Journal of Banking & Finance

1977 - 2025

Current editor(s): Ike Mathur

From Elsevier
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Volume 32, issue 12, 2008

Editorial pp. 2501-2501

Helyette Geman

Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity pp. 2502-2519

Álvaro Cartea and Pablo Villaplana

The price of power: The valuation of power and weather derivatives pp. 2520-2529

Craig Pirrong and Martin Jermakyan

Long term spread option valuation and hedging pp. 2530-2540

M.A.H. Dempster, Elena Medova and Ke Tang

Computing the market price of volatility risk in the energy commodity markets pp. 2541-2552

James Doran and Ehud I. Ronn

WTI crude oil Futures in portfolio diversification: The time-to-maturity effect pp. 2553-2559

Hélyette Geman and Cécile Kharoubi

Credit derivatives and loan pricing pp. 2560-2569

Lars Norden and Wolf Wagner

Corporate governance in banking: The role of the board of directors pp. 2570-2580

Pablo de Andrés Alonso and Eleuterio Vallelado

Liquidity in auction and specialist market structures: Evidence from the Italian bourse pp. 2581-2588

Alex Frino, Dionigi Gerace and Andrew Lepone

Combining fair pricing and capital requirements for non-life insurance companies pp. 2589-2596

Nadine Gatzert and Hato Schmeiser

Determinants of yield spread dynamics: Euro versus US dollar corporate bonds pp. 2597-2605

Astrid Van Landschoot

Macroeconomic cycles and the stock market's reaction to monetary policy pp. 2606-2616

Arabinda Basistha and Alexander Kurov

A first-passage-time model under regime-switching market environment pp. 2617-2627

Mi Ae Kim, Bong-Gyu Jang and Ho-Seok Lee

Corporate restructuring in Japan: Who monitors the monitor? pp. 2628-2635

Kotaro Inoue, Hideaki Kiyoshi Kato and Marc Bremer

Controlling-minority shareholder incentive conflicts and directors' and officers' liability insurance: Evidence from China pp. 2636-2645

Hong Zou, Sonia Wong, Clement Shum, Jun Xiong and Jun Yan

The stocks at stake: Return and risk in socially responsible investment pp. 2646-2654

Rients Galema, Auke Plantinga and Bert Scholtens

The dynamics of operational loss clustering pp. 2655-2666

Anna Chernobai and Yildiray Yildirim

Two-sided coherent risk measures and their application in realistic portfolio optimization pp. 2667-2673

Zhiping Chen and Yi Wang

Exploring the nexus between banking sector reform and performance: Evidence from newly acceded EU countries pp. 2674-2683

Sophocles Brissimis, Manthos Delis and Nikolaos Papanikolaou

Bank concentration and financial constraints on firm-level investment in Europe pp. 2684-2694

Ronald Ratti, Sunglyong Lee and Youn Seol

The role of no-arbitrage on forecasting: Lessons from a parametric term structure model pp. 2695-2705

Caio Almeida and José Valentim Vicente

Individual stock-option prices and credit spreads pp. 2706-2715

Martijn Cremers, Joost Driessen, Pascal Maenhout and David Weinbaum

Does corporate international diversification destroy value? Evidence from cross-border mergers and acquisitions pp. 2716-2724

Marcelo B. Dos Santos, Vihang R. Errunza and Darius P. Miller

Loan pricing under Basel II in an imperfectly competitive banking market pp. 2725-2733

David Ruthenberg and Yoram Landskroner

Volume 32, issue 11, 2008

Editorial pp. 2287-2287

Fariborz Moshirian

Financial services in an increasingly integrated global financial market pp. 2288-2292

Fariborz Moshirian

Inflation-indexed swaps and swaptions pp. 2293-2306

Mia Hinnerich

Effective fair pricing of international mutual funds pp. 2307-2324

Choong Tze Chua, Sandy Lai and Yangru Wu

The expansion of services in European banking: Implications for loan pricing and interest margins pp. 2325-2335

Laetitia Lepetit, Emmanuelle Nys, Philippe Rous and Amine Tarazi

The contribution of product mix versus efficiency and technical change in US banking pp. 2336-2345

Gabriel Asaftei

Characteristics determining the efficiency of foreign banks in Australia pp. 2346-2360

