Table Of Content

INDEX TO VOLUME XLIX ARTICLES Arbitrage Chains . . . James Dow and Efficiency Gains in Unsuccessful Man- Gary Gorton agement Buyouts Eli Ofek The Benefits of Lending Relationships: An Empirical Study of the Conse- Evidence from Small Business Data quences of U.S. Tax Rules for Inter- Mitchell A. Petersen and national Acquisitions by U.S. Firms Raghuram G. Rajan Gil B. Manzon, Jr., A Characterization of the Daily and David J. Sharp, and Intraday Behavior of Returns on Nickolaos G. Travlos Options . . . . Aamir M. Sheikh and Executive Careers and Compensation Ehud I. Ronn Surrounding Takeover Bids Circuit Breakers and Market Volatil- Anup Agrawal and ity: A Theoretical Perspective Ralph A. Walkling Avanidhar Subrahmanyam Expected Returns, Time-varying Risk, Cointegration, Fractional Cointegra- and Risk Premia tion, and Exchange Rate Dynamics Martin D. D. Evans Richard T. Baillie and Exploiting the Conditional Density in Tim Bollerslev Estimating the Term Structure: An Contrarian Investment Extrapolation Application to the Cox, Ingersoll, and and Risk Josef Lakonishok, Ross Model . . . Neil D. Pearson and Andrei Shleifer, and Tong-sheng Sun Robert W. Vishny Explorations Into Factors Explaining Corporate Debt Value, Bond Coven- Money Market Returns ants, and Optimal Capital Struc- Peter J. Knez, Robert Litterman, Hayne E. Leland and José Scheinkman Corporate Events, Trading Activity, The Financial and Operating Perfor- and the Estimation of Systematic mance of Newly Privatized Firms: Risk: Evidence From Equity Offer- An International Empirical Analysis ings and Share Repurchases William L. Megginson, David J. Denis and Robert C. Nash, and Gregory B. Kadlec Matthias van Randenborgh The Cross-section of Realized Stock Financial Distress and Corporate Per- Returns: The Pre-COMPUSTAT formance Tim C. Opler and Evidence James L. Davis Sheridan Titman The Effect of a Rating Downgrade on Firm Valuation, Earnings Expecta- Outstanding Commercial Paper . . . tions, and The Exchange-Rate Expo- Leland Crabbe and sure Effect Eli Bartov and Mitchell A. Post Gordon M. Bodnar The Effect of Benkruptcy Protection Free Cash Flow, Shareholder Value, on Investment: Chapter 11 as a and the Undistributed Profits Tax of Screening Device 1936 and 1937 Robert M. Mooradian William G. Christie and The Effect of Dividend Changes on Vikram Nanda Stock and Bond Prices Holiday Trading in Futures Markets Upinder S. Dhillon and Frank J. Fabozzi, Herb Johnson Christopher K. Ma, and The Effect of Market Segmentation James E. Briley and Illiquidity on Asset Prices: Evi- The Impact of Public Information on dence from Exchange Listings .... the Stock Market Gregory B. Kadlec and Mark L. Mitchell and John J. McConnell J. Harold Mulherin 1942 The Journal of Finance Industry Returns and the Fisher Ef- On Cointegration and Exchange Rate Jacob Boudoukh, Dynamics ... . Francis X. Diebold, Matthew Richardson, and Javier Gardeazabal, and Robert F. Whitelaw Kamil Yilmaz The Interaction between Nonexpected On Stock Market Returns and Returns Utility and Asymmetric Market on Investment . . . Fernando Restoy Fundamentals . . . .Mao-Wei Hung and G. Michael Rockinger Interactions of Corporate Financing On the Cross-sectional Relation be- and Investment Decisions: A Dy- tween Expected Returns and Betas namic Framework Richard Roll and Stephen A. Ross David C. Mauer and Parameter-based Decision Making un- Alexander J. Triantis der Estimation Risk: An Application Investment Bank Reputation, Infor- to Futures Trading ation Production, and Financial Sergio H. Lence and Dermot J. Hayes Intermediation Poison Put Bonds: Analysis of Their Thomas J. Chemmanur and Economic