Journal of Financial Economics

1974 - 2025

Current editor(s): G. William Schwert

From Elsevier
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Volume 106, issue 3, 2012

Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options pp. 447-472

Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai

Technical trading revisited: False discoveries, persistence tests, and transaction costs pp. 473-491

Pierre Bajgrowicz and Olivier Scaillet

The market for new issues of municipal bonds: The roles of transparency and limited access to retail investors pp. 492-512

Paul Schultz

Stock option vesting conditions, CEO turnover, and myopic investment pp. 513-526

Volker Laux

‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables pp. 527-546

Bradley S. Paye

Geographic dispersion and stock returns pp. 547-565

Diego García and Oyvind Norli

Pinning in the S&P 500 futures pp. 566-585

Benjamin Golez and Jens Carsten Jackwerth

Multifactor models and their consistency with the ICAPM pp. 586-613

Paulo Maio and Pedro Santa-Clara

Bank valuation and accounting discretion during a financial crisis pp. 614-634

Harry Huizinga and Luc Laeven

Stock returns after major price shocks: The impact of information pp. 635-659

Pavel Savor

Currency momentum strategies pp. 660-684

Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf

Volume 106, issue 2, 2012

Doing battle with short sellers: The conflicted role of blockholders in bear raids pp. 229-246

Naveen Khanna and Richmond D. Mathews

The sources of value destruction in acquisitions by entrenched managers pp. 247-261

Jarrad Harford, Mark Humphery-Jenner and Ronan Powell

The option to stock volume ratio and future returns pp. 262-286

Travis L. Johnson and Eric C. So

Entrepreneurial risk, investment, and innovation pp. 287-307

Andrea Caggese

Information effect of entry into credit ratings market: The case of insurers' ratings pp. 308-330

Neil A. Doherty, Anastasia Kartasheva and Richard D. Phillips

Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban pp. 331-348

Bruce D. Grundy, Bryan Lim and Patrick Verwijmeren

The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle pp. 349-366

Viral Acharya and Hassan Naqvi

The term structure of inflation expectations pp. 367-394

Mikhail Chernov and Philippe Mueller

Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing pp. 395-410

Cristian L. Dezső and David Gaddis Ross

Optimal capital structure, bargaining, and the supplier market structure pp. 411-426

Yongqiang Chu

Profitability and capital structure: Evidence from import penetration pp. 427-446

Jin Xu

Volume 106, issue 1, 2012

A unified model of entrepreneurship dynamics pp. 1-23

Chong Wang, Neng Wang and Jinqiang Yang

The politics of government investment pp. 24-48

Ran Duchin and Denis Sosyura

The effect of reference point prices on mergers and acquisitions pp. 49-71

Malcolm Baker, Xin Pan and Jeffrey Wurgler

Public market staging: The timing of capital infusions in newly public firms pp. 72-90

Michael G. Hertzel, Mark R. Huson and Robert Parrino

Securitization without adverse selection: The case of CLOs pp. 91-113

Efraim Benmelech, Jennifer Dlugosz and Victoria Ivashina

Systematic risk and the cross section of hedge fund returns pp. 114-131

Turan G. Bali, Stephen Brown and Mustafa Onur Caglayan

Testing conditional factor models pp. 132-156

Andrew Ang and Dennis Kristensen

Predictive regressions with time-varying coefficients pp. 157-181

Thomas Dangl and Michael Halling

Entrepreneurial finance, credit cards, and race pp. 182-195

Aaron K. Chatterji and Robert Seamans

Political geography and stock returns: The value and risk implications of proximity to political power pp. 196-228

Kim, Chansog (Francis), Christos Pantzalis and Jung Chul Park

Volume 105, issue 3, 2012

Size, value, and momentum in international stock returns pp. 457-472

Eugene F. Fama and Kenneth French

What does futures market interest tell us about the macroeconomy and asset prices? pp. 473-490