Jan-Egbert Sturm and Barry Williams

Pre-IPO ownership structure and its impact on the IPO process pp. 2361-2375

Arash Alavi, Peter Kien Pham and Toan My Pham

Foreign versus local investors: Who knows more? Who makes more? pp. 2376-2389

Petko S. Kalev, Anh H. Nguyen and Natalie Y. Oh

The dynamics of quote adjustments pp. 2390-2400

Kee H. Chung, Chairat Chuwonganant and Jing Jiang

Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices pp. 2401-2411

Eirini Konstantinidi, George Skiadopoulos and Emilia Tzagkaraki

Rating agencies and the role of rating publication rights pp. 2412-2422

Thomas Mählmann

Family values: Ownership structure, performance and capital structure of Canadian firms pp. 2423-2432

Michael King and Eric Santor

The determinants of the voting premium in Italy: The evidence from 1974 to 2003 pp. 2433-2443

Lorenzo Caprio and Ettore Croci

Portfolio choice and mortality-contingent claims: The general HARA case pp. 2444-2452

Huaxiong Huang and Moshe Milevsky

Ex-dividend returns: The Mexican puzzle pp. 2453-2461

Palani-Rajan Kadapakkam and Valeria Martinez

Deviations from optimal CEO ownership and firm value pp. 2462-2470

Zhenxu Tong

Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach pp. 2471-2481

Loukia Meligkotsidou and Ioannis D. Vrontos

Accurate minimum capital risk requirements: A comparison of several approaches pp. 2482-2492

A. Grané and Helena Veiga

Cross-country variation in household access to financial services pp. 2493-2500

Patrick Honohan

Volume 32, issue 10, 2008

Risk management in commodity and financial markets pp. 1989-1990

Rita L. D'Ecclesia

Time-consistency in managing a commodity portfolio: A dynamic risk measure approach pp. 1991-2005

Hélyette Geman and Steve Ohana

Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium pp. 2006-2021

Fred Espen Benth, Álvaro Cartea and Rüdiger Kiesel

An econometric analysis of emission allowance prices pp. 2022-2032

Marc S. Paolella and Luca Taschini

Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets pp. 2033-2045

Gianluca Fusai, Marina Marena and Andrea Roncoroni

Robust optimization of conditional value at risk and portfolio selection pp. 2046-2056

Anna Grazia Quaranta and Alberto Zaffaroni

Beyond Sharpe ratio: Optimal asset allocation using different performance ratios pp. 2057-2063

Simone Farinelli, Manuel Ferreira, Damiano Rossello, Markus Thoeny and Luisa Tibiletti

A revisited and stable Fourier transform method for affine jump diffusion models pp. 2064-2075

Marcello Minenna and Paolo Verzella

Pricing discretely monitored Asian options under Levy processes pp. 2076-2088

Gianluca Fusai and Attilio Meucci

On real interest rate dynamics and regime switching pp. 2089-2098

Angelos Kanas

The performance effect of managerial ownership: Evidence from China pp. 2099-2110

Yifan Hu and Xianming Zhou

An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility pp. 2111-2123

Charles Cao, Eric C. Chang and Ying Wang

Influence of disclosure and governance on risk of US financial services firms following Sarbanes-Oxley pp. 2124-2135

Aigbe Akhigbe and Anna D. Martin

Information acquisition and financial contagion pp. 2136-2147

Augusto Hasman and Margarita Samartín

A century of corporate takeovers: What have we learned and where do we stand? pp. 2148-2177

Marina Martynova and Luc Renneboog

Tunneling and propping: A justification for pyramidal ownership pp. 2178-2187

Yohanes Riyanto and Linda A. Toolsema

Financial distress, corporate control, and management turnover pp. 2188-2204

Philipp Jostarndt and Zacharias Sautner

How does the call market method affect price efficiency? Evidence from the Singapore Stock Market pp. 2205-2219

Rosita P. Chang, S. Ghon Rhee, Gregory R. Stone and Ning Tang

Developing a stress testing framework based on market risk models pp. 2220-2236

Carol Alexander and Elizabeth Sheedy

Bank shareholding and lending: Complementarity or substitution? Some evidence from a panel of large Italian firms pp. 2237-2247