Role . . . Douglas O. Cook and John C. Easterwood Paolo Fulghieri The Post-Issue Operating Performance Is the Electronic Open Limit Order of IPO Firms . . Bharat A. Jain and Book Inevitable? Omesh Kini Lawrence R. Glosten Presidential Address: Implied Bino- Journal Communication Influence in mial Trees Mark Rubinstein Financial Research Public Information Arrival Kenneth A. Borokhovich, Thomas D. Berry and Robert J. Bricker, and Keith M. Howe Betty J. Simkins Ratings, Commercial Paper, and Eq- Macroeconomic Seasonality and the uity Returns . .Nandkumar Nayar January Effect . . .Charles Kramer and Michael S. Rozeff Managers, Owners, and the Pricing of The Rationality and Price Effects of Risky Debt: An Empirical Analysis U.S. Department of Agriculture Elizabeth Strock Bagnani, Forecasts of Oranges Nikolaos T. Milonas, Robert F. Baur and Anthony Saunders, and Peter F. Orazem Nickolaos G. Travlos Rational Prepayments and the Valua- Market Efficiency and the Favorite- tion of Collateralized Mortgage Obli- Longshot Bias: The Baseball Betting gations John J. McConnell Market Linda M. Woodland and Manoj Singh and Bill M. Woodland Relative Significance of Journals, Au- Market Microstructure and the Ex- thors, and Articles Cited in Finan- Date Return . . . Jennifer S. Conrad cial Research and Robert Conroy John C. Alexander, Jr., and Rodney H. Mabry Market Statistics and Technical Anal- ysis: The Role of Volume Report of the AFA Representative to the National Bureau of Economic Lawrence Blume, David Easley Research Robert S. Hamada and Maureen O’Hara Report of the Executive Secretary and Mean Reversion of Standard and Treasurer Michael Keenan Poor’s 500 Index Basis Changes: Ar- Report of the Managing Editor of the bitrage-induced or Statistical Ilu- Journal of Finance for the Year 1993 Merton H. Miller, René Stulz Jayaram Muthuswamy, and Robust Financial Contracting and the Robert E. Whaley Role of Venture Capitalists Minutes of the Annual Membership Anat R. Admati and Paul Pfleiderer Meeting Michael Keenan The role of ESOPs in Takeover Con- Mortgage Redlining: Race, Risk, and tests Susan Chaplinsky and Demand .. . .Andrew Holmes and Greg Niehaus Paul Horvitz Security Analysis and Trading Pat- A Nonparametric Approach to Pricing terns When Some Investors Receive and Hedging Derivative Securities Information Before Others Via Learning Networks David Hirshleifer, James M. Hutchinson, Avanidhar Subrahmanyam, Andrew W. Lo, and Tomaso Poggio and Sheridan Titman Index to Volume XLIX 1943 Signaling and Takeover Deterrence Trading and Liquidity on the Tokyo with Stock Repurchases: Dutch Auc- Stock Exchange: A Bird’s Eye View tions versus Fixed Price Tender Of- Bruce N. Lehmann and ORS 5,0 o acasanene John C. Persons 1373 David M. Modest 951 The Spinoff and Merger Ex-Date Ef- Trading Mechanisms and the Compo- FOCUS cc 6s, See Anand M. Vijh 581 nents of the Bid-Ask Spread ..... Stock Returns following Large One- Jonn Affleck-Graves, Day Declines: Evidence on Short- Shantaram P. Hegde, and Term Reversals and Longer-Term Robert E. Miller 1471 Performance ....DonR. Cox and Trading Profits in Dutch Auction Self- David R. Peterson "WORMIEP CHOIR. 5 oc anc k oe eeled Yax-Induced Intertemporal Restric - Palani-Rajan Kadapakkam tions on Security Returns....... and Sarabjeet Seth 291 Peter Bossaerts and Trading Volume and Transaction Costs Robert M. Dammon 1347 in Specialist Markets.......... Testing for Linear and Nonlinear Thomas J. George, Granger Causality in the Stock Gautam Kaul, Price-Volume Relation......... and M. Nimalendran 1489 Craig Hiemstra and The Value of Wildcard Options ..... Jonathan D. Jones 1639 Jeff Fleming and Robert E. Whaley 215 Testing Volatility Restrictions on In- Volume, Volatility, and New York tertemporal Marginal Rates of Sub- Stock Exchange Trading Halts... . stitution Implied by Euler Equa- Charles M. C. Lee, tions and Asset Returns........ Mark J. Ready, and Paul J. Seguin 183 Stephen G. Cecchetti, Volume and Autocovariances in Short- Pok-Sang Lam, Horizon Individual Security Returns and Nelson C. Mark 123 Jennifer S. Conrad, A Theory of the Dynamics of Security Allaudeen Hameed, and Cathy Niden 1305 Returns around Market Closures . . Why Did NASDAQ Market Makers Steve L. Slezak 1163 Stop Avoiding Odd-Eighth Quotes? . Time-Series Variation in Dividend William G. Christie, PPI 6.e sa Kenneth M. Eades, Jeffrey H. Harris, Patrik J. Hess, and E. Han Kim 1617 and Paul H. Schultz 1841 Time Variations and Covariations in Why Do NASDAQ Market Makers the Expectation and Volatility of Avoid Odd-Eighth Quotes? ...... Stock Market Returns ......... William G. Christie and Robert F. Whitelaw 515 Paul H. Schultz 1813 The Journal of Finance AUTHORS ApMATI, ANAT R. “Robust Financial CHRISTIE, WILLIAM G. “Free Cash Flow, Contracting and the Role of Venture Shareholder Value, and the Un- Capitalists” distributed Profits Tax of 1936 and AFFLECK-GRAVES, JOHN “Trading Mechanisms and the Components of CHRISTIE, WILLIAM G. “Why Did NAS- the Bid-Ask Spread” DAQ Market Makers Stop Avoiding AGRAWAL, ANUP “Executive Careers Odd-Eighth Quotes?” and Compensation Surrounding CHRISTIE, WILLIAM G. “Why Do NAS- Takeover Bids” DAQ Market Makers Avoid Odd- ALEXANDER, GORDON J. Book Review. . MUIGNU GIUGCES! os kc ee ce ees ALEXANDER, JOHN C., JR. “Relative CONRAD, JENNIFER S. “Market Mi- Significance of Journals, Authors, crostructure and the Ex-Date Re- and Articles Cited in Financial Re- CONRAD, JENNIFER S. “Volume and Au- BAGNANI, ELIZABETH STROCK “Mana- tocovariances in Short-Horizon Indi- gers, Owner, and the Pricing of vidual Security Returns” Risky Debt: An Empirical Analysis” . Conroy, ROBERT (See Conrad). . BAILLIE, RICHARD T. “Cointegration, Cook, Douc.Las O. “Poison Put Bonds: Fractional Cointegration, and Ex- Analysis of Their Economic ole” . . change Rate Dynamics” Cox, Don R. “Stock Returns following BarTov, ELI “Firm Valuation, Earn- Large One-Day Declines: Evidence ings Expectations, and the Ex- on Short-Term Reversals and change-Rate Exposure Effect” .... Longer-Term Performance” Baur, RoBert F. “The Rationality and CRABBE, LELAND “The Effect of a Rat- Price Effects of U.S. Department of ing Downgrade on Outstanding Agriculture Forecasts of Oranges”. . Commercial Paper” BERRY, THOMAS D. “Public Information DAMMON, ROBERT M. (See Bossaerts). . Davis, JAMES L. “The Cross-section of BLUME, LAWRENCE “Market Statistics Realized Stock Returns: The Pre- and Technical Anaiysis: The Role of COMPUSTAT Evidence” Volume” DENIS, Davip J. “Corporate Events, BODNAR, GORDON M. (See Bartov). . . . Trading Activity, and the Estima- BOLLERSLEV, TIM (See Baillie) tion of Systematic Risk: Evidence BOROKHOVICH, KENNETH A. “ Journal from Equity Offering and Share Re- Communication and Influence in Fi- purchases” nancial Research” DHILLON, UPINDER S. “The Effect of BOSSAERTS, PETER “Tax-Induced In- Dividend Changes on Stock and tertemporal Restrictions on Security Bond Prices” DIEBOLD, FRANCIS X. “On Cointegra- BouDOUKH, JACOB “Industry Returns tion and Exchange Rate Dynamics” . and the Fisher Effect” Dow, JAMES “Arbitrage Chains”.... . BRICKER, ROBERT J. (See Borokhovich). EADES, KENNETH M. “Time-Series BRILEY, JAMES E. (See Fabozzi) Variation in Dividend Pricing”... . BROADIE, MARK Book Review EASLEY, Davip (See Blume) CECCHETTI, STEPHEN G. “Testing EASTERWOOD, JOHN C. (See