Economics at your fingertips  

Journal of Banking & Finance

1977 - 2019

Current editor(s): Ike Mathur

From Elsevier
Bibliographic data for series 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 30, issue 12, 2006

A pioneer in Finance: Marshal Samat, 1929-2006 pp. iii-iv Downloads
Giorgio Szego
Introduction: Crises, financial stability and macroeconomic policy. Papers from the 11th Dubrovnik Economic Conference pp. 3257-3258 Downloads
Paul Wachtel and Boris Vujcic
What do deficits tell us about debt? Empirical evidence on creative accounting with fiscal rules in the EU pp. 3259-3279 Downloads
Juergen von Hagen and Guntram Wolff
Fiscal adjustment in EU countries: A balance sheet approach pp. 3281-3298 Downloads
Gian Maria Milesi-Ferretti and Kenji Moriyama
The role of foreign currency debt in financial crises: 1880-1913 versus 1972-1997 pp. 3299-3329 Downloads
Michael Bordo and Christopher Meissner
Decomposing the effects of financial liberalization: Crises vs. growth pp. 3331-3348 Downloads
Romain Ranciere, Aaron Tornell and Frank Westermann
Pricing growth-indexed bonds pp. 3349-3366 Downloads
Marcos Chamon and Paolo Mauro
M&As performance in the European financial industry pp. 3367-3392 Downloads
Jose Campa and Ignacio Hernando
Real exchange rates in small open OECD and transition economies: Comparing apples with oranges? pp. 3393-3406 Downloads
Balázs Égert, Kirsten Lommatzsch and Lahreche-Revil, Amina
Monetary and financial stability: Here to stay? pp. 3407-3414 Downloads
Claudio Borio
A framework for assessing financial stability? pp. 3415-3422 Downloads
C.A.E. Goodhart
Financial stability: A worthy goal, but how feasible? pp. 3423-3427 Downloads
Stephen S. Poloz
Economic growth and the stability and efficiency of the financial sector pp. 3429-3432 Downloads
Mario I. Blejer
Market discipline and deposit insurance reform in Japan pp. 3433-3452 Downloads
Masami Imai
Earnings management at rights issues thresholds--Evidence from China pp. 3453-3468 Downloads
Qiao Yu, Bin Du and Qian Sun
Extreme spectral risk measures: An application to futures clearinghouse margin requirements pp. 3469-3485 Downloads
John Cotter and Kevin Dowd
Market structure and competitive conditions in the Arab GCC banking system pp. 3487-3501 Downloads
Al-Muharrami, Saeed, Kent Matthews and Yusuf Khabari
The impact of mean reversion of bank profitability on post-merger performance in the banking industry pp. 3503-3517 Downloads
Morris Knapp, Alan Gart and Mukesh Chaudhry
A note on the Wang and Wang measure of the quality of the compass rose pp. 3519-3524 Downloads
Heather Mitchell and Michael D. McKenzie

Volume 30, issue 11, 2006

Small and medium-size enterprises: Access to finance as a growth constraint pp. 2931-2943 Downloads
Thorsten Beck and Asli Demirguc-Kunt
A more complete conceptual framework for SME finance pp. 2945-2966 Downloads
Allen Berger and Gregory Udell
Business environment and the incorporation decision pp. 2967-2993 Downloads
Asli Demirguc-Kunt, Inessa Love and Vojislav Maksimovic
The influence of financial and legal institutions on firm size pp. 2995-3015 Downloads
Thorsten Beck, Asli Demirguc-Kunt and Vojislav Maksimovic
Historical financing of small- and medium-size enterprises pp. 3017-3042 Downloads
Robert Cull, Lance E. Davis, Naomi R. Lamoreaux and Jean-Laurent Rosenthal
African SMES, networks, and manufacturing performance pp. 3043-3066 Downloads
Tyler Biggs and Manju Kedia Shah
Business collateral and personal commitments in SME lending pp. 3067-3086 Downloads
Wim Voordeckers and Tensie Steijvers
UK bank services for small business: How competitive is the market? pp. 3087-3110 Downloads
Shelagh Heffernan
The role of factoring for financing small and medium enterprises pp. 3111-3130 Downloads
Leora Klapper
On the estimation and comparison of short-rate models using the generalised method of moments pp. 3131-3146 Downloads
Robert Faff and Philip Gray
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? pp. 3147-3169 Downloads
Lucio Sarno and Giorgio Valente
Portfolio selection with a drawdown constraint pp. 3171-3189 Downloads
Gordon Alexander and Alexandre Baptista
Interventions in the Yen-dollar spot market: A story of price, volatility and volume pp. 3191-3214 Downloads
Suk-Joong Kim and Jeffrey Sheen
The wealth effect of forced bank mergers and cronyism pp. 3215-3233 Downloads
Beng Chong, Ming-Hua Liu and Kok-Hui Tan
Estimation of rating class transition probabilities with incomplete data pp. 3235-3256 Downloads
Thomas Mahlmann

