Table Of Content

INDEX TO VOLUME LI ARTICLES An Anatomy of the “S&P Game”: The Delayed Reaction to Good News and Effects of Changing the Rules the Cross-Autocorrelation of Portfo- Messod D. Beneish and Robert E. Whaley Grant McQueen, Michael Pinegar, An Empirical Investigation of Short- and Steven Thorley Selling Activity Prior to Seasoned Determinants of Contract Choice: The Equity Offerings .. Assem Safieddine Use of Warrants to Compensate and William J. Wilhelm, Jr. Underwriters of Seasoned Equity A Simple Measure of Price Adjustment Issues Coefficients: A Correction Chee K. Ng and Richard L. Smith Neil Brisley and Michael Theobaid Diversification, Integration and A Simple Nonparametric Approach to Emerging Market Closed-End Funds Derivative Security Valuation Geert Bekaert and Michael S. Urias Michael Stutzer Dividends and Profits: Some Unsubtle Asymmetric Information, Managerial Foreign Influences Opportunism, Financing, and Pay- James R. Hines, Jr. out Policies Do Brokerage Analysts’ Recommenda- Thomas H. Noe and Michael J. Rebello A Theory of Corporate Scope and Fi- Kent L. Womack nancial Structure Does Money Explain Asset Returns? David D. Li and Shan Li Theory and Empirical Analysis Bank Debt Restructurings and the K. C. Chan, Silverio Foresi, and Composition of Exchange Offers in Larry H. P. Lang Financial Distress Earnings Announcements and the Christopher James Components of the Bid-Ask Spread . Bank Information Monopolies and the Itzhak Krinsky and Jason Lee Mix of Private and Public Debt Equilibrium Analysis of Portfolio In- surance .. Sanford J. Grossman and Joel Houston and Christopher James Zhongquan Zhou Bustup Takeovers of Value-Destroying Evidence of Bank Market Discipline in Diversified Firms Subordinated Debenture Yields: Philip G. Berger and Eli Ofek 1983-1991... Mark J. Flannery and Call and Continuous Trading Mecha- Sorin M. Sorescu nisms Under Asymmetric Informa- Evidence of Discrimination in Lending: tion: An Experimental Investigation An Extension Sherrill Shaffer Charles R. Schnitzlein Expectations and the Cross-Section of Capital Requirements, Monetary Pol- Rafael La Porta icy, and Aggregate Bank Lending: General Properties of Option Prices. . . Theory and Empirical Evidence .... Yaacov Z. Bergman, Anjan V. Thakor Bruce D. Grundy, and Zvi Wiener Cream-Skimming or Profit-Sharing? Idiosyncratic Variation of Treasury Bill The Curious Role of Purchased Or- Gregory R. Duffee Impact of the 1988 Basle Accord on In- David Easley, Nicholas M. Kiefer ternational Banks and Maureen O’Hara John D. Wagster Decision Frequency and Synchroniza- Investment Policy and Exit-Exchange tion Across Agents: Implications for Offers Within Financially Distressed Aggregate Consumption and Equity Firms ....Antonio E. Bernardo and Anthony W. Lynch Eric L. Talley 1986 The Journal of Finance Is There a “Window of Opportunity” for Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis Mark Bayless and Shmuel Kandel, Aharon R. Ofer, Susan Chaplinsky and Oded Sarig Limit Order Trading... Puneet Handa Recovering Probability Distributions and Robert A. Schwartz from Option Prices Liquidity, Information, and _ Infre- Jens Carsten Jackwerth and quently Traded Stocks Mark Rubinstein David Easley, Nicholas M. Kiefer, Regulatory Incentives and the Thrift Maureen