Journal of Banking & Finance

1977 - 2025

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

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

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

Pavel A. Stoimenov and Sascha Wilkens

An examination of alternative CAPM-based models in UK stock returns pp. 2995-3014

Jonathan Fletcher and Joseph Kihanda

Industry aspects of takeovers and divestitures: Evidence from the UK pp. 3015-3040

Ronan Powell and Alfred Yawson

The dynamics of dealer markets and trading costs pp. 3041-3059

Kee H. Chung and Youngsoo Kim

Capital market equilibrium with externalities, production and heterogeneous agents pp. 3061-3073

Andrea Beltratti

Sources of liquidity for NYSE-listed non-US stocks pp. 3075-3098

Jeffrey M. Bacidore, Robert Battalio, Neal Galpin and Robert Jennings

How should Central Banks determine and control their bank note inventory? pp. 3099-3119

Nadia Massoud

Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities pp. 3121-3140

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

Tao-Hsien Dolly King and Kenneth Khang

Empirical credit cycles and capital buffer formation pp. 3159-3179

Siem Jan Koopman, Andre Lucas and Pieter Klaassen

Comment on "Optimal portfolio selection in a value-at-risk framework" pp. 3181-3185

Hung-Hsi Huang

Volume 29, issue 11, 2005

Thirty years of continuous-time finance pp. 2699-2699

Giovanni Barone-Adesi

From measure changes to time changes in asset pricing pp. 2701-2722

Hélyette Geman

Unspanned stochastic volatility and fixed income derivatives pricing pp. 2723-2749

Jaime Casassus, Pierre Collin-Dufresne and Bob Goldstein

Credit risk modeling with affine processes pp. 2751-2802

Darrell Duffie

Large traders, hidden arbitrage, and complete markets pp. 2803-2820

Robert Jarrow and Philip Protter

Intertemporal asset allocation: A comparison of methods pp. 2821-2848

Jerome Detemple, René Garcia and Marcel Rindisbacher

Asset pricing with heterogeneous beliefs pp. 2849-2881

Suleyman Basak

Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models pp. 2883-2907

Andrea Buraschi and Francesco Corielli

The saga of the American put pp. 2909-2918

Giovanni Barone-Adesi

Volume 29, issue 10, 2005

An appreciation of Lawrence G. Goldberg pp. 2407-2408

A. Saunders

Employee stock options as warrants pp. 2409-2433

Allan C. Eberhart

Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk pp. 2435-2454

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

Ingyu Chiou and Lawrence White

Dynamic stock market integration driven by the European Monetary Union: An empirical analysis pp. 2475-2502

Suk-Joong Kim, Fariborz Moshirian and Eliza Wu

The implied jump risk of LIBOR rates pp. 2503-2522

Lim Kian Guan, Christopher Ting and Mitch Warachka

Rational bubbles or persistent deviations from market fundamentals? pp. 2523-2539

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

Daniel Thornton

Banks, financial markets, and social welfare pp. 2557-2575

Francois Marini

Measuring systemic risk: A risk management approach pp. 2577-2603

Alfred Lehar

Is learning a dimension of risk? pp. 2605-2632

Massimo Massa and Andrei Simonov

A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach pp. 2633-2654

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

Bradley Ewing and Farooq Malik

Investor protection, prospect theory, and earnings management: An international comparison of the banking industry pp. 2675-2697

Chung-Hua Shen and Hsiang-Lin Chih

Volume 29, issue 8-9, 2005

Introduction to the special issue on bank privatization pp. 1903-1904

George Clarke, Robert Cull and William Megginson

Bank privatization in developing countries: A summary of lessons and findings pp. 1905-1930

George Clarke, Robert Cull and Mary M. Shirley

The economics of bank privatization pp. 1931-1980

William L. Megginson

Bank privatization in developing and developed countries: Cross-sectional evidence on the impact of economic and political factors pp. 1981-2013

Ekkehart Boehmer, Robert C. Nash and Jeffry M. Netter

Privatization and bank performance in developing countries pp. 2015-2041

Narjess Boubakri, Jean-Claude Cosset, Klaus Fischer and Omrane Guedhami

Returns to acquirers of privatizing financial services firms: An international examination pp. 2043-2065

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

Isaac Otchere

Corporate valuation and the resolution of bank insolvency in East Asia pp. 2095-2118

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

Jonathan Williams and Nghia Nguyen

Privatization matters: Bank efficiency in transition countries pp. 2155-2178

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

Allen Berger, George Clarke, Robert Cull, Leora Klapper and Gregory Udell

State bank transformation in Brazil - choices and consequences pp. 2223-2257

Thorsten Beck, Juan Miguel Crivelli and William Summerhill

Bank privatization and productivity: Evidence for Brazil pp. 2259-2289

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

Zhian Chen, Donghui Li and Fariborz Moshirian

Mexico's experiments with bank privatization and liberalization, 1991-2003 pp. 2325-2353

