Journal of Banking & Finance

1977 - 2025

Current editor(s): Ike Mathur

From Elsevier
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Volume 30, issue 12, 2006

A pioneer in Finance: Marshal Samat, 1929-2006 pp. iii-iv

Giorgio Szego

Introduction: Crises, financial stability and macroeconomic policy. Papers from the 11th Dubrovnik Economic Conference pp. 3257-3258

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

Juergen von Hagen and Guntram Wolff

Fiscal adjustment in EU countries: A balance sheet approach pp. 3281-3298

Gian Maria Milesi-Ferretti and Kenji Moriyama

The role of foreign currency debt in financial crises: 1880-1913 versus 1972-1997 pp. 3299-3329

Michael Bordo and Christopher Meissner

Decomposing the effects of financial liberalization: Crises vs. growth pp. 3331-3348

Romain Ranciere, Aaron Tornell and Frank Westermann

Pricing growth-indexed bonds pp. 3349-3366

Marcos Chamon and Paolo Mauro

M&As performance in the European financial industry pp. 3367-3392

Jose Campa and Ignacio Hernando

Real exchange rates in small open OECD and transition economies: Comparing apples with oranges? pp. 3393-3406

Balázs Égert, Kirsten Lommatzsch and Amina Lahreche-Revil

Monetary and financial stability: Here to stay? pp. 3407-3414

Claudio Borio

A framework for assessing financial stability? pp. 3415-3422

C.A.E. Goodhart

Financial stability: A worthy goal, but how feasible? pp. 3423-3427

Stephen S. Poloz

Economic growth and the stability and efficiency of the financial sector pp. 3429-3432

Mario I. Blejer

Market discipline and deposit insurance reform in Japan pp. 3433-3452

Masami Imai

Earnings management at rights issues thresholds--Evidence from China pp. 3453-3468

Qiao Yu, Bin Du and Qian Sun

Extreme spectral risk measures: An application to futures clearinghouse margin requirements pp. 3469-3485

John Cotter and Kevin Dowd

Market structure and competitive conditions in the Arab GCC banking system pp. 3487-3501

Saeed Al-Muharrami, Kent Matthews and Yusuf Khabari

The impact of mean reversion of bank profitability on post-merger performance in the banking industry pp. 3503-3517

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

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

Thorsten Beck and Asli Demirguc-Kunt

A more complete conceptual framework for SME finance pp. 2945-2966

Allen Berger and Gregory Udell

Business environment and the incorporation decision pp. 2967-2993

Asli Demirguc-Kunt, Inessa Love and Vojislav Maksimovic

The influence of financial and legal institutions on firm size pp. 2995-3015

Thorsten Beck, Asli Demirguc-Kunt and Vojislav Maksimovic

Historical financing of small- and medium-size enterprises pp. 3017-3042

Robert Cull, Lance E. Davis, Naomi R. Lamoreaux and Jean-Laurent Rosenthal

African SMES, networks, and manufacturing performance pp. 3043-3066

Tyler Biggs and Manju Kedia Shah

Business collateral and personal commitments in SME lending pp. 3067-3086

Wim Voordeckers and Tensie Steijvers

UK bank services for small business: How competitive is the market? pp. 3087-3110

Shelagh Heffernan

The role of factoring for financing small and medium enterprises pp. 3111-3130

Leora Klapper

On the estimation and comparison of short-rate models using the generalised method of moments pp. 3131-3146

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

Lucio Sarno and Giorgio Valente

Portfolio selection with a drawdown constraint pp. 3171-3189

Gordon Alexander and Alexandre Baptista

Interventions in the Yen-dollar spot market: A story of price, volatility and volume pp. 3191-3214

Suk-Joong Kim and Jeffrey Sheen

The wealth effect of forced bank mergers and cronyism pp. 3215-3233

Beng Chong, Ming-Hua Liu and Kok-Hui Tan

Estimation of rating class transition probabilities with incomplete data pp. 3235-3256

