 Downloads
Maik Dierkes, Carsten Erner and Stefan Zeisberger
Modeling the dynamics of Chinese spot interest rates pp. 1047-1061 Downloads
Yongmiao Hong, Hai Lin and Shouyang Wang
Random walk theory and the weak-form efficiency of the US art auction prices pp. 1062-1076 Downloads
Peter Erdos and Mihály Ormos
Public entrants, public equity finance and creative destruction pp. 1077-1088 Downloads
James Brown and Bruce Petersen
Tax clientele effects of dividends under intertemporal consumption choices pp. 1089-1097 Downloads
Naoya Mori
Covered interest arbitrage profits: The role of liquidity and credit risk pp. 1098-1107 Downloads
Wai-Ming Fong, Giorgio Valente and Joseph K.W. Fung

Volume 34, issue 4, 2010

Interaction of market and credit risk pp. 697-702 Downloads
Philipp Hartmann
Does adding up of economic capital for market- and credit risk amount to conservative risk assessment? pp. 703-712 Downloads
Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer
The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application pp. 713-729 Downloads
Mathias Drehmann, Steffen Sorensen and Marco Stringa
An economic capital model integrating credit and interest rate risk in the banking book pp. 730-742 Downloads
Piergiorgio Alessandri and Mathias Drehmann
Market conditions, default risk and credit spreads pp. 743-753 Downloads
Dragon Yongjun Tang and Hong Yan
Recovery rates, default probabilities, and the credit cycle pp. 754-764 Downloads
Max Bruche and Carlos González-Aguado
On the implications of market power in banking: Evidence from developing countries pp. 765-775 Downloads
Rima Turk Ariss
The impact of sell-side analyst research coverage on an affiliated broker's market share of trading volume pp. 776-787 Downloads
Greg Niehaus and Donghang Zhang
Pricing multiasset equity options: How relevant is the dependence function? pp. 788-801 Downloads
Mascia Bedendo, Francesca Campolongo, Elisabeth Joossens and Francesco Saita
Mutual fund portfolio trading and investor flow pp. 802-812 Downloads
David A. Dubofsky
Antitakeover provisions in corporate spin-offs pp. 813-824 Downloads
Thomas Chemmanur, Bradford Jordan, Mark H. Liu and Qun Wu
Discount window borrowing after 2003: The explicit reduction in implicit costs pp. 825-833 Downloads
Erhan Artuc and Selva Demiralp
Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations pp. 834-839 Downloads
Helena Chuliá, Martin Martens and Dick van Dijk
Inflation risk and international asset returns pp. 840-855 Downloads
Gerard A. Moerman and Mathijs van Dijk
Mean-variance convergence around the world pp. 856-870 Downloads
Cheol S. Eun and Jinsoo Lee
The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks pp. 871-881 Downloads
Stephen J. Taylor, Pradeep K. Yadav and Yuanyuan Zhang
Foreign exchange, fractional cointegration and the implied-realized volatility relation pp. 882-891 Downloads
Neil Kellard, Christian Dunis and Nicholas Sarantis
How bank capital buffers vary across countries: The influence of cost of deposits, market power and bank regulation pp. 892-902 Downloads
Ana Rosa Fonseca and Francisco González

