Table Of Content

INDEX TO VOLUME LVI ARTICLES A First Look at the Accuracy of the Capital Structures in Developing CRSP Mutual Fund Database and a Countries ......2%. Laurence Booth, Comparison of the CRSP and the Varouj Aivazian, Morningstar Mutual Fund Databases Asli Demirguc-Kunt, and Edwin J. Elton, Vojislav Maksimovic Martin J. Gruber, and Careers and Survival: Competition and Christopher R. Blake Risk in the Hedge Fund and CTA A Rose.com by Any Other Name Industry Stephen J. Brown, Michael J. Cooper, William N. Goetzmann, and Orlin Dimitrov, and James Park P. Raghavendra Rau Characteristics of Risk and Return in A Theory of the Syndicate: Form Fol- Risk Arbitrage lows Function Mark Mitchell and Pegaret Pichler and Todd Pulvino William Wilhelm Consumption, Aggregate Wealth, and Affine Term Structure Models and the Expected Stock Returns........... Forward Premium Anomaly Martin Lettau and David K. Backus, Sydney Ludvigson Silverio Foresi, and Contagion as a Wealth Effect Chris I. Telmer Albert S. Kyle and An Exploration of Neo-Austrian Theory Wei Xiong Applied to Financial Markets...... Contagious Speculation and A Cure for Harald Benink and Cancer: A Nonevent that Made Stock Peter Bossaerts Prices Soar ... Gur Huberman and Automated Versus Floor Trading: An Tomer Regev Analysis of Execution Costs on the Corporate Bond Trading Costs: A Peek Paris and New York Exchanges.... Behind the Curtain Kumar Venkataraman Paul Schultz Banking Market Structure, Financial Counterparty Risk and the Pricing of Dependence, and Growth: Inter- Defaultable Securities............. national Evidence from Industry Robert A. Jarrow and a Nicola Cetorelli and Fan Yu 1765 Michele Gambera PROGUBSION « .400c0050] M. J. Brennan 1292 Bookbuilding and Strategic Allocation Discussion Ananth Madhavan 1485 Francesca Cornelli and Discussion ...../ Matthew Richardson 1394 David Goldreich Discussion Stephen A. Ross 1440 Can Investors Profit from the Proph- Discussion Paola Sapienza 1528 ets? Security Analyst Recommenda- Discussion Jessica A. Wachter 1351 tions and Stock Returns........... Discussion Zhenyu Wang 1240 Brad Barber, Reuven Lehavy, Dividend Changes and Future Maureen McNichols, and Profitability .... Doron Nissim and Brett Trueman Amir Ziv Capital Gains Tax Rules, Tax-loss Trad- Do Credit Spreads Reflect Stationary ing, and Turn-of-the-year Returns Leverage Ratios? James M. Poterba and Pierre Collin-Dufresne and Scott J. Weisbenner Robert S. Goldstein 2466 The Journal of Financ Do Depositors Punish Banks for ow Distance, Language, and Culture Bad Behavior? Market Discipline, nf] e Stockholdings and Trades Deposit Insurance, and Banking Mark Grinblatt and ; Matti Keloharju Maria Soledad Martinez ia nsider Trading, Investment, and Li- Sergio L. Sc 2s juidity: A Welfare Analysis. . Equity Premia as Low as Three r- S to Bhattacharya and cent? Evidence from Analysts’ Ear1 Giovanna Nicodano ings Forecasts for Domestic and nstitut Trading and Soft Dollars International Stocks Jennifer S. Conrad, M. Johnson, and ; Sunil Wahal Evaluating Mutual Fund Performance: tel \ toring Mechanisms and S. P. Kothari and -EO 7 er: A Long-term Perspec- Jerold B. Wa ? t Mark R. Huson =xcessive Extrapolation and th Robert