Thomas Mahlmann

Volume 30, issue 10, 2006

Introduction: Special section on operational risk pp. 2599-2604

John Cummins and Paul Embrechts

The market value impact of operational loss events for US banks and insurers pp. 2605-2634

John Cummins, Christopher M. Lewis and Ran Wei

Quantitative models for operational risk: Extremes, dependence and aggregation pp. 2635-2658

V. Chavez-Demoulin, P. Embrechts and J. Neslehova

Macroeconomic announcements and asymmetric volatility in bond returns pp. 2659-2680

Peter de Goeij and Wessel Marquering

International transmission of inflation among G-7 countries: A data-determined VAR analysis pp. 2681-2700

Jian Yang, Hui Guo and Zijun Wang

On time-scaling of risk and the square-root-of-time rule pp. 2701-2713

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

Joao A.C. Santos

A note on the non-convexity problem in some shopping-time and human-capital models pp. 2737-2745

Rubens Cysne

International stock-bond correlations in a simple affine asset pricing model pp. 2747-2765

Stefano d'Addona and Axel H. Kind

Diversification benefits and persistence of US-based global bond funds pp. 2767-2786

Sirapat Polwitoon and Oranee Tawatnuntachai

Investor monitoring and differences in mutual fund performance pp. 2787-2808

Christopher James and Jason Karceski

The strategic use of corporate venture financing for securing demand pp. 2809-2833

Yohanes Riyanto and Armin Schwienbacher

Credit channel, trade credit channel, and inventory investment: Evidence from a panel of UK firms pp. 2835-2856

Alessandra Guariglia and Simona Mateut

Scale economies, X-efficiency, and convergence of productivity among bank holding companies pp. 2857-2874

Michael K. Fung

Effects of large shareholding on information asymmetry and stock liquidity pp. 2875-2892

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

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

Jan Mahrt-Smith

Volume 30, issue 9, 2006

The history and performance of concept stocks pp. 2433-2469

Jim Hsieh and Ralph A. Walkling

Institutional ownership changes and returns around analysts' earnings forecast release events: Evidence from Taiwan pp. 2471-2488

An-Sing Chen and Bi-Shia Hong

An empirical evaluation of the overconfidence hypothesis pp. 2489-2515

Wen-I Chuang and Bong-Soo Lee

Large market shocks and abnormal closed-end-fund price behaviour pp. 2517-2535

Ana-Maria Fuertes and Dylan C. Thomas

Competition on the Nasdaq and the growth of electronic communication networks pp. 2537-2559

Jason Fink, Kristin E. Fink and James P. Weston

Retail deposit fees and multimarket banking pp. 2561-2578

Timothy H. Hannan

What explains household stock holdings? pp. 2579-2597

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

Kevin J. Stiroh and Adrienne Rumble

A credit risk model for large dimensional portfolios with application to economic capital pp. 2163-2197

Kaj Nystrom and Jimmy Skoglund

Volatility effects of institutional trading in foreign stocks pp. 2199-2214

Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang and Robert A. Wood

Factor based index tracking pp. 2215-2233

Francesco Corielli and Massimiliano Marcellino

Capital regulation, heterogeneous monitoring costs, and aggregate loan quality pp. 2235-2255

Kenneth J. Kopecky and David VanHoose

On the short-term predictability of exchange rates: A BVAR time-varying parameters approach pp. 2257-2279

Nicholas Sarantis

Confidence intervals for probabilities of default pp. 2281-2301

Samuel Hanson and Til Schuermann

Candlestick technical trading strategies: Can they create value for investors? pp. 2303-2323

Ben Marshall, Martin Young and Lawrence Rose

Valuation ratios and price deviations from fundamentals pp. 2325-2346

Jerry Coakley and Ana-Maria Fuertes

Portfolio implications of systemic crises pp. 2347-2369

Erik Kole, Kees Koedijk and Marno Verbeek

A note on efficiency and productivity growth in the Korean Banking Industry, 1992-2002 pp. 2371-2386

