Review of Quantitative Finance and Accounting

1995 - 2025

Current editor(s): Cheng-Few Lee

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Volume 36, issue 4, 2011

The advantages of using quarterly returns for long-term event studies pp. 491-516

Ronald Bremer, Bonnie Buchanan and Philip English

A flow-based corporate credit model pp. 517-532

Tsung-Kang Chen, Hsien-Hsing Liao and Chia-Wu Lu

The reputation effect of venture capital pp. 533-554

Pei-Gi Shu, Yin-Hua Yeh, Shean-Bii Chiu and Fu-Sheng Ho

Investment with network externality under uncertainty pp. 555-564

Chia-Chi Lu, Weifeng Hung, Jyh-Jian Sheu and Pai-Ta Shih

Credit risk prediction using support vector machines pp. 565-581

Jan-Henning Trustorff, Paul Konrad and Jens Leker

Forecasting stock price with the residual income model pp. 583-604

Huong Higgins

Volume 36, issue 3, 2011

Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets pp. 323-353

Kwang-il Choe, Joshua Krausz and Kiseok Nam

Intraday return spillovers and its variations across trading sessions pp. 355-390

Chia-Ching Chang, Sheng-Syan Chen, Robin Chou and Chin-Wen Hsin

The corporate choice between public debt, bank loans, traditional private debt placements, and 144A debt issues pp. 391-416

Matteo Arena

Investor pricing of CEO equity incentives pp. 417-435

Jeff Boone, Inder Khurana and K. Raman

The value relevance of IFRS in the European banking industry pp. 437-457

Mariarosaria Agostino, Danilo Drago and Damiano Silipo

Repricing of executive stock options pp. 459-490

Jerry Yang and Willard Carleton

Volume 36, issue 2, 2011

Model uncertainty, performance persistence and flows pp. 153-205

Yee Loon

Accounting and stock market effects of international accounting standards adoption in an emerging economy pp. 207-245

Mohamed Elbannan

An analysis of risk-based asset allocation and portfolio insurance strategies pp. 247-267

Lan-chih Ho, John Cadle and Michael Theobald

Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis pp. 269-286

Chanwit Phengpis and Peggy Swanson

Analysis of efficient markets pp. 287-296

Arie Harel, Giora Harpaz and Jack Francis

Managerial entrenchment and the value of dividends pp. 297-322

Woo-Jong Lee

Volume 36, issue 1, 2011

Informed traders of cross-listed shares trade more in the domestic market around earnings releases pp. 1-31

Lawrence Kryzanowski and Skander Lazrak

Value relevance of banks: global evidence pp. 33-55

Asokan Anandarajan, Bill Francis, Iftekhar Hasan and Kose John

Tick size, market structure, and market quality pp. 57-81

Kee Chung, Jangkoo Kang and Joon-Seok Kim

Pricing and hedging volatility smile under multifactor interest rate models pp. 83-104

I.-Doun Kuo

Earnings versus capital ratios management: role of bank types and SFAS 114 pp. 105-132

Fatima Alali and Bikki Jaggi

Revisiting corporate dividends and seasoned equity issues pp. 133-151

Yanzhi Wang, Sheng-Syan Chen and Yen-Ting Cheng

Volume 35, issue 4, 2010

Inter-market competition for NYSE-listed securities under decimals pp. 371-391

Michael Goldstein, Andriy Shkilko, Bonnie Ness and Robert Ness

The effect of CEO ownership on the information content of reported earnings pp. 393-410

Aloke Ghosh and Doocheol Moon

Are good financial advisors really good? The performance of investment banks in the M&A market pp. 411-429

Ahmad Ismail

How does beta explain stochastic dominance efficiency? pp. 431-444

Haim Shalit and Shlomo Yitzhaki

Executive compensation, supervisory board, and China’s governance reform: a legal approach perspective pp. 445-471

Shujun Ding, Zhenyu Wu, Yuanshun Li and Chunxin Jia

Ownership structure and debt maturity: new evidence from Spain pp. 473-491

Pedro García-Teruel and Pedro Martínez-Solano

Volume 35, issue 3, 2010

The value of the floor pp. 221-243

Daniel Weaver and Xing Zhou

A jump diffusion model for VIX volatility options and futures pp. 245-269

Dimitris Psychoyios, George Dotsis and Raphael Markellos

Dynamic linkages between monetary policy and the stock market pp. 271-293

Nikiforos Laopodis

The high-volume return premium: evidence from the Chinese stock market pp. 295-313

Zhong-Guo Zhou

Does the size of a fund family matter when choosing an investment strategy? Evidence from spain pp. 315-334

Luis Ferruz, Fernando Muñoz and Maria Vargas

Second decade review of the annual conference on financial economics and accounting pp. 335-370