Volume 34, issue 3, 2010

Concentrated control, institutions, and banking sector: An international study pp. 485-497 Downloads
In-Mu Haw, Simon S.M. Ho, Bingbing Hu and Donghui Wu
The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand pp. 498-508 Downloads
Bart Frijns, Aaron Gilbert and Alireza Tourani-Rad
The degree of financial liberalization and aggregated stock-return volatility in emerging markets pp. 509-521 Downloads
Mehmet Umutlu, Levent Akdeniz and Altay-Salih, Aslihan
Regulatory competition and forbearance: Evidence from the life insurance industry pp. 522-532 Downloads
Michael K. McShane, Larry A. Cox and Richard J. Butler
International house prices and macroeconomic fluctuations pp. 533-545 Downloads
Andrea Beltratti and Claudio Morana
Restricting consumer credit access: Household survey evidence on effects around the Oregon rate cap pp. 546-556 Downloads
Jonathan Zinman
Endogenous housing market cycles pp. 557-567 Downloads
Dag Einar Sommervoll, Trond-Arne Borgersen and Tom Wennemo
Venture capital funds: Flow-performance relationship and performance persistence pp. 568-577 Downloads
Ludovic Phalippou
Conditionally fitted Sharpe performance with an application to hedge fund rating pp. 578-593 Downloads
Serge Darolles and Christian Gourieroux
Speed of convergence to market efficiency for NYSE-listed foreign stocks pp. 594-605 Downloads
Nuttawat Visaltanachoti and Ting Yang
Distribution of institutional ownership and corporate firm performance pp. 606-620 Downloads
Elyas Elyasiani and Jingyi Jia
Capital structure, equity ownership and firm performance pp. 621-632 Downloads
Dimitris Margaritis and Maria Psillaki
Generalized parameter functions for option pricing pp. 633-646 Downloads
Panayiotis C. Andreou, Chris Charalambous and Spiros H. Martzoukos
Lost in translation: Delayed ex-dividend price adjustments of Hong Kong ADRs pp. 647-655 Downloads
Palani-Rajan Kadapakkam, Alex Meisami and Yilun Shi
Entrenchment, governance, and the stock price reaction to sudden executive deaths pp. 656-666 Downloads
Jesus M. Salas
An open-economy macro-finance model of international interdependence: The OECD, US and the UK pp. 667-680 Downloads
Peter Spencer and Zhuoshi Liu
Minority shareholders' wealth effects and stock market development: Evidence from increase-in-ownership M&As pp. 681-694 Downloads
Ettore Croci and Dimitris Petmezas
Corrigendum to "Pricing catastrophe options with stochastic arrival intensity in claim time" [J. Bank. Fin. 34 (2010) 24-32] pp. 695-695 Downloads
Carolyn W. Chang, Jack S.K. Chang and WeiLi Lu

Volume 34, issue 2, 2010

Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves pp. 281-294 Downloads
Michael Joyce, Peter Lildholdt and Steffen Sorensen
Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing? pp. 295-303 Downloads
Markus Glawischnig and Sommersguter-Reichmann, Margit
Informed arbitrage with speculative noise trading pp. 304-313 Downloads
F. Albert Wang
Banks' intraday liquidity management during operational outages: Theory and evidence from the UK payment system pp. 314-323 Downloads
Ouarda Merrouche and Jochen Schanz
Long-term debt and overinvestment agency problem pp. 324-335 Downloads
Ranjan D'Mello and Mercedes Miranda
Risk factor contributions in portfolio credit risk models pp. 336-349 Downloads
Dan Rosen and David Saunders
The conditional nature of the value of corporate governance pp. 350-361 Downloads
Jianxin Daniel Chi and D. Scott Lee
The level and quality of Value-at-Risk disclosure by commercial banks pp. 362-377 Downloads
Christophe Pérignon and Daniel Smith
Mutual fund trades and the value of contradictory private information pp. 378-387 Downloads
Grant Cullen, Dominic Gasbarro and Gary S. Monroe
What determines the composition of banks' loan portfolios? Evidence from transition countries pp. 388-398 Downloads
Ralph De Haas, Daniel Ferreira and Anita Taci
The impact of bank ownership concentration on impaired loans and capital adequacy pp. 399-408 Downloads
Choudhry Tanveer Shehzad, Jakob de Haan and Bert Scholtens
Trend-following trading strategies in commodity futures: A re-examination pp. 409-426 Downloads
Andrew C. Szakmary, Qian Shen and Subhash C. Sharma
Corporate life cycle and M&A activity pp. 427-440 Downloads
Sian Owen and Alfred Yawson
Illegal buyouts pp. 441-456 Downloads
Douglas Cumming and Simona Zambelli
Cross-sectional tests of the CAPM and Fama-French three-factor model pp. 457-470 Downloads
Robert R. Grauer and Johannus A. Janmaat
Short sales and speed of price adjustment: Evidence from the Hong Kong stock market pp. 471-483 Downloads
Crystal Xiaobei Chen and S. Ghon Rhee

