Table Of Content

INDEX TO VOLUME XLVII ARTICLES Accounts Receivable Management Pol- Causal Relations Among Stock Re- icy: Theory and Evidence ....... turns, Interest Rates, Real Activity, Shehzad L. Mian and and Inflation...... Bong-Soo Lee 1591 Clifford W. Smith, Jr. 169 Characterizing Predictable Compo- A Comparison of Forward and Futures nents in Excess Returns on Equity Prices of an Interest Rate-Sensitive and Foreign Exchange Markets .. . Financial Asset . . . Lisa Meulbroek 381 Geert Bekaert and Robert J. Hodrick 467 Additional Evidence on Integration in Common Stock Offerings and Earn- the Canadian Stock Market...... ings Expectations: A Test of the Re- Usha R. Mittoo 2035 lease of Unfavorable Information . . An Analysis of Intraday Patterns in Peter Alan Brous 1517 Bid/Ask Spreads for NYSE Stocks . Corporate Dividends and Seasoned Thomas H. McInish and Equity Issues: An Empirical Investi- Robert A. Wood 753 gation .. . .Claudio F. Loderer and An Empirical Analysis of Illegal In- David C. Mauer 201 sider Trading. . . Lisa K. Meulbroek 1661 Debt, Liquidity Constraints, and Cor- An Empirical Comparison of Alterna- porate Investment: Evidence from tive Models of the Short-Term Inter- Panel Data...... Toni M. Whited 1425 OBtMGES 55 os bo cece K. C. Chan Debt Financing and Tax Status: Tests . G. Andrew Karolyi, of the Subsitution Effect and The Francis A. Longstaff, and Tax Exhaustion Hypothesis Using Anthony B. Sanders 1209 Firms’ Responses to the Economic An Option-Theoretic Approach to the Recovery Tax Act of 1981 ....... Valuation of Dividend Reinvestment Robert Trezevant 1557 and Voluntary Purchase Plans. . Dividends and Losses........... Robert M. Dammon and Harry DeAngelo, Linda DeAngelo, and Chester S. Spatt 331 Douglas J. Skinner 1837 Arbitrage With Holding Costs: A Util- Dividend Surprises Inferred from Op- ity-Based Approach........... tion and Stock Prices.......... Bruce Tuckman and Jean-Luc Vila 1283 Sasson Bar-Yosef and Oded H. Sarig 1623 A Simple and Numerically Efficient Does the Bond Market Predict Valuation Method for American Puts Bankruptcy Settlements? ....... Using a Modified Geske-Johnson Allan C. Eberhart and Approach . . . . David S. Bunch and Richard J. Sweeney 943 Herb Johnson 809 Dual Trading in Futures Markets .. . Bankruptcy and Insider Trading: Dif- Michael J. Fishman and ferences Between Exchange-Listed Francis A. Longstaff 643 and OTC Firms. . . Thomas Gosnell, Dutch Auction Repurchases: An Anal- Arthur J. Keown, and ysis of Shareholder Heterogeneity . . John M. Pinkerton 349 Laurie Simon Bagwell 71 Beatrice: a Study in the Creation and Futures Manipulation with “Cash Set- Destruction of Value .......... tlement”..... Praveen Kumar and George P. Baker 1081 Duane J. Seppi 1485 Can Capital Income Taxes Survive in Futures-Trading Activity and Stock Price Volatihity’ 3-3 ics 36 ecw a Roger H. Gordon 1159 Hendrick Bessembinder and Capital Structure as an Optimal Con- Paul J. Seguin 2015 tract Between Employees and In- Herd on the Street: Informational In- vestors Sadarey td aaa Chun Chang 1141 efficiencies in a Market with Short- 2084 The Journal of Finance Term Speculation Sectional Studies Kenneth A. Froot, Ramesh Chandra and David S. Scharfstein, and Bala V. Balachandran Jeremy C. Stein One