Journal of Banking & Finance

1977 - 2025

Current editor(s): Ike Mathur

From Elsevier
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Volume 28, issue 12, 2004

Market- vs. bank-based financial systems: Do rights and regulations really matter? pp. 2869-2887

Ozgur Ergungor

The unintended consequences of grouping in tests of asset pricing models pp. 2889-2914

Robert R. Grauer and John Janmaat

On the way to recovery: A nonparametric bias free estimation of recovery rate densities pp. 2915-2931

Olivier Renault and Olivier Scaillet

An analysis of IMF-induced moral hazard pp. 2933-2956

Barbara Dobeli and Paolo Vanini

Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects pp. 2957-2980

Carol Alexander

Penny pricing and the components of spread and depth changes pp. 2981-3007

Kee H. Chung, Charlie Charoenwong and David Ding

Cyclical correlations, credit contagion, and portfolio losses pp. 3009-3036

Kay Giesecke and Stefan Weber

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico pp. 3037-3054

Maosen Zhong, Ali F. Darrat and Rafael Otero

A note on the expectations hypothesis at the founding of the Fed pp. 3055-3068

Clemens Kool and Daniel Thornton

The impact of CRA agreements on community banks pp. 3069-3095

Raphael Bostic and Breck L. Robinson

Debtor-in-possession financing pp. 3097-3111

Sris Chatterjee, Upinder S. Dhillon and Gabriel Ramirez

The effect of organizational structure on efficiency: Evidence from the Spanish insurance industry pp. 3113-3150

John Cummins, Maria Rubio-Misas and Hongmin Zi

Underpricing and aftermarket performance of American depositary receipts (ADR) IPOs pp. 3151-3186

Demissew Diro Ejara and Chinmoy Ghosh

Volume 28, issue 11, 2004

An introduction to recent research on credit ratings pp. 2565-2573

Richard Cantor

Confidence sets for continuous-time rating transition probabilities pp. 2575-2602

Jens Christensen, Ernst Hansen and David Lando

Measurement, estimation and comparison of credit migration matrices pp. 2603-2639

Yusuf Jafry and Til Schuermann

Are credit ratings procyclical? pp. 2641-2677

Jeffery D. Amato and Craig H. Furfine

How rating agencies achieve rating stability pp. 2679-2714

Edward Altman and Herbert A. Rijken

Ratings versus market-based measures of default risk in portfolio governance pp. 2715-2746

Gunter Loffler

Factors affecting the valuation of corporate bonds pp. 2747-2767

Edwin J. Elton, Martin J. Gruber, Deepak Agrawal and Christopher Mann

On the consistency of ratings and bond market yields pp. 2769-2788

William Perraudin and Alex P. Taylor

The relationship between credit default swap spreads, bond yields, and credit rating announcements pp. 2789-2811

John Hull, Mirela Predescu and Alan White

Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements pp. 2813-2843

Lars Norden and Martin Weber

Rating the rating agencies: Anticipating currency crises or debt crises? pp. 2845-2867

Amadou N.R. Sy

Volume 28, issue 10, 2004

Governance mechanisms in Spanish banks. Does ownership matter? pp. 2311-2330

Rafel Crespi, Miguel Garcia-Cestona and Vicente Salas

Do some lenders have information advantages? Evidence from Japanese credit market data pp. 2331-2351

Hwan Shin and James W. Kolari

Predicting bank performance with financial forecasts: A case of Taiwan commercial banks pp. 2353-2368

Chiang Kao and Shiang-Tai Liu

Does poor legal enforcement make households credit-constrained? pp. 2369-2397

Daniela Fabbri and Mario Padula

Banks as delegated risk managers pp. 2399-2426

Hendrik Hakenes

Determining management behaviour in European banking pp. 2427-2460

Jonathan Williams

Do government-linked companies underperform? pp. 2461-2492

Fang Feng, Qian Sun and Wilson H. S. Tong

Consolidation and efficiency in the financial sector: A review of the international evidence pp. 2493-2519

Dean Amel, Colleen Barnes, Fabio Panetta and Carmelo Salleo

Productivity change in European banking: A comparison of parametric and non-parametric approaches pp. 2521-2540