Volume 30, issue 10, 2006

Introduction: Special section on operational risk pp. 2599-2604 Downloads
John Cummins and Paul Embrechts
The market value impact of operational loss events for US banks and insurers pp. 2605-2634 Downloads
John Cummins, Christopher M. Lewis and Ran Wei
Quantitative models for operational risk: Extremes, dependence and aggregation pp. 2635-2658 Downloads
Chavez-Demoulin, V., P. Embrechts and J. Neslehova
Macroeconomic announcements and asymmetric volatility in bond returns pp. 2659-2680 Downloads
Peter de Goeij and Wessel Marquering
International transmission of inflation among G-7 countries: A data-determined VAR analysis pp. 2681-2700 Downloads
Jian Yang, Hui Guo and Zijun Wang
On time-scaling of risk and the square-root-of-time rule pp. 2701-2713 Downloads
Jon Danielsson and Jean-Pierre Zigrand
Why firm access to the bond market differs over the business cycle: A theory and some evidence pp. 2715-2736 Downloads
Joao Santos
A note on the non-convexity problem in some shopping-time and human-capital models pp. 2737-2745 Downloads
Rubens Cysne
International stock-bond correlations in a simple affine asset pricing model pp. 2747-2765 Downloads
Stefano d'Addona and Axel H. Kind
Diversification benefits and persistence of US-based global bond funds pp. 2767-2786 Downloads
Sirapat Polwitoon and Oranee Tawatnuntachai
Investor monitoring and differences in mutual fund performance pp. 2787-2808 Downloads
Christopher James and Jason Karceski
The strategic use of corporate venture financing for securing demand pp. 2809-2833 Downloads
Yohanes Riyanto and Armin Schwienbacher
Credit channel, trade credit channel, and inventory investment: Evidence from a panel of UK firms pp. 2835-2856 Downloads
Alessandra Guariglia and Simona Mateut
Scale economies, X-efficiency, and convergence of productivity among bank holding companies pp. 2857-2874 Downloads
Michael K. Fung
Effects of large shareholding on information asymmetry and stock liquidity pp. 2875-2892 Downloads
Najah Attig, Wai-Ming Fong, Yoser Gadhoum and Larry Lang
Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses pp. 2893-2910 Downloads
Oliver Hülsewig, Eric Mayer and Timo Wollmershäuser
Should banks own equity stakes in their borrowers? A contractual solution to hold-up problems pp. 2911-2929 Downloads
Mahrt-Smith, Jan

Volume 30, issue 9, 2006

The history and performance of concept stocks pp. 2433-2469 Downloads
Jim Hsieh and Ralph A. Walkling
Institutional ownership changes and returns around analysts' earnings forecast release events: Evidence from Taiwan pp. 2471-2488 Downloads
An-Sing Chen and Bi-Shia Hong
An empirical evaluation of the overconfidence hypothesis pp. 2489-2515 Downloads
Wen-I Chuang and Bong-Soo Lee
Large market shocks and abnormal closed-end-fund price behaviour pp. 2517-2535 Downloads
Ana-Maria Fuertes and Dylan C. Thomas
Competition on the Nasdaq and the growth of electronic communication networks pp. 2537-2559 Downloads
Jason Fink, Kristin E. Fink and James P. Weston
Retail deposit fees and multimarket banking pp. 2561-2578 Downloads
Timothy Hannan
What explains household stock holdings? pp. 2579-2597 Downloads
Pauline Shum and Miquel Faig