Market? Stocks, Futures, and Op- Industrial Structure and the Compar- tions During October 1987 ative Behavior of International Stock Allan W. Kleidon and Market Indices Richard Roll Robert E. Whaley Inflation and Asset Returns in a Mon- One-Time Cash Flow Announcements etary Economy. . David A. Marshall and Free Cash-Flow Theory: Share Information, Asset Prices, and the Vol- Repurchases and Special Dividends . ume of Trade. .Gregory W. Huffman Keith M. Howe, Jia He, and G. Wenchi Kao Insiders and Outsider: The Choice be- Optimal Contracting and Insider Trad- tween Informed and Arm’s-Length ing Restictions. . . . Paul E. Fischer Raghuram G. Rajan Option Replication in Discrete Time Insider Trading in Financial Signaling with Transaction Costs Models Mark Bagnoli and Phelim P. Boyle and Ton Vorst Naveen Khanna Positive Prices in CAPM Interest Rate Swaps and Corporate Lars Tyge Nielsen Financing Choices Predictable Stock Returns in the Sheridan Titman United States and Japan: A Study of Interest Rate Volatility and the Term Long-Term Capital Market Integra- Structure: A Two-Factor General John Y. Campbell and Equilibrium Model Yasushi Hamao Francis A. Longstaff and Publish or Perish: What the Competi- Eduardo S. Schwartz tion is Really Doing Intra-Day Arbitrage Opportunities in Terry L. Zivney and William J. Bertin Foreign Exchange and Eurocurrency Reference Variables, Factor Structure, Markets ...... S. Ghon Rhee and and the Approximate Multibeta Rosita P. Chang Representation Is Fairly Priced Deposit Insurance Haim Reisman Yuk-Shee Chan, Relationship-Specific Assets and the Stuart I. Greenbaum, and Pricing of Underwriter Services . . Anjan V. Thakor Christopher James LBOs, Reversions and Implicit Con- Report of the AFA Representative to tracts ... . Richard A. Ippolito and the National Bureau of Economic William H. James Research Robert S. Hamada Liquidation Values and Debt Capac- Report of The Executive Secretary and ity: A Market Equilibrium Approach. Treasurer Michael Keenan Andrei Shleifer and Robert W. Vishny Report of the Managing Editor of The Long-Lived Private Information and Journal of Finance for the Year 1991 Imperfect Competition René M. Stulz Craig W. Holden and Report on Helping C.I.S. Soviet Re- Avanidhar Subrahmanyam publics Finance Professionals Mod- Management Buyout Proposals and John Tepper Marlin Reputation and Performance Among Inside Information . . .D. Scott Lee Security Analysts . . Scott E. Stickel Managers’ Trading Around Stock Re- Seasonalities in NYSE Bid-Ask purchases D. Scott Lee, Wayne H. Spreads and Stock Returns in Jan- Mikkelson, and M. Megan Partch Robert A. Clark, Market Making in the Options Mar- John J. McConnell, and kets and the Costs of Discrete Hedge Manoj Singh Rebalancing . . . . Mel Jameson and Seasonality and Consumption-Based William Wilhelm Asset Pricing Measuring the Agency Cost of Debt . Wayne E. Ferson and Antonio S. Mello and John E. Parsons Campbell R. Harvey Mergers and the Value of Antitrust Sequential Sales, Learning, and Cas- Deterrence B. Espen Eckbo Ivo Welch Minutes of the Annual Membership Simple Technical Trading Rules and Meeting Michael Keenan the Stochastic Properties of Stock More Powerful Portfolio Approaches to Returns William Brock, Regressing Abnormal Returns on Josef