EconPapers    
Economics at your fingertips  
 

Journal of Banking & Finance

1977 - 2018

Current editor(s): Ike Mathur

From Elsevier
Series data maintained by Dana Niculescu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 29, issue 12, 2005

Portfolio preferences of foreign institutional investors pp. 2919-2946 Downloads
Reena Aggarwal, Leora Klapper and Peter Wysocki
Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model pp. 2947-2969 Downloads
An-Sing Chen and Mark T. Leung
Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments pp. 2971-2993 Downloads
Pavel A. Stoimenov and Sascha Wilkens
An examination of alternative CAPM-based models in UK stock returns pp. 2995-3014 Downloads
Jonathan Fletcher and Joseph Kihanda
Industry aspects of takeovers and divestitures: Evidence from the UK pp. 3015-3040 Downloads
Ronan Powell and Alfred Yawson
The dynamics of dealer markets and trading costs pp. 3041-3059 Downloads
Kee H. Chung and Youngsoo Kim
Capital market equilibrium with externalities, production and heterogeneous agents pp. 3061-3073 Downloads
Andrea Beltratti
Sources of liquidity for NYSE-listed non-US stocks pp. 3075-3098 Downloads
Jeffrey M. Bacidore, Robert Battalio, Neal Galpin and Robert Jennings
How should Central Banks determine and control their bank note inventory? pp. 3099-3119 Downloads
Nadia Massoud
Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities pp. 3121-3140 Downloads
Chiara Pederzoli and Costanza Torricelli
On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads pp. 3141-3158 Downloads
Tao-Hsien Dolly King and Kenneth Khang
Empirical credit cycles and capital buffer formation pp. 3159-3179 Downloads
Siem Jan Koopman, Andre Lucas and Pieter Klaassen
Comment on "Optimal portfolio selection in a value-at-risk framework" pp. 3181-3185 Downloads
Hung-Hsi Huang

Volume 29, issue 11, 2005

Thirty years of continuous-time finance pp. 2699-2699 Downloads
Giovanni Barone-Adesi
From measure changes to time changes in asset pricing pp. 2701-2722 Downloads
Hélyette Geman
Unspanned stochastic volatility and fixed income derivatives pricing pp. 2723-2749 Downloads
Jaime Casassus, Pierre Collin-Dufresne and Bob Goldstein
Credit risk modeling with affine processes pp. 2751-2802 Downloads
Darrell Duffie
Large traders, hidden arbitrage, and complete markets pp. 2803-2820 Downloads
Robert Jarrow and Philip Protter
Intertemporal asset allocation: A comparison of methods pp. 2821-2848 Downloads
Jérôme Detemple, René Garcia and Marcel Rindisbacher
Asset pricing with heterogeneous beliefs pp. 2849-2881 Downloads
Suleyman Basak
Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models pp. 2883-2907 Downloads
Andrea Buraschi and Francesco Corielli
The saga of the American put pp. 2909-2918 Downloads
Giovanni Barone-Adesi

Volume 29, issue 10, 2005

An appreciation of Lawrence G. Goldberg pp. 2407-2408 Downloads
A. Saunders
Employee stock options as warrants pp. 2409-2433 Downloads
Allan C. Eberhart
Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk pp. 2435-2454 Downloads
Jin-Chuan Duan and Min-Teh Yu
Measuring the value of strategic alliances in the wake of a financial implosion: Evidence from Japan's financial services sector pp. 2455-2473 Downloads
Ingyu Chiou and Lawrence White
Dynamic stock market integration driven by the European Monetary Union: An empirical analysis pp. 2475-2502 Downloads
Suk-Joong Kim, Fariborz Moshirian and Eliza Wu
The implied jump risk of LIBOR rates pp. 2503-2522 Downloads
Lim Kian Guan, Christopher Ting and Mitch Warachka
Rational bubbles or persistent deviations from market fundamentals? pp. 2523-2539 Downloads
Zisimos Koustas and Apostolos Serletis
Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate pp. 2541-2556 Downloads
Daniel Thornton
Banks, financial markets, and social welfare pp. 2557-2575 Downloads
Francois Marini
Measuring systemic risk: A risk management approach pp. 2577-2603 Downloads
Alfred Lehar
Is learning a dimension of risk? pp. 2605-2632 Downloads
Massimo Massa and Andrei Simonov
A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach pp. 2633-2654 Downloads
Juncal Cuñado, Luis Gil-Alana and F. Perez de Gracia
Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance pp. 2655-2673 Downloads
Bradley Ewing and Farooq Malik
Investor protection, prospect theory, and earnings management: An international comparison of the banking industry pp. 2675-2697 Downloads
Chung-Hua Shen and Hsiang-Lin Chih

