Journal of Banking & Finance

1977 - 2025

Current editor(s): Ike Mathur

From Elsevier
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Volume 65, issue C, 2016

The informational content of the embedded deflation option in TIPS pp. 1-26

Olesya Grishchenko, Joel M. Vanden and Jianing Zhang

When does the stock market listen to economic news? New evidence from copulas and news wires pp. 27-40

Ivan Medovikov

Too-international-to-fail? Supranational bank resolution and market discipline pp. 41-58

Lucyna Gornicka and Marius Zoican

The role of bank relationships when firms are financially distressed pp. 59-75

Daniel Höwer

The MAX effect: An exploration of risk and mispricing explanations pp. 76-90

Angel Zhong and Philip Gray

Institutional stock ownership and firms’ cash dividend policies: Evidence from China pp. 91-107

Michael Firth, Jin Gao, Jianghua Shen and Yuanyuan Zhang

Adverse selection, market access, and inter-market competition pp. 108-119

Peter Hoffmann

The evolution of debt policies: New evidence from business startups pp. 120-133

Jürgen Hanssens, Marc Deloof and Tom Vanacker

A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance pp. 134-155

Sergio M. Focardi, Frank Fabozzi and Ivan K. Mitov

Volume 64, issue C, 2016

Do hedge funds dynamically manage systematic risk? pp. 1-15

Ethan Namvar, Blake Phillips, Kuntara Pukthuanthong and Raghavendra Rau

The white squire defense: Evidence from private investments in public equity pp. 16-35

Sheng-Syan Chen, Ching-Yu Hsu and Chia-Wei Huang

Do outside directors influence the financial performance of risk-trading firms? Evidence from the United Kingdom (UK) insurance industry pp. 36-51

Mike Adams and Wei Jiang

A test of efficiency for the S&P 500 index option market using the generalized spectrum method pp. 52-70

Henry H. Huang, Kent Wang and Zhanglong Wang

Firm geographic dispersion and financial analysts’ forecasts pp. 71-89

Petya Platikanova and Marco Maria Mattei

The relation between sovereign credit rating revisions and economic growth pp. 90-100

Sheng-Syan Chen, Hsien-Yi Chen, Chong-Chuo Chang and Shu-Ling Yang

An efficient and functional model for predicting bank distress: In and out of sample evidence pp. 101-111

Sean Cleary and Greg Hebb

Forecasting distress in European SME portfolios pp. 112-135

Sara Ferreira Filipe, Theoharry Grammatikos and Dimitra Michala

Forecasting realized volatility in a changing world: A dynamic model averaging approach pp. 136-149

Yudong Wang, Feng Ma, Yu Wei and Chongfeng Wu

Supply-chain spillover effects of IPOs pp. 150-168

Kenji Kutsuna, Janet Kiholm Smith, Richard Smith and Kazuo Yamada

Description-text related soft information in peer-to-peer lending – Evidence from two leading European platforms pp. 169-187

Gregor Dorfleitner, Christopher Priberny, Stephanie Schuster, Johannes Stoiber, Martina Weber, Ivan de Castro and Julia Kammler

Assessing the information content of short-selling metrics using daily disclosures pp. 188-204

Carole Comerton-Forde, Binh Huu Do, Philip Gray and Tom Manton

Religion and bank loan terms pp. 205-215

Wen He and Hu, Maggie (Rong)

The influence of FOMC member characteristics on the monetary policy decision-making process pp. 216-231

Lee Smales and Nick Apergis

Volume 63, issue C, 2016

An econometric evaluation of bank recapitalization programs with bank- and loan-level data pp. 1-24

Kiyotaka Nakashima

The effects of corporate bond granularity pp. 25-34

Lars Norden, Peter Roosenboom and Teng Wang

Corporate finance and the governance implications of removing government support programs pp. 35-47

Martin Jacob, Sofia Johan, Denis Schweizer and Feng Zhan

Non-performing loans, moral hazard and regulation of the Chinese commercial banking system pp. 48-60

Dayong Zhang, Jing Cai, David G. Dickinson and Ali Kutan

Bribe payments under regulatory decentralization: Evidence from rights offering regulations in China pp. 61-75