Lakonishok, and Firm-Specific Variables for Cross- Blake LeBaron Index to Volume XLVII Sovereign Debt: Optimal Contract, The Persistence of Mutual Fund Per- Underinvestment, and Forgiveness . formance ... .Mark Grinblati and Eduardo S. Schwartz and Sheridan Titman Salvador Zurita The Post-Merger Performance of Ac- Stock Price Dynamics and Firm Size: quiring Firms: A Re-examination of An Empirical Investigation an Anomaly Anup Agrawal, Yin-Wong Cheung and Lilian K. Ng Jeffrey F. Jaffe, and Stock Returns, Real Activity, and the Gershon N. Mandelker Trust Question The Pricing of Best Efforts New Issues. George Bittlingmayer Ann Guenther Sherman Swaps: Plain and Fanciful The Reaction of Investors and Stock Robert H. Litzenberger Prices to Insider Trading _ Tests of Analysts’ Overreaction/Un- Bradford Cornell and Erik R. Sirri derreaction to Earnings Information The Structure of Corporate Ownership as as Explanation for Anomalous in Japan Stephen D. Prowse Stock Price Behavior The Success of Acquisitions: Evidence Jeffery S. Abarbaneil and from Divestitures Victor L. Bernard Steven N. Kaplan and The Behavior of Option Price Around Michael S. Weisbach Large Block Transactions in the Un- The Voluntary Restructuring of Large derlying Security . . Raman Kumar, Firms in Response to Performance Atulya Sarin, and Kuldeep Shastri Decline Kose John, The Cross-Section of Expected Stock Larry H. P. Lang , and Returns Eugene F. Fama and Jeffry Netter Kenneth R. French Time and the Process of Security Price The Current State of the Arbitrage Adjustment Pricing Theory Jay Shanken David Easley and Maureen O’Hara The Effect of Bond Rating Agency An- Trading Halts and Market Activity: An nouncements on Bond and Stock Analysis of Volume at the Open and John R. M. Hand, the Close . . . . Mason S. Gerety and Robert W. Holthausen, and J. Harold Mulherin Richard W. Leftwich Trading Mechanisms in Securities The Intra-Industry Transfer of Infor- Markets Ananth Madhavan mation Inferred from Announce- Transformed Securities and Alterna- ments of Corporate Security Offer- tive Factor Structures ings Samuel H. Szewczyk Roger D. Huang and Hoje Jo The January Anomaly: Effects of Low Underwriter Compensation and Cor- Share Price, Transaction Costs, and porate Monitoring Bid-Ask Bias Robert S. Hansen and Ravinder K. Bhardwaj and Paul Torregrosa Leroy D. Brooks When Will Mean-Variance Efficient The 1985 Ohio Thrift Crisis, The FS- LIC’s Solvency, and Rate Contagion Richard C. Green and for Retail CD’s Burton Hollifield Elizabeth S. Cooperman, Why Hang onto Losers? Divestitures Winson B. Lee, and Glenn A. Wolfe and Takeovers . . Arnoud W. A. Boot AUTHORS ABARBANELL, JEFFERY S. “Tests of Ana- Method for American Puts Using a lysts’ Overreaction /Underreaction Modified Geske-Johnson Approach” . to Earnings Information as an Ex- CAMPBELL, JOHN Y. “Predictable Stock planation for Anomalous Stock Price Returns in the United States and Japan: A Study of Long-Term Capi- AGRAWAL, ANUP “The Post-Merger Per- tal Market Integration” formance of Acquiring Firms: A Re- CHAN, K. C. “An Empirical Compari- examination of an Anomaly” son of Alternative Models of the ALEXANDER, GORDON J. “Book Review” . Short-Term Interest Rate” BAGNOLI, MarK “Insider Trading in Fi- CHAN, YUK-SHEE “Is Fairly Priced De- nancial Signaling Models” posit Insurance Possible?”