Volume 29, issue 8-9, 2005

Introduction to the special issue on bank privatization pp. 1903-1904 Downloads
George Clarke, Robert Cull and William Megginson
Bank privatization in developing countries: A summary of lessons and findings pp. 1905-1930 Downloads
George Clarke, Robert Cull and Mary M. Shirley
The economics of bank privatization pp. 1931-1980 Downloads
William L. Megginson
Bank privatization in developing and developed countries: Cross-sectional evidence on the impact of economic and political factors pp. 1981-2013 Downloads
Ekkehart Boehmer, Robert C. Nash and Jeffry M. Netter
Privatization and bank performance in developing countries pp. 2015-2041 Downloads
Narjess Boubakri, Jean-Claude Cosset, Klaus Fischer and Omrane Guedhami
Returns to acquirers of privatizing financial services firms: An international examination pp. 2043-2065 Downloads
Kimberly Gleason, James E. McNulty and Anita K. Pennathur
Do privatized banks in middle- and low-income countries perform better than rival banks? An intra-industry analysis of bank privatization pp. 2067-2093 Downloads
Isaac Otchere
Corporate valuation and the resolution of bank insolvency in East Asia pp. 2095-2118 Downloads
Simeon Djankov, Jan Jindra and Leora Klapper
Financial liberalisation, crisis, and restructuring: A comparative study of bank performance and bank governance in South East Asia pp. 2119-2154 Downloads
Jonathan Williams and Nghia Nguyen
Privatization matters: Bank efficiency in transition countries pp. 2155-2178 Downloads
John P. Bonin, Iftekhar Hasan and Paul Wachtel
Corporate governance and bank performance: A joint analysis of the static, selection, and dynamic effects of domestic, foreign, and state ownership pp. 2179-2221 Downloads
Allen Berger, George Clarke, Robert Cull, Leora Klapper and Gregory Udell
State bank transformation in Brazil - choices and consequences pp. 2223-2257 Downloads
Thorsten Beck, Juan Miguel Crivelli and William Summerhill
Bank privatization and productivity: Evidence for Brazil pp. 2259-2289 Downloads
Marcio Nakane and Daniela B. Weintraub
China's financial services industry: The intra-industry effects of privatization of the Bank of China Hong Kong pp. 2291-2324 Downloads
Zhian Chen, Donghui Li and Fariborz Moshirian
Mexico's experiments with bank privatization and liberalization, 1991-2003 pp. 2325-2353 Downloads
Stephen Haber
Bank privatization and performance: Empirical evidence from Nigeria pp. 2355-2379 Downloads
Thorsten Beck, Robert Cull and Afeikhena Jerome
Financial sector liberalization, bank privatization, and efficiency: Evidence from Pakistan pp. 2381-2406 Downloads
Emilia Bonaccorsi di Patti and Daniel C. Hardy

Volume 29, issue 7, 2005

Optimal clearing margin, capital and price limits for futures clearinghouses pp. 1611-1630 Downloads
Latha Shanker and Narayanaswamy Balakrishnan
Some evidence of random walk behavior of Euro exchange rates using ranks and signs pp. 1631-1643 Downloads
Jorge Belaire-Franch and Kwaku K. Opong
Information-based trading, price impact of trades, and trade autocorrelation pp. 1645-1669 Downloads
Kee H. Chung, Mingsheng Li and Thomas McInish
Firm characteristics and the impact of emerging market liberalizations pp. 1671-1695 Downloads
Dilip K. Patro and John K. Wald
Dollarization of bank deposits: Causes and consequences pp. 1697-1727 Downloads
Gianni De Nicolo, Patrick Honohan and Alain Ize
The relationship between short interest and stock returns in the Canadian market pp. 1729-1749 Downloads
Lucy Ackert and George Athanassakos
International evidence on ethical mutual fund performance and investment style pp. 1751-1767 Downloads
Rob Bauer, Kees Koedijk and Roger Otten
The effects of war risk on US financial markets pp. 1769-1789 Downloads
Roberto Rigobon and Brian Sack
Does judicial efficiency lower the cost of credit? pp. 1791-1812 Downloads
Luc Laeven and Giovanni Majnoni
Multiple large shareholders and firm value pp. 1813-1834 Downloads
Benjamin Maury and Anete Pajuste
Ownership and operating performance of Chinese IPOs pp. 1835-1856 Downloads
Changyun Wang
Commitment or entrenchment?: Controlling shareholders and board composition pp. 1857-1885 Downloads
Yin-Hua Yeh and Tracie Woidtke
Share price performance following actual share repurchases pp. 1887-1901 Downloads
Hua Zhang

