INDEX TO VOLUME LV ARTICLES A Model of Returns and Trading in Fu- ‘an Relationship Banking Survive tures Markets Harrison Hong Competition? : A Test of the Relative Pricing Effects Arnoud W. of Dividends and Earnings: Evidence Anjan V. Thakor from Simultaneous Announcements ‘haracteristics, Covariances, and in Japan Robert M. Conroy, Average Returns: 1929 to 1997 Kenneth M. Eades, and James L. Davis, Robert S. Harris 1199 Eugene F. Fama, and A Theory of Bank Capital a Kenneth R. French Douglas W. Diamond and /ompetition on the Nasdaq and the Im- Raghuram G. Rajan pact of Market Reforms ... A Theory of Dividends Based on Tax James P. Weston Clienteles Franklin Allen, Conditional Skewness in Asset Pric- Antonio E. Bernardo, and ing Tests Ivo Welch 2499 Agency Conflicts in Public and Nego- Akhtar Siddique tiated Transfers of Corporate Con- ‘onflicts of Interest and Market Illi- trol . Mike Burkart, quidity in Bankruptcy Auctions: Denis Gromb, and Theory and Tests . . Per Strémberg Fausto Panunzi ‘ontinuous-Time Methods in Finance: Agency Costs and Ownership Struc- A Review and an Assessment.... ..James S. Ang, Suresh M. Sundaresan Rebel A. Cole, and ‘orporate Equity Ownership, Strate- James Wuh Lin gic Alliances, and Product—Market Agency Problems and Dividend Poli- Relationships cies around the World oy Rafael La Porta, Gordon M. Phillips Florencio Lopez-de-Silanes, sorporate Reorganizations and Non- Andrei Shleifer, and Cash Auctions . Robert W. Vishny Matthew Rhodes-Kropf and An Analysis of Finance Journal Im- S. Viswanathan 1807 pact Factors ‘rossing Networks and Dealer Mar- Kenneth A. Borokhovich, kets: Competition and Performance Robert J. Bricker, and Terrence Hendershott and Betty J. Simkins Haim Mendelson Arbitrage and the Expectations Hy- Demand Curves for Stocks Do Slope pothesis ... .. Francis A. Longstaff Down: New Evidence from an Index Asset Pricing at the Millennium Weights Adjustment John Y. Campbell Aditya Kaul, Vikas Mehrotra, and Bad News Travels Slowly: Size, Ana- Randall Morck lyst Coverage, and the Profitability Depositary Receipts, Country Funds, of Momentum Strategies and the Peso Crash: The Intraday Harrison Hong, Evidence . ... Warren Bailey, Terence Lim, and Kalok Chan, and Jeremy C. Stein Y. Peter Chung 2932 The Journal of Finance Discussion Daniel G. Weaver 1801 Hedging Pressure Effects in Futures Discussion ... Narasimhan Jegadeesh 1765 Markets Frans A. de Roon, Discussion Robert Marquez 1850 Theo E. Nijman, and Discussion Tobias J. Moskowitz 1695 Chris Veld Does Option Compensation Increase Hostility in Takeovers: In the Eyes of Managerial Risk Appetite? the Beholder? Jennifer N. Carpenter G. William Schwert Effectiveness of Capital Regulation at How Big Are the Tax Benefits of Debt? U.S. Commercial Banks, 1985 to John R. Graham Armen Hovakimian and How Does Information Quality Affect Edward J. Kane Stock Returns?..... Pietro Veronesi Equilibrium Forward Curves for Com- Imperfect Competition among Informed modities ...... Bryan R. Routledge, SVOUOES:« cc sa <n oe Kerry Back, Duane J. Seppi, and C. Henry Cao, and Chester S. Spatt Gregory A. Willard Equity Undervaluation and Decisions In Search of New Foundations Related to Repurchase Tender Of- Luigi Zingales fers: An Empirical Investigation ... Inference in Long-Horizon Event Stud- Ranjan D’Mello and ies: A Bayesian Approach with Ap- Pervin K. Shroff 2399 plication to Initial Public Offerings Explaining the Poor Performance of Alon Brav 1979 Consumption-based Asset Pricing Information Asymmetry, R&D, and In- Models ..... John Y. Campbell and sider Gains..... David Aboody and John H. Cochrane 2863 Baruch Lev Financial Innovation and the Role of Investing for the Long Run when Re- Derivative