Emilio Barucci and Fabrizio Mattesini

Market quality changes in the London Stock Market pp. 2248-2253

Patricia Chelley-Steeley

A behavioral explanation for the negative asymmetric return-volatility relation pp. 2254-2266

Ann Marie Hibbert, Robert T. Daigler and Brice Dupoyet

Bayesian inference for issuer heterogeneity in credit ratings migration pp. 2267-2274

Ashay Kadam and Peter Lenk

The optimal structure of PD buckets pp. 2275-2286

Thiemo Krink, Sandra Paterlini and Andrea Resti

Volume 32, issue 9, 2008

Improving VWAP strategies: A dynamic volume approach pp. 1709-1722

Jedrzej Bialkowski, Serge Darolles and Gaelle Le Fol

Socially responsible investments: Institutional aspects, performance, and investor behavior pp. 1723-1742

Luc Renneboog, Jenke ter Horst and Chendi Zhang

Diversification and ownership concentration pp. 1743-1753

Bruno M. Parigi and Loriana Pelizzon

Weather and intraday patterns in stock returns and trading activity pp. 1754-1766

Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou and Yueh-Hsiang Lin

Institutional ownership stability and BHC performance pp. 1767-1781

Elyas Elyasiani and Jingyi Jane Jia

Reference point formation by market investors pp. 1782-1794

Doron Kliger and Andrey Kudryavtsev

Internal financial constraints, external financial constraints, and investment choice: Evidence from a panel of UK firms pp. 1795-1809

Alessandra Guariglia

Can commodity futures be profitably traded with quantitative market timing strategies? pp. 1810-1819

Ben Marshall, Rochester H. Cahan and Jared M. Cahan

Competition versus efficiency: What drives franchise values in European banking? pp. 1820-1835

Olivier De Jonghe and Rudi Vander Vennet

The diversification and financial performance of US credit unions pp. 1836-1849

John Goddard, Donal McKillop and John Wilson

Socially responsible investment funds: Investor reaction to current and past returns pp. 1850-1859

Karen L. Benson and Jacquelyn E. Humphrey

Inside shareholders' effective tax rates and dividends pp. 1860-1869

Martin Holmen, John D. Knopf and Stefan Peterson

Spectral risk measures and portfolio selection pp. 1870-1882

Alexandre Adam, Mohamed Houkari and Jean-Paul Laurent

Offsetting the implicit incentives: Benefits of benchmarking in money management pp. 1883-1893

Suleyman Basak, Anna Pavlova and Alexander Shapiro

Cash flow, investment, and investment opportunities: New tests using UK panel data pp. 1894-1906

Robert Carpenter and Alessandra Guariglia

Nonparametric, conditional pricing of higher order multivariate contingent claims pp. 1907-1915

Kostas Giannopoulos

US ADR and Hong Kong H-share discounts of Shanghai-listed firms pp. 1916-1927

Gregory C. Arquette, William O. Brown and Richard Burdekin

The decision to first enter the public bond market: The role of firm reputation, funding choices, and bank relationships pp. 1928-1940

Galina Hale and João A.C. Santos

Stock market volatility around national elections pp. 1941-1953

Jedrzej Bialkowski, Katrin Gottschalk and Tomasz Wisniewski

Capital structure around the world: The roles of firm- and country-specific determinants pp. 1954-1969

Abe de Jong, Rezaul Kabir and Thuy Nguyen

A Markov regime switching approach for hedging energy commodities pp. 1970-1983

Amir Alizadeh, Nikos K. Nomikos and Panos Pouliasis

A note on "Inflation and Welfare" pp. 1984-1987

Rubens Cysne

Volume 32, issue 8, 2008

Editorial pp. 1431-1431

Fariborz Moshirian

The significance of a world government in the process of globalization in the 21st century pp. 1432-1439

Fariborz Moshirian

The cyclical behaviour of European bank capital buffers pp. 1440-1451

Terhi Jokipii and Alistair Milne

Bank income structure and risk: An empirical analysis of European banks pp. 1452-1467

Laetitia Lepetit, Emmanuelle Nys, Philippe Rous and Amine Tarazi

The economics of credit cards, debit cards and ATMs: A survey and some new evidence pp. 1468-1483