Volume 29, issue 6, 2005

Comparing possible proxies of corporate bond liquidity pp. 1331-1358 Downloads
Patrick Houweling, Albert Mentink and Ton Vorst
Complete markets, informed trading and equity option introductions pp. 1359-1384 Downloads
Robert Faff and David Hillier
What causes mean reversion in corporate bond index spreads? The impact of survival pp. 1385-1403 Downloads
Karan Bhanot
Real options, agency conflicts, and optimal capital structure pp. 1405-1428 Downloads
David C. Mauer and Sudipto Sarkar
The information frown in option prices pp. 1429-1457 Downloads
Louis Ederington and Wei Guan
Corporate governance and manager turnover: An unusual social experiment pp. 1459-1481 Downloads
Varouj Aivazian, Ying Ge and Jiaping Qiu
Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange pp. 1483-1508 Downloads
Hee-Joon Ahn, Jun Cai, Yasushi Hamao and Richard Y.K. Ho
Cash-flow shortage as an endogenous bankruptcy reason pp. 1509-1534 Downloads
Marliese Uhrig-Homburg
Evaluating implied RNDs by some new confidence interval estimation techniques pp. 1535-1557 Downloads
Magnus Andersson and Magnus Lomakka
Stock market returns: A note on temperature anomaly pp. 1559-1573 Downloads
Melanie Cao and Jason Wei
Relative default rates on corporate loans and bonds pp. 1575-1584 Downloads
Kenneth M. Emery and Richard Cantor
The impact of junior debt issuance on senior unsecured debt's risk premiums pp. 1585-1609 Downloads
Scott Linn and Duane R. Stock

Volume 29, issue 5, 2005

Multivariate term structure models with level and heteroskedasticity effects pp. 1037-1057 Downloads
Charlotte Christiansen
The lender of last resort pp. 1059-1082 Downloads
Charles A.E. Goodhart and Haizhou Huang
Competition in markets with dominant firms: A note on the evidence from the Italian banking industry pp. 1083-1093 Downloads
Paolo Coccorese
The use of stand alone warrants as unique capital raising instruments pp. 1095-1112 Downloads
Jo-Ann Suchard
Deregulation, technological change, and the business-lending performance of large and small banks pp. 1113-1130 Downloads
David Carter and James E. McNulty
Declining required reserves, funds rate volatility, and open market operations pp. 1131-1152 Downloads
Selva Demiralp and Dennis Farley
Bank regulation and risk-taking incentives: An international comparison of bank risk pp. 1153-1184 Downloads
Francisco Gonzalez
Executive stock options and incentive effects due to systematic risk pp. 1185-1211 Downloads
Jin-Chuan Duan and Jason Wei
The relationship between default prediction and lending profits: Integrating ROC analysis and loan pricing pp. 1213-1236 Downloads
Roger M. Stein
Price and volume effects of changes in MSCI indices - nature and causes pp. 1237-1264 Downloads
Rajesh Chakrabarti, Wei Huang, Narayanan Jayaraman and Jinsoo Lee
General equilibrium pricing of CPI derivatives pp. 1265-1294 Downloads
Abraham Lioui and Patrice Poncet
The entry and the activity level of foreign banks in Italy: An analysis of the determinants pp. 1295-1310 Downloads
Silvia Magri, Alessandra Mori and Paola Rossi
Intraday price reversals in the US stock index futures market: A 15-year study pp. 1311-1327 Downloads
James L. Grant, Avner Wolf and Susana Yu

Volume 29, issue 4, 2005

Introduction pp. 801-802 Downloads
Giovanni Barone Adesi
The simple economics of bank fragility pp. 803-825 Downloads
Casper de Vries
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development pp. 827-851 Downloads
T. Di Matteo, T. Aste and Michel Dacorogna
On the significance of expected shortfall as a coherent risk measure pp. 853-864 Downloads
Koji Inui and Masaaki Kijima
Migration correlation: Definition and efficient estimation pp. 865-894 Downloads
Patrick Gagliardini and Christian Gourieroux
Reward-risk portfolio selection and stochastic dominance pp. 895-926 Downloads
Enrico De Giorgi
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements pp. 927-958 Downloads
Jean-David Fermanian and Olivier Scaillet
Functional gradient descent for financial time series with an application to the measurement of market risk pp. 959-977 Downloads
Francesco Audrino and Giovanni Barone-Adesi
Coherent risk measures under filtered historical simulation pp. 979-996 Downloads
Kostas Giannopoulos and Radu Tunaru
Value-at-risk versus expected shortfall: A practical perspective pp. 997-1015 Downloads
Yasuhiro Yamai and Toshinao Yoshiba
The choice of the distribution of asset returns: How extreme value theory can help? pp. 1017-1035 Downloads
Francois Longin