Barbara Casu, Claudia Girardone and Philip Molyneux

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models pp. 2541-2563

Shiuyan Pong, Mark B. Shackleton, Stephen J. Taylor and Xinzhong Xu

Volume 28, issue 9, 2004

Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components pp. 2051-2075

Ajay Patel and Gary L. Shoesmith

Cross-border bank mergers: What lures the rare animal? pp. 2077-2102

Claudia Buch and Gayle DeLong

Corporate cash holdings: An empirical investigation of UK companies pp. 2103-2134

Aydin Ozkan and Neslihan Ozkan

The demise of community banks? Local economic shocks are not to blame pp. 2135-2153

Timothy J. Yeager

Volume autocorrelation, information, and investor trading pp. 2155-2174

Vicentiu Covrig and Lilian Ng

New evidence on the Fed's productivity in providing payments services pp. 2175-2190

R. Gilbert, David Wheelock and Paul Wilson

Collateral, type of lender and relationship banking as determinants of credit risk pp. 2191-2212

Gabriel Jimenez and Jesus Saurina

Monitored financial equilibria pp. 2213-2235

Dilip B. Madan

Political uncertainty and asset valuation: Evidence from business relocations in Canada pp. 2237-2258

Dogan Tirtiroglu, Harjeet S. Bhabra and Ugur Lel

Factors explaining the interest margin in the banking sectors of the European Union pp. 2259-2281

Joaquin Maudos and Juan Fernandez de Guevara

The characteristics of individual analysts' forecasts in Europe pp. 2283-2309

Guido Bolliger

Volume 28, issue 8, 2004

Franco Modigliani (1918-2003) pp. iii-vii

G. Szego

Simulation based stress tests of banks' regulatory capital adequacy pp. 1801-1824

Samu Peura and Esa Jokivuolle

The impact of loan prepayment risk and deposit withdrawal risk on the optimal intermediation margin pp. 1825-1843

Bryan Stanhouse and Duane Stock

Backtesting for risk-based regulatory capital pp. 1845-1865

Jeroen Kerkhof and Bertrand Melenberg

Why are some mutual funds closed to new investors? pp. 1867-1887

Xinge Zhao

The competitive implications of multimarket bank branching pp. 1889-1914

Timothy H. Hannan and Robin A. Prager

The cross-sectional determinants of inventory control and the subtle effects of ADRs pp. 1915-1933

Oliver Hansch

Start-up investment with scarce venture capital support pp. 1935-1959

Vesa Kanniainen and Christian Keuschnigg

Long-horizon regression tests of the theory of purchasing power parity pp. 1961-1985

Apostolos Serletis and Periklis Gogas

Optimal consumption and investment strategies with stochastic interest rates pp. 1987-2013

Claus Munk and Carsten Sorensen

Market interactions in returns and volatilities between spot and forward shipping freight markets pp. 2015-2049

Manolis Kavussanos and Ilias Visvikis

Volume 28, issue 7, 2004

A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options pp. 1499-1520

Nikolaos Panigirtzoglou and George Skiadopoulos

Correlated default with incomplete information pp. 1521-1545

Kay Giesecke

Risk management of non-maturing liabilities pp. 1547-1568

Michael Kalkbrener and Jan Willing

General equilibrium real and nominal interest rates pp. 1569-1595

Abraham Lioui and Patrice Poncet

The number and the closeness of bank relationships pp. 1597-1615

Joachim von Rheinbaben and Martin Ruckes

The implied reserves of the Bank Insurance Fund pp. 1617-1635

Athanasios Episcopos

Information transmission between the NASDAQ and Asian second board markets pp. 1637-1670

Bong-Soo Lee, Oliver Rui and Steven Shuye Wang

Scale economies, bank mergers, and electronic payments: A spline function approach pp. 1671-1696

David B. Humphrey and Bent Vale

Foreign exchange exposure of exporting and importing firms pp. 1697-1710

Mahesh D. Pritamani, Dilip K. Shome and Vijay Singal

Informed trading and order type pp. 1711-1743

John Cooney and Richard W. Sias

Structural changes in volatility and stock market development: Evidence for Spain pp. 1745-1773