Volume 30, issue 8, 2006

The dark side of diversification: The case of US financial holding companies pp. 2131-2161 Downloads
Kevin Stiroh and Adrienne Rumble
A credit risk model for large dimensional portfolios with application to economic capital pp. 2163-2197 Downloads
Kaj Nystrom and Jimmy Skoglund
Volatility effects of institutional trading in foreign stocks pp. 2199-2214 Downloads
Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang and Robert A. Wood
Factor based index tracking pp. 2215-2233 Downloads
Francesco Corielli and Massimiliano Marcellino
Capital regulation, heterogeneous monitoring costs, and aggregate loan quality pp. 2235-2255 Downloads
Kenneth J. Kopecky and David VanHoose
On the short-term predictability of exchange rates: A BVAR time-varying parameters approach pp. 2257-2279 Downloads
Nicholas Sarantis
Confidence intervals for probabilities of default pp. 2281-2301 Downloads
Samuel Hanson and Til Schuermann
Candlestick technical trading strategies: Can they create value for investors? pp. 2303-2323 Downloads
Ben Marshall, Martin Young and Lawrence Rose
Valuation ratios and price deviations from fundamentals pp. 2325-2346 Downloads
Jerry Coakley and Ana-Maria Fuertes
Portfolio implications of systemic crises pp. 2347-2369 Downloads
Erik Kole, Kees Koedijk and Marno Verbeek
A note on efficiency and productivity growth in the Korean Banking Industry, 1992-2002 pp. 2371-2386 Downloads
Kang H. Park and William L. Weber
A new measure of cross-sectional risk and its empirical implications for portfolio risk management pp. 2387-2408 Downloads
Stefano Galluccio and Andrea Roncoroni
The forward bias in the ECU: Peso risks vs. fads and fashions pp. 2409-2432 Downloads
Piet Sercu and Tom Vinaimont

Volume 30, issue 7, 2006

Gerald O. Bierwag (February 4, 1936-February 15, 2005) pp. iii-iv Downloads
George Kaufman
Banking and finance in an integrating Europe pp. 1835-1837 Downloads
J. Bos, Klaas H.W. Knot and Clemens Kool
Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets pp. 1839-1870 Downloads
Stefanie Kleimeier and Harald Sander
Dynamic depositor discipline in US banks pp. 1871-1898 Downloads
Andrea M. Maechler and Kathleen M. McDill
Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies pp. 1899-1926 Downloads
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis pp. 1927-1952 Downloads
Ralph De Haas and Iman Lelyveld
Bank efficiency: The role of bank strategy and local market conditions pp. 1953-1974 Downloads
J. Bos and Clemens Kool
Efficiency of the Polish banking industry: Foreign versus domestic banks pp. 1975-1996 Downloads
Olena Havrylchyk
System identification in noisy data environments: An application to six Asian stock markets pp. 1997-2024 Downloads
Cornelis Los
The contribution of market makers to liquidity and efficiency of options trading in electronic markets pp. 2025-2040 Downloads
Rafi Eldor, Shmuel Hauser, Batia Pilo and Itzik Shurki
Sovereign credit ratings: Guilty beyond reasonable doubt? pp. 2041-2062 Downloads
Nada Mora
Realized volatility and transactions pp. 2063-2085 Downloads
Choon Chat Chan and Wai Mun Fong
Time-varying risk premia and the cross section of stock returns pp. 2087-2107 Downloads
Hui Guo
Dynamics of realized volatilities and correlations: An empirical study pp. 2109-2130 Downloads
Rene Ferland and Simon Lalancette