Barry Scholnick, Nadia Massoud, Anthony Saunders, Santiago Carbo-Valverde and Francisco Rodríguez-Fernández

Investment decisions and internal capital markets: Evidence from acquisitions pp. 1484-1498

John Doukas and Ozgur B. Kan

Credit to government and banking sector performance pp. 1499-1507

David Hauner

What lies beneath: Foreign exchange rate exposure, hedging and cash flows pp. 1508-1521

Söhnke Bartram

Financial market integration and the value of global diversification: Evidence for US acquirers in cross-border mergers and acquisitions pp. 1522-1540

Bill B. Francis, Iftekhar Hasan and Xian Sun

Comparing the performance of market-based and accounting-based bankruptcy prediction models pp. 1541-1551

Vineet Agarwal and Richard Taffler

Mutual funds' ownership and firm performance: Evidence from China pp. 1552-1565

Rongli Yuan, Jason Zezhong Xiao and Hong Zou

Hedging, financing, and investment decisions: Theory and empirical tests pp. 1566-1582

Chen-Miao Lin, Richard Phillips and Stephen D. Smith

An empirical analysis of aggregate household portfolios pp. 1583-1597

Michel Normandin and Pascal St-Amour

Bank consolidation and new business formation pp. 1598-1612

Bill Francis, Iftekhar Hasan and Haizhi Wang

Split bond ratings and rating migration pp. 1613-1624

Miles Livingston, Andy Naranjo and Lei Zhou

Common liquidity shocks and market collapse: Lessons from the market for perps pp. 1625-1635

Chitru S. Fernando, Richard J. Herring and Avanidhar Subrahmanyam

How important is asymmetric covariance for the risk premium of international assets? pp. 1636-1647

Stefano Mazzotta

Utilitarianism and fairness in portfolio positioning pp. 1648-1660

André de Palma and Jean-Luc Prigent

Demand estimation and consumer welfare in the banking industry pp. 1661-1676

Astrid A. Dick

Bank capital regulation in a barrier option framework pp. 1677-1686

Athanasios Episcopos

Decomposing liquidity along the limit order book pp. 1687-1698

David Rakowski and Xiaoxin Wang Beardsley

Why 'Basel II' may need a leverage ratio restriction pp. 1699-1707

Jürg Blum

Volume 32, issue 7, 2008

Francesco Paris, the power of the will pp. 1177-1177

Giorgio Szego

Risk aversion and skewness preference pp. 1178-1187

Thierry Post, Pim Vliet and Haim Levy

A comparison of MAD and CVaR models with real features pp. 1188-1197

Enrico Angelelli, Renata Mansini and M. Grazia Speranza

Implicit recourse and credit card securitizations: What do fraud losses reveal? pp. 1198-1208

Todd A. Vermilyea, Elizabeth R. Webb and Andrew A. Kish

Determinants of corporate cash holdings: Evidence from spin-offs pp. 1209-1220

Ranjan D'Mello, Sudha Krishnaswami and Patrick J. Larkin

Information shares in the US Treasury market pp. 1221-1233

Bruce Mizrach and Christopher Neely

Opacity of young businesses: Evidence from rating disagreements pp. 1234-1241

Ari Hyytinen and Mika Pajarinen

Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output? pp. 1242-1254

Qaisar Akram and Øyvind Eitrheim

Volume and skewness in international equity markets pp. 1255-1268

Elaine Hutson, Colm Kearney and Margaret Lynch

The delivery option in credit default swaps pp. 1269-1285

Rainer Jankowitsch, Rainer Pullirsch and Tanja Veza

Commodity betas with mean reverting output prices pp. 1286-1296

Gwangheon Hong and Sudipto Sarkar

Is there cyclical bias in bank holding company risk ratings? pp. 1297-1309

Timothy J. Curry, Gary Fissel and Gerald A. Hanweck

Can tax convexity be ignored in corporate financing decisions? pp. 1310-1321

Sudipto Sarkar

Forecasting foreign exchange rates using idiosyncratic volatility pp. 1322-1332

Hui Guo and Robert Savickas

Investor protection and the value effects of bank merger announcements in Europe and the US pp. 1333-1348

