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Journal of Banking & Finance

1977 - 2019

Current editor(s): Ike Mathur

From Elsevier
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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
Barone-Adesi, Giovanni
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, Collin-Dufresne, Pierre 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
Barone-Adesi, Giovanni

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
Uhrig-Homburg, Marliese
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 Barone-Adesi, Giovanni
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 Vladkova-Hollar, Ivanna
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
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