Table Of Content

INDEX TO VOLUME LVIX ARTICLES A Catering Theory of Dividends Bondholder Wealth Effects in Merg- Malcolm Baker and ers and Acquisitions: New Evidence Jeffrey Wurgler from the 1980s and 1990s A Multinational Perspective on Cap- Matthew T. Billett, ital Structure Choice and Internal Tao-Hsien Dolly King, and Capital Markets David C. Mauer Mihir A. Desai, Cash and Corporate Control C. Fritz Foley, and Olubunmi Faleye James R. Hines Jr. Characteristics, Contracts, and Ac- An Examination of Long-Term Ab- tions: Evidence from Venture Capi- normal Stock Returns and Oper- talist Analyses ating Performance Following R&D Steven N. Kaplan and Increases Per Strémberg Collars and Renegotiation in Mergers Allan C. Eberhart, and Acquisitions William F. Maxwell, and Micah S. Officer Akhtar R. Siddique Compensation, Incentives, and the Du- Analyzing the Analysts: When Do Rec- ality of Risk Aversion and Riskiness Stephen A. Ross Narasimhan Jegadeesh, Competition and Coalition among Un- Joonghyuk Kim, derwriters: The Decision to Join a Susan D. Krische, and Syndicate Charles M. C. Lee Wei-Ling Song Are Investors Rational? Choices among Convertible Bond Design and Capi- Index Funds tal Investment: The Role of Call Edwin J. Elton, Provisions Martin J. Gruber, and Timo P. Korkeamaki and Jeffrey A. Busse William T. Moore Are Judgment Errors Reflected in Mar- Corporate Investment and Asset Price ket Prices and Allocations? Experi- Dynamics: Implications for the mental Evidence Based on the Monty Cross-section of Returns Hall Problem Murray Carlson, Brian D. Kluger and Adlai Fisher, and Steve B. Wyatt Ron Giammarino Are Momentum Profits Robust to Trad- Correlated Trading and Location WI CORUEE 3 oooh oes caneahenetenders Lei Feng and Robert A. Korajczyk and Mark S. Seasholes Ronnie Sadka Default Risk in Equity Returns Maria Vassalou and Bank and Nonbank Financial Interme- Yuhang Xing diation Diversification as a Public Good: Philip Bond Community Effects in Portfolio Banks versus Venture Capital: Choice Project Evaluation, Screening, and Peter M. Demarzo, Expropriation Ron Kaniel, and Masako Ueda Ilan Kremer Bids and Allocations in European IPO Diversification Discount or Premium? Bookbuilding New Evidence from the Business In- Tim Jenkinson and formation Tracking Series Howard Jones Belén Villalonga Bond Insurance: What Is Special About Dividend Changes and the Persistence RIA os Sevccnerdeckadesdvumiavssates of Past Earnings Changes Vikram Nanda and Adam S. Koch and Rajdeep Singh Amy X. Sun 3012 The Journal of Finance Do Initial Public Offering Firms Pur- Idiosyncratic Consumption Risk and chase Analyst Coverage with Under- the Cross Section of Asset Returns.. NEON Sonos Fo oS neo aniS Amwsnlsihneec e Kris Jacobs and Michael T. Cliff and Kevin Q. Wang David J. Denis Information and the Cost of Capital... Do Stock Prices and Volatility Jump? David Easley and Reconciling Evidence from Spot and Maureen O’Hara Option Prices Informed Trading in Stock and Option Bjorn Eraker Markets Does Net Buying Pressure Affect the Sugato Chakravarty, Shape of Implied Volatility Func- Huseyin Gulen, and Stewart Mayhew Nicolas P. B. Bollen and Informed Trading When Information Robert E. Whaley Becomes Stale Does Stock Return Momentum Explain Dan Bernhardt and the “Smart Money” Effect?.......... Jianjun Miao Travis Sapp and International Evidence on _Institu- Ashish Tiwari tional Trading Behavior and Price Economic News and the Impact of Impact ....... 