Journal: Journal of Financial Research

Found 333 papers in total
Flattening of bond yield curves
Flattening of bond yield curves
1987,
Putting no restrictions on forward interest rates, earlier research has shown that...
Stock market signals of changes in expected inflation
Stock market signals of changes in expected inflation
1987,
This paper examines the relationship between stock returns and several measures of...
Option pricing and the arbitrage pricing theory
Option pricing and the arbitrage pricing theory
1987,
This paper applies the arbitrage pricing theory to option pricing. Under certain...
Interest rate risk, market value, and hedging financial portfolios
Interest rate risk, market value, and hedging financial portfolios
1987,
This paper derives theoretical hedge ratios for the financial portfolio that preserve...
The role of capital adequacy regulation in the hedging decisions of financial intermediaries
The role of capital adequacy regulation in the hedging decisions of financial intermediaries
1987,
This paper identifies the effect of capital adequacy requirements, which have been...
An examination of the small-firm effect on the basis of skewness preference
An examination of the small-firm effect on the basis of skewness preference
1987,
This paper tests the hypothesis that the small‐firm effect can be explained on...
Pricing fast-pay mortgages: some simulation results
Pricing fast-pay mortgages: some simulation results
1987,
The mortgage market has undergone rapid change in recent years, particularly in the...
The effect of voluntary corporate liquidation on shareholder wealth
The effect of voluntary corporate liquidation on shareholder wealth
1987,
This paper presents an analysis of the shareholder wealth effect of voluntary...
Financial transactions within bank holding companies
Financial transactions within bank holding companies
1984,
This study explores financial transactions within bank holding companies in both a...
Returns on high-quality and low-quality preferred stocks in periods of common-stock dividend reductions
Returns on high-quality and low-quality preferred stocks in periods of common-stock dividend reductions
1984,
This study compares the pre‐event return behavior of low‐quality and...
Strong form efficiency of the foreign exchange market and bank positions
Strong form efficiency of the foreign exchange market and bank positions
1984,
This paper explores the strong form efficiency of the pound sterling‐U.S....
Bond beta and default risk
Bond beta and default risk
1984,
The purpose of this paper is to investigate the relationship between bond betas and...
Coskewness, dividend yield and capital asset pricing
Coskewness, dividend yield and capital asset pricing
1984,
The coskewness and dividend yield effects on capital asset prices have been...
An empirical study of the diffusion process of securities and portfolios
An empirical study of the diffusion process of securities and portfolios
1984,
The nature of the stochastic process generating the path of security prices through...
The growth optimal capital structure: manager versus shareholder objectives
The growth optimal capital structure: manager versus shareholder objectives
1984,
Utilizing a geometric mean wealth maximization approach, this paper shows potential...
Moving stochastic dominance: an alternative method for testing market efficiency
Moving stochastic dominance: an alternative method for testing market efficiency
1984,
The purposes of this study are: (1) to propose a more general method–moving...
Nonstationarity of beta and tests of market efficiency
Nonstationarity of beta and tests of market efficiency
1984,
Conclusions from event type studies are usually supported by data generated from some...
The geometry of asset adjustment with adjustment costs
The geometry of asset adjustment with adjustment costs
1984,
This paper provides a geometric analysis of asset adjustment behavior in response to...
A HOLISTIC APPROACH TO THE PREDICTIVE POWER OF EXPECTED VOLATILITY
A HOLISTIC APPROACH TO THE PREDICTIVE POWER OF EXPECTED VOLATILITY
2015,
The existing literature is highly dispersed regarding the relation between volatility...
Monitoring in small business lending: how to observe the unobservable
Monitoring in small business lending: how to observe the unobservable
2015,
In this article we investigate the determining factors of bank monitoring in small...
The effects of analyst forecast properties and country-level institutions on the cost of debt
The effects of analyst forecast properties and country-level institutions on the cost of debt
2015,
We investigate the link between analyst forecast characteristics and the cost of debt...
In search of cash-flow pricing
In search of cash-flow pricing
2015,
There are varying views on the relative importance of cash flow versus earnings in the...
Regulatory influences on portfolio performance: short selling and regulation T
Regulatory influences on portfolio performance: short selling and regulation T
1982,
Several models are developed to examine the portfolio effect of short selling. Three...
Persistent dependence in gold prices
Persistent dependence in gold prices
1982,
The purpose of this paper is to analyze the behavior of gold prices during the last...
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