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

Stefano Galluccio and Andrea Roncoroni

The forward bias in the ECU: Peso risks vs. fads and fashions pp. 2409-2432

Piet Sercu and Tom Vinaimont

Volume 30, issue 7, 2006

Gerald O. Bierwag (February 4, 1936-February 15, 2005) pp. iii-iv

George Kaufman

Banking and finance in an integrating Europe pp. 1835-1837

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

Stefanie Kleimeier and Harald Sander

Dynamic depositor discipline in US banks pp. 1871-1898

Andrea M. Maechler and Kathleen M. McDill

Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies pp. 1899-1926

Tor Jacobson, Jesper Lindé and Kasper Roszbach

Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis pp. 1927-1952

Ralph De Haas and Iman Lelyveld

Bank efficiency: The role of bank strategy and local market conditions pp. 1953-1974

J. Bos and Clemens Kool

Efficiency of the Polish banking industry: Foreign versus domestic banks pp. 1975-1996

Olena Havrylchyk

System identification in noisy data environments: An application to six Asian stock markets pp. 1997-2024

Cornelis Los

The contribution of market makers to liquidity and efficiency of options trading in electronic markets pp. 2025-2040

Rafi Eldor, Shmuel Hauser, Batia Pilo and Itzik Shurki

Sovereign credit ratings: Guilty beyond reasonable doubt? pp. 2041-2062

Nada Mora

Realized volatility and transactions pp. 2063-2085

Choon Chat Chan and Wai Mun Fong

Time-varying risk premia and the cross section of stock returns pp. 2087-2107

Hui Guo

Dynamics of realized volatilities and correlations: An empirical study pp. 2109-2130

Rene Ferland and Simon Lalancette

Volume 30, issue 6, 2006

Frontiers in payment and settlement systems: Introduction pp. 1605-1612

Anthony Saunders and Barry Scholnick

What is in it for us? Network effects and bank payment innovation pp. 1613-1630

Alistair Milne

Benefits from a changing payment technology in European banking pp. 1631-1652

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

Paul S. Calem, Michael Gordy and Loretta Mester

Alternative measures of the Federal Reserve Banks' cost of equity capital pp. 1687-1711

Michelle Barnes and Jose Lopez

The effect of heterogeneous risk on the early adoption of Internet banking technologies pp. 1713-1725

Keldon Bauer and Scott E. Hein

How to fend off shoulder surfing pp. 1727-1751

Volker Roth and Kai Richter

Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data pp. 1753-1782

Simonetta Rosati and Stefania Secola

Economies of scale and technological development in securities depository and settlement systems pp. 1783-1806

Heiko Schmiedel, Markku Malkamaki and Juha Tarkka

Liquidity risk in securities settlement pp. 1807-1834

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

Paul Wachtel

The IMF in a world of private capital markets pp. 1335-1357

Barry Eichengreen, Kenneth Kletzer and Ashoka Mody

Equilibrium exchange rates in Central and Eastern Europe: A meta-regression analysis pp. 1359-1374

Balázs Égert and Laszlo Halpern

Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications pp. 1375-1391

Fabrizio Coricelli, Bostjan Jazbec and Igor Masten

Are labour markets in the new member states sufficiently flexible for EMU? pp. 1393-1407

Tito Boeri and Pietro Garibaldi

Capital structure policies in Europe: Survey evidence pp. 1409-1442

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

Leigh Drake, Maximilian J.B. Hall and Richard Simper

Monetary transmission via the administered interest rates channel pp. 1467-1484

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

Huimin Chung

Evolution of international stock and bond market integration: Influence of the European Monetary Union pp. 1507-1534