O’Hara, and Crisis: Dividends, Mutual-to-Stock Joseph B. Paperman Conversions, and Financial Distress Long-Term Market Overreaction: The Randall S. Kroszner and Effect of Low-Priced Stocks Philip E. Strahan Tim Loughran and Jay R. Ritter Report of the AFA Representative to Measuring Fund Strategy and Perfor- the National Bureau of Economic Re- mance in Changing Economic Condi- Robert S. Hamada Wayne E. Ferson and Report of the Executive Secretary and Rudi W. Schadt Treasurer Michael Keenan Measuring International Economic Report of the Managing Editor of the Linkages with Stock Market Data .. Journal of Finance for the Year 1995 John Ammer and Jianping Mei René M. Stulz Minutes of the Annual Membership Return Volatility and Trading Volume: Michael Keenan An Information Flow Interpretation Momentum Strategies of Stochastic Volatility Louis K. C. Chan, Narasimhan Torben G. Andersen Jegadeesh, and Josef Lakonishok Robust Structure Without Predictabil- Multifactor Explanations of Asset Pric- ity: The “Compass Rose” Pattern of ing Anomalies Eugene F. Fama the Stock Market and Kenneth R. French Timothy Falcon Crack and Noise Trading in Small Markets Olivier Ledoit Frédéric Palomino Shareholder Activism by Institutional Non-Fundamental Speculation Investors: Evidence from CalPERS Vicente Madrigal Michael P. Smith Of Tournaments and Temptations: An Smith Breeden Prizes for 1995 Analysis of Managerial Incentives in Special Repo Rates Darrell Duffie the Mutual Fund Industry Strategic Trading When Agents Fore- Keith C. Brown, W. V. Harlow, and cast the Forecasts of Others Laura T. Starks F. Douglas Foster and Oil and the Stock Markets S. Viswanathan Charles M. Jones and Swap Rates and Credit Quality Gautam Kaul Darrel Duffie and Ming Huang On the Predictability of Stock Returns: Tax-Exempt Debt and the Capital An Asset-Allocation Perspective .... Structure of Nonprofit Organiza- Shmuel Kandel and tions: An Application to Hospitals . . Robert F. Stambaugh Gerard J. Wedig, Mahmud Hassan, Optimal Capital Structure, Endoge- and Michael A. Morrisey nous Bankruptcy, and the Term Tests of the Relations Among Market- Structure of Credit Spreads wide Factors, Firm-Specific Vari- Hayne E. Leland and ables, and Stock Returns Using a Klaus Bjerre Toft Conditional Asset Pricing Model... . Preferences for Stock Characteristics Jia He, Raymond Kan, Lilian Ng, as Revealed by Mutual Fund Portfo- and Chu Zhang lio Holdings .... Eric G. Falkenstein The Capital Budgeting Process, Incen- Presidential Address: Another Puzzle: tives and Information The Growth in Actively Managed Milton Harris and Artur Raviv Mutual Funds.... Martin J. Gruber The CAPM is Wanted, Dead or Alive . Quotes, Prices, and Estimates in a Lab- Eugene F. Fama and oratory Market .. Robert Bloomfield Kenneth R. French Index to Volume LI The Conditional CAPM and the Cross- Transparency and Liquidity: A Com- Section of Expected Returns parison of Auction and Dealer Mar- Ravi Jagannathan and kets with Informed Trading Zhenyu Wang Marco Pagano and Ailsa Réell The Determinants of the Maturity of Transparency and Liquidity: A Study Corporate Debt Issues of Block Trades on the London Stock Jose Guedes and Tim Opler Exchange under Different Publica- The Method of Payment in Corporate tion Rules Gordon Gemmill