Cheng Few Lee

Volume 35, issue 2, 2010

Introduction pp. 123-124

Daniel Weaver

Gene Fama’s comments pp. 125-126

Eugene Fama

Larry Fisher: our Sherpa into the mountains of data pp. 127-135

Mark Weinstein

Removing biases in computed returns pp. 137-161

Lawrence Fisher, Daniel Weaver and Gwendolyn Webb

Endowment spending in volatile markets: what should fiduciaries do? pp. 163-178

Marshall Blume

An analysis of credit risk spreads for high yield bonds pp. 179-205

Frank Reilly, David Wright and James Gentry

Curriculum Vitae of Lawrence Fisher pp. 207-219

Daniel Weaver

Volume 35, issue 1, 2010

Executive compensation, earnings management and shareholder litigation pp. 1-20

Robert Jones and Yan Wendy Wu

Heterogeneous institutional investors and CEO compensation pp. 21-46

Yudan Zheng

Bootstrap refinements in tests of microstructure frictions pp. 47-70

Thomas George, Chuan-Yang Hwang and Tavy Ronen

Issuers’ incentives and tests of Baron’s model of IPO underpricing pp. 71-87

Hsuan-Chi Chen, Robert Fok and Sheng-Hung Kang

On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market pp. 89-111

Keith Lam, Frank Li and Simon So

A new paradigm for forecasting security returns in a market regulated by price limits pp. 113-121

Arie Harel, Giora Harpaz and Joseph Yagil

Volume 34, issue 4, 2010

Pricing credit card loans with default risks: a discrete-time approach pp. 413-438

Chuang-Chang Chang, Ruey-Jenn Ho and Chengfew Lee

A dynamic perspective on the determinants of accounts payable pp. 439-457

Pedro García-Teruel and Pedro Martínez-Solano

Corporate governance and firm value during a financial crisis pp. 459-481

Sidney Leung and Bertrand Horwitz

Chinese IPO activity, pricing, and market cycles pp. 483-503

Zhong-guo Zhou and Janet Zhou

The pricing of accruals for profit and loss firms pp. 505-516

Nicholas Dopuch, Chandra Seethamraju and Weihong Xu

Managerial motivation and timing of open market share repurchases pp. 517-531

Zahn Bozanic

Volume 34, issue 3, 2010

Is information risk priced for NASDAQ-listed stocks? pp. 301-312

Kathleen Fuller, Bonnie Ness and Robert Ness

Activity in futures: does underlying market size relate to futures trading volume? pp. 313-325

Alex Frino, Elvis Jarnecic and Hui Zheng

Hot and cold merger markets pp. 327-349

N. Chidambaran, Kose John, Zhaoyun Shangguan and Gopala Vasudevan

An empirical investigation of Yankee stock offerings pp. 351-370

Ting Yang and Sie Ting Lau

Do option traders on value and growth stocks react differently to new information? pp. 371-381

Wei He, Yen-Sheng Lee and Peihwang Wei

Event study with imperfect competition and private information: earnings announcements revisited pp. 383-411

Yu Cong, Rani Hoitash and Murugappa Krishnan

Volume 34, issue 2, 2010

Dancing in the dark: post-trade anonymity, liquidity and informed trading pp. 145-177

Alexandra Hachmeister and Dirk Schiereck

With or without you: market quality of floor trading when screen trading closes early pp. 179-197

Dirk Schiereck and Christian Voigt

The rule 10b5-1 loophole: an empirical study pp. 199-224

Alexander Robbins

Earnings management and long-run stock performance following private equity placements pp. 225-245

Chou De-Wai, Michael Gombola and Feng-Ying Liu

Employee stock options pricing and the implication of restricted exercise price: evidence from Taiwan pp. 247-271

Chia-Ying Chan, Ling-Chu Lee and Ming-Chun Wang

The effect of capital market pressures on the association between R&D spending and CEO option compensation pp. 273-300

Jian Cao and Indrarini Laksmana

Volume 34, issue 1, 2010

Reexamining the uncertain information hypothesis on the S&P 500 Index and SPDRs pp. 1-21

Susana Yu, Joel Rentzler and Kishore Tandon

The valuation of multivariate contingent claims under transformed trinomial approaches pp. 23-36

Chuang-Chang Chang and Jun-Biao Lin

Trading costs and price discovery pp. 37-57

Siu-Kai Choy and Hua Zhang

Divergence of opinion and initial public offerings pp. 59-79

Hsuan-Chi Chen and Wen-Chung Guo

Binary response and logistic regression in recent accounting research publications: a methodological note pp. 81-93

Wenxia Ge and G. Whitmore

Spill over effects of futures contracts initiation on the cash market: a regime shift approach pp. 95-143

George Karathanassis and Vasilios Sogiakas