Harrison Hong and Motohiro Yogo

Displacement risk and asset returns pp. 491-510

Nicolae Gârleanu, Leonid Kogan and Stavros Panageas

Risk and the cross section of stock returns pp. 511-522

Radu Burlacu, Patrice Fontaine, Sonia Jimenez-Garcès and Mark S. Seasholes

Sell-order liquidity and the cross-section of expected stock returns pp. 523-541

Michael Brennan, Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong

Limited arbitrage between equity and credit markets pp. 542-564

Nikunj Kapadia and Xiaoling Pu

Market fragility and international market crashes pp. 565-580

Dave Berger and Kuntara Pukthuanthong

Endogeneity and the dynamics of internal corporate governance pp. 581-606

M. Babajide Wintoki, James S. Linck and Jeffry M. Netter

Does it matter who pays for bond ratings? Historical evidence pp. 607-621

John Jiang, Mary Harris Stanford and Yuan Xie

Hedging labor income risk pp. 622-639

Sebastien Betermier, Thomas Jansson, Christine Parlour and Johan Walden

Adverse selection in mortgage securitization pp. 640-660

Sumit Agarwal, Yan Chang and Abdullah Yavas

Competition and the cost of debt pp. 661-682

Philip Valta

Volume 105, issue 2, 2012

U.S. stock market crash risk, 1926–2010 pp. 229-259

David S. Bates

How are shorts informed? pp. 260-278

Joseph Engelberg, Adam Reed and Matthew Ringgenberg

Properties of foreign exchange risk premiums pp. 279-310

Lucio Sarno, Paul Schneider and Christian Wagner

Financial constraints and share repurchases pp. 311-331

Sheng-Syan Chen and Yanzhi Wang

Did securitization affect the cost of corporate debt? pp. 332-352

Taylor D. Nadauld and Michael Weisbach

A darker side to decentralized banks: Market power and credit rationing in SME lending pp. 353-366

Rodrigo Canales and Ramana Nanda

Individual political contributions and firm performance pp. 367-392

Alexei Ovtchinnikov and Eva Pantaleoni

How (not) to pay for advice: A framework for consumer financial protection pp. 393-411

Roman Inderst and Marco Ottaviani

Do controlling shareholders' expropriation incentives imply a link between corporate governance and firm value? Theory and evidence pp. 412-435

Kee-Hong Bae, Jae-Seung Baek, Jun-Koo Kang and Wei-Lin Liu

A unique view of hedge fund derivatives usage: Safeguard or speculation? pp. 436-456

George O. Aragon and J. Spencer Martin

Volume 105, issue 1, 2012

The credit crisis around the globe: Why did some banks perform better? pp. 1-17

Andrea Beltratti and René Stulz

Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises pp. 18-36

Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Pricing of commercial real estate securities during the 2007–2009 financial crisis pp. 37-61

Joost Driessen and Otto Van Hemert

The cost and timing of financial distress pp. 62-81

Redouane Elkamhi, Jan Ericsson and Christopher A. Parsons

Understanding commonality in liquidity around the world pp. 82-112

G. Karolyi, Kuan-Hui Lee and Mathijs van Dijk

Vertical integration to avoid contracting with potential competitors: Evidence from bankers' banks pp. 113-130

James A. Brickley, James S. Linck and Clifford W. Smith

Payout yield, risk, and mispricing: A Bayesian analysis pp. 131-152

Jay Shanken and Ane Tamayo

Predicting fraud by investment managers pp. 153-173

Stephen Dimmock and William Gerken

Stock options and managerial incentives for risk taking: Evidence from FAS 123R pp. 174-190

Rachel M. Hayes, Michael Lemmon and Mingming Qiu

Variance bounds on the permanent and transitory components of stochastic discount factors pp. 191-208

Gurdip Bakshi and Fousseni Chabi-Yo

Do foreigners facilitate information transmission in emerging markets? pp. 209-227

Kee-Hong Bae, Arzu Ozoguz, Hongping Tan and Tony Wirjanto