Cook). . . . Volatility Restrictions on Intertem- poral Marginal Rates of Substitu- Emery, GARY W. Book Review tion Implied by Euler Equations and EvaANs, MarTIN D. D. “Expected Re- Asset Returns” turns, Time-varying Risk, and Risk CHAN, K. C. Book Review CHAPLINSKY, SUSAN “The Role of FABOZZI, FRANK J. “Holiday Trading in ESOPs in Takeover Contests” .... Futures Markets” CHEMMANUR, THOMAS J. “Investment FLEMING, JEFF “The Value of Wildcard Bank Reputation, Information Pro- Options” duction, and Financial Intermedia- FowLER, DAvID Book Review tion” FULGHIERI, PAOLO (See Chemmanur). . Index to Volume XLIX 1945 GARDEAZABAL, JAVIER (See Diebold). . . 727 KNEZ, PETER J. “Explorations Into GENTRY, JAMES A. Book Review Factors Explaining Money Market GEORGE, THOMAS J. “Trading Volume Returns” and Transaction Costs in Specialist KRAMER, CHARLES “Macroeconomic Markets” Seasonality and the January Effect”. 1883 GLOSTEN, LAWRENCE R. “Is the Elec- LAKONISHOK, JOSEF “Contrarian In- tronic Open Limit Order Book In- vestment Extrapolation and Risk”. . OVILGRIO? s «.3 Seu e Gao a wiekious LaM, POK-SANG (See Cecchetti) GorTON, GARY (See Dow) LEE, CHARLES M. C. “Volume, Volatil- ity, and New York Stock Exchange HAMADA, ROBERT S. “Report of the AFA Trading Halts” Representative to the National Bu- reau of Economic Research” LEGG, THOMAS D. Book Review LEHMANN, BRUCE N. “Trading and Li- HAMEED, ALLAUDEEN (See Conrad). . . quidity on the Tokyo Stock Ex- HARRIS, JEFFREY H. (See Christie) .. . change: A Bird’s Eye View” Hayes, Dermot J. (See Lence) LELAND, HAYNE E. “Corporate Debt HEGDE, SHANTARAM P. (See Affleck- Value, Bond Covenants, and Opti- Graves) mal Capital Structure” Hess, Patrick J. (See Eades) LENCE, SERGIO H. “Parameter-based HieMstTrRA, CraiG “Testing for Linear Decision Making under Estimation and Nonlinear Granger Causality in Risk: An Application to Futures the Stock Price-Volume Relation” . . Trading” HIRSHLEIFER, DAvipD “Security Analysis LITTERMAN, ROBERT (See Knez) and Trading Patterns When Some Lo, ANDREW W. (See Hutchinson)... . Investors Receive Information Be- Ma, CHRISTOPHER K. (See Fabozzi) . . . fore Others” Mapry, RopNEY H. (See Alexander) . . HoLMEs, ANDREW “Mortgage Redlin- MANGIERO, SUSAN M. Book Review . . . ing: Race, Risk, and Demand” .... MANZON, GIL B., Jr. “An Empirical Horvitz, PAUL (See Holmes) Study of the Consequences of U.S. HoweE, KEITH M. (See Berry) Tax Rules for International Acquisi- tions by U.S. Firms” Hunc, Mao-WE! “The Interaction be- MakkK, NELSON C. (See Cecchetti)... . tween Nonexpected Utility and Asymmetric Market Fundamentals”. Mauer, Davin C. “Interactions of Cor- porate Financing and Investment HUTCHINSON, JAMES M. “A Nonpara- Decisions: A Dynamic Framework” . metric Approach to Pricing and McCONNELL, JOHN J. “Rational Pre- Hedging Derivative Securities Via payments and the Valuation of Col- Learning Networks” lateralized Mortgage Obligations” . . JAIN, BHARAT A. “The Post-Issue Oper- McCONNELL, JOHN J. (See Kadlec) . . . ating Performance of IPO Firms” . . MEGGINSON, WILLIAM L. “The Finan- JOHNSON, HERB (See Dhillon) cial and Operating Performance of JONES, JONATHAN D. (See Hiemstra) . . Newly Privatized Firms: An Inter- JUNKUS, -? AN C. Book Review national Empirical Analysis” KADAPAKKAM, PALANI-RAJAN “Trading MILLER, MERTON H. “Mean Reversion Profits in Dutch Auction Self-Tender of Standard and Poor’s 500 Index Offers” Basis Changes: Arbitrage-induced or KapLEc, GreGorY B. “The Effect of Statistical Illusion?” Market Segmentation and Illiquid- MILLER, PRESTON J. Book Review. . ity on Asset Prices: Evidence from MILLER, Ropert E. (See Affleck- Exchange Listings” Graves) KADLEC, GREGORY