Parrino, and cation of 401(k) Accounts to Laura T. Starks pany Stock . nvestor | hology and Asset Pricing Shlomo Benartz i David Hirshleifer =xecutive Compensation and Corps [t Ineff t Investment that Causes rate Acquisition Decisions he Diversification Discount? . , Sudip Datt Toni M. Whited 1667 Mai Iskandar-Datta, and sound . Noise?. Sih tea : Kartik Raman ‘ Joshua D. Coval and =xpectations Hypotheses Tests ... Tyler Shumway Geert Bekaert and ,APM: A Liquidity-Based Asset Pric- Robert - k 135 ing Mode Bengt Holmstrém and expected Option Returns Jean Tirole Joshua D. Coval : i yut Predictability: The Ef- Tyler Shumway 3 fects ’arameter Uncertainty on explaining the Cross-Section of Stock Dy \sset Allocation eayaiars Returns in Japan: Factors or Char Yihong Xia acteristics? Kent Dani in ) Depth, and Volatility: Ev- lan Titman, and dence from the Stock Exchange of K.C. John Wei 74: Ii Kor Hee-Joon Ahn, Explaining the Rate Spread on Corpo- Kee-Hong Bae, and rate Bonds. Edu J. Eltor Kalok Chan } cation | ters: An Examination of Agrawal, ant Yrading Profits Harald Hau 17 tl ty and Trading Activity extreme Correlation of International Tarun Chordia, Equity Markets... Richard Roll, and Frar ; and dhar Subrahmanyam Bruno Solnil 349 Massively Confused Investors Making Feedback from Stock Prices to Cash ‘onspicuously Ignorant Choices Flows ... ; ; ; I-MCI Michael S. Rashes Avanidhar Subrahmanyam and ital Accounting, Loss Aversion, and Sheridan Titman 2: ndividual Stock Returns Have Individual Stocks Become More Nicholas Barberis and Volatile? An Empirical Exploration Ming Huang of Idiosyncratic Risk ; n H. Miller (Editor’s Note) John Y. Campbell, reorge M. Constantinides Martin Lettau Merton H. M r: His Contribution to Burton G. Malkiel, and Financial Economics Yexiao Xu Bruce D. Grundy 1183 Index to Volume LVI Merton H. Miller: Memories of a Great Testing for Mean-Variance Spanning Mentor and Leader ' with Short Sales Constraints and Myron S. Scholes TranCsostas: cThet Caise oof Enmer g- Minutes of the Annual Membership ing Markets : Meeting .. David H. Pyle Roon, On the Perils of Financial Intermedi- Theo E. Nijman, and aries Setting Security Prices: The Bas J.M. Werker Mutual Fund Wild Card Option The Bright Side of Internal Capital John M. R. Chalmers, Markets . Naveen Khanna and Roger M. Edelen, and Sheri Tice Gregory B. Kadlec 2209 The Determinants of Credit Spread On the Term Structure of Default Changes ETS as pas . Premia in the Swap and LIBOR Pierre Collin-Dufre sne, Markets oon iene Robert S. Goldstein, and Pierre Collin-Dufresne and J. Spencer Martin Bruno Solnik 1095 The Diversification Discount: Cash On the Timing Ability of Mutual Fund Flows Versus Returns. Managers Owen A. Lamont and Christopher Polk Jeffrey A. Busse Optimal Portfolio Choice for Long- ing ee Jeff Fleming, Horizon Investors with Nontradable Chris Kirby, and Labor Income. Barbara Ostdiek The Efficient Use of Conditioning In- Overconfidence, Arbitrage, and Equi- formation in Portfolios librium Asset Pricing . es Vayne E. Ferson and Kent D. Daniel Andrew F. Siegel David Hirshleifer, and The Equity Premium and Structural Avanidhar Subrahmanyam 3reaks Lubos Pastor and Presidential Address: Do Financial In- Robert F. Stambaugh stitutions Matter? Ca erteal Bare The Expiration of IPO Share Lockups Franklin Allen Laura Casares Field and Profitability of Momentum Strategies: Gordon Hanka An Evaluation of Alternative Expla- The High-Volume Return Premium .. nations.. Simon Gervais, Narasimhan Jegadeesh and Ron Kaniel, aid Sheridan Titman Dan H. Mingelgrin Rationality and Analysts’ Forecast Bias The Long-Run Stock Returns Follow- Terence Lim ing Bond Ratings Changes ........ Report of the Editor of The Journal of Ilia D. Dichev and Finance for the year 2000 Joseph D. Piotroski Richard C. Green 1607 The Market for Corporate Assets: Who Report of the Executive Secretary and Engages in Mergers and Asset Sales Treasurer David H. Pyle 1603 and Are There Efficiency Gains? Report of the Representative to the Na- Vojislav Maksimovic and tional Bureau of Economic Research Gordon Phillips 2019 Robert S. Hamada The Price of Options Illiquidity . . Should Investors Avoid All Actively Menachem Brenner, Managed Mutual Funds? A Study in Rafi Eldor, and Bayesian Performance Evaluation Shmuel Hauser Klaas P. Baks, The Relative Valuation of Caps and Andrew Metrick, and Swaptions: Theory and Empirical Jessica Wachter Evidence. .... Francis A. Longstaff, Strategic Trading in a Dynamic Noisy Pedro Santa-Clara, and Market .... Dimitri Vayanos Eduardo S. Schwartz The Journal of Finance The Stock Market Valuation of Research Valuation and Control in Venture and Development Expenditures . Finance ..... Andrei A. Kirilenko Louis K. C. Chan, Variable Selection for Portfolio Choice Josef Lakonishok, and Yacine Ait-Sahalia and Theodore Sougiannis Michael W. Brandt True Spreads and Equilibrium Prices Variance-ratio Statistics and High- Clifford A. Ball and frequency Data: Testing for Changes Tarun Chordia in Intraday Volatility Patterns Underreaction, Overreaction, and In- Torben G. Andersen, creasing Misreaction to Information Tim Bollerslev, and in the Options Market Seer Ashish Das Allen M. Poteshman What Makes Investors Trade? ....... Upstairs Market for Principal and Mark Grinblatt and Agency Trades: Analysis of Adverse Matti Keloharju Information and Price Effects Why Do Money Fund Managers Vol- Brian F. Smith, untarily Waive Their Fees?........ D. Alasdair S. Turnbull, and Susan E. K. Christoffersen Robert W. White AUTHORS AGRAWAL, DEEPAK (See Elton) BRANDT, MICHAEL W. (See Ait-Sahalia) AHN, HEE-JOON “Limit Orders, Depth, BRENNAN, M. J. “Discussion” and Volatility: Evidence from the BRENNER, MENACHEM “The Price of Op- Stock Exchange of Hong Kong” .... tions Illiquidity” Ait-SAHALIA, YACINE “Variable Selec- BROWN, STEPHEN J. “Careers and Sur- tion for Portfolio Choice” vival: Competition and Risk in the AIVAZIAN, VAROUJ (See Booth) Hedge Fund and CTA Industry” ... ALLEN, FRANKLIN “Presidential Address: BUSSE, JEFFREY A. (See Bollen) Do Financial Institutions Matter?”