Journal of Financial Research
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RESEARCH OUTPUT AND CAPITAL MARKET EFFICIENCY UNDER ALTERNATIVE COMMISSION RATE STRUCTURES
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Issue Information
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FURTHER EVIDENCE ON DIVIDEND YIELDS AND THE EX‐DIVIDEND DAY STOCK PRICE EFFECT
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THE UNDERPRICING OF “SECOND” INITIAL PUBLIC OFFERINGS
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IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
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ON THE LINKAGE BETWEEN CORPORATE SAVING AND EARNINGS GROWTH
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Order Imbalance on Ex‐Dividend Days
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THE SENSITIVITY OF THE PRIME RATE TO MONEY MARKET CONDITIONS
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THE RELATIONSHIP BETWEEN OTC BID‐ASK SPREADS AND DEALER SIZE: THE IMPACT OF ORDER‐PROCESSING AND DIVERSIFICATION COSTS
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MARKET TIMING IN REGRESSIONS AND REALITY
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CAPITAL STRUCTURE, SHAREHOLDER RIGHTS, AND CORPORATE GOVERNANCE
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TIME‐VARYING TERM PREMIA AND THE BEHAVIOR OF FORWARD INTEREST RATE PREDICTION ERRORS
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RATIONAL EXPECTATIONS AND THE DYNAMIC ADJUSTMENT OF SECURITY ANALYSTS' FORECASTS TO NEW INFORMATION
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MODELS OF STOCK MARKET PREDICTABILITY
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The U.S. syndicated loan market: Matching data
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A TEST OF THE EASTERBROOK HYPOTHESIS REGARDING DIVIDEND PAYMENTS AND AGENCY COSTS
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LEGAL ENVIRONMENT, INTERNALIZATION, AND U.S. ACQUIRER GAINS IN FOREIGN TAKEOVERS
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BANK FAILURE AND CONTAGION EFFECTS: EVIDENCE FROM HONG KONG
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THE DIFFERENTIAL EFFECTS OF DEREGULATION ON SAVINGS AND LOAN ASSOCIATIONS AND BANKS
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STAR‐ANALYSTS' FORECAST ACCURACY AND THE ROLE OF CORPORATE GOVERNANCE
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AN INVESTIGATION OF PREFERRED STOCK FINANCING BY BANK AND NONBANK FINANCIAL INSTITUTIONS
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HOW MANY SMALL FIRMS ARE ENOUGH?
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Ambiguity and risk factors in bank stocks
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INFLATION, INVESTMENT, AND DEBT
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The Nasdaq‐Amex Merger, Nasdaq Reforms, and the Liquidity of Small Firms
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EDITORIAL POLICY
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CORPORATE CONTROL IN COMMERCIAL BANKS
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THE RISK STRUCTURE OF INTEREST RATES AND INTERDEPENDENT BORROWING COSTS: THE IMPACT OF MAJOR DEFAULTS
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FINANCIAL TRANSACTIONS WITHIN BANK HOLDING COMPANIES
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Climate transition risk and bank lending
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PRICING CURRENCY OPTIONS UNDER STOCHASTIC INTEREST RATES AND JUMP‐DIFFUSION PROCESSES
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ACCRUALS AND MOMENTUM
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CORPORATE HEDGING AND SHAREHOLDER VALUE
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AN ANALYSIS OF THE DECISION TO OPT OUT OF PENNSYLVANIA SENATE BILL 1310
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AN EMPIRICAL ANALYSIS OF INSURED PORTFOLIO STRATEGIES USING LISTED OPTIONS
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DIVERSIFICATION STRATEGIES: DO LIMITED DATA CONSTRAIN INVESTORS?
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Diversification Benefits of iShares and Closed‐End Country Funds
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ON THE NATURE OF RISK: A COMMENT
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AUTHOR INDEX OF VOLUME XXXVIII, 2015
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MANAGERIAL OWNERSHIP, TAKEOVER DEFENSES, AND DEBT FINANCING
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EARNINGS ANNOUNCEMENTS, QUALITY AND QUANTITY OF INFORMATION, AND STOCK PRICE CHANGES
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Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns
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SHORT SELLING AND MISPRICINGS WHEN FUNDAMENTALS ARE KNOWN: EVIDENCE FROM NYSE‐TRADED CLOSED‐END FUNDS
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ON THE DIMINISHING RETURN TO TRADE CREDIT
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MARKET SEGMENTATION AND INTERNATIONAL ASSET PRICES: EVIDENCE FROM THE LISTING OF WORLD EQUITY BENCHMARK SHARES
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A RE‐EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED‐END FUND DISCOUNTS AND EXPENSES
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EDITORIAL POLICY
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CEO overconfidence and debt covenant violations
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BETA, SIZE, RISK, AND RETURN
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Issue Information
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Editorial Policy
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FINANCE ASSOCIATION MEETINGS
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FROM THE EDITOR
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INFORMATION ASYMMETRY, MANAGEMENT CONTROL, AND METHOD OF PAYMENT IN ACQUISITIONS
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AUTHOR INDEX OF VOLUME XIII, 1990
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The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications
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AN ANALYSIS OF THE FLOTATION COST OF UTILITY BONDS, 1971–76
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STOCHASTIC DOMINANCE AND TRUNCATED SAMPLE DATA
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DO DEALERS INFER INFORMATION FROM ORDER FLOW?