Suk-Joong Kim, Fariborz Moshirian and Eliza Wu

Time and dynamic volume-volatility relation pp. 1535-1558

Xiaoqing Eleanor Xu, Peter Chen and Chunchi Wu

International corporate investment and the relationships between financial constraint measures pp. 1559-1580

Sean Cleary

Bank concentration, competition, and crises: First results pp. 1581-1603

Thorsten Beck, Asli Demirguc-Kunt and Ross Levine

Volume 30, issue 4, 2006

Editorial pp. 1055-1056

Fariborz Moshirian

Aspects of international financial services pp. 1057-1064

Fariborz Moshirian

Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry pp. 1065-1102

Allen Berger and Emilia Bonaccorsi di Patti

Bank portfolio exposure to emerging markets and its effects on bank market value pp. 1103-1126

Gary Fissel, Lawrence Goldberg and Gerald A. Hanweck

The X-efficiency of commercial banks in Hong Kong pp. 1127-1147

Simon Kwan

Real effective exchange rate volatility and growth: A framework to measure advantages of flexibility vs. costs of volatility pp. 1149-1169

Michele Bagella, Leonardo Becchetti and Iftekhar Hasan

Nonlinear term structure dependence: Copula functions, empirics, and risk implications pp. 1171-1199

Markus Junker, Alex Szimayer and Niklas Wagner

A further look at household portfolio choice and health status pp. 1201-1217

Michael Berkowitz and Jiaping Qiu

Bank loan losses-given-default: A case study pp. 1219-1243

Jean Dermine and C. Neto de Carvalho

Hedging the value of waiting pp. 1245-1267

Glenn Boyle and Graeme Guthrie

A comprehensive analysis of the short-term interest-rate dynamics pp. 1269-1290

Turan G. Bali and Liuren Wu

Capital structure and political patronage: The case of Malaysia pp. 1291-1308

Donald R. Fraser, Hao Zhang and Chek Derashid

Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union pp. 1309-1332

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

Douglas W. Dwyer and Roger M. Stein

Hedging volatility risk pp. 811-821

Menachem Brenner, Ernest Y. Ou and Jin E. Zhang

Downside risk and asset pricing pp. 823-849

Thierry Post and Pim Vliet

Economic benefit of powerful credit scoring pp. 851-873

Andreas Blochlinger and Markus Leippold

Estimating product market competition: Methodology and application pp. 875-894

Simi Kedia

Investment and financing activity following calls of convertible bonds pp. 895-914

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

Carl R. Chen, Thomas L. Steiner and Ann Marie Whyte

Corporate governance, shareholder rights and firm diversification: An empirical analysis pp. 947-963

Pornsit Jiraporn, Young Kim, Wallace N. Davidson and Manohar Singh

Deposit insurance and international bank liabilities pp. 965-987

Harry Huizinga and Gaëtan Nicodème

Valuation impact of Sarbanes-Oxley: Evidence from disclosure and governance within the financial services industry pp. 989-1006

Aigbe Akhigbe and Anna D. Martin

Reactions of Japanese markets to changes in credit ratings by global and local agencies pp. 1007-1021

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

Wataru Ohta

A note on the "risk-adjusted" price-concentration relationship in banking pp. 1041-1054

Elijah Brewer and William E. Jackson

Volume 30, issue 2, 2006

Risk management and optimization in finance pp. 315-315

Pavlo Krokhmal, R. Tyrrell Rockafellar and Stan Uryasev

Dynamic portfolio selection with process control pp. 317-339

Leonard MacLean, Yonggan Zhao and William Ziemba

An approximation method for analysis and valuation of credit correlation derivatives pp. 341-364

Masahiko Egami and Kian Esteghamat

Multi-period stochastic optimization models for dynamic asset allocation pp. 365-390