. CAMPBELL, JOHN Y. “Have Individual ANDERSEN, TORBEN G. “Variance-ratio Stocks Become More Volatile? An Statistics and High-frequency Data: Empirical Exploration of Idiosyn- Testing for Changes in Intraday Vol- cratic Risk” phat atility Patterns” ee CETORELLI, NICOLA “Banking Market Backus, Davin K. “Affine Term Struc- Structure, Financial Dependence, ture Models and the Forward Pre- and Growth: International Evidence mium Anomaly” from Industry Data” BAE, KEE-HONG (See Ahn) CHALMERS, JOHN M. R. “On the Perils Baks, KLAAs P. “Should Investors Avoid of Financial Intermediaries Setting All Actively Managed Mutual Funds? Security Prices: The Mutual Fund A Study in Bayesian Performance Wild Card Option” 2209 Evaluation” CHAN, KALOK (See Ahn) 767 BALL, CLIFFORD A. “True Spreads and CHAN, Louis K. C. “The Stock Market Equilibrium Prices” Valuation of Research and Develop- BARBER, BRAD “Can Investors Profit ment Expenditures” 2431 from the Prophets? Security Ana- CHORDIA, TARUN (See Ball) 1801 lyst Recommendations and Stock CHORDIA, TARUN “Market Liquidity and Returns” Trading Activity” 501 BARBERIS, NICHOLAS “Mental Account- CHRISTOFFERSEN, SUSAN E. K. “Why Do ing, Loss Aversion, and Individual Money Fund Managers Voluntarily Stock Returns” Waive Their Fees?” BEKAERT, GEERT “Expectations Hypoth- CLAUS, JAMES “Equity Premia as Low eses Tests” as Three Percent? Evidence from An- BENARTZI, SHLOMO “Excessive Extrap- alysts’ Earnings Forecasts for Do- olation and the Allocation of 401(k) mestic and International Stocks” .. Accounts to Company Stock” COLLIN-DUFRESNE, PIERRE “Do Credit BENINK, HARALD “An Exploration of Spreads Reflect Stationary Lever- Neo-Austrian Theory Applied to Fi- age Ratios?” nancial Markets” COLLIN-DUFRESNE, PIERRE “On the Term BHATTACHARYA, SUDIPTO “Insider Trad- Structure of Default Premia in the ing, Investment, and Liquidity: A Swap and LIBOR Markets” Welfare Analysis” COLLIN-DUFRESNE, PIERRE “The Deter- BLAKE, CHRISTOPHER R. (See Elton) .. minants of Credit Spread Changes” BOLLEN, NICOLAS P. B. “On the Timing CONRAD, JENNIFER S. “Institutional Ability of Mutual Fund Managers”. Trading and Soft Dollars” BOLLERSLEV, TIM (See Andersen) CONSTANTINIDES, GEORGE M. “Merton BooTtH, LAURENCE “Capital Structures H. Miller (Editor’s Note)” in Developing Countries” Cooper, MICHAEL J. “A Rose.com by Any BOSSAERTS, PETER (See Benink) 1011 Other Name” 2470 The Journal of Finance CORNELLI, FRANCESCA “Bookbuilding GRINBLATT, MARK “How Distance, Lan- and Strategic Allocation” % guage, and Culture Influence Stock- CovaL, JOSHUA D. “Expected Option holdings and Trades” Returns” GRINBLATT, MARK “What Makes Inves- COvVAL, JOSHUA tors Trade?” ... Noise?” pou / GRUBER, MARTIN J. (See DANIEL, KENT “Explaining the Cross- GRUNDY BRUCE D. “Merton H. Miller: Section of Stock Returns in Japan: His Contribution to Financial Factors or Characteristics?” Economics” DANIEL, KENT D. “Overconfidence, HAMADA, ROBERT S. “Report of the Rep- Arbitrage, and Equilibrium Asset resentative to the National Bureau Pricing” ree of Economic Research” Das, ASHISH (See Andersen) HANKA, GORDON (See Field) DATTA, Supip “Executive Compensa- HAu, HARALD “Location Matters: An Ex- tion and Corporate Acquisition amination of Trading Profits” 2299 HAUSER, SHMUEL (See 3renner) 87 HIRSHLEIFER, DAvID “Investor Psychol- DE Roon, FRANS A. “Testing for Mean- ogy and Asset Pricing” Variance Spanning with Short Sales HIRSHLEIFER, Davip (See Daniel) Constraints and Transaction Costs: HopRICK, ROBERT J. (See Bekaert) ... The Case of Emerging Markets”... HOLMSTROM, BENGT “LAPM: A Liquidity- DICHEV, ILIA D. “The Long-Run Stock Based Asset Pricing Model” .. Returns Following Bond Ratings HUANG, MING (See Barberis) Changes” ee bas HUBERMAN, GuR “Contagious Specula- DIMITROV, ORLIN (See Cooper)........ tion and A Cure for Cancer: A Non- EDELEN, ROGER M. (See Chalmers)... event that Made Stock Prices Soar” ELpoR, RAFI (See Brenner) ......... Huson, Mark R. “Internal Monitoring ELTON, Epwin J. “A First Look at the Mechanisms and CEO Turnover: A Accuracy of the CRSP Mutual Fund Long-term Perspective” 2265 Database and a Comparison of the ISKANDAR-DATTA, MAI (See Datta) .... 2299 CRSP and the Morningstar Mutual JARROW, ROBERT A. “Counterparty Risk Fund Databases” esteem matte and the Pricing of Defaultable ELTON, EDWIN J. “Explaining the Rate Securities” Spread on Corporate Bonds” , ESH, NARASIMHAN “Profitability FERSON, WAYNE E. “The Efficient Use of Momentum Strategies: An Evalu- of Conditioning Information in ation of Alternative Explanations” JOHNSON, KEVIN M. (See Conrad) .... KADLI GREGORY B. (See Chalmers) tion of IPO Share Lockups” 471 KANIEL, RON (See Gervais) FLEMING, JEFF “The Economic Value of KAUL, ADITYA Book Review Volatility Timing” . 329 KELOHARJU, MATTI (See Grinblatt) ... FORESI, SILVERIO (See Backus) 279 KELOHARJU, MATT! (See Grinblatt) ... GAMBERA, MICHELE (See Cetorelli) 617 KHANNA, NAVEEN “The Bright Side of GERVAIS, SIMON “The High-Volume Re- Internal Capital Markets” turn Premium” 877 KIRBY, CHRIS (See Fleming) GOETZMANN, WILLIAM N. (See Brown) 1869 KIRILENKO, ANDREI A. “Valuation and GOLDREICH, Davip (See Cornelli) 2337 Control in Venture Finance” GOLDSTEIN, ROBERT S. (See Collin- KOTHARI, S. P. “Evaluating Mutual Dufresne) 1929 Fund Performance” GOLDSTEIN, ROBERT S. (See Collin- KYLE, ALBERT S. “Contagion as a 2177 Wealth Effect” LAKONISHOK, JOSEF (See Chan) itor of The Journal of Finance for LAMONT, OWEN A. “The Diversification the year 2000” Discount: Cash Flows Versus Re- GRUBER, MARTIN J. (See Elton) turns” Index to Volume LVI 2471 LEHAVY, REUVEN (See Barber) 531 PYLE, DAvip H. “Report of the Execu- LETTAU, MARTIN “Consumption, Aggre- tive Secretary and Treasurer” ..... 1603 gate Wealth, and Expected Stock PAsTorR, LuBos “The Equity Premium UNI ie iadacc oecn e coetwaguaee s and Structural Breaks” ........... 1207 LETTAU, MARTIN (See Campbell) ..... RAMAN, KARTIK (See Datta).......... 2299 LIM, TERENCE “Rationality and Ana- RASHES, MICHAEL S. “Massively Con- lysts’ Forecast Bias” 369 fused Investors Making Conspicu- LONGIN, FRANCOIS “Extreme Correla- ously Ignorant Choices (MCI—MCIC)” 1911 tion of International Equity Markets” 649 RAvu, P. RAGHAVENDRA (See Cooper)... 2371 LONGSTAFF, FRANCIS A. “The Relative REGEV, TOMER (See Huberman) ...... 387 Valuation of Caps and Swaptions: RICHARDSON, MATTHEW “Discussion” . . 1394 Theory and Empirical Evidence”... 2067 ROLL, RICHARD (See Chordia) ..... 501 LUDVIGSON, SYDNEY (See Lettau) 815 Ross, STEPHEN A. “Discussion”....... 1440 MADHAVAN, ANANTH “Discussion” 1485 SANTA-CLARA, PEDRO (See Longstaff) 2067 MAKSIMOVIC, VOJISLAV (See Booth) SAPIENZA, PAOLA “Discussion” ........ 1528 MAKSIMOVIC, VOJISLAV “The Market for SCHMUKLER, SERGIO L. (See Peria) 1029 Corporate Assets: Who Engages in SCHOLES, Myron S. “Merton H. Miller: Mergers and Asset Sales and Are Memories of a Great Mentor and There Efficiency Gains?” .......... 