Acquisitions, Investment Opportuni- Volatility in Wheat Spot and Futures ties, and Management Ownership .. Markets, 1950-1993: Government Kenneth J. Martin Farm Programs, Seasonality, and The Relative Pricing of Eurodollar Fu- Causality Susan J. Crain, and tures and Forward Contracts Mark Grinblatt and Jae Ha Lee Narasimhan Jegadeesh Who Manages Risk? An Empirical Ex- The Strategic Exercise of Options: De- amination of Risk Management velopment Cascades and Overbuild- Practices in the Gold Mining Indus- ing in Real Estate Markets try Peter Tufano Steven R. Grenadier Why do Markets Move Together? An The Value of Diversification During Investigation of U.S.Japan Stock the Conglomerate Merger Wave .... Return Comovements Henri Servaes G. Andrew Karolyi and The Wealth Effects of Bank Financing René M. Stulz Announcements in Highly Lever- aged Transactions William A. Kracaw and Marc Zenner AUTHORS AMMER, JOHN “Measuring Interna- DUuFFIE, DARRELL “Special Repo Rates”. 493 tional Economic Linkages with Stock DuFFIE, DARREL “Swap Rates and Market Data” Credit Quality” ANDERSEN, TORBEN G. “Return Volatil- EASLEY, Davip “Cream-Skimming or ity and Trading Volume: An Informa- Profit-Sharing? The Curious Role of tion Flow Interpretation of Stochas- Purchased Order Flow” tic Volatility” EASLEY, Davib “Liquidity, Information, BAYLESS, MarK “Is There a Window of and Infrequently Traded Stocks” ... 1405 Opportunity for Seasoned Equity Is- FALKENSTEIN, Eric G. “Preferences for ET ot can'cibde ysc eeh ae Se Stock Characteristics As Revealed by BEKAERT, GEERT “Diversification, Inte- Mutual Fund Portfolio Holdings” ... 111 gration and Emerging Market Fama, EUGENE F. “Multifactor Explana- Closed-End Funds” tions of Asset Pricing Anomalies”... BENEISH, MEssop D. “An Anatomy of FaMA, EuGENE F. “The CAPM is the ‘S&P Game’: The Effects of Wanted, Dead or Alive” Changing the Rules” FERSON, WAYNE E. “Measuring Fund BERGER, PHILIP G. “Bustup Takeovers Strategy and Performance in Chang- of Value-Destroying Diversified ing Economic Conditions” FLANNERY, MARK J. “Evidence of Bank BERGMAN, YAACOV Z. “General Proper- Market Discipline in Subordinated ties of Option Prices” Debenture Yields: 1983-1991” BERNARDO, ANTONIO E. “Investment FoRESI, SILVERIO (See Chan) Policy and Exit-Exchange Offers Foster, F. DouG.as, “Strategic Trad- Within Financially Distressed ing When Agents Forecast the Fore- casts of Others” BICKSLER, JAMES L. Book Review FRENCH, DAN W. Book Review BLACK, HAROLD A. Book Review FRENCH, KENNETH R. (See Fama) .. .55, 1947 BLOOMFIELD ROBERT “Quotes, Prices, GEMMILL GORDON “Transparency and and Estimates in a Laboratory Mar- Liquidity: A Study of Block Trades on the London Stock Exchange under BrIsLEY, NE “A Simple Measure of Different Publication Rules” Price Adjustment Coefficients: A GOETZMANN, WILLIAM N. Book Review . 1559 Correction” GRENADIER, STEVEN R. “The Strategic Brown, KEITH C. “Of Tournaments and Exercise of Options: Development Temptations: An Analysis of Mana- Cascades and Overbuilding in Real gerial Incentives in the Mutual Fund Estate Markets” Industry” GRINBLATT, MarRK “Relative Pricing of BROWN, STEPHEN J. Book Review Eurodollar Futures and Forward CHAN, K. C. “Does Money Explain As- Contracts” set Returns? Theory and Empirical GROSSMAN, SANFORD J. “Equilibrium Analysis” Analysis of Portfolio Insurance” .... 