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Board structure and market performance: Does one solution fit all?
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Can central banks be heard over the sound of gunfire?
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Liquidity risk and the beta premium
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LIQUIDITY AND TICK SIZE: DOES DECIMALIZATION MATTER?
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AUTHOR INDEX OF VOLUME XXXIV, 2011
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STOCKHOLDER RETURNS AMONG HOMOGENEOUS GROUPS OF MERGERS
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THE EFFECT OF THE TRADING SYSTEM ON IPO UNDERPRICING: EVIDENCE FROM THE 1997 ORDER‐HANDLING RULES
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WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS
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MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS
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Syndicated Loan Announcements and Borrower Value
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Does Information Asymmetry Explain The Diversification Discount?
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EDITORIAL POLICY
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FACTORS RELATED TO THE CONVERSION RECORD OF CONVERTIBLE SECURITIES: THE CANADIAN EXPERIENCE 1946–1975
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FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS
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THE DYNAMICS OF QUOTED LIQUIDITY AROUND LARGE TRADES ON THE NYSE
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LINEAR CONDITIONAL EXPECTATION, RETURN DISTRIBUTIONS, AND CAPITAL ASSET PRICING THEORIES
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Do Female Mutual Fund Managers Manage Differently?
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ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITY
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EVIDENCE ON THE EXISTENCE OF COMMON STOCK INFLATION HEDGES
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IS THE BOOK‐TO‐MARKET RATIO A MEASURE OF RISK?
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ROBUSTNESS OF THE HEADQUARTERS‐CITY EFFECT ON STOCK RETURNS
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INDUSTRY EFFECTS OF ANALYST STOCK REVISIONS
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THE EFFECTS OF DEFAULT RISK ON THE MARKET MODEL
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VALUATION OF THE PREFERRED STOCK SINKING FUND FEATURE: A TIME‐SERIES APPROACH
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FROM THE EDITORS
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EDITORIAL POLICY
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PRICE VOLATILITY OF MUNICIPAL DISCOUNT BONDS
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EDITORIAL POLICY
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Issue Information
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SOME EVIDENCE ON THE EFFICACY OF SECURITY CREDIT REGULATION IN THE OTC EQUITY MARKET
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CAPITAL BUDGETING DECISIONS WHEN CASH FLOWS AND PROJECT LIVES ARE STOCHASTIC AND DEPENDENT
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LEVERAGE, RISK‐SHIFTING INCENTIVE, AND STOCK‐BASED COMPENSATION
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MARKET POWER, BANK MEGAMERGERS, AND THE WELFARE OF BANK BORROWERS
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Systematic Risk and Revenue Volatility
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SECURITY PRICE REACTIONS AROUND PRODUCT RECALL ANNOUNCEMENTS
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Periodicity of trading activity in foreign exchange markets
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Are the Best Small Companies the Best Investments?