....... BAGWELL, LAURIE SIMON “Dutch Auc- CHANDRA, RAMESH “More Powerful tion Repurchases: An Analysis of Portfolio Approaches to Regressing Shareholder Heterogeneity” Abnormal Returns on Firm-Specific BAKER, GEORGE P. “Beatrice: A Study Variables for Cross-Sectional Stud- ” in the Creation and Destruction of Value” CHANG, CHUN “Capital Structure as an BALACHANDRAN, BALA V. (See Chandra). Optimal Contract Between Employ- Bar-YOSEF, SASSON “Dividend Sur- ees and Investors” prises Inferred from Option and CHANG, Rosita P. (See Rhee) Stock Prices” CHEUNG, YIN-WoNG “Stock Price Dy- BEKAERT, GEERT “Characterizing Pre- namics and Firm Size: An Empirical dictable Components in Excess Re- Investigation” turns on Equity and Foreign Ex- CLARK, RoBperT A. “Seasonalities in change Markets” NYSE Bid-Ask Spreads and Stock BERNARD, VICTOR L. (See Abarbanell) . Returns in January”. << «666 ears BERTIN, WILLIAM J. (See Zivney) COOPERMAN, ELIZABETH S. “The 1985 BESSEMBINDER, HENDRIK “Futures- Ohio Thrift Crisis, the FSLIC’s Sol- Trading Activity and Stock Price vency, and Rate Contagion for Re- Volatility” BHARDWAJ, RAVINDER K. “The January CORNELL, BRADFORD “The Reaction of Anomaly: Effects of Low Share Price, Investors and Stock Prices to In- Transaction Costs, and Bid-Ask sider Trading” Bias” DAMMON, ROBERT M. “An Option-Theo- BITTLINGMAYER, GEORGE “Stock Re- retic Approach to the Valuation of turns, Real Activity, and the Trust Dividend Reinvestment and Volun- Question” tary Purchase Plans” BLACK, HAROLD A. Book Review DEANGELO, Harry “Dividends and BOHANNON, JOHN C. Book Review. . . . T.osses” Boot, ARNOUD W. A. “Why Hang on to DEANGELO, LINDA (See DeAngelo) . . . Losers? Divestitures and Takeovers”. EASLEY, Davip “Time and the Process BOYLE, PHELIM P. “Option Replication of Security Price Adjustment” .... in Discrete Time With Transaction EBERHART, ALLAN C. “Does the Bon Market Predict Bankruptcy Settle- Brock, WILLIAM “Simple Technical Trading Rules and the Stochastic Eckso, B. EsPpEN “Mergers and the Properties of Stock Returns” Value of Antitrust Deterrence”... . Brooks, Leroy D. (See Bhardwaj) . . . FAMA, EUGENE F. “The Cross-Section Brous, PETER ALAN “Common Stock of Expected Stock Returns” Offerings and Earnings Expecta- FERSON, WAYNE E. “Seasonality and tions: A Test of the Release of Unfa- Consumption-Based Asset Pricing” . vorable Information” . FISCHER, PAUL E. “Optimal Contract- Buncu, Davin S. “A Simple and Nu- ing and Insider Trading Restric- merically Efficient Valuation tions” Index to Volume XLVII FISHMAN, MICHAEL J. “Dual Trading in JOHN, Kose “The Voluntary Restruc- Futures Markets” turing of Large Firms in Response FRENCH, KENNETH R. (See Fama)... . to Performance Decline” FrooTt, KENNETH A. “Herd on the JOHNSON, HERB (See Bunch) Street: Informational Inefficiencies Kao, G. WENCHI (See Howe) in a Market with Short-Term Specu- KAPLAN, STEVEN N. “The Success of lation” Acquistions: Evidence From Divesti- GerRETY, Mason S. “Trading Halts and tures” Market Activity: An Analysis of Vol- KaroLyI, G. ANDREW (See Chan) .... ume at the Open and the Close” . . . KEENAN, MICHAEL “Minutes of the An- GorDON, RoGeR H. “Can Capital In- nual Membership Meeting” come Taxes Survive