2 4 de oceraesctaetesi teaaker ars Trading on Bond Prices Chiraphol N. Chiyachantana, T. Clifton Green Pankaj K. Jain, Electricity Forward Prices: A High- Christine Jiang, and Frequency Empirical Analysis Robert A. Wood Francis A. Longstaff and Investment—Cash Flow Sensitivities: Ashley W. Wang Constrained versus Unconstrained Employee Stock Options, Corporate Taxes, and Debt Policy Nathalie Moyen John R. Graham, Is All That Talk Just Noise? The In- Mark H. Lang, - formation Content of Internet Stock and Douglas A. Shackelford Message Boards Endogenous Liquidity in Asset Werner Antweiler and Markets Murray Z. Frank Andrea L. Eisfeldt Liquidity Externalities and Adverse Estimation and Test of a Simple Model Selection: Evidence from Trading af- of Intertemporal Capital Asset Pric- ter Hours Michael J. Barclay and Michael J. Brennan, Terrence Hendershott Ashley W. Wang, Luxury Goods and the Equity Premium and Yihong Xia Yacine Ait-Sahalia, Executive Option Repricing, Incen- Jonathan A. Parker, and tives, and Retention Motohiro Yogo Mark A. Chen Market Imperfections, Investment Financial Development and Intersec- Flexibility, and Default Spreads .... toral Allocation: A New Approach... Sheridan Titman, Raymond Fisman and Stathis Tompaidis, and Inessa Love Sergey Tsyplakov Forecast Dispersion and the Cross Sec- Market States and Momentum tion of Expected Returns Michael J. Cooper, Timothy C. Johnson Roberto C. Gutierrez Jr., and Hedge Funds and the Technology Bub- Allaudeen Hameed Market Valuation and Merger Waves... Markus K. Brunnermeier and Matthew Rhodes-Kropf and Stefan Nagel S. Viswanathan How Do Exchanges Select Stocks for Minutes of the Annual Membership Option Listing? ..................6.. Meeting Stewart Mayhew and David H. Pyle Vassil Mihov Monitoring as a Motivation for IPO Un- How to Discount Cashflows with Time- derpricing Varying Expected Returns Onur Arugaslan, Andrew Ang and Douglas O. Cook, and Jun Liu Robert Kieschnick Index to Volume LVIX Moral Hazard and Optimal Subsidiary Report of the Executive Secretary and Structure for Financial Institutions Treasurer Charles Kahn and David H. Pyle Andrew Winton Risk Sharing and Asset Prices: Evi- Near-sighted Justice .................. dence from a Natural Experiment .. Dan Bernhardt and Anusha Chari and Ed Nosal Peter Blair Henry News Arrival, Jump Dynamics, and Risk-Neutral Parameter Shifts and Volatility Components for Individual Derivatives Pricing in Discrete Time Stock Returns Mark Schroder John M. Maheu and Risks for the Long Run: A Potential Thomas H. McCurdy Resolution of Asset Pricing Puzzles. . Optimal Asset Location and Allocation Ravi Bansal and with Taxable and Tax-Deferred In- Amir Yaron vesting Short-Selling Prior to Earnings An- Robert M. Dammon, nouncements Chester S. Spatt, and Stephen E. Christophe, Harold H. Zhang Michael G. Ferri, and James J. Angel Optimal Consumption and Investment Social Interaction and Stock-Market with Transaction Costs and Multiple Participation Risky Assets Harrison Hong, Jeffrey D. Kubik, and Optimal Diversification: Reconciling Jeremy C. Stein Theory and Evidence Specification Analysis of Option Pric- Joao Gomes and ing Models Based on Time-Changed Dmitry Livdan Lévy Processes Option Pricing on Stocks in Mergers Jing-zhi Huang and and Acquisitions Liuren Wu Ajay