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VALUATION OF EVENT‐CONTINGENT OPTIONS
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TAXES AND THE REFUNDING OF DISCOUNT BONDS
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The Effects of Unanticipated Macroeconomic News on Debt Markets
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PORTFOLIO PERFORMANCE IN RELATION TO QUALITY, EARNINGS, DIVIDENDS, FIRM SIZE, LEVERAGE, AND RETURN ON EQUITY
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Announcement
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THE EFFECT OF PAYMENT DELAYS ON STOCK PRICES
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EARNINGS REPORTS AND MARKET EFFICIENCIES: AN ANALYSIS OF THE CONTRARY EVIDENCE
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Membership On Editorial Boards And Finance Department Rankings
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Short selling and options trading: A tale of two markets
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A FURTHER UNDERSTANDING OF STOCK DISTRIBUTIONS: THE CASE OF REVERSE STOCK SPLITS
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CREDIT RATINGS AND THE COST OF ISSUING SEASONED EQUITY
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VALUATION EFFECT OF ISSUING NONSUBORDINATED VERSUS SUBORDINATED DEBT
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SIMULATION OF PORTFOLIO RETURNS: VARYING NUMBERS OF SECURITIES AND HOLDING PERIODS
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FINANCE ASSOCIATION MEETINGS
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Cyclicality of liquidity creation: Nonlinear evidence from US bank holding companies
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AN EXAMINATION OF THE SMALL‐FIRM EFFECT ON THE BASIS OF SKEWNESS PREFERENCE
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A THEORY OF UNWINDING OF CROSS‐SHAREHOLDING UNDER MANAGERIAL ENTRENCHMENT
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The Firm Size Effect and the Economic Cycle
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A COMPARISON OF LISTED OPTION PREMIUMS AND BLACK AND SCHOLES MODEL PRICES: 1973–1979
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ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS*
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BOOK REVIEW
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TRADING OF NASDAQ STOCKS ON THE CHICAGO STOCK EXCHANGE
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THE COST OF CAPITAL, MACAULAY'S DURATION, AND TOBIN'S q
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EDITORIAL POLICY
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INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!
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BUSINESS CYCLES AND STOCK MARKET RETURNS: EVIDENCE USING INDUSTRY‐BASED PORTFOLIOS
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AN EMPIRICAL ANALYSIS OF CANADIAN RAILROAD LEASES
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AN INVESTIGATION INTO THE CAUSALITY AMONG FIRMS' DIVIDEND, INVESTMENT, AND FINANCING DECISIONS
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TRADING‐VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS
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PREPAYMENT RISK AND THE DURATION OF DEFAULT‐FREE MORTGAGE‐BACKED SECURITIES
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EDITORIAL POLICY
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WHAT DRIVES TIME VARIATION IN EMERGING MARKET SEGMENTATION?
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THE PRICING OF FUTURES CONTRACTS AND THE ARBITRAGE PRICING THEORY
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SELECTIVE HEDGING OF BANK ASSETS WITH TREASURY BILL FUTURES CONTRACTS
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THE CORPORATE SELL‐OFF DECISION OF DIVERSIFIED FIRMS
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CHANGING VOLATILITY AND THE PRICING OF OPTIONS ON STOCK INDEX FUTURES
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A MICROSTRUCTURE ANALYSIS OF THE LIQUIDITY IMPACT OF OPEN MARKET REPURCHASES
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THE INFORMATIONAL CONTENT OF FORWARD RATES: FURTHER EVIDENCE
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THE INFORMATION CONTENT OF ORDERS ON THE SAUDI STOCK MARKET
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CHANGES IN CAPITAL STRUCTURE, NEW EQUITY ISSUES, AND SCALE EFFECTS
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Capacity overhang and corporate disinvestment decisions
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Bond covenants and investment policy
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MARKET VOLATILITY AND PERVERSE TIMING PERFORMANCE OF MUTUAL FUND MANAGERS
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REGULATORY ENVIRONMENT AND MARKET RESPONSE TO PUBLIC UTILITY RATE DECISIONS
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THE ANOMALOUS AND ASYMMETRIC NATURE OF EQUITY RETURNS: AN EMPIRICAL SYNTHESIS
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A TEST OF THE RISK PREMIUM HYPOTHESIS
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MATURITY AND REFUNDING EFFECTS ON TREASURY‐BOND FUTURES PRICE VARIANCE
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THE EFFECT OF THE SEC'S ORDER‐HANDLING RULES ON NASDAQ
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THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING
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Issue Information – Frontmatter
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THE WEALTH EFFECTS OF ANNOUNCEMENTS OF R&D EXPENDITURE INCREASES
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THE INFORMATIONAL CONTENT OF BOND RATINGS
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INFLATION MEASUREMENT, INFLATION RISK, AND THE PRICING OF TREASURY BILLS