Volume 30, issue 6, 2006

Frontiers in payment and settlement systems: Introduction pp. 1605-1612 Downloads
Anthony Saunders and Barry Scholnick
What is in it for us? Network effects and bank payment innovation pp. 1613-1630 Downloads
Alistair Milne
Benefits from a changing payment technology in European banking pp. 1631-1652 Downloads
David Humphrey, Magnus Willesson, Goran Bergendahl and Ted Lindblom
Switching costs and adverse selection in the market for credit cards: New evidence pp. 1653-1685 Downloads
Paul S. Calem, Michael Gordy and Loretta Mester
Alternative measures of the Federal Reserve Banks' cost of equity capital pp. 1687-1711 Downloads
Michelle Barnes and Jose Lopez
The effect of heterogeneous risk on the early adoption of Internet banking technologies pp. 1713-1725 Downloads
Keldon Bauer and Scott Hein
How to fend off shoulder surfing pp. 1727-1751 Downloads
Volker Roth and Kai Richter
Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data pp. 1753-1782 Downloads
Simonetta Rosati and Stefania Secola
Economies of scale and technological development in securities depository and settlement systems pp. 1783-1806 Downloads
Heiko Schmiedel, Markku Malkamaki and Juha Tarkka
Liquidity risk in securities settlement pp. 1807-1834 Downloads
Johan Devriese and Janet Mitchell

Volume 30, issue 5, 2006

Policy issues relevant to transition and emerging market economies: Papers from the 10th Dubrovnik Economic Conference pp. 1333-1334 Downloads
Paul Wachtel
The IMF in a world of private capital markets pp. 1335-1357 Downloads
Barry Eichengreen, Kenneth Kletzer and Ashoka Mody
Equilibrium exchange rates in Central and Eastern Europe: A meta-regression analysis pp. 1359-1374 Downloads
Balázs Égert and László Halpern
Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications pp. 1375-1391 Downloads
Fabrizio Coricelli, Bostjan Jazbec and Igor Masten
Are labour markets in the new member states sufficiently flexible for EMU? pp. 1393-1407 Downloads
Tito Boeri and Pietro Garibaldi
Capital structure policies in Europe: Survey evidence pp. 1409-1442 Downloads
Dirk Brounen, Abe de Jong and Kees Koedijk
The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong's banking system pp. 1443-1466 Downloads
Leigh Drake, Maximilian Hall and Richard Simper
Monetary transmission via the administered interest rates channel pp. 1467-1484 Downloads
Beng Chong, Ming-Hua Liu and Keshab Shrestha
Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market pp. 1485-1505 Downloads
Huimin Chung
Evolution of international stock and bond market integration: Influence of the European Monetary Union pp. 1507-1534 Downloads
Suk-Joong Kim, Fariborz Moshirian and Eliza Wu
Time and dynamic volume-volatility relation pp. 1535-1558 Downloads
Xiaoqing Eleanor Xu, Peter Chen and Chunchi Wu
International corporate investment and the relationships between financial constraint measures pp. 1559-1580 Downloads
Sean Cleary
Bank concentration, competition, and crises: First results pp. 1581-1603 Downloads
Thorsten Beck, Asli Demirguc-Kunt and Ross Levine

Volume 30, issue 4, 2006

Editorial pp. 1055-1056 Downloads
Fariborz Moshirian
Aspects of international financial services pp. 1057-1064 Downloads
Fariborz Moshirian
Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry pp. 1065-1102 Downloads
Allen Berger and Emilia Bonaccorsi di Patti
Bank portfolio exposure to emerging markets and its effects on bank market value pp. 1103-1126 Downloads
Gary Fissel, Lawrence Goldberg and Gerald Hanweck
The X-efficiency of commercial banks in Hong Kong pp. 1127-1147 Downloads
Simon Kwan
Real effective exchange rate volatility and growth: A framework to measure advantages of flexibility vs. costs of volatility pp. 1149-1169 Downloads
Michele Bagella, Leonardo Becchetti and Iftekhar Hasan
Nonlinear term structure dependence: Copula functions, empirics, and risk implications pp. 1171-1199 Downloads
Markus Junker, Alex Szimayer and Niklas Wagner
A further look at household portfolio choice and health status pp. 1201-1217 Downloads
Michael Berkowitz and Jiaping Qiu
Bank loan losses-given-default: A case study pp. 1219-1243 Downloads
Jean Dermine and C. Neto de Carvalho
Hedging the value of waiting pp. 1245-1267 Downloads
Glenn Boyle and Graeme Guthrie
A comprehensive analysis of the short-term interest-rate dynamics pp. 1269-1290 Downloads
Turan G. Bali and Liuren Wu
Capital structure and political patronage: The case of Malaysia pp. 1291-1308 Downloads
Donald R. Fraser, Hao Zhang and Chek Derashid
Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union pp. 1309-1332 Downloads
Antonio Diaz, John Merrick and Eliseo Navarro

