Journal of Financial and Quantitative Analysis
0022-1090
1756-6916
Anh Quốc
Cơ quản chủ quản: CAMBRIDGE UNIV PRESS , Cambridge University Press
Lĩnh vực:
Economics and EconometricsFinanceAccounting
Phân tích ảnh hưởng
Thông tin về tạp chí
The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.
Các bài báo tiêu biểu
Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets Abstract This article provides evidence that equity returns lead credit protection returns at daily and weekly frequencies, whereas credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are consistent with standard theories of market selection by informed traders in which market selection is determined partially by transaction costs. We also find that credit protection returns respond more quickly during salient news events (earnings announcements) compared to days with similar equity returns and turnover. This evidence provides support for explanations related to investor inattention.
Tập 50 Số 3 - Trang 543-567 - 2015
Liquidity and Arbitrage in the Market for Credit Risk Abstract The recent credit crisis has highlighted the importance of market liquidity and its interaction with the price of credit risk. We investigate this interaction by relating the liquidity of corporate bonds to the basis between the credit default swap (CDS) spread of the issuer and the par-equivalent bond yield spread. The liquidity of a bond is measured using a recently developed measure called latent liquidity , which is defined as the weighted average turnover of funds holding the bond, where the weights are their fractional holdings of the bond. We find that bonds with higher latent liquidity are more expensive relative to their CDS contracts after controlling for other realized measures of liquidity. Analysis of interaction effects shows that highly illiquid bonds of firms with a greater degree of uncertainty are also expensive, consistent with limits to arbitrage between CDS and bond markets, due to the higher costs of “shorting” illiquid bonds. Additionally, we document the positive effects of liquidity in the CDS market on the CDS-bond basis. We also find that several firm- and bond-level variables related to credit risk affect the basis, indicating that the CDS spread does not fully capture the credit risk of the bond.
Tập 46 Số 3 - Trang 627-656 - 2011
A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior
Tập 15 Số 3 - Trang 757 - 1980
The Impact of Managerial Ownership on Acquisition Attempts and Target Shareholder Wealth
Tập 28 Số 4 - Trang 439 - 1993
Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits
Tập 31 Số 3 - Trang 399 - 1996
Speculative Retail Trading and Asset Prices Abstract This paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is −0.60%. This negative RTP premium is stronger among stocks that have lottery features or arelocated in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.
Tập 48 Số 2 - Trang 377-404 - 2013
Sophistication, Sentiment, and Misreaction Abstract This study investigates whether the existence or strength of any misreaction in the options market is affected by investor sophistication and investor sentiment. Based on a unique data set of the complete history of all transactions in the Taiwan options market, we find that individual investors exhibit significant misreaction to information and that this misreaction becomes stronger during periods of high investor sentiment. In addition, more active or aggressive individual investors always exhibit misreaction and do not learn from their past mistakes. Our empirical results are robust to alternative measures of investor sentiment and definitions of long- and short-term horizons.
Tập 50 Số 4 - Trang 903-928 - 2015
Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities
Tập 33 Số 4 - Trang 465 - 1998