Subramanian Systemic Risk and International Port- Option-Implied Risk Aversion Esti- folio Choice Sanjiv Ranjan Das and Robert R. Bliss and Raman Uppal Nikolaos Panigirtzoglou The 52-Week High and Momentum In- Predictable Investment Horizons and vesting Wealth Transfers among Mutual Thomas J. George and Fund Shareholders Chuan-Yang Hwang Woodrow T. Johnson The Cash Flow Sensitivity of Cash.... Presidential Address, Committing to Heitor Almeida, Commit: Short-term Debt When En- Murillo Campello, and forcement Is Very Costly Michael S. Weisbach Douglas W. Diamond The Choice of Private Versus Public Price Discovery in the U.S. Treasury Capital Markets: Evidence from Pri- Market: The Impact of Orderflow vatizations and Liquidity on the Yield Curve... William L. Megginson, Michael W. Brandt and Robert C. Nash, Kenneth A. Kavajecz Jeffry M. Netter, and Price Pressure around Mergers Annette B. Poulsen Mark Mitchell, The Development of Secondary Market Todd Pulvino, and Liquidity for NYSE-Listed IPOs.... Erik Stafford Shane A. Corwin, Private Benefits of Control: An Inter- Jeffrey H. Harris, and national Comparison Marc L. Lipson Alexander Dyck and The Effect of Banking Relationships on Luigi Zingales the Firm’s IPO Underpricing Remuneration, Retention, and Reputa- Carola Schenone tion Incentives for Outside Directors The Foundations of Freezeout Laws in David Yermack Takeovers Report of the Editor of The Journal of Yakov Amihud, Finance for the Year 2003 Marcel Kahan, and Robert F. Stambaugh Rangarajan K. Sundaram 3014 The Journal of Finance The Information Content of Share Re- Tobin’s Q, Debt Overhang, and Invest- purchase Programs Gustavo Grullon and Christopher A. Hennessy Roni Michaely Toward a National Market System for The Nature of Discipline by Corporate U.S. Exchange-listed Equity Options Takeovers Robert Battalio, Omesh Kini, Brian Hatch, and William Kracau, and Robert Jennings Shehzad Mian Trading Activity and Price Volatility in The Price Response to S&P 500 In- the Municipal Bond Market dex Additions and Deletions: Ev- Chris Downing and idence of Asymmetry and a New Frank Zhang Explanation Value-Enhancing Capital Budgeting Honghui Chen, and Firm-specific Stock Return Vari- Gregory Noronha, and Vijay Singal Art Durnev, The Statistical and Economic Role of Randall Morck, and Jumps in Continuous-Time Interest Bernard Yeung Rate Models What Do Entrepreneurs Pay for Ven- Michael Johannes The Timing of Option Repricing David H. Hsu Sandra Renfro Callaghan, Why Do Firms Use Incentives That P. Jane Saly, and Have No Incentive Effects? ......... Chandra Subramaniam Paul Oyer INDEX TO VOLUME LVIX AUTHORS Ait-SaHALIA, YACINE “Luxury Goods and CaMPELLO, Muriiio (See Aimeida) the Equity Premium” CaRLSON, Murray “Corporate Invest- ALMEIDA, Herror “The Cash Flow Sensi- ment and Asset Price Dynamics: Im- tivity of Cash” plications for the Cross-section of Aminup, YAKov “The Foundations of Returns” Freezeout Laws in Takeovers” Cuakravarty, Sucato “Informed Trad- Anc, ANDREW “How to Discount Cash- ing in Stock and Option Markets”... flows with Time-Varying Expected Cuari, ANUSHA “Risk Sharing and As- Returns” set Prices: Evidence from a Natural ANGEL, JAMES J. (See Christophe) Experiment” ANTWEILER, WERNER “Is All That Talk CHEN, Honcuui “The Price Response to Just Noise? The Information Con- S&P 500 Index Additions and Dele- tent of Internet Stock Message tions: Evidence of Asymmetry and a 1259 New Explanation” ARUGASLAN, ONuR “Monitoring as a Cuen, Mark A. “Executive Option Motivation for IPO Underpricing” .. 