Volume 30, issue 3, 2006

Inferring the default rate in a population by comparing two incomplete default databases pp. 797-810 Downloads
Douglas W. Dwyer and Roger M. Stein
Hedging volatility risk pp. 811-821 Downloads
Menachem Brenner, Ernest Y. Ou and Jin E. Zhang
Downside risk and asset pricing pp. 823-849 Downloads
Thierry Post and Pim Vliet
Economic benefit of powerful credit scoring pp. 851-873 Downloads
Andreas Blochlinger and Markus Leippold
Estimating product market competition: Methodology and application pp. 875-894 Downloads
Simi Kedia
Investment and financing activity following calls of convertible bonds pp. 895-914 Downloads
Michael J. Alderson, Brian L. Betker and Duane R. Stock
Does stock option-based executive compensation induce risk-taking? An analysis of the banking industry pp. 915-945 Downloads
Carl R. Chen, Thomas L. Steiner and Ann Marie Whyte
Corporate governance, shareholder rights and firm diversification: An empirical analysis pp. 947-963 Downloads
Pornsit Jiraporn, Young Kim, Wallace N. Davidson and Manohar Singh
Deposit insurance and international bank liabilities pp. 965-987 Downloads
Harry Huizinga and Gaëtan Nicodème
Valuation impact of Sarbanes-Oxley: Evidence from disclosure and governance within the financial services industry pp. 989-1006 Downloads
Aigbe Akhigbe and Anna D. Martin
Reactions of Japanese markets to changes in credit ratings by global and local agencies pp. 1007-1021 Downloads
Joanne Li, Yoon S. Shin and William T. Moore
An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange pp. 1023-1039 Downloads
Wataru Ohta
A note on the "risk-adjusted" price-concentration relationship in banking pp. 1041-1054 Downloads
Elijah Brewer and William E. Jackson