Jens Hagendorff, Michael Collins and Kevin Keasey

Emerging market exchange rate exposure pp. 1349-1362

Timothy K. Chue and David Cook

Financial market models with Lévy processes and time-varying volatility pp. 1363-1378

Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi and Frank Fabozzi

Legal insider trading and market efficiency pp. 1379-1392

Nihat Aktas, Eric de Bodt and Hervé Van Oppens

Interest rate clustering in UK financial services markets pp. 1393-1403

John Ashton and Robert Hudson

Backtesting trading risk of commercial banks using expected shortfall pp. 1404-1415

Woon Wong

A flight to Q? Firm investment and financing in Korea before and after the 1997 financial crisis pp. 1416-1429

Peter Rousseau and Jong Hun Kim

Volume 32, issue 6, 2008

Information acquisition, coordination, and fundamentals in a financial crisis pp. 907-914

Maxim Nikitin and R. Todd Smith

Bank incentives and suboptimal lending decisions: Evidence from the valuation effect of bank loan announcements in Japan pp. 915-929

Jun-Koo Kang and Wei-Lin Liu

The information content of stock split announcements: Do options matter? pp. 930-946

Keh-Yiing Chern, Kishore Tandon, Susana Yu and Gwendolyn Webb

A tale of two prices: Liquidity and asset prices in multiple markets pp. 947-960

Justin S.P. Chan, Dong Hong and Marti G. Subrahmanyam

Ownership structure, corporate governance and analyst following: A study of French listed firms pp. 961-976

Sabri Boubaker and Florence Labégorre

Optimal delegated portfolio management with background risk pp. 977-985

Alexandre Baptista

On Haezendonck risk measures pp. 986-994

Fabio Bellini and Emanuela Rosazza Gianin

Bank stock returns and economic growth pp. 995-1007

Rebel Cole, Fariborz Moshirian and Qiongbing Wu

Regime dependent determinants of credit default swap spreads pp. 1008-1021

Carol Alexander and Andreas Kaeck

On measuring synchronization of bulls and bears: The case of East Asia pp. 1022-1035

Bertrand Candelon, Jan Piplack and Stefan Straetmans

Information asymmetry and investment-cash flow sensitivity pp. 1036-1048

Asli Ascioglu, Shantaram P. Hegde and John McDermott

Practical methods for measuring and managing operational risk in the financial sector: A clinical study pp. 1049-1061

Ariane Chapelle, Yves Crama, Georges Hübner and Jean-Philippe Peters

Credit rating dynamics and Markov mixture models pp. 1062-1075

Halina Frydman and Til Schuermann

Monetary policy news and exchange rate responses: Do only surprises matter? pp. 1076-1086

Rasmus Fatum and Barry Scholnick

Optimal portfolios when volatility can jump pp. 1087-1097

Nicole Branger, Christian Schlag and Eva Schneider

The causal effect of board size in the performance of small and medium-sized firms pp. 1098-1109

Morten Bennedsen, Hans Christian Kongsted and Kasper Meisner Nielsen

Can subordinated debt constrain banks' risk taking? pp. 1110-1119

Jijun Niu

Are there long-run implications of analyst coverage for IPOs? pp. 1120-1132

Daniel Bradley, Konan Chan, Joonghyuk Kim and Ajai Singh

Liquidity, default, taxes, and yields on municipal bonds pp. 1133-1149

Junbo Wang, Chunchi Wu and Frank X. Zhang

Unraveling the complex interrelationships between exchange rates and fundamentals pp. 1150-1160

Austin Murphy and Zhu, Yun (Ellen)

Finance and development: Is Schumpeter's analysis still relevant? pp. 1161-1175

Giancarlo Bertocco

Volume 32, issue 5, 2008

Bounds and prices of currency cross-rate options pp. 631-642

San-Lin Chung and Yaw-Huei Wang

Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits pp. 643-653

Soosung Hwang, Aneel Keswani and Mark B. Shackleton

Minimum variance hedging when spot price changes are partially predictable pp. 654-663

Louis H. Ederington and Jesus M. Salas

The behaviour of the real exchange rate: Evidence from regression quantiles pp. 664-679

Kleopatra Nikolaou

Do Federal Home Loan Bank membership and advances increase bank risk-taking? pp. 680-698