Juncal Cuñado, Javier Gómez Biscarri and Fernando Pérez de Gracia

Foreign bank entry, deregulation and bank efficiency: Lessons from the Australian experience pp. 1775-1799

Jan-Egbert Sturm and Barry Williams

Volume 28, issue 6, 2004

Information precision, transaction costs, and trading volume pp. 1207-1223

Orie E. Barron and Jonathan Karpoff

Too much of a good incentive? The case of executive stock options pp. 1225-1245

Yisong S. Tian

A study of the corporate governance of thrifts pp. 1247-1271

Douglas O. Cook, Arthur Hogan and Robert Kieschnick

Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares pp. 1273-1297

Steven Shuye Wang and Li Jiang

Conditional funding costs of inflation-indexed and conventional government bonds pp. 1299-1318

Andreas Reschreiter

Optimal liquidity management and bail-out policy in the banking industry pp. 1319-1335

Staffan Ringbom, Oz Shy and Rune Stenbacka

Trading activity and price reversals in futures markets pp. 1337-1361

Changyun Wang and Min Yu

Cross-country comparisons of efficiency: Evidence from the UK and Italian investment firms pp. 1363-1383

Elena Beccalli

Conditional covariances and direct central bank interventions in the foreign exchange markets pp. 1385-1411

Michel Beine

Cross-border acquisitions of US financial institutions: Impact of macroeconomic factors pp. 1413-1439

Halil Kiymaz

Public information arrival and volatility of intraday stock returns pp. 1441-1467

Petko S. Kalev, Wai-Man Liu, Peter K. Pham and Elvis Jarnecic

The cyclical behavior of optimal bank capital pp. 1469-1498

Arturo Estrella

Volume 28, issue 5, 2004

The impact of negative cash flow and influential observations on investment-cash flow sensitivity estimates pp. 901-930

George Allayannis and Abon Mozumdar

The medium-term aftermarket in high-tech IPOs: Patterns and implications pp. 931-950

Sanjiv Jaggia and Satish Thosar

Hedging behavior in small and medium-sized enterprises: The role of unobserved heterogeneity pp. 951-978

Joost Pennings and Philip Garcia

Stochastic optimal control, international finance and debt pp. 979-996

Wendell H. Fleming and Jerome L. Stein

Credit derivatives with multiple debt issues pp. 997-1021

Pascal Francois and Georges Hubner

Futures trading activity and predictable foreign exchange market movements pp. 1023-1041

Changyun Wang

The market liquidity of DIAMONDS, Q's, and their underlying stocks pp. 1043-1067

Shantaram P. Hegde and John McDermott

The impact of risk regulation on price dynamics pp. 1069-1087

Jon Danielsson, Hyun Song Shin and Jean-Pierre Zigrand

Duration models and IRR management: A question of dimensions? pp. 1089-1110

Gloria M. Soto

Do spin-offs really create value? The European case pp. 1111-1135

Chris Veld and Yulia Veld-Merkoulova

Trading intensity, volatility, and arbitrage activity pp. 1137-1162

Nick Taylor

Why firms use convertibles: A further test of the sequential-financing hypothesis pp. 1163-1183

Shao-Chi Chang, Sheng-Syan Chen and Yichen Liu

Political news and stock prices: The case of Saddam Hussein contracts pp. 1185-1200

Yakov Amihud and Avi Wohl

Volume 28, issue 4, 2004

Retail credit risk management and measurement: An introduction to the special issue pp. 721-725

Mitchell Berlin and Loretta Mester

Issues in the credit risk modeling of retail markets pp. 727-752

Linda Allen, Gayle DeLong and Anthony Saunders

Default correlation: An empirical investigation of a subprime lender pp. 753-771

Adrian M. Cowan and Charles D. Cowan

Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs pp. 773-788

Michel Dietsch and Joël Petey

Economic and regulatory capital allocation for revolving retail exposures pp. 789-809

Roberto Perli and William I. Nayda

Credit risk in the leasing industry pp. 811-833

Mathias Schmit

Consumer credit scoring: Do situational circumstances matter? pp. 835-856

Robert B. Avery, Paul S. Calem and Glenn B. Canner

Does reject inference really improve the performance of application scoring models? pp. 857-874