Stephen Haber

Bank privatization and performance: Empirical evidence from Nigeria pp. 2355-2379

Thorsten Beck, Robert Cull and Afeikhena Jerome

Financial sector liberalization, bank privatization, and efficiency: Evidence from Pakistan pp. 2381-2406

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

Latha Shanker and Narayanaswamy Balakrishnan

Some evidence of random walk behavior of Euro exchange rates using ranks and signs pp. 1631-1643

Jorge Belaire-Franch and Kwaku K. Opong

Information-based trading, price impact of trades, and trade autocorrelation pp. 1645-1669

Kee H. Chung, Mingsheng Li and Thomas McInish

Firm characteristics and the impact of emerging market liberalizations pp. 1671-1695

Dilip K. Patro and John K. Wald

Dollarization of bank deposits: Causes and consequences pp. 1697-1727

Gianni De Nicolo, Patrick Honohan and Alain Ize

The relationship between short interest and stock returns in the Canadian market pp. 1729-1749

Lucy Ackert and George Athanassakos

International evidence on ethical mutual fund performance and investment style pp. 1751-1767

Rob Bauer, Kees Koedijk and Roger Otten

The effects of war risk on US financial markets pp. 1769-1789

Roberto Rigobon and Brian Sack

Does judicial efficiency lower the cost of credit? pp. 1791-1812

Luc Laeven and Giovanni Majnoni

Multiple large shareholders and firm value pp. 1813-1834

Benjamin Maury and Anete Pajuste

Ownership and operating performance of Chinese IPOs pp. 1835-1856

Changyun Wang

Commitment or entrenchment?: Controlling shareholders and board composition pp. 1857-1885

Yin-Hua Yeh and Tracie Woidtke

Share price performance following actual share repurchases pp. 1887-1901

Hua Zhang

Volume 29, issue 6, 2005

Comparing possible proxies of corporate bond liquidity pp. 1331-1358

Patrick Houweling, Albert Mentink and Ton Vorst

Complete markets, informed trading and equity option introductions pp. 1359-1384

Robert Faff and David Hillier

What causes mean reversion in corporate bond index spreads? The impact of survival pp. 1385-1403

Karan Bhanot

Real options, agency conflicts, and optimal capital structure pp. 1405-1428

David C. Mauer and Sudipto Sarkar

The information frown in option prices pp. 1429-1457

Louis Ederington and Wei Guan

Corporate governance and manager turnover: An unusual social experiment pp. 1459-1481

Varouj Aivazian, Ying Ge and Jiaping Qiu

Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange pp. 1483-1508

Hee-Joon Ahn, Jun Cai, Yasushi Hamao and Richard Y.K. Ho

Cash-flow shortage as an endogenous bankruptcy reason pp. 1509-1534

Marliese Uhrig-Homburg

Evaluating implied RNDs by some new confidence interval estimation techniques pp. 1535-1557

Magnus Andersson and Magnus Lomakka

Stock market returns: A note on temperature anomaly pp. 1559-1573

Melanie Cao and Jason Wei

Relative default rates on corporate loans and bonds pp. 1575-1584

Kenneth M. Emery and Richard Cantor

The impact of junior debt issuance on senior unsecured debt's risk premiums pp. 1585-1609

Scott Linn and Duane R. Stock

Volume 29, issue 5, 2005

Multivariate term structure models with level and heteroskedasticity effects pp. 1037-1057

Charlotte Christiansen

The lender of last resort pp. 1059-1082

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

Paolo Coccorese

The use of stand alone warrants as unique capital raising instruments pp. 1095-1112

Jo-Ann Suchard

Deregulation, technological change, and the business-lending performance of large and small banks pp. 1113-1130

David Carter and James E. McNulty

Declining required reserves, funds rate volatility, and open market operations pp. 1131-1152

Selva Demiralp and Dennis Farley

Bank regulation and risk-taking incentives: An international comparison of bank risk pp. 1153-1184

Francisco Gonzalez

Executive stock options and incentive effects due to systematic risk pp. 1185-1211

Jin-Chuan Duan and Jason Wei

The relationship between default prediction and lending profits: Integrating ROC analysis and loan pricing pp. 1213-1236

Roger M. Stein

Price and volume effects of changes in MSCI indices - nature and causes pp. 1237-1264

Rajesh Chakrabarti, Wei Huang, Narayanan Jayaraman and Jinsoo Lee

General equilibrium pricing of CPI derivatives pp. 1265-1294

Abraham Lioui and Patrice Poncet

The entry and the activity level of foreign banks in Italy: An analysis of the determinants pp. 1295-1310

Silvia Magri, Alessandra Mori and Paola Rossi

Intraday price reversals in the US stock index futures market: A 15-year study pp. 1311-1327