Volume 30, issue 2, 2006

Risk management and optimization in finance pp. 315-315 Downloads
Pavlo Krokhmal, R. Tyrrell Rockafellar and Stan Uryasev
Dynamic portfolio selection with process control pp. 317-339 Downloads
Leonard MacLean, Yonggan Zhao and William Ziemba
An approximation method for analysis and valuation of credit correlation derivatives pp. 341-364 Downloads
Masahiko Egami and Kian Esteghamat
Multi-period stochastic optimization models for dynamic asset allocation pp. 365-390 Downloads
Norio Hibiki
Interaction of credit and liquidity risks: Modelling and valuation pp. 391-407 Downloads
Harry Zheng
Pricing methods and hedging strategies for volatility derivatives pp. 409-431 Downloads
H. Windcliff, P.A. Forsyth and K.R. Vetzal
Portfolio optimization with stochastic dominance constraints pp. 433-451 Downloads
Darinka Dentcheva and Andrzej Ruszczynski
The magnitude of a market crash can be predicted pp. 453-462 Downloads
S.Y. Novak and J. Beirlant
Optimal credit limit management under different information regimes pp. 463-487 Downloads
Markus Leippold, Paolo Vanini and Silvan Ebnoether
A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach pp. 489-502 Downloads
A.Q.M. Khaliq, D.A. Voss and S.H.K. Kazmi
Efficient fund of hedge funds construction under downside risk measures pp. 503-518 Downloads
David P. Morton, Elmira Popova and Ivilina Popova
A moment computation algorithm for the error in discrete dynamic hedging pp. 519-540 Downloads
James A. Primbs and Yuji Yamada
Utility-based performance measures for regression models pp. 541-560 Downloads
Craig Friedman and Sven Sandow
The hidden dangers of historical simulation pp. 561-582 Downloads
Matthew Pritsker
Minimizing CVaR and VaR for a portfolio of derivatives pp. 583-605 Downloads
S. Alexander, T.F. Coleman and Y. Li
Implied migration rates from credit barrier models pp. 607-626 Downloads
Claudio Albanese and Oliver X. Chen
Applying CVaR for decentralized risk management of financial companies pp. 627-644 Downloads
John M. Mulvey and Hafize G. Erkan
Asset and liability management for insurance products with minimum guarantees: The UK case pp. 645-667 Downloads
Andrea Consiglio, David Saunders and Stavros Zenios
Portfolio selection using hierarchical Bayesian analysis and MCMC methods pp. 669-678 Downloads
Alex Greyserman, Douglas H. Jones and William E. Strawderman
Economy-wide bond default rates: A maximum expected utility approach pp. 679-693 Downloads
Sven Sandow, Craig Friedman, Mark Gold and Peter Chang
A value-of-information approach to measuring risk in multi-period economic activity pp. 695-715 Downloads
Georg Ch. Pflug
Integrating market and credit risk: A simulation and optimisation perspective pp. 717-742 Downloads
Norbert J. Jobst, Gautam Mitra and Stavros Zenios
Master funds in portfolio analysis with general deviation measures pp. 743-778 Downloads
R. Tyrrell Rockafellar, Stan Uryasev and Michael Zabarankin
Analysis of criteria VaR and CVaR pp. 779-796 Downloads
Andrey I. Kibzun and Evgeniy A. Kuznetsov

Volume 30, issue 1, 2006

Collateral-based lending in emerging markets: Evidence from Thailand pp. 1-21 Downloads
Lukas Menkhoff, Doris Neuberger and Chodechai Suwanaporn
Discrete versus continuous state switching models for portfolio credit risk pp. 23-35 Downloads
Andre Lucas and Pieter Klaassen
Payout policy, taxes, and the relation between returns and the bid-ask spread pp. 37-58 Downloads
Aron A. Gottesman and Gady Jacoby
The impact of bank entry in the Japanese corporate bond underwriting market pp. 59-83 Downloads
Sumiko Takaoka and Colin McKenzie
Investment banker reputation and two-stage combination carve-outs and spin-offs pp. 85-110 Downloads
Thomas H. Thompson and Vince Apilado
Gains from structured product markets: The case of reverse-exchangeable securities (RES) pp. 111-132 Downloads
Bruce A. Benet, Antoine Giannetti and Seema Pissaris
Immunization using a stochastic-process independent multi-factor model: The Portuguese experience pp. 133-156 Downloads
Jorge Bravo and Carlos Silva
Issue costs in the Eurobond market: The effects of market integration pp. 157-177 Downloads
Arie Melnik and Doron Nissim
Are labor-saving technologies lowering employment in the banking industry? pp. 179-198 Downloads
Michael K. Fung
Access to external finance: Theory and evidence on the impact of monetary policy and firm-specific characteristics pp. 199-227 Downloads
Spiros Bougheas, Paul Mizen and Cihan Yalcin
Taxes and dividend clientele: Evidence from trading and ownership structure pp. 229-246 Downloads
Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam
Fitting prices with a complete model pp. 247-258 Downloads
Figa-Talamanca, Gianna and Maria Guerra
Bank capital and loan asymmetry in the transmission of monetary policy pp. 259-285 Downloads
Ruby P. Kishan and Timothy Opiela
Unconditional return disturbances: A non-parametric simulation approach pp. 287-314 Downloads
Robert G. Tompkins and Rita L. D'Ecclesia
Page updated 2019-03-21