Securities: An Empirical turns Are Predictable Analysis of the Treasury STRIPS Nicholas Barberis Program Investment Plans and Stock Returns Mark Grinblatt and Owen A. Lamont Francis A. Longstaff Is Group Affiliation Profitable in Financing Policy, Basis Risk, and Cor- Emerging Markets? An Analysis of porate Hedging: Evidence from Oil Diversified Indian Business Groups and Gras Progucere «22 66.6666 S6es Tarun Khanna and G. David Haushalter Krishna Palepu Firm Size and Cyclical Variations in Is the Short Rate Drift Actually Non- Stock Returns linear? .... David A. Chapman and Gabriel Perez-Quiros and Neil D. Pearson Allan Timmermann Liquidity and Liquidation: Evidence Foreign Speculators and Emerging Eq- from Real Estate Investment Trusts uity Markets David T. Brown Geert Bekaert and Mean Reversion across National Stock Campbell R. Harvey Markets and Parametric Contrar- Foundations of Technical Analysis: ian Investment Strategies....... ‘ Computational Algorithms, Statisti- Ronald Balvers, cal Inference, and Empirical Imple- fangru Wu, and mentation Erik Gilliland Harry Mamaysky, and Minutes of the Annual Membership Jiang Wang Meeting David H. Pyle Fund Advisor Compensation in Closed- Monitoring and Structure of Debt Con- End Funds Jeffrey L. Coles, tracts Cheol Park Jose Suay, and Multiple Versus Single Banking Rela Denise Woodbury tionships: Theory and Evidence... . Going Public Without Governance: Enrica Detragiache, Managerial Reputation Effects .. Paolo Garella, and Armando Gomes Luigi Guiso Index to Volume LV Mutual Fund Performance: An Empir- Selection Editor’s Introduction ical Decomposition into Stock-Picking Franklin Allen Talent, Style, Transactions Costs Some Evidence on the Uniqueness of and Expenses... Russ Wermers initial Public Debt Offerings oF Option Prices, Implied Price Processes, Sudip Datta, and Stochastic Volatility Mai Iskandar-Datta, and Mark Britten-Jones and Ajay Patel Anthony Neuberger Sorting Out Sorts . Jonathan B. Berk Order Flow and Liquidity around Specification Analysis of Affine Term NYSE Trading Halts .. Structure Models Shane A. Corwin and Marc L. Lipson Kenneth J. Singleton Order Flow, Transaction Clock, and Stabilization Activities by Underwrit- Normality of Asset Returns ers after Initial Public Offerings. .. Thierry Ané and Reena Aggarwal Hélyette Geman Stock Market Liberalization, Economic Outside Equity Stewart C. Myers Reform, and Emerging Market Eq- Portfolio Choice and Asset Prices: The uity Prices Peter Blair Henry Importance of Entrepreneurial Risk Stock Repurchases in Canada: Perfor- John Heaton and mance and Strategic Trading . - Deborah Lucas David Ikenberry, Portfolio Selection and Asset Pricing Josef Lakonishok, and Models . Lubos Pastor Theo Vermaelen Predictability and Transaction Costs: Stock Splits, Tick Size, and Sponsor- The Impact on Rebalancing Rules ship tee? Paul Schultz and Behavior .. : ree Taking Stock: Equity-Based Compen- Anthony W. Lynch and sation and the Evolution of Mana- Pierluigi Balduzzi gerial Ownership Eli Ofek and Presidential Address: Friction ... : David Yermack Hans R. Stoll The American Put Option and Its Crit- Price Discovery Without Trading: Ev- ical Stock Price ........... idence from the Nasdaq Preopening David S. Bunch and Charles Cao, Herb Johnson Eric Ghysels, and The Cost of Diversity: The Diversifi- Frank Hatheway cation Discount and Inefficient In- Price Discovery in Initial Public Offer- vestment .... Raghuram Rajan, ings and the Role of the Lead Un- Henri Servaes, and derwriter . Reena Aggarwal and Luigi Zingales Pat Conroy 2903 The Dark Side of Internal Capital Mar- Price Momentum and Trading Volume kets: Divisional Rent-Seeking and In- Charles M. C. Lee and efficient