B. (See Denis) ... . MILONAS, NIKOLAOS T. (See Bagnani). . KANE, EDWARD J. Book Review MITCHELL, MARK L. “The Impact of Public Information on the Stock KAUFMAN, GEORGE G. Book Review. . . KauL, GAUTAM (See George) Mopest, Davin M. (See Lehmann)... . KEENAN, MICHAEL “Minutes of the An- MooraDiaNn, RosBert M. “The Effect of nual Membership Meeting” Bankruptcy Protection on Invest- KEENAN, MICHAEL “Report of the Exec- ment: Chapter 11 as a Screening utive Secretary and Treasurer”... . Device” Kim, E. HAN (See Eades) Moy, RONALD L. Book Review KINI, OMESH (See Jain) MULHERIN, J. HAROLD (See Mitchell) . . 923 1946 The Journal of Finance MUTHUSWAMY, JAYARAM (See Miller) .. 479 SEGUIN, PauL J. (See Lee) NANDA, VIKRAM (See Christie) SETH, SARABJEET (See Kadapakkam). . 291 NASH, ROBERT C. (See Megginson) ... 403 Suarp, Davin J. (See Manzon) NAYAR, NANDKUMAR “Ratings, Com- SHEIKH, AAMIR M. “A Characterization mercial Paper, and Equity Returns”. 1431 of the Daily and Intraday Behavior NIDEN, CATHY (See Conrad) 1305 of Returns on Options” NIEHAUS, GREG (See Chaplinsky).... 1451 SHLEIFER, JOSEF (See Lakonishok) . . . NIMALENDRAN, M. (See George) 1489 SHUKLA, RAvI Book Review O’HarA, MAUREEN (See Blume) 153 Sick, GORDON Book Review OFEK, ELI “Efficiency Gains in Unsuc- SIMKINS, BeTTy J. (See Borokhovich). . cessful Management Buyouts” .... 637 SinGH, MAnoJ (See McConnell) OPLER, TIM C. “Financial Distress and Corporate Performance” 1015 SINGH, MANoJ K. Book Review ORAZEM, PETER F. (See Baur) 681 SLEZAK, STEVE L. “A Theory of the PEARSON, NEIL D. “Exploiting the Con- Dynamics of Security Returns ditional Density in Estimating the around Market Closures” Term Structure: An Application to STULZ, RENE M. “Report of the Manag- the Cox, Ingersoll, and Ross Model” . ing Editor of the Journal of Finance PERSONS, JOHN C. “Signaling and for the Year 1993” Takeover Deterrence with Stock Re- SUBRAHMANYAM, AVANIDHAR “Circuit purchases: Dutch Auction versus Breakers and Market Volatility: A Fixed Price Tender Offers” Theoretical Perspective” PETERSEN, MITCHELL A. “The Benefits SUBRAHMANYAM, AVANIDHAR (See Hirsh- of Lending Relationships: Evidence leifer) from Small Business Data” Sun, TONG-SHENG (See Pearson) .... PETERSON, DavipD R. (See Cox) TITMAN, SHERIDAN (See Hirshleifer). . . PFLEIDERER, PAUL (See Admati) TITMAN, SHERIDAN (See Opler) Poacio, ToMASO (See Hutchinson) . . . TRAVLOS, NICKOLAOS G. (See Bagnani) . Post, MITCHELL A. (See Crabbe) .... TRAVLOS, NICKOLAOS G. (See Manzon) . RAJAN, RAGHURAM G. (See Petersen) . . TRIANTIS, ALEXANDER J. (See Mauer). . ReEapy, Mark J. (See Lee) VAN RANDENBORGH, MATTHIAS (See REsTOY, FERNANDO “On Stock Market Megginson) Returns and Returns on- Invest- VisH, ANAND M. “The Spinoff and ment” 543 Merger Ex-Date Effects”........ VISHNY, ROBERT W. (See Lakonishok) . ROCKINGER, G. MICHAEL (See Restoy). . 543 WALKLING, RALPH A. (See Agrawal). . . ROLL, RICHARD “On the Cross-sectional WHALEY, ROBERT E. (See Fleming) .. . Relation between Expected Returns WHALEY, ROBERT E. (See Miller) .... and Betas” 101 WHITELAW, ROBERT F. “Time Varia- RONN, Exup I. (See Sheikh) 557 tions and Covariations in the Expec- Ross, STEPHEN A. (See Roll) 101 tation and Volatility of Stock Mar- ROZEFF, MICHAEL S. (See Nayar) .... 1431 ket Returns” RUBINSTEIN, MARK “Presidential Ad- WHITELAW, ROBERT F. (See Boudoukh). dress: Implied Binomial Trees”. ... 771 WOODLAND, BILL M. (See Woodland) . . 269 SAUNDERS, ANTHONY (See Bagnani)... 453 WOODLAND, LINDA M. “Market Effi- SCHEINKMAN, JOSE (See Knez) ciency and the Favorite-Longshot SCHULTz, PauL H. (See Christie) Bias: The Baseball Betting Market” . 269 1813, 1841 YILMAZ, KAMIL (See Diebold)