Dusan Stojanovic, Mark D. Vaughan and Timothy J. Yeager

Asset restructuring strategies in bank acquisitions: Does distance between dealing partners matter? pp. 699-713

Pietro Alessandrini, Giorgio Calcagnini and Alberto Zazzaro

The economic determinants of interest rate option smiles pp. 714-728

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Do Euro exchange rates follow a martingale? Some out-of-sample evidence pp. 729-740

Jian Yang, Xiaojing Su and James W. Kolari

Hedge fund pricing and model uncertainty pp. 741-753

Spyridon D. Vrontos, Ioannis D. Vrontos and Daniel Giamouridis

Equity market timing and capital structure: International evidence pp. 754-766

Arvind Mahajan and Semih Tartaroglu

Nonlinear mean reversion in stock prices pp. 767-782

Turan G. Bali, K. Ozgur Demirtas and Haim Levy

Do banks overstate their Value-at-Risk? pp. 783-794

Christophe Perignon, Zi Yin Deng and Zhi Jun Wang

Share reacquisitions, surplus cash, and agency problems pp. 795-806

Dennis Oswald and Steven Young

Equity market information, bank holding company risk, and market discipline pp. 807-819

Timothy J. Curry, Gary Fissel and Gerald A. Hanweck

An examination of Value Line's long-term projections pp. 820-833

Andrew C. Szakmary, C. Mitchell Conover and Carol Lancaster

Bank efficiency and foreign ownership: Do good institutions matter? pp. 834-844

Robert Lensink, Aljar Meesters and Ilko Naaborg

Executive option exercises and financial misreporting pp. 845-857

Natasha Burns and Simi Kedia

What drives credit dollarization in transition economies? pp. 858-869

Alina Luca and Iva Petrova

Operational risk pp. 870-879

Robert Jarrow

The value of shorting pp. 880-891

Roland Nilsson

An analysis of the implications of uncertainty and agency problems on the wealth effects to acquirers of private firms pp. 892-905

Tomas Mantecon

Volume 32, issue 4, 2008

Financial globalization and growth pp. 471-471

Fariborz Moshirian

Globalisation, growth and institutions pp. 472-479

Fariborz Moshirian

Accounting and capital market measures of risk: Evidence from Asian banks during 1998-2003 pp. 480-488

Agusman Agusman, Gary S. Monroe, Dominic Gasbarro and J.K. Zumwalt

The Samuelson hypothesis in futures markets: An analysis using intraday data pp. 489-500

Huu Nhan Duong and Petko S. Kalev

Monetary policy transparency and pass-through of retail interest rates pp. 501-511

Ming-Hua Liu, Dimitri Margaritis and Alireza Tourani-Rad

Stock exchange demutualization, self-listing and performance: The case of the Australian Stock Exchange pp. 512-525

Isaac Otchere and Khaled Abou-Zied

Is it the weather? pp. 526-540

Ben Jacobsen and Wessel Marquering

Momentum profits and time-varying unsystematic risk pp. 541-558

Xiafei Li, Joëlle Miffre, Chris Brooks and Niall O'Sullivan

"Hot Hands" in bond funds pp. 559-572

Joop Huij and Jeroen Derwall

Detecting abnormal credit union performance pp. 573-586

Keldon Bauer

The informational content of unsolicited ratings pp. 587-599

Patrick Behr and André Güttler

Further analysis of the expectations hypothesis using very short-term rates pp. 600-613

Craig R. Brown, Ken B. Cyree, Mark D. Griffiths and Drew B. Winters

Modelling the term structure of interest rates: An efficient nonparametric approach pp. 614-623

Lourdes Gómez-Valle and Marti­nez-Rodri­guez, Julia

A note on Chui, Gai and Haldane's "Sovereign liquidity crisis: Analytics and implications for public policy" pp. 624-629

Dina Dreisbach and Fabian Kindermann

Volume 32, issue 3, 2008

How do policy and information shocks impact co-movements of China's T-bond and stock markets? pp. 347-359

Xiao-Ming Li and Li-Ping Zou

Do improvements in government quality necessarily reduce the incidence of costly sudden stops? pp. 360-373