2019 Pe. Pee Ree Aa LE ER EET e ee 1179 MALKIEL, BURTON G. (See Campbell) 1 SCHULTZ, PAUL “Corporate Bond Trad- MANN, CHRISTOPHER (See Elton) ..... 247 ing Costs: A Peek Behind the Curtain” 677 MARTIN, J. SPENCER (See Collin- SCHWARTZ, EDUARDO S. (See Longstaff) 2067 ee ene SHUMWAY, TYLER (See Coval).. 1887 McNICHOLS, MAUREEN (See Barber) .. SHUMWAY, TYLER (See Coval)......... 983 METRICK, ANDREW (See Baks) ........ SIEGEL, ANDREW F. (See Ferson)...... 967 MINGELGRIN, DAN H. (See Gervais)... SMITH, BRIAN F. “Upstairs Market for MITCHELL, MARK “Characteristics of Principal and Agency Trades: Analy- Risk and Return in Risk Arbitrage” sis of Adverse Information and Price NICODANO, GIOVANNA (See Bhatta- BO as cpa ee focdeni dot aes 1723 ee eee SOLNIK, BRUNO (See Collin-Dufresne) 1095 NIJMAN, THEO E. (See ).............. 649 NIssIM, DORON “Dividend Changes and SOUGIANNIS, THEODORE (See Chan)... 2431 2111 STAMBAUGH, ROBERT F. (See Pastor) .. 1207 329 STARKS, LAURA T. (See Huson) ....... 2265 1869 SUBRAHMANYAM, AVANIDHAR “Feedback PARRINO, ROBERT (See Huson) .. 2265 from Stock Prices to Cash Flows”.. 2389 PERIA, MARIA SOLEDAD MARTINEZ “Do SUBRAHMANYAM, AVANIDHAR (See Chor- Depositors Punish Banks for Bad Be- 1 a RIS Po eer ele eee havior? Market Discipline, Deposit SUBRAHMANYAM, AVANIDHAR (See Dan- Insurance, and Banking Crises” PHILLIPS, GORDON (See Maksimovic). . TELMER, CHRIS I. (See Backus) ....... PICHLER, PEGARET “A Theory of the Syn- THOMAS, JACOB (See Claus) .......... dicate: Form Follows Function” .... TICE, SHERI (See Khanna) ........... PIOTROSKI, JOSEPH D. (See Dichev) ... TIROLE, JEAN (See Holmstrém)....... POLK, CHRISTOPHER (See Lamont) .... TITMAN, SHERIDAN (See Daniel) ...... POTERBA, JAMES M. “Capital Gains Tax TITMAN, SHERIDAN (See Jegadeesh) ... Rules, Tax-loss Trading, and Turn- TITMAN, SHERIDAN (See Subrahmanyam) of-the-year Returns” .............. TRUEMAN, BRETT (See Barber)........ POTESHMAN, ALLEN M. “Underreaction, TURNBULL, D. ALASDAIR S. (See Smith) Overreaction, and Increasing Misre- VAYANOS, DIMITRI “Strategic Trading in action to Information in the Options a Dynamic Noisy Market” bE COP ee VENKATARAMAN, KUMAR “Automated PULVINO, TopD (See Mitchell) ........ Versus Floor Trading: An Analysis of PyLE, Davip H. “Minutes of the An- Execution Costs on the Paris and nual Membership Meeting” New York Exchanges”............. 2472 The Journal of Finance VicEiRA, Luis M. “Optimal Portfolio WHITED, TONI M. “Is It Inefficient In- Choice for Long-Horizon Investors vestment that Causes the Diversifi- with Nontradable Labor Income” cation Discount?” Vorst, TON Book Review WILHELM, WILLIAM (See Pichler) WACHTER, JESSICA A. “Discussion” .... XIA, YIHONG “Learning about Predict- WACHTER, JESSICA (See Baks) ability: The Effects of Parameter Un- WAHAL, SUNIL (See Conrad) certainty on Dynamic Asset WANG, ZHENYU “Discussion” Allocation” WARNER, JEROLD B. (See Kothari) .... XIONG, WEI (See Kyle) WEI, K.C. JOHN (See Daniel) ; Xu, YEXIAO (See Campbell) WEISBENNER, Scott J. ‘See Poterba).. Yu, FAN (See Jarrow) WERKEER, Bas J.M. (See ) Ziv, AMIR (See Nissim) WHITE, ROBERT W. (See Smith)