Jonathan Crook and John Banasik

What is the value of recourse to asset-backed securities? A clinical study of credit card banks pp. 875-899

Eric J. Higgins and Joseph R. Mason

Volume 28, issue 3, 2004

Stock markets, banks, and growth: Panel evidence pp. 423-442

Thorsten Beck and Ross Levine

Are all Central Bank interventions created equal? An empirical investigation pp. 443-474

Stephen Sapp

The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing? pp. 475-498

Daniel Thornton

Effective duration of callable corporate bonds: Theory and evidence pp. 499-521

Sudipto Sarkar and Gwangheon Hong

The determinants of positive long-term performance in strategic mergers: Corporate focus and cash pp. 523-552

William L. Megginson, Angela Morgan and Lance Nail

The short-term effects of foreign bank entry on domestic bank behaviour: Does economic development matter? pp. 553-568

Robert Lensink and Niels Hermes

Return reversals in the bond market: Evidence and causes pp. 569-593

Kenneth Khang and Tao-Hsien Dolly King

Disequilibrium in the UK corporate loan market pp. 595-614

Christina V. Atanasova and Nicholas Wilson

A note on foreigners' trading and price effects across firms pp. 615-632

Magnus Dahlquist and Goran Robertsson

A model of the monetary sector with and without binding capital requirements pp. 633-646

Kenneth J. Kopecky and David VanHoose

Risk-based capital requirements for mortgage loans pp. 647-672

Paul S. Calem and Michael LaCour-Little

Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds pp. 673-694

Richard Deaves

An anatomy of rating through the cycle pp. 695-720

Gunter Loffler

Volume 28, issue 2, 2004

Editorial pp. 267-268

Moshirian Fariborz

Financial services: Global perspectives pp. 269-276

Fariborz Moshirian

Mutual holding companies: Evidence of conflicts of interest through disparate dividends pp. 277-298

Kenneth A. Carow, Steven R. Cox and Dianne M. Roden

The integration of bank syndicated loan and junk bond markets pp. 299-329

Hugh Thomas and Zhiqiang Wang

Risk management strategies for banks pp. 331-352

Wolfgang Bauer and Marc Ryser

The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior? pp. 353-372

Alex Frino, David Johnstone and Hui Zheng

Why markets should not necessarily reduce the tick size pp. 373-398

David Bourghelle and Fany Declerck

Can bank be a source of contagion during the 1997 Asian crisis? pp. 399-421

Chu-Sheng Tai

Volume 28, issue 1, 2004

Hedging with forwards and puts in complete and incomplete markets pp. 1-17

Simon Z. Benninga and Casper M. Oosterhof

Risk management, capital structure and lending at banks pp. 19-43

A. Sinan Cebenoyan and Philip E. Strahan

Time-varying excess returns on UK government bonds: A non-linear approach pp. 45-62

Ilias Lekkos and Costas Milas

Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex) pp. 63-83

Yiuman Tse and Erik Devos

Have trading rule profits in the currency markets declined over time? pp. 85-105

Dennis Olson

Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis pp. 107-128

Roberto Pascual, Alvaro Escribano and Mikel Tapia

An essay on financial innovation: The case of instalment receipts pp. 129-156

Narat Charupat and Eliezer Z. Prisman

The pricing of systematic liquidity risk: Empirical evidence from the US stock market pp. 157-178

Rajna Gibson and Nicolas Mougeot

Strategic entry and market leadership in a two-player real options game pp. 179-201

Mark B. Shackleton, Andrianos Tsekrekos and Rafal Wojakowski

Empirical evidence on payment media costs and switch points pp. 203-213

Thijs ten Raa and Victoria Shestalova

Factors affecting bank risk taking: Evidence from Japan pp. 215-232

Masaru Konishi and Yukihiro Yasuda

The national market impact of sovereign rating changes pp. 233-250

Robert Brooks, Robert Faff, David Hillier and Joseph Hillier

Follow-on offerings pp. 251-264

Joel T. Harper, Jarrod Johnston and Jeff Madura

International Finance and Open-Economy Macroeconomics: Gandolfo/Giancarlo. Springer-Verlag, New York, 2001. pp. xxiv + 613, $99 pp. 265-266

Polly Reynolds Allen