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SENSITIVITY OF INVESTOR REACTION TO MARKET DIRECTION AND VOLATILITY: DIVIDEND CHANGE ANNOUNCEMENTS
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Issue Information
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THE ROLE OF CAPITAL ADEQUACY REGULATION IN THE HEDGING DECISIONS OF FINANCIAL INTERMEDIARIES
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De facto time‐varying indices‐based benchmarks for mutual fund returns
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REGULAR(IZED) HEDGE FUND CLONES
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FURTHER EXAMINATION OF PRICE DISCOVERY ON THE NYSE AND REGIONAL EXCHANGES
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AN EXAMINATION OF MERGER SYNERGISM
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INFORMED OPTIONS TRADING BEFORE AUDITOR CHANGE ANNOUNCEMENTS
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DIVIDEND POLICY AND STOCK ACQUISITION ANNOUNCEMENT RETURNS: A TEST OF ASYMMETRIC INFORMATION THEORY
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UNDERPRICING AND LONG‐RUN PERFORMANCE OF SHARE ISSUE PRIVATIZATIONS IN THE EGYPTIAN STOCK MARKET
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THE SURVIVAL OF INITIAL PUBLIC OFFERINGS IN THE AFTERMARKET
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UNDERWRITING SPREADS AND REPUTATIONAL CAPITAL: AN ANALYSIS OF NEW CORPORATE SECURITIES
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PRICE PRESSURE AND THE ROLE OF INSTITUTIONAL INVESTORS IN CLOSED‐END FUNDS
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ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION
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THE EFFECT OF CROSS‐LISTING ON TRADING VOLUME: REDUCING SEGMENTATION VERSUS SIGNALING INVESTOR PROTECTION
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AUTHOR INDEX OF VOLUME VI, 1983
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ASPECTS OF CORPORATE BOND PORTFOLIO DIVERSIFICATION
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U.S. POLITICAL CORRUPTION AND LOAN PRICING
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A RE‐EXAMINATION OF SEEMINGLY UNRELATED REGRESSIONS METHODOLOGY APPLIED TO ESTIMATION OF FINANCIAL RELATIONSHIPS
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VOLATILITY SPILLOVERS BETWEEN THE BLACK MARKET AND OFFICIAL MARKET FOR FOREIGN CURRENCY IN GREECE
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A RE‐EXAMINATION OF THE EFFECT OF 12B–1 PLANS ON MUTUAL FUND EXPENSE RATIOS
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A SIMPLE FORMULA FOR DURATION
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TRADER EXPLOITATION OF ORDER FLOW INFORMATION DURING THE LTCM CRISIS
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THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT
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Book Review
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THE INTERACTION OF MONETARY POLICY AND STOCK RETURNS
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THE EFFECTS OF BANK CONSOLIDATION ON RISK CAPITAL ALLOCATION AND MARKET LIQUIDITY
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EXTERNAL GOVERNANCE AND THE COST OF EQUITY FINANCING
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A MULTIPLE DISCRIMINANT ANALYSIS OF TECHNICAL INDICATORS ON THE NEW YORK STOCK EXCHANGE
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VENTURE CAPITAL AND IPO LOCKUP EXPIRATION: AN EMPIRICAL ANALYSIS
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ANALYZING STOCK MARKET VOLATILITY USING EXTREME‐DAY MEASURES
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RELATIVE STOCK PRICES AND THE FIRM SIZE EFFECT
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MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES
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AN ANALYSIS OF THE PERFORMANCE CHARACTERISTICS OF CONVERTED SAVINGS AND LOAN ASSOCIATIONS
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DO STOCK MARKET FLUCTUATIONS AFFECT SUICIDE RATES?
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AN ANALYSIS OF SHAREHOLDER REACTION TO DIVIDEND CUTS AND OMISSIONS
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SPLIT RATINGS, BOND YIELDS, AND UNDERWRITER SPREADS
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ACTIVITY STRATEGIES, AGENCY PROBLEMS, AND BANK RISK
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THE ROLES OF INSTITUTIONAL INVESTORS IN THE FAILURE OF NEWLY PUBLIC STOCKS
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VOLUME AND R2: A FIRST LOOK
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THE SOUTHERN FINANCE ASSOCIATION: THE FIRST TWENTY YEARS, 1960–1979
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Blockholder mutual fund participation in private in‐house meetings
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CROSS‐AUTOCORRELATION BETWEEN A SHARES AND B SHARES IN THE CHINESE STOCK MARKET
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EDITORIAL POLICY
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Cross‐Listings and Home Market Trading Volume: The Case of Malaysia and Singapore
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THE SPEED OF ADJUSTMENT OF PRICES TO PRIVATE INFORMATION: EMPIRICAL TESTS
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DAYLIGHT AND INVESTOR SENTIMENT: A SECOND LOOK AT TWO STOCK MARKET BEHAVIORAL ANOMALIES
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MARKET STRUCTURE, CHANGING INCENTIVES, AND UNDERWRITER CERTIFICATION
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Issue Information
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PRICING CRB FUTURES CONTRACTS
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STRATEGIC CREDIT LINE USAGE AND PERFORMANCE
