Journal of Financial and Quantitative Analysis

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Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending
Journal of Financial and Quantitative Analysis - Tập 15 Số 4 - Trang 813 - 1980
Edward I. Altman
Dynamics of Arbitrage
Journal of Financial and Quantitative Analysis - Tập 56 Số 4 - Trang 1350-1380 - 2021
Louis H. Ederington, Chitru S. Fernando, Kateryna V. Holland, Thomas K. Lee, Scott C. Linn
AbstractWe study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the New York Mercantile Exchange (NYMEX) futures contract delivery point but not at other storage locations, where instead, operational factors explain most inventory changes. We add to the theory-of-storage literature by...... hiện toàn bộ
Large Shareholders and the Monitoring of Managers: The Case of Antitakeover Charter Amendments
Journal of Financial and Quantitative Analysis - Tập 25 Số 2 - Trang 143 - 1990
Anup Agrawal, Gershon Mandelker
Short-Sale Constraints and Options Trading: Evidence from Reg SHO
Journal of Financial and Quantitative Analysis - Tập 55 Số 5 - Trang 1555-1579 - 2020
Yi‐Wen Chen, Sheng‐Syan Chen, Robin K. Chou
We examine the effects of a temporary suspension of short-sale price tests on the options market. Consistent with the notion that put option trading substitutes for short selling, we find a significant reduction in put option volume. In addition, pressure on put option prices significantly declines, violations of the put-call parity become significantly less frequent, and option volume bec...... hiện toàn bộ
Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints
Journal of Financial and Quantitative Analysis - Tập 36 Số 4 - Trang 451 - 2001
Bartley R. Danielsen, Sorin M. Sorescu
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
Journal of Financial and Quantitative Analysis - Tập 45 Số 3 - Trang 641-662 - 2010
Yuhang Xing, Xiaoyan Zhang, Rui Zhao
AbstractThe shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Stocks exhibiting the steepest smirks in their traded options underperform stocks with the least pronounced volatility smirks in their options by 10.9% per year on a risk-adjusted basis. This predictability persists for at least 6 months, and firms ...... hiện toàn bộ
Short-Sale Constraints, Differences of Opinion, and Overvaluation
Journal of Financial and Quantitative Analysis - Tập 41 Số 2 - Trang 455-487 - 2006
Rodney D Boehme, Bartley R. Danielsen, Sorin M. Sorescu
AbstractMiller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction betwe...... hiện toàn bộ
Deviations from Put-Call Parity and Stock Return Predictability
Journal of Financial and Quantitative Analysis - Tập 45 Số 2 - Trang 335-367 - 2010
Martijn Cremers, David Weinbaum
AbstractDeviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50 basis points per week. We find both positive abnormal performa...... hiện toàn bộ
The Effect of Transaction Size on Off-the-Run Treasury Prices
Journal of Financial and Quantitative Analysis - Tập 39 Số 3 - Trang 595-611 - 2004
David F. Babbel, Craig Merrill, Mark F. Meyer, Meiring De Villiers
AbstractThis paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and measures the degree of price pressure in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and off-the-run Treasury bonds, behave as if there is some degree of market seg...... hiện toàn bộ
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns
Journal of Financial and Quantitative Analysis - Tập 46 Số 1 - Trang 111-139 - 2011
Ruslan Goyenko, Avanidhar Subrahmanyam, Andrey Ukhov
AbstractPrevious studies of Treasury market illiquidity span short time periods and focus on particular maturities. In contrast, we study the time series of illiquidity for different maturities over an extended period of time. We also compare time-series determinants of on-the-run and off-the-run illiquidity. Illiquidity increases and the difference between spreads...... hiện toàn bộ
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