James L. Grant, Avner Wolf and Susana Yu

Volume 29, issue 4, 2005

Introduction pp. 801-802

Giovanni Barone Adesi

The simple economics of bank fragility pp. 803-825

Casper de Vries

Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development pp. 827-851

T. Di Matteo, T. Aste and Michel Dacorogna

On the significance of expected shortfall as a coherent risk measure pp. 853-864

Koji Inui and Masaaki Kijima

Migration correlation: Definition and efficient estimation pp. 865-894

Patrick Gagliardini and Christian Gourieroux

Reward-risk portfolio selection and stochastic dominance pp. 895-926

Enrico De Giorgi

Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements pp. 927-958

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

Francesco Audrino and Giovanni Barone-Adesi

Coherent risk measures under filtered historical simulation pp. 979-996

Kostas Giannopoulos and Radu Tunaru

Value-at-risk versus expected shortfall: A practical perspective pp. 997-1015

Yasuhiro Yamai and Toshinao Yoshiba

The choice of the distribution of asset returns: How extreme value theory can help? pp. 1017-1035

Francois Longin

Volume 29, issue 3, 2005

Global diversification and bidder gains: A comparison between cross-border and domestic acquisitions pp. 533-564

Sara B. Moeller and Frederik P. Schlingemann

A note on execution costs for stock index futures: Information versus liquidity effects pp. 565-577

Henk Berkman, Tim Brailsford and Alex Frino

Consumption habit and international stock returns pp. 579-601

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

Steven X. Wei and Chu Zhang

Portfolio performance measurement using APM-free kernel models pp. 623-659

Mohamed A. Ayadi and Lawrence Kryzanowski

The value of asset allocation advice: Evidence from The Economist's quarterly portfolio poll pp. 661-680

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

Moshe Kim, Eirik Kristiansen and Bent Vale

Pricing and hedging interest rate options: Evidence from cap-floor markets pp. 701-733

Anurag Gupta and Marti G. Subrahmanyam

Privatization under incomplete information and bankruptcy risk pp. 735-757

Sanjay Banerji and Vihang R. Errunza

Incentives for risk-taking in banking - A unified approach pp. 759-777

Thomas Jeitschko and Shin Dong Jeung

The effect of UK building society conversion on pricing behaviour pp. 779-797

Shelagh Heffernan

Volume 29, issue 2, 2005

Banking and commerce: A liquidity approach pp. 271-294

Joseph G. Haubrich and Joao A. C. Santos

Venture capitalist value-added activities, fundraising and drawdowns pp. 295-331

Douglas Cumming, Grant Fleming and Jo-Ann Suchard

Risk and hedging: Do credit derivatives increase bank risk? pp. 333-345

Norvald Instefjord

Are TIPS the "real" deal?: A conditional assessment of their role in a nominal portfolio pp. 347-368

Delroy M. Hunter and David P. Simon

Information content of bank loan announcements to Asian corporations during periods of economic uncertainty pp. 369-389

Brian Boscaljon and Chia-Cheng Ho

Asymmetric return dynamics and technical trading strategies pp. 391-418

Kiseok Nam, Kenneth M. Washer and Quentin C. Chu

Has competition in the Japanese banking sector improved? pp. 419-439

Hirofumi Uchida and Yoshiro Tsutsui

The near-collapse of LTCM, US financial stock returns, and the fed pp. 441-460

M. Humayun Kabir and M. Kabir Hassan

Bank lending and property prices in Hong Kong pp. 461-481

Stefan Gerlach and Wensheng Peng

Sweep programs and optimal monetary aggregation pp. 483-508

Barry Jones, Donald Dutkowsky and Thomas Elger

The role of non-financial factors in internal credit ratings pp. 509-531

Jens Grunert, Lars Norden and Martin Weber

Volume 29, issue 1, 2005

Introduction to the Symposium Issue pp. 1-4

Paul Wachtel

The direct and indirect impact of bank privatization and foreign entry on access to credit in Argentina's provinces pp. 5-29

George Clarke, Juan Miguel Crivelli and Robert Cull

Bank performance, efficiency and ownership in transition countries pp. 31-53

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

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

Carlo Cottarelli, Giovanni Dell'ariccia and Ivanna Vladkova-Hollar

Does speed kill? Lending booms and their consequences in Croatia pp. 105-121

Evan Kraft and Ljubinko Jankov

Why should the portfolios of mandatory, private pension funds be captive? (The foreign investment question) pp. 123-141

George de Menil

Banking crises and the design of safety nets pp. 143-159

Glenn Hoggarth, Patricia Jackson and Erlend Nier

Who pays for bank insolvency in transition and emerging economies? pp. 161-181

David Mayes

Monetary policy transmission, interest rate rules and inflation targeting in three transition countries pp. 183-201

Roberto Golinelli and Riccardo Rovelli

Monetary convergence of the EU accession countries to the eurozone: A theoretical framework and policy implications pp. 203-225

Lucjan Orlowski

The determination of capital controls: Which role do exchange rate regimes play? pp. 227-248

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

Josef Brada, Ali Kutan and Su Zhou