Ye Liu, Yunbi An and Jinqing Zhang

Why do carbon prices and price volatility change? pp. 76-94

Boulis Maher Ibrahim and Iordanis Angelos Kalaitzoglou

Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs pp. 95-106

Alireza Tourani-Rad, Aaron Gilbert and Jun Chen

The systemic risk of European banks during the financial and sovereign debt crises pp. 107-125

Lamont Black, Ricardo Correa, Xin Huang and Hao Zhou

Transaction costs, liquidity risk, and the CCAPM pp. 126-145

Weimin Liu, Di Luo and Huainan Zhao

Volume 62, issue C, 2016

Early influences on saving behaviour: Analysis of British panel data pp. 1-14

Sarah Brown and Karl Taylor

Estimating the impact of changes in aggregate bank capital requirements on lending and growth during an upswing pp. 15-27

Joseph Noss and C. Priscilla Toffano

Investment–cash flow sensitivity under changing information asymmetry pp. 28-40

Jaideep Chowdhury, Raman Kumar and Dilip Shome

Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds pp. 41-61

François-Éric Racicot and Raymond Théoret

How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns pp. 62-75

Eirini Konstantinidi and George Skiadopoulos

Downside and upside risk spillovers between exchange rates and stock prices pp. 76-96

Juan Reboredo, Miguel A. Rivera-Castro and Andrea Ugolini

Equity trading and the allocation of market data revenue pp. 97-111

Cecilia Caglio and Stewart Mayhew

Pricing and hedging American and hybrid strangles with finite maturity pp. 112-125

Souleymane Laminou Abdou and Franck Moraux

An analysis of euro area sovereign CDS and their relation with government bonds pp. 126-140

Alessandro Fontana and Martin Scheicher

Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage pp. 141-151

Pablo Koch-Medina and Cosimo Munari

Fragility, stress, and market returns pp. 152-163

Dave Berger and Kuntara Pukthuanthong

The information content of the sentiment index pp. 164-179

Steven E. Sibley, Yanchu Wang, Yuhang Xing and Xiaoyan Zhang

Shadow economies at times of banking crises: Empirics and theory pp. 180-190

Emilio Colombo, Luisanna Onnis and Patrizio Tirelli

Flight-to-quality and correlation between currency and stock returns pp. 191-212

Jin-Wan Cho, Joung Hwa Choi, Taeyong Kim and Woojin Kim

Volume 61, issue S2, 2015

Option valuation with observable volatility and jump dynamics pp. S101-S120

Peter Christoffersen, Bruno Feunou and Yoontae Jeon

New methodology for constructing real estate price indices applied to the Singapore residential market pp. S121-S131

Liang Jiang, Peter Phillips and Jun Yu

Multi-factor volatility and stock returns pp. S132-S149

He, Zhongzhi (Lawrence), Jie Zhu and Xiaoneng Zhu

Time-varying effect of oil market shocks on the stock market pp. S150-S163

Wensheng Kang, Ronald Ratti and Kyung Hwan Yoon

Yes, one-day international cricket ‘in-play’ trading strategies can be profitable! pp. S164-S176

Hugh Norton, Steve Gray and Robert Faff

Factor models for binary financial data pp. S177-S188

M. Fabricio Perez, Andriy Shkilko and Konstantin Sokolov

Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model pp. S189-S204

Yanlin Shi and Kin-Yip Ho

Estimating the price impact of trades in a high-frequency microstructure model with jumps pp. S205-S224

Eric Jondeau, Jérôme Lahaye and Michael Rockinger

Linear programming-based estimators in nonnegative autoregression pp. S225-S234

Daniel Preve

On comparing zero-alpha tests across multifactor asset pricing models pp. S235-S240

Lieven De Moor, Geert Dhaene and Piet Sercu

Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions pp. S241-S255

Mikhail Anufriev and Valentyn Panchenko

Which continuous-time model is most appropriate for exchange rates? pp. S256-S268

Deniz Erdemlioglu, Sébastien Laurent and Christopher Neely

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH pp. S269-S285

Jonathan Dark

Volume 61, issue S1, 2015

Banks’ size, scope and systemic risk: What role for conflicts of interest? pp. S3-S13

Olivier De Jonghe, Maaike Diepstraten and Glenn Schepens

Who lends to riskier and lower-profitability firms? Evidence from the syndicated loan market pp. S14-S21

Maria Iosifidi and Sotirios Kokas

Foreign bank diversification and efficiency prior to and during the financial crisis: Does one business model fit all? pp. S22-S35