Investment Bhaskaran Swaminathan David F. Scharfstein and Reduction of Constraints on Arbitrage Jeremy C. Stein Trading and Market Efficiency: An The Effect of Bank Relations on In- Examination of Ex-Day Returns in vestment Decisions: An Investiga- Hong Kong after Introduction of tion of Japanese Takeover Bids... Electronic Settlement ... Jun-Koo Kang, Palani-Rajan Kadapakkam Anil Shivdasani, and Report of the Editor for His Tenure and Takeshi Yamada 1999 ... René M. Stulz The Effect of Options on Stock Prices: Report of the Executive Secretary and 1973 to 1995 .. Sorin M. Sorescu Treasurer . David H. Pyle The Equity Share in New Issues and Report of the Representative to the Na- Aggregate Stock Returns.......... tional Bureau of Economic Research Malcolm Baker and Robert S. Hamada Jeffrey Wurgler 2219 2934 The Journal of Finance The Exploitation of Relationships in Fi- Trading Is Hazardous to Your Wealth: nancial Distress: The Case of Trade The Common Stock Investment Per- Credit Benjamin S. Wilner formance of Individual Investors The Impact of Global Equity Offerings Brad M. Barber and Susan Chaplinsky and Terrance Odean Latha Ramchand Trading Volume and Cross-Auto- The Information Value of Bond Rat- correlations in Stock Returns...... ee eee Doron Kliger and Tarun Chordia and Oded Sarig Bhaskaran Swaminathan The Relation between Stock Market Trading and Returns under Periodic Movements and NYSE Seat Prices Market Closures Donald B. Keim and Harrison Hong Ananth Madhavan Jiang Vang The Seven Percent Solution Truth in Mutual Fund Advertising: Ev- Hsuan-Chi Chen and idence on Future Performance and Jay R. Ritter Fund Flows..... Prem C. Jain and Time Variation of Ex-Dividend Day Joanna Shuang Wu Stock Returns and Corporate Divi- When the Underwriter Is the Market dend Capture: A Reexamination Maker: An Examination of Trading Andy Naranjo, in the IPO Aftermarket He M. Nimalendran, and Katrina Ellis, Mike Ryngaert Roni Michaely, and Time and the Price Impact of a Trade Maureen O'Hara Alfonso Dufour and Robert F. Engle 2467 AUTHORS Asoopy, Davib “Information Asymme- BRAV, ALON “Inference in Long-Horizon try, R&D, and Insider Gains” Event Studies: A Bayesian Approach AGGARWAL, REENA “Price Discovery in with Application to Initial Public Of- Initial Public Offerings and the Role ferings” of the Lead Underwriter” 3xICKER, ROBERT J. (See Borokhovich) AGGARWAL, REENA “Stabilization Activ- BRITTEN-JONES, MARK “Option Prices, ities by Underwriters after Initial Implied Price Processes, and Sto Public Offerings” ..... 1075 chastic Volatility” ... eee ALLEN, FRANKLIN “A The 3ROWN, Davin T. “Liquidity and Liqui- dends Based on Tax Clienteles”. 2499 dation: Evidence from Real Estate ALLEN, FRANKLIN “Selection Editor’s In- nvestment Trusts” ; Sled 1477 BuNcH, Davip S. “The American Put Option and Its Critical Stock Price” Ownership, Strategic Alliances, and BURKART, MIKE “Agency Conflicts in Product Market Relationships” Public and Negotiated Transfers of ANG, JAMES S “Agency Costs and Own- Corporate Control” ership Structure” ‘AMPBELL, JOHN Y. “Asset Pricing at ANE, THIERRY “Order the Millennium” . tion Clock, and Normality of Asset ,AMPBELL, JOHN Y. “Explaining the Returns” isrstesaate iat Poor Performance of Consumption- Back, KERRY “Imperfect Competition based Asset Pricing Models” among Informed Traders” ‘AO, C. HENRY (See Back) . BAILEY, WARREN “Depositary Receipts, ‘AO, CHARLES “Price Discovery With Country Funds, and the Peso Crash: out Trading: Evidence from the Nas- The Intraday Evidence” daq Preopening” catrcae BAKER, MALCOLM “The Equity Share in ‘ARPENTER, JENNIFER N. “Does Option New Issues and Aggregate Stock Re- Compensation Increase Managerial RON 25's pares co : Risk Appetite?” . 