Adam Honig

On the empirics of international smoothing pp. 374-381

Pierfederico Asdrubali and Soyoung Kim

Optimal pension insurance design pp. 382-392

Trond Døskeland and Helge Nordahl

Investment principles for individual retirement accounts pp. 393-404

A.G. Malliaris and Mary Malliaris

Does liberalization reduce agency costs? Evidence from the Indian banking sector pp. 405-419

Chinmoy Ghosh, John Harding and B.V. Phani

Cross-listing and liquidity in emerging market stocks pp. 420-433

Ana Cristina Silva and Gonzalo A. Chávez

Improving performance of corporate rating prediction models by reducing financial ratio heterogeneity pp. 434-446

Martin Niemann, Jan Hendrik Schmidt and Max Neukirchen

The evolution of the January effect pp. 447-457

Nicholas Moller and Shlomo Zilca

Credit booms, monetary integration and the new neoclassical synthesis pp. 458-470

Peter Backé and Cezary Wójcik

Volume 32, issue 2, 2008

Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets pp. 187-198

Donald Lien and Li Yang

Relative deviation metrics and the problem of strategy replication pp. 199-206

Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli and Frank Fabozzi

The impact of capital market imperfections on investment-cash flow sensitivity pp. 207-216

Senay Agca and Abon Mozumdar

Cross-country determinants of bank income smoothing by managing loan-loss provisions pp. 217-228

Ana Rosa Fonseca and Francisco González

Optimal strike prices of stock options for effort-averse executives pp. 229-239

Oded Palmon, Sasson Bar-Yosef, Ren-Raw Chen and Itzhak Venezia

Preferred habitat for liquidity in international short-term interest rates pp. 240-250

Vladimir Kotomin, Stanley D. Smith and Drew B. Winters

Overnight information and stochastic volatility: A study of European and US stock exchanges pp. 251-268

Ilias Tsiakas

The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR pp. 269-282

Turan G. Bali, Hengyong Mo and Yi Tang

Pricing options on scenario trees pp. 283-298

Nikolas Topaloglou, Hercules Vladimirou and Stavros Zenios

Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data pp. 299-310

Marco Arena

Factorization of European and American option prices under complete and incomplete markets pp. 311-325

Alfredo Ibáñez

Hedging index exchange traded funds pp. 326-337

Carol Alexander and A. Barbosa

A note on foreign bank ownership and monitoring: An international comparison pp. 338-345

Mark Bertus, John S. Jahera and Keven Yost

Volume 32, issue 1, 2008

Dynamics of insurance markets: Structure, conduct, and performance in the 21st century pp. 1-3

John Cummins and Georges Dionne

Insurance market mechanisms and government interventions pp. 4-14

Denis Kessler

Cross-border M&As in the financial sector: Is banking different from insurance pp. 15-29

Dario Focarelli and Alberto Pozzolo

Mergers and acquisitions in the US property-liability insurance industry: Productivity and efficiency effects pp. 30-55

John Cummins and Xiaoying Xie

Consolidation and value creation in the insurance industry: The role of governance pp. 56-68

Narjess Boubakri, Georges Dionne and Thouraya Triki

On the pricing of intermediated risks: Theory and application to catastrophe reinsurance pp. 69-85

Kenneth Froot and Paul G.J. O'Connell

Market structure and the efficiency of European insurance companies: A stochastic frontier analysis pp. 86-100

Paul Fenn, Dev Vencappa, Stephen Diacon, Paul Klumpes and Christopher O'Brien

Reinsurance and corporate taxation in the United Kingdom life insurance industry pp. 101-115

Mike Adams, Philip Hardwick and Hong Zou

Regulator performance, regulatory environment and outcomes: An examination of insurance regulator career incentives on state insurance markets pp. 116-133

Martin Grace and Richard Phillips

State regulation and the structure, conduct, efficiency and performance of US auto insurers pp. 134-156

Mary Weiss and Byeongyong Paul Choi

"Crises" in medical malpractice insurance: Evidence of excessive price-cutting in the preceding soft market pp. 157-169

Scott E. Harrington, Patricia Danzon and Andrew J. Epstein

Providers' affiliation, insurance and collusion pp. 170-186

Jean-Marc Bourgeon, Pierre Picard and Jerome Pouyet