in Open KEENAN, MICHAEL “Report of the Exec- Economies?” utive Secretary and Treasurer”. . . GOSNELL, THOMAS “Bankruptcy and KEown, ARTHUR J. (See Gosnell) .... Insider Trading: Differences Be- KHANNA, NAVEEN (See Bagnoli) tween Exchange-Listed and OTC KLEIDON, ALLAN W. “One Market? Stocks, Futures, and Options Dur- GREEN, RICHARD C. “When Will Mean- ing October 1987” Variance Efficient Portfolios Be Well Kumar, PRAVEEN “Futures Manipula- Diversified?” tion with Cash Settlement” GREENBAUM, STUART I. (See Chan) .. . Kumar, RAMAN “The Behavior of Op- GRINBLATT, MARK “The Persistence of tion Price Around Large Block Mutual Fund Performance” Transactions in the Underlying Se- HamaDA, ROBERT S. “Report of the AFA curity” Representative to the National Bu- LAKONISHOK, JOSEF (See Brock) reau of Economic Research” LANG, Larry H. P. (See John) HAMAO, YASUSHI (See Campbell) .... LEBARON, BLAKE (See Brock) HAND, JOHN R. M. “The Effect of Bond LEE, Bonc-Soo “Causal Relations Rating Agency Announcements on Among Stock Returns, Interest Bond and Stock Prices” Rates, Real Activity, and Inflation” . HANSEN, ROBERT S. “Underwriter LEE, D. Scott “Management Buyout Compensation and Corporate Moni- Proposals and Inside Information”. . LEE, D. Scotr “Managers’ Trading HARVEY, CAMPBELL R. (See Ferson). . . Around Stock Repurchases” HE, Jia (See Howe) LEE, WINSON B. (See Cooperman). . . . Hoprick, RoBert J. (See Bekaert) .. . LEFTWICH, RICHARD W. (See Hand) . . . HOLDEN, CraiG W. “Long-Lived Pri- LERoy, STEPHEN F. Book Review... . vate Information and Imperfect LITZENBERGER, RoBeRT H. “Swaps: Competition” Plain and Fanciful” HOLLIFIELD, BURTON (See Green) .... LoprreR, C. F. “Corporate Dividends HOLTHAUSEN, ROBERT W. (See Hand). . and Seasoned Equity Issues: An Howe, KEITH M. “One-Time Cash Flow Empirical Investigation” Announcements and Free Cash-Flow LONGSTAFF, FRANCIS A. Book Review . . Theory: Share Repurchases and LONGSTAFF, FRANCIS A. “Interest Rate Special Dividends” Volatility and the Term Structure: A Huana, RocGeEr D. “Transformed Secu- Two-Factor General Equilibrium rities and Alternative Factor Struc- Model” tures” LonGsTAFF, FRANCIS A. (See Chan). . . HUFFMAN, GREGORY W. “Information, LoncstTAFF, FRANCIS A. (See Fishman) . Asset Prices, and the Volume of MADHAVAN, ANANTH “Trading Mecha- nisms in Securities Markets” IPPOLITO, RICHARD A. “LBOs, Rever- MAHAJAN, ARVIND Book Review sions and Implicit Contracts” MANDELKER, GERSHON N. (See JAFFE, JEFFREY F. (See Agrawal)... . Agrawal) JAMES, CHRISTOPHER “Relationship- MARLIN, JOHN TEPPER “Report on Specific Assets and the Pricing of Helping C.I.S. Soviet Republics Fi- Underwriter Services” nance Professionals Modernize” .. . JAMES, WILLIAM H. (See Ippolito)... . MARSHALL, Davin A. “Inflation and As- JAMESON, MEL “Market Making in the set Returns in a Monetary Economy”. Options Markets and the Costs of MARTIN, STANLEY A. Book Review. . . . Discrete Hedge Rebalancing” Mauer, Davin C. (See Loderer) JO, HoJE (See Huang) McCOoNNELL, JOHN J. (See Clark)... . 