1379 Cuan, Louis K. C. “Momentum Strate- GRUBER, MARTIN J. “Presidential Ad- dress: Another Puzzle: The Growth CHAPLINSKY, SUSAN (See Bayless) in Actively Managed Mutual Funds” 783 COLES, JEFFREY L. Book Review GRUNDY, BRUCE D. (See Bergman) .... 1573 CRACK, TIMOTHY FALCON “Robust Struc- GUEDES JOSE “The Determinants of the ture Without Predictability: The Maturity of Corporate Debt Issues” . 1809 ‘Compass Rose’ Pattern of the Stock Hamapa, RoBERrT S. “Report of the AFA Representative to the National Bu- Crain, Susan J. “Volatility in Wheat reau of Economic Research” Spot and Futures’ Markets, HAnDA, PUNEET “Limit Order Trading”. 1835 1950-1993: Government Farm Pro- Har.ow, W. V. (See Brown) grams, Seasonality, and Causality” . 325 Harris, Mitton “The Capital Budget- DUFFEE, GREGORY R. “Idiosyncratic ing Process: Incentives and Informa- Variation of Treasury Bill Yields”. . . 527 Authors 1989 HASSAN, MAHMUD (See Wedig) La Porta, RAFAEL “Expectations and HE, JIA “Tests of the Relations Among the Cross-Section of Stock Returns”.. 1715 Marketwide Factors, Firm-Specific LEDOIT, OLIVIER (See Crack) Variables, and Stock Returns Using LEE, JAE Ha (See Crain) a Conditional Asset Pricing Model”. 1891 LEE, JASON (See Krinsky) HINES, JAMES R., JR. “Dividends and LELAND, HAYNE E. “Optimal Capital Profits: Some Unsubtle Foreign In- Structure, Endogenous Bankruptcy, and the Term Structure of Credit Houston, JOEL “Bank Information Mo- Spreads,” nopolies and the Mix of Private and LESSARD, DONALD Book Review Public Debt Claims” Li, Davip D. “A Theory of Corporate Huan, Mina (See Duffie) Scope and Financial Structure” JACKWERTH, JENS CARSTEN “Recovering Li, SHAN (See Li, David D.)........... Probability Distributions from Op- LOUGHRAN, TIM “Long-Term Market tion Prices” Overreaction: The Effect of Low- JAGANNATHAN, Ravi “The Conditional CAPM and the Cross-Section of Ex- LyncH, ANTHONY W. “Decision Fre- pected Returns” quency and Synchronization Across JAMES, CHRISTOPHER “Bank Debt Re- Agents: Implications for Aggregate structurings and the Composition of Consumption aad Equity Return”... 1479 Exchange Offers in Financial Dis- MADRIGAL, VICENTE “Non-Fundamental Speculation” JAMES, CHRISTOPHER (See Houston) ... 1863 MANN, STEVEN C. Book Review JEGADEESH, NARASIMHAN (See Grin- MarTIN, KENNETH J. “The Method of Payment in Corporate Acquisitions, JEGADEESH NARASIMHAN (See Chan, Investment Opportunities, and Man- Po 8 Beer2r ee agement Ownership” JONES, CHARLES M. “Oil and the Stock MCQUEEN, GRANT “Delayed Reaction to Markets” Good News and the Cross-Autocorre- KANDEL, SHMUEL “On the Predictability lation of Portfolio Returns” of Stock Returns: An Asset-Alloca- MEI, JIANPING (See Ammer) tion Perspective” Morrisey, MICHAEL A. (See Wedig) ... 1247 KANDEL, SHMUEL “Real Interest Rates Na, CHEE K. “Determinants of Contract and Inflation: An Ex-Ante Empirical Choice: The Use of Warrants to Com- Analysis” pensate Underwriters of Seasoned KAN, RAYMOND (See He) Equity Issues” KAROLYI, G. ANDREW “Why do Markets Nc, LILIAN (See He) Move Together? An Investigation of Nog, THomas H. “Asymmetric Informa- U.S.