Norio Hibiki

Interaction of credit and liquidity risks: Modelling and valuation pp. 391-407

Harry Zheng

Pricing methods and hedging strategies for volatility derivatives pp. 409-431

H. Windcliff, P.A. Forsyth and K.R. Vetzal

Portfolio optimization with stochastic dominance constraints pp. 433-451

Darinka Dentcheva and Andrzej Ruszczynski

The magnitude of a market crash can be predicted pp. 453-462

S.Y. Novak and J. Beirlant

Optimal credit limit management under different information regimes pp. 463-487

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

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

David P. Morton, Elmira Popova and Ivilina Popova

A moment computation algorithm for the error in discrete dynamic hedging pp. 519-540

James A. Primbs and Yuji Yamada

Utility-based performance measures for regression models pp. 541-560

Craig Friedman and Sven Sandow

The hidden dangers of historical simulation pp. 561-582

Matthew Pritsker

Minimizing CVaR and VaR for a portfolio of derivatives pp. 583-605

S. Alexander, T.F. Coleman and Y. Li

Implied migration rates from credit barrier models pp. 607-626

Claudio Albanese and Oliver X. Chen

Applying CVaR for decentralized risk management of financial companies pp. 627-644

John M. Mulvey and Hafize G. Erkan

Asset and liability management for insurance products with minimum guarantees: The UK case pp. 645-667

Andrea Consiglio, David Saunders and Stavros Zenios

Portfolio selection using hierarchical Bayesian analysis and MCMC methods pp. 669-678

Alex Greyserman, Douglas H. Jones and William E. Strawderman

Economy-wide bond default rates: A maximum expected utility approach pp. 679-693

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

Georg Ch. Pflug

Integrating market and credit risk: A simulation and optimisation perspective pp. 717-742

Norbert J. Jobst, Gautam Mitra and Stavros Zenios

Master funds in portfolio analysis with general deviation measures pp. 743-778

R. Tyrrell Rockafellar, Stan Uryasev and Michael Zabarankin

Analysis of criteria VaR and CVaR pp. 779-796

Andrey I. Kibzun and Evgeniy A. Kuznetsov

Volume 30, issue 1, 2006

Collateral-based lending in emerging markets: Evidence from Thailand pp. 1-21

Lukas Menkhoff, Doris Neuberger and Chodechai Suwanaporn

Discrete versus continuous state switching models for portfolio credit risk pp. 23-35

Andre Lucas and Pieter Klaassen

Payout policy, taxes, and the relation between returns and the bid-ask spread pp. 37-58

Aron A. Gottesman and Gady Jacoby

The impact of bank entry in the Japanese corporate bond underwriting market pp. 59-83

Sumiko Takaoka and Colin McKenzie

Investment banker reputation and two-stage combination carve-outs and spin-offs pp. 85-110

Thomas H. Thompson and Vince Apilado

Gains from structured product markets: The case of reverse-exchangeable securities (RES) pp. 111-132

Bruce A. Benet, Antoine Giannetti and Seema Pissaris

Immunization using a stochastic-process independent multi-factor model: The Portuguese experience pp. 133-156

Jorge Bravo and Carlos Manuel Pereira da Silva

Issue costs in the Eurobond market: The effects of market integration pp. 157-177

Arie Melnik and Doron Nissim

Are labor-saving technologies lowering employment in the banking industry? pp. 179-198

Michael K. Fung

Access to external finance: Theory and evidence on the impact of monetary policy and firm-specific characteristics pp. 199-227

Spiros Bougheas, Paul Mizen and Cihan Yalcin

Taxes and dividend clientele: Evidence from trading and ownership structure pp. 229-246

Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam

Fitting prices with a complete model pp. 247-258

Gianna Figà-Talamanca and Maria Guerra

Bank capital and loan asymmetry in the transmission of monetary policy pp. 259-285

Ruby P. Kishan and Timothy Opiela

Unconditional return disturbances: A non-parametric simulation approach pp. 287-314

Robert G. Tompkins and Rita L. D'Ecclesia