2088 The Journal of Finance McINisH, THOMAS H. “An Analysis of of Best Efforts New Issues” Intraday patterns in Bid/Ask SHILLER, ROBERT J. Book Review... . Spreads for NYSE Stocks” SHLEIFER, ANDREI “Liquidation Values MEHTA, DILEEP R. Book Review and Debt Capacity: A Market Equi- MELLO, ANTONIO S. “Measuring the librium Approach” Agency Cost of Debt” SINGH, MaANoJ (See Clark) MEULBROEK, LisA “A Comparison of Sieri, ERIK R. (See Cornell) Forward and Futures Prices of an SKINNER, Douc.as J. (See DeAngelo). . Interest Rate-Sensitive Financial SLEMROD, JOEL Book Review SMITH, CLIFFORD W., JR. (See Mian) . . MEULBROEK, LisA K. “An Empirical Spatt, CHESTER S.(See Dammon) .. . Analysis of Illegal Insider Trading” . STEIN, JEREMY C. (See Froot) MIAN, SHEHZAD L. “Accounts Receiv- STIcKEL, Scott E. “Reputation and able Management Policy: Theory and Performance Among Security Ana- Evidence” lysts” MIKKELSON, WAYNE H. (see Lee) ... . STULz, RENE M. “Report of the Manag- Mitroo, Usua R. “Additional Evidence ing Editor of The Journal of Finance on Integration in the Canadian Stock for the Year 1991” SUBRAHMANYAM, AVANIDHAR (See MULHERIN, J. HAROLD (See Gerety). . . Holden) MURINDE, VICTOR Book Review SWEENEY, RICHARD J. (See Eberhart). . NETTER, JEFFRY (See John) Szewczyk, SAMUEL H. “The Intra- No, Livian K. (See Cheung) Industry Transfer of Information NIELSEN, LARS TYGE: “Positive Prices Inferred from Announcements of Corporate Security Offerings” .... O’Hara, MAuREEN (See Easley) THakor, A. V. (See Chan) PARSONS, JOHN E. (See Mello) TITMAN, SHERIDAN “Interest PartTcH, M. MEGAN (See Lee) Swaps and Corporate Financing PINKERTON, JOHN M. (See Gosnell) . . . Choices” PROWSE, STEPHEN D. “The Structure of TITMAN, SHERIDAN (See Grinblatt). . . . Corporate Ownership in Japan” .. . TORREGROSA, PAUL (See Hansen)... . RaJAN, RAGHURAM G. “Insiders and TREZEVANT, ROBERT “Debt Financing Outsiders: The Choice between In- and Tax Status: Tests of the Subsi- formed and Arm’s Length Debt” .. . tution Effect and the Tax Exhaus- REISMAN, HaIM “Reference Variables, tion Hypothesis Using Firms’ Re- Factor Structure, and the Approxi- sponses to the Economic Recovery mate Multibeta Representation”. . . Tax Act of 1981” RHEE, S. GHON “Intra-Day Arbitrage Opportunities in Foreign Exchange TUCKMAN, BrucE “Arbitrage With and Eurocurrency Markets” Holding Costs: A Utility-Based Ap- ROLL, RICHARD “Industrial Structure proach” and the Comparative Behavior of In- ViLA, JEAN-Luc (See Tuckman) ternational Stock Market Indices” . . ViIsHNY, ROBERT W. (See Shleifer). . . . RUBINSTEIN, MARK Book Review Vorst, Ton (See Boyle) SANDERS, ANTHONY B. (See Chan)... . WEISBACH, MICHAEL S. (See Kaplan) . . SariG, ODED H. (See Bar-Yosef) WELCH, Ivo “Sequential Sales, Learn- SaRIN, ATULYA (See Kumar) ing, and Cascades” SCHARFSTEIN, Davin S. (See Froot) .. . WHALEY, Rosert E. (See Kleidon) .. . ScHwartz, Epuarpo S. (See Longstaff). WuiteD, Toni M. “Debt, Liquidity ScHwartz, Epuarpo S. “Sovereign Constraints, and Corporate Invest- Debt: Optimal Contract, Underin- ment: Evidence from Panel Data” . . vestment, and Forgiveness” WILHELM, WILLIAM (See Jameson) .. . SEcuIn; Paut J. (See Bessembinder) . . WOLFE, GLENN A. (See Cooperman) . . SEpPI, DUANE J. (See Kumar) Woon, RosBeErt A. (See McInish) SHANKEN, JAY “The Current State of ZIVNEY, TERRY L. “Publish or Perish: the Arbitrage Pricing Theory” .... What the Competition is Really Do- SHASTRI, KULDEEP (See Kumar) ing” SHERMAN, ANN GUENTHER “The Pricing ZURITA, SALVADOR (See Schwartz)... . oe