-Japan Stock Return Comove- tion, Managerial Opportunism, Fi- ments” nancing, and Payout Policies” KAUL, GAUTAM (See Jones) O’Hara, MAuREEN (See Easley) KEENAN, MICHAEL “Minutes of the An- OFEK, ELI (See Berger) nual Membership Meeting” OFER, AHARON R. (See Kandel) KEENAN MICHAEL “Report of the Execu- OPLER, TIM (See Guedes) tive Secretary and Treasurer” PAGANO, Marco “Transparency and Li- KIEFER, NICHOLAS M. (See Easley) 811, 1405 quidity: A Comparison of Auction Kracaw, WILLIAM A. “The Wealth Ef- and Dealer Markets with Informed fects of Bank Financing Announce- Trading”...... ments in Highly Leveraged Transac- PALOMINO, FREDERIC “Noise Trading in Small Markets” KRINSKY, ITZHAK “Earnings Announce- PAPERMAN, JOSEPH B. (See Easley).... 1405 ments and the Components of the PasTENA, VICTOR S. Book Review 1980 Bid-Ask Spread” PINnEGAR, MICHAEL (See McQueen) .... 889 KRITZMAN, MARK Book Review Raviv, ARTUR (See Harris) KROSZNER, Randali S. “Regulatory In- REBELLO, MICHAEL J. (See Noe) centives and the Thrift Crisis: Divi- Ricu, Don Book Review dends, Mutual-to-Stock Conversions, RitTerR, JAY R. (See Loughran) and Financial Distress” ROELL, AILSA (See Pagano) LAKONISHOK, JOSEF (See Chan, Louis RUBINSTEIN, MARK (See Jackwerth) ... SAFIEDDINE, ASSEM “An Empirical In- 345 vestigation of Short-Selling Activity 1990 The Journal of Finance Prior to Seasoned Equity Offerings”. 729 ments, Monetary Policy, and Aggre- SariG, ODED (See Kandel) 205 gate Bank Lending: Theory and Em- Scuapt, Rup W. (See Ferson) 425 pirical Evidence” SCHNITZLEIN, CHARLES R. “Call and THAKOR, ANJAN V. Book Review Continuous Trading Mechanisms THEOBALD, MICHAEL (See Brisley) Under Asymmetric Information: An THORLEY, STEVEN (See McQueen) Experimental Investigation” Tort, KLAUS BJERRE (See Leland) SCHWARTZ, ROBERT A. (See Handa)... . TUFANO, PETER “Who Manages Risk? SERVAES, HENRI “The Value of Diversi- An Empirical Examination of Risk fication During the Conglomerate Management Practices in the Gold Merger Wave” Mining Industry” SHAFFER, SHERRILL “Evidence of Dis- Uris, MicHac. S. (See Bekaert) crimination in Lending: An Exten- VETSUYPENS, MICHAEL R. Book Review. sion” VISWANATHAN, S. (See Foster) Sick, GorDoN A. Book Review WAGSTER, JOHN D. “Impact of the 1988 Situ, MICHAEL P. “Shareholder Activ- Basle Accord on _ International ism by Institutional Investors: Evi- Banks” dence from CalPERS” Wan, Zhenyu (See Jagannathan).... Smit, RICHARD L. (See Ng) WEDIG, GERARD J. “Tax-Exempt Debt SorESCcU, SORIN M. (See Flannery)... . STAMBAUGH, ROBERT F. (See Kandel) . . and the Capital Structure of Non- Starks, Laura T. (See Brown) profit Organizations: An Application STRAHAN, PHILIP E. (See Kroszner).... to Hospitals” 1247 STULZ, RENE M. “Report of the Manag- WHALEY, ROBERT E. (See Beneish) .... 1969 ing Editor of the Journal of Finance WIENER Zvi (See Bergman) 1573 for the Year 1995” WILHELM, WILLIAM J., JR. (See Safied- STULz, RENE M. (See Karolyi) 729 STUTZER, MICHAEL “A Simple Nonpara- Womack, KENT L. “Do Brokerage Ana- metric Approach to Derivative Secu- lysts’ Recommendations Have In- rity Valuation” vestment Value?”.................. 137 SWEENEY, RICHARD J. Book Review.... ZENNER, Marc (See Kracaw) 1931 TALLEY, Eric L. (See Bernardo) ZHANG, CHu (See He) ..............6. 1891 THAKOR, ANJAN V. “Capital Require- ZHOU, ZHONGQUAN (See Grossman)... . 1379 a ; . * a ' ' . . - t “ ae + © 7 Mi “ ip“9 S ed \ ‘ ¥ Pats 4 wee 7 es