2403 Repricing, Incentives, and Reten- Baker, Matcoto “A Catering Theory of tion” Dividends” 1125 CHIYACHANTANA, CHIRAPHOL N. “Inter- BansAL, Ravi “Risks for the Long Run: A national Evidence on Institutional Potential Resolution of Asset Pricing Trading Behavior and Price Impact” Puzzles” 1481 CHRISTOPHE, STEPHEN E. “Short-Selling Barciay, MIcHaEL J. “Liquidity Exter- Prior to Earnings Announcements’ . nalities and Adverse Selection: Evi- Curr, MicuaeL T. “Do Initial Pub- dence from Trading after Hours”.... 681 lic Offering Firms Purchase Analyst BatraLio, Ropert “Toward a National Coverage with Underpricing?”...... Market System for U.S. Exchange— Cook, Douc.as O. (See Arugaslan).... listed Equity Options” 933 Cooper, MICHAEL J. “Market States and BERNHARDT, Dan “Informed Trading Momentum” When Information Becomes Stale”. . Corwin, SHANE A. “The Development BERNHARDT, Dan “Near-sighted Justice” of Secondary Market Liquidity for Bittetr, MatrHew T. “Bondholder NYSE-Listed IPOs” Wealth Effects in Mergers and Ac- Dammon, Rosert M. “Optimal Asset Lo- quisitions: New Evidence from the cation and Allocation with Taxable 1980s and 1990s” and Tax-Deferred Investing” Buiss, Ropert R. “Option-Implied Risk Das, SANJIV RANJAN “Systemic Risk and Aversion Estimates” International Portfolio Choice” Bo.ten, Nico.as P. B. “Does Net Buying Demarzo, Peter M. “Diversification as Pressure Affect the Shape of Implied a Public Good: Community Effects in Volatility Functions?” ............... Portfolio Choice” Bonp, Puitip “Bank and Nonbank Denis, Davin J. (See Cliff) Financial Intermediation” Desai, Minir A. “A Multinational Per- Branpt, MICHAEL W. “Price Discovery in spective on Capital Structure Choice the U.S. Treasury Market: The Im- and Internal Capital Markets” pact of Orderflow and Liquidity on Diamonp, Douc.as W. “Presidential Ad- the Yield Curve” dress, Committing to Commit: Short- BRENNAN, MIcHaeL J. “Estimation and term Debt When Enforcement Is Test of a Simple Model of Intertem- Very Costly” poral Capital Asset Pricing” Downinc, Curis “Trading Activity and BRUNNERMEIER, Markus K. “Hedge Price Volatility in the Municipal Funds and the Technology Bubble” . Bond Market” Buss, JEFFREY A. (See Elton) Durnev, Art “Value-Enhancing Capital CALLAGHAN, SANDRA RENFRO “The Timing Budgeting and Firm-specific Stock of Option Repricing” Return Variation” 3015 3016 The Journal of Finance Dyck, ALEXANDER “Private Bene- JAIN, PANKAJ K. (See Chiyachantana).. 869 fits of Control: An International JEGADEESH, NARASIMHAN “Analyzing the Comparison” Analysts: When Do Recommenda- EasLey, Davin “Information and the tions Add Value?” ic vnc dsccc cosines 1083 Cost of Capital” JENKINSON, TIM “Bids and Allocations in EBERHART, ALLAN C. “An Examination of European IPO Bookbuilding” 2309 Long-Term Abnormal Stock Returns JENNINGS, Ropert (See Battalio) 933 and Operating Performance Follow- JIANG, CHRISTINE (See Chiyachantana). 