Volume 29, issue 3, 2005

Global diversification and bidder gains: A comparison between cross-border and domestic acquisitions pp. 533-564 Downloads
Sara B. Moeller and Frederik Schlingemann
A note on execution costs for stock index futures: Information versus liquidity effects pp. 565-577 Downloads
Henk Berkman, Tim Brailsford and Alex Frino
Consumption habit and international stock returns pp. 579-601 Downloads
Yuming Li and Maosen Zhong
Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities pp. 603-621 Downloads
Steven X. Wei and Chu Zhang
Portfolio performance measurement using APM-free kernel models pp. 623-659 Downloads
Mohamed A. Ayadi and Lawrence Kryzanowski
The value of asset allocation advice: Evidence from The Economist's quarterly portfolio poll pp. 661-680 Downloads
Jan Annaert, Marc J. K. De Ceuster and Wim Van Hyfte
Endogenous product differentiation in credit markets: What do borrowers pay for? pp. 681-699 Downloads
Moshe Kim, Eirik Gaard Kristiansen and Bent Vale
Pricing and hedging interest rate options: Evidence from cap-floor markets pp. 701-733 Downloads
Anurag Gupta and Marti G. Subrahmanyam
Privatization under incomplete information and bankruptcy risk pp. 735-757 Downloads
Sanjay Banerji and Vihang R. Errunza
Incentives for risk-taking in banking - A unified approach pp. 759-777 Downloads
Thomas Jeitschko and Shin Dong Jeung
The effect of UK building society conversion on pricing behaviour pp. 779-797 Downloads
Shelagh Heffernan

Volume 29, issue 2, 2005

Banking and commerce: A liquidity approach pp. 271-294 Downloads
Joseph Haubrich and Joao Santos
Venture capitalist value-added activities, fundraising and drawdowns pp. 295-331 Downloads
Douglas Cumming, Grant Fleming and Jo-Ann Suchard
Risk and hedging: Do credit derivatives increase bank risk? pp. 333-345 Downloads
Norvald Instefjord
Are TIPS the "real" deal?: A conditional assessment of their role in a nominal portfolio pp. 347-368 Downloads
Delroy M. Hunter and David P. Simon
Information content of bank loan announcements to Asian corporations during periods of economic uncertainty pp. 369-389 Downloads
Brian Boscaljon and Chia-Cheng Ho
Asymmetric return dynamics and technical trading strategies pp. 391-418 Downloads
Kiseok Nam, Kenneth M. Washer and Quentin C. Chu
Has competition in the Japanese banking sector improved? pp. 419-439 Downloads
Hirofumi Uchida and Yoshiro Tsutsui
The near-collapse of LTCM, US financial stock returns, and the fed pp. 441-460 Downloads
M. Humayun Kabir and M. Kabir Hassan
Bank lending and property prices in Hong Kong pp. 461-481 Downloads
Stefan Gerlach and Wensheng Peng
Sweep programs and optimal monetary aggregation pp. 483-508 Downloads
Barry Jones, Donald Dutkowsky and Thomas Elger
The role of non-financial factors in internal credit ratings pp. 509-531 Downloads
Jens Grunert, Lars Norden and Martin Weber

Volume 29, issue 1, 2005

Introduction to the Symposium Issue pp. 1-4 Downloads
Paul Wachtel
The direct and indirect impact of bank privatization and foreign entry on access to credit in Argentina's provinces pp. 5-29 Downloads
George Clarke, Juan Miguel Crivelli and Robert Cull
Bank performance, efficiency and ownership in transition countries pp. 31-53 Downloads
John P. Bonin, Iftekhar Hasan and Paul Wachtel
Cost efficiency of banks in transition: Evidence from 289 banks in 15 post-communist countries pp. 55-81 Downloads
Steven Fries and Anita Taci
Early birds, late risers, and sleeping beauties: Bank credit growth to the private sector in Central and Eastern Europe and in the Balkans pp. 83-104 Downloads
Carlo Cottarelli, Giovanni Dell'ariccia and Ivanna Vladkova-Hollar
Does speed kill? Lending booms and their consequences in Croatia pp. 105-121 Downloads
Evan Kraft and Ljubinko Jankov
Why should the portfolios of mandatory, private pension funds be captive? (The foreign investment question) pp. 123-141 Downloads
George de Menil
Banking crises and the design of safety nets pp. 143-159 Downloads
Glenn Hoggarth, Patricia Jackson and Erlend Nier
Who pays for bank insolvency in transition and emerging economies? pp. 161-181 Downloads
David Mayes
Monetary policy transmission, interest rate rules and inflation targeting in three transition countries pp. 183-201 Downloads
Roberto Golinelli and Riccardo Rovelli
Monetary convergence of the EU accession countries to the eurozone: A theoretical framework and policy implications pp. 203-225 Downloads
Lucjan Orlowski
The determination of capital controls: Which role do exchange rate regimes play? pp. 227-248 Downloads
Juergen von Hagen and Jizhong Zhou
Real and monetary convergence between the European Union's core and recent member countries: A rolling cointegration approach pp. 249-270 Downloads
Josef Brada, Ali Kutan and Su Zhou
Page updated 2017-11-22