Volume 34, issue 1, 2010

The predictive power of the implied volatility of options traded OTC and on exchanges pp. 1-11 Downloads
Wayne W. Yu, Evans C.K. Lui and Jacqueline W. Wang
Equity issues and temporal variation in information asymmetry pp. 12-23 Downloads
Don M. Autore and Tunde Kovacs
Pricing catastrophe options with stochastic claim arrival intensity in claim time pp. 24-32 Downloads
Carolyn W. Chang, Jack S.K. Chang and WeLi Lu
The index fund rationality paradox pp. 33-43 Downloads
Michael Boldin and Gjergji Cici
Managerial rights, use of investment banks, and the wealth effects for acquiring firms' shareholders pp. 44-54 Downloads
Weishen Wang and Ann Marie Whyte
Diversification and Value-at-Risk pp. 55-66 Downloads
Christophe Pérignon and Daniel Smith
Irish credit unions: Investigating performance determinants and the opportunity cost of regulatory compliance pp. 67-76 Downloads
J. Colin Glass, Donal G. McKillop and Syamarlah Rasaratnam
Tight bounds on American option prices pp. 77-89 Downloads
San-Lin Chung, Mao-Wei Hung and -Yan Wang
Equity fund ownership and the cross-regional diversification of household risk pp. 90-102 Downloads
Sascha Becker and Mathias Hoffmann
Conglomerate investment under various capital market conditions pp. 103-115 Downloads
An Yan, Zaihui Yang and Jie Jiao
The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume pp. 116-126 Downloads
Konstantina Kappou, Chris Brooks and Charles Ward
Efficiency, technical change, and returns to scale in large US banks: Panel data evidence from an output distance function satisfying theoretical regularity pp. 127-138 Downloads
Guohua Feng and Apostolos Serletis
Investor sentiment and the stock market's reaction to monetary policy pp. 139-149 Downloads
Alexander Kurov
Financial development and asset valuation: The special case of real estate pp. 150-162 Downloads
M. Shahid Ebrahim and Sikandar Hussain
Is international diversification really beneficial? pp. 163-173 Downloads
Leyuan You and Robert T. Daigler
Information content of options trading volume for future volatility: Evidence from the Taiwan options market pp. 174-183 Downloads
Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang
The dark side of global integration: Increasing tail dependence pp. 184-192 Downloads
Michel Beine, Antonio Cosma and Robert Vermeulen
Reputation stretching in mutual fund starts pp. 193-207 Downloads
Hsuan-Chi Chen and Christine W. Lai
Does cross-listing facilitate changes in corporate ownership and control? pp. 208-223 Downloads
Meghana Ayyagari and Craig Doidge
Operational risk and reputation in the financial industry pp. 224-235 Downloads
Roland Gillet, Georges Hübner and Séverine Plunus
International diversification strategies: Revisited from the risk perspective pp. 236-245 Downloads
Ye Bai and Christopher Green
The impact of regulatory reforms on cost structure, ownership and competition in Indian banking pp. 246-254 Downloads
Tianshu Zhao, Barbara Casu and Alessandra Ferrari
The strategic specialist and imperfect competition in a limit order market pp. 255-266 Downloads
Ariadna Dumitrescu
Model risk and capital reserves pp. 267-279 Downloads
Jeroen Kerkhof, Bertrand Melenberg and Johannes Schumacher
Page updated 2019-02-17