869 ing R&D Increases” JOHANNES, MicHAEL “The Statistical EIsFeELpt, ANDREA L. “Endogenous Liq- and Economic Role of Jumps in uidity in Asset Markets” Continuous-Time Interest Rate Etron, Epwin J. “Are Investors Ratio- Models” nal? Choices among Index Funds’ .. JOHNSON, Timotuy C. “Forecast Disper- ERaAKER, Bsgrn “Do Stock Prices and sion and the Cross Section of Ex- Volatility Jump? Reconciling Evi- pected Returns” dence from Spot and Option Prices”. JOHNSON, Wooprow T. “Predictable FALEYE, OLUBUNMI “Cash and Corporate Investment Horizons and Wealth Transfers among Mutual Fund Fenc, Let “Correlated Trading and Shareholders” Location” JONES, Howarp (See Jenkinson) Ferri, MIcHAEL G. (See Christophe) ... Kanan, Marcet (See Amihud) FisHer, ADLAI (See Carlson) Kann, CHares “Moral Hazard and Op- FisMAN, RayMonp “Financial Develop- timal Subsidiary Structure for Fi- ment and Intersectoral Allocation: A nancial Institutions” New Approach” KAaniEL, Ron (See Demarzo) Fo.ey, C. Fritz (See Desai) KarLan, STeEvEN N. “Characteristics, Frank, Murray Z. (See Antweiler) Contracts, and Actions: Evidence GeorcE, THomAS J. “The 52-Week High from Venture Capitalist Analyses”... and Momentum Investing” KavaJecz, KENNETH A. (See Brandt).... GIAMMARINO, Ron (See Carlson) KIESCHNICK, ROBERT (See Arugaslan)... Gomes, Joao “Optimal Diversification: Kim, JOONGHYUK (See Jegadeesh) Reconciling Theory and Evidence”. . Kina, Tao-HsiEn Do ty (See Billett) ... GraHAM, JOHN R. “Employee Stock Op- Kin, Omesu “The Nature of Discipline tions, Corporate Taxes, and Debt by Corporate Takeovers” Policy” Kuucer, Brian D. “Are Judgment Er- GREEN, T. CLIFTON “Economic News rors Reflected in Market Prices and the Impact of Trading on Bond and Allocations? Experimental Ev- Prices” idence Based on the Monty Hall GruBer, Martin J. (See Elton) Problem” GruLLoN, Gustavo “The Informa- Kocu, Anam S. “Dividend Changes and tion Content of Share Repurchase the Persistence of Past Earnings RMMPEOO fo cicvpead eiwe ieean dins ssae ss Changes” Guten, Huseyin (See Chakravarty).... Korasczyk, Ropert A. “Are Momentum GUTIERREZ JR., ROBERTO C. (See Cooper) Profits Robust to Trading Costs?”... HAMEED, ALLAUDEEN (See Cooper) KorKEAMAKI, Timo P. “Convertible Bond Harris, JEFFREY H. (See Corwin) Design and Capital Investment: The Harcu, Brian (See Battalio) Role of Call Provisions” HENDERSHOTT, TERRENCE (See Barclay) . Kracaw, WILLIAM (See Kini) HENNEsSy, CHRISTOPHER A. “Tobin’s Q, Kremer, ILAN (See Demarzo) Debt Overhang, and Investment”... KRrisCHE, Susan D. (See Jegadeesh).... Henry, PETER Biair (See Chari) Kusik, JEFFREY D. (See Hong) Hines JR., JAMES R. (See Desai) Lana, Mark H. (See Graham) Hona, Harrison “Social Interaction and LEE, CHARLES M. C. (See Jegadeesh)... Stock-Market Participation” 137 Lipson, Marc L. (See Corwin) Hsu, Davin H. “What Do Entrepreneurs Liu, Hone “Optimal Consumption and Pay for Venture Capital Affiliation?” 1805 Investment with Transaction Costs Huan, JING-zHI “Specification Analysis and Multiple Risky Assets” of Option Pricing Models Based on Liu, Jun (See Ang) Time-Changed Lévy Processes” 1405 LivpaNn, Dmirry (See Gomes) Hwana, CHuAN-YANG (See George) 2145 LoncstaFF, Francis A. “Electricity For- Jacoss, Kris “Idiosyncratic Consump- ward Prices: A High-Frequency Em- tion Risk and the Cross Section of pirical Analysis” Asset Returns”.................2.005 2211 Love, INessa (See Fisman) Index to Volume LVIX Maueu, JoHN M. “News Arrival, Jump eter Shifts and Derivatives Pricing in Dynamics, and Volatility Compo- Discrete Time” nents for Individual Stock Returns” SEASHOLES, Mark S. (See Feng) Mauer, Davin C. (See Billett) SHACKELFORD, Douc as A. (See Graham) MaxweELL, WILLIAM F. (See Eberhart)... SippiqueE, AKHTAR R. (See Eberhart) ... MayHEw, Stewart (See Chakravarty) .. Sinca, Visay (See Chen) MayHew, Stewart “How Do _ Ex- Sincu, Raspeep (See Nanda) changes Select Stocks for Option Sone, We!