Claudia Curi, Ana Lozano-Vivas and Valentin Zelenyuk

Transmission channels of systemic risk and contagion in the European financial network pp. S36-S52

Nikos Paltalidis, Dimitrios Gounopoulos, Renatas Kizys and Yiannis Koutelidakis

The effects of ratings-contingent regulation on international bank lending behavior: Evidence from the Basel 2 Accord pp. S53-S68

Iftekhar Hasan, Suk-Joong Kim and Eliza Wu

Central bank independence, financial supervision structure and bank soundness: An empirical analysis around the crisis pp. S69-S83

Michael Doumpos, Chrysovalantis Gaganis and Fotios Pasiouras

Does labour regulation affect technical and allocative efficiency? Evidence from the banking industry pp. S84-S98

Emmanuel Mamatzakis, Mike Tsionas, Subal Kumbhakar and Anastasia Koutsomanoli-Filippaki

Volume 61, issue C, 2015

Bank funding structures and risk: Evidence from the global financial crisis pp. 1-14

Francisco Vazquez and Pablo Federico

Repurchase behavior of individual investors, sophistication and regret pp. 15-26

Camille Magron and Maxime Merli

Costs of capital and public issuance choice pp. 27-45

Christopher G. Lamoureux and Ali Nejadmalayeri

Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data pp. 46-63

Francesco Audrino and Matthias Fengler

The impact of assets-in-place on corporate financing and investment decisions pp. 64-80

Saskia Clausen and Christian Flor

Default and prepayment modelling in participating mortgages pp. 81-88

Yusuf Varlı and Yildiray Yildirim

The impact of conventional and unconventional monetary policy on investor sentiment pp. 89-105

Chandler Lutz

How are market preferences shaped? The case of sovereign debt of stressed euro-area countries pp. 106-116

Emmanuel Mamatzakis and Mike Tsionas

A semiparametric conditional capital asset pricing model pp. 117-126

Zongwu Cai, Yu Ren and Bingduo Yang

Assessing bank competition for consumer loans pp. 127-141

Wilko Bolt and David Humphrey

Robust portfolio choice with derivative trading under stochastic volatility pp. 142-157

Marcos Escobar Anel, Sebastian Ferrando and Alexey Rubtsov

Modeling interest rate volatility: A Realized GARCH approach pp. 158-171

Shuairu Tian and Shigeyuki Hamori

Trend definition or holding strategy: What determines the profitability of candlestick charting? pp. 172-183

Tsung-Hsun Lu, Yi-Chi Chen and Yu-Chin Hsu

The liquidity premium in CDS transaction prices: Do frictions matter? pp. 184-205

Monika Gehde-Trapp, Yalin Gündüz and Julia Nasev

The strategic role of reinsurance in the United Kingdom’s (UK) non-life insurance market pp. 206-219

Vineet Upreti and Mike Adams

The perennial challenge to counter Too-Big-to-Fail in banking: Empirical evidence from the new international regulation dealing with Global Systemically Important Banks pp. 221-236

Sebastian C. Moenninghoff, Steven Ongena and Axel Wieandt

Short-term options: Clienteles, market segmentation, and event trading pp. 237-250

Arjun Chatrath, Rohan A. Christie-David, Hong Miao and Sanjay Ramchander

Does one size fit all? Determinants of insurer capital structure around the globe pp. 251-271

Muhammed Altuntas, Thomas R. Berry-Stölzle and Sabine Wende

The disposition effect in team investment decisions: Experimental evidence pp. 272-282

Holger A. Rau

Housing price growth and the cost of equity capital pp. 283-300

Ding, Xiaoya (Sara), Yang Ni, Abdul Rahman and Samir Saadi

Loan Loss Provisioning Rules, Procyclicality, and Financial Volatility pp. 301-315

Pierre-Richard Agénor and Roy Zilberman

Deposit interest rate ceilings as credit supply shifters: Bank level evidence on the effects of Regulation Q pp. 316-326

Christoffer Koch

A utility- and CPT-based comparison of life insurance contracts with guarantees pp. 327-339

An Chen, Felix Hentschel and Jakob K. Klein

The Panzar–Rosse revenue test and market power in banking pp. 340-347

Sherrill Shaffer and Laura Spierdijk