-Linc “Competition and PARE asc conc saanscvnepeesicuseer Coalition among Underwriters: The McCurpy, THomas H. (See Maheu) Decision to Join a Syndicate” MeEcaINSsON, WILLIAM L. “The Choice Spatt, CHEsTER S. (See Dammon) of Private Versus Public Capital STAFFORD, Erik (See Mitchell) Markets: Evidence from Privatiza- STAMBAUGH, Robert F. “Report of the Ed- itor of The Journal of Finance for the MIAN, SHEHZAD (See Kini) Year 2003” M10, JIANJUN (See Bernhardt) STEIN, JEREMY C. (See Hong) MIcHAELY, Roni (See Grullon) STROMBERG, Per (See Kaplan) Minov, Vassit (See Mayhew) SUBRAMANIAM, CHANDRA (See Callaghan) MITCHELL, Mark “Price Pressure around SUBRAMANIAN, Asay “Option Pric- Mergers” ing on Stocks in Mergers and Moore, Wi1aM T. (See Korkeamaki). . Acquisitions” Morck, RANDALL (See Durnev) Sun, Amy X. (See Koch) Moyen, NaTHALIE “Investment—Cash SUNDARAM, RANGARAJAN K. (See Amihud) Flow Sensitivities: Constrained ver- TITMAN, SHERIDAN “Market Imperfec- sus Unconstrained Firms” tions, Investment Flexibility, and NAGEL, STEFAN (See Brunnermeier).... Default Spreads” Nanpa, VIKRAM “Bond Insurance: What Tiwari, AsHIsH (See Sapp) Is Special About Munis?” Tompaipis, STATHIS (See Titman) Nasu, Rosert C. (See Megginson) TsyYPLAKOV, SERGEY (See Titman) NETTER, JEFFRY M. (See Megginson)... Uepa, Masako “Banks versus Venture Noronua, Grecory (See Chen) Capital: Project Evaluation, Screen- Nosa., Ep (See Bernhardt) ing, and Expropriation” O’Hara, MaureEN (See Easley) UppaL, RAMAN (See Das) Orricer, Micau S. “Collars and Rene- VassaLou, Maria “Default Risk in gotiation in Mergers and Acqui- Equity Returns” VILLALONGA, BELEN “Diversification Over, Pau “Why Do Firms Use In- Discount or Premium? New Evi- centives That Have No Incentive dence from the Business Information BN a oiod Ca Uinaw ca cacwuncuarweaes e Tracking Series” PANIGIRTZOGLOU, NIKOLAOS (See Bliss) .. VISWANATHAN, S. (See Rhodes-Kropf)... PARKER, JONATHAN A. (See Ait-Sahalia) Wana, AsHLey W. (See Brennan) PouLsEN, ANNETTE B. (See Megginson). Wana, AsHLEY W. (See Longstaff) Putvino, Topp (See Mitchell) Wana, Kevin Q. (See Jacobs) Pye, Davin H. “Minutes of the Annual WEISBACH, MICHAEL S. (See Almeida)... Membership Meeting,” Wua ey, Rosert E. (See Bollen) Pye, Davin H. “Report of the Executive Winton, ANDREW (See Kahn) Secretary and Treasurer” Woop, Rosert A. (See Chiyachantana) Ruopes-Kropr, MattrHew “Market Valu- Wu, Liuren (See Huang) ation and Merger Waves” WURGLER, JEFFREY (See Baker) Ross, STEPHEN A. “Compensation, In- Wyatt, Steve B. (See Kluger) centives, and the Duality of Risk Xia, YrHoNG (See Brennan) Aversion and Riskiness” XING, YUHANG (See Vassalou) Sapka, RonniE (See Korajezyk) Yaron, Amir (See Bansal) Say, P. JANE (See Callaghan) YERMACK, Davip “Remuneration, Reten- Sapp, Travis “Does Stock Return Mo- tion, and Reputation Incentives for mentum Explain the “Smart Money” Outside Directors” WG soe ao ees te cea eeseacksesans YEUNG, BERNARD (See Durnev) ScHENONE, CaroLa “The Effect of Bank- Yoco, Moroutro (See Ait-Sahalia) ing Relationships on the Firm’s IPO ZHANG, FRANK (See Downing) Underpricing” ZHANG, Haroip H. (See Dammon) Scuroper, Mark “Risk-Neutral Param- ZINGALES, Luici (See Dyck)