3ALDUZZI, PIERLUIGI (See Lynch) HAN KALOK (See 3ailey) ne BALVERS, RONALD “Mean Reversion /HAPLINSKY, SUSAN “The Impact of Glo- across National Stock Markets and bal Equity Offerings” ........... Parametric Contrarian Investment ‘HAPMAN, DaviD A. “Is the Short Rate Strategies” erase, acre Orn tae Wee ah Drift Actually Nonlinear?”. . BARBER, BRAD M. “Trading Is Hazard- ‘HEN, HSUAN-CHI “The Seven Percent ous to Your Wealth: The Common Solution” .... ; Stock Investment Performance of In- ‘HORDIA, TARUN “Trading Volume and dividual Investors” : Cross-Autocorrelations in Stock Re- BARBERIS, NICHOLAS “Investing for the turns’ ; Long Run when Returns Are Predict- ‘HUNG, Y. PETER (See Bailey). 2693 able” Sere ee ,OCHRANE, JOHN H. (See Campbell) . . 2863 BEKAERT, GEERT “Foreign Speculators SOLE, REBEL A. (See Ang) 81 and Emerging Equity Markets”... SOLES, JEFFREY L. “Fund Advisor Com- 3ERK, JONATHAN B. “Sorting Out Sorts” 407 pensation in Closed-End Funds” . 1385 BERNARDO, ANTONIO E. (See Allen) 2499 CONRAD, JENNIFER Book Review 515 Boot, ARNOUD W. A. “Can Relationship Conroy, Pat (See Aggarwal) 2903 Banking Survive Competition?” 679 Conroy, ROBERT M. “A Test of the Rel- BOROKHOVICH, KENNETH A. “An Analy- ative Pricing Effects of Dividends and sis of Finance Journal Impact Fac- Earnings: Evidence from Simulta- neous Announcements in Japan”... 2936 The Journal of Finance CoRWIN, SHANE A. “Order Flow and Li- HAUSHALTER, G. DAviD “Financing Pol- quidity around NYSE Trading Halts” icy, Basis Risk, and Corporate Hedg- CVITANIC, JAKSA Book Review ing: Evidence from Oil and Gas Dal, QIANG “Specification Analysis of Producers” Affine Term Structure Models” ... HEATON, JOHN “Portfolio Choice and As- Datta, Supip “Some Evidence on the set Prices: The Importance of Entre- Uniqueness of Initial Public Debt Of- preneurial Risk” ferings” HENDERSHOTT, TERRENCE “Crossing Net- DAVis, JAMES L. “Characteristics, Co- works and Dealer Markets: Compe- variances, and Average Returns: 1929 - tition and Performance” . . HENRY, PETER BLAIR “Stock Market Lib- eralization, Economic Reform, and Emerging Market Equity Prices” .. DETRAGIACHE, ENRICA “Multiple Ver- Honc, Harrison “A Model of Returns sus Single Banking Relationships: and Trading in Futures Markets” .. Theory and Evidence” HONG, HARRISON “Bad News Travels DIAMOND, DouGLas W. “A Theory of Slowly: Size, Analyst Coverage, and Bank Capital” the Profitability of Momentum Strat- D’MELLO, RANJAN “Equity Undervalua- egies” .... tion and Decisions Related to Repur- HONG, HARRI chase Tender Offers: An Empirical under Periodic Market Closures” .. Investigation” 2399 HOVAKIMIAN, ARMEN “Effectiveness of Durour, ALFONSO “Time and the Price Capital Regulation at U.S. Commer- Impact of a Trade” 2467 cial Banks, 1985 to 1994” EADES, KENNETH M. (See Conroy) .... 1199 IKENBERRY, DAviD “Stock Repurchases ELLIS, KATRINA “When the Under- in Canada: Performance and Strate- writer Is the Market Maker: An Ex- gic Trading” .... amination of Trading in the IPO ISKANDAR-DaTTA, MAI (See Datta) Aftermarket” 1039 JAIN, PREM C. “Truth in Mutual Fund ENGLE, Ropert F. (See Dufour) 2467 Advertising: Evidence on Future Per- FAMA, EUGENE F. (See Davis) 389 formance and Fund Flows” FRENCH, KENNETH R. (See Davis) 389 JEGADEESH, NARASIMHAN “Discussion” GARELLA, PAOLO (See Detragiache) ... 1133 JOHNSON, HERB (See Bunch) GEMAN, HELYETTE (See Ané) 2259 KADAPAKKAM, PALANI-RAJAN “Reduc- GHYSELS, Eric (See Cao) 1339 tion of Constraints on Arbitrage GILLILAND, ERIK (See Balvers) 745 Trading and Market Efficiency: An GOMES, ARMANDO “Going Public With- Examination of Ex-Day Returns in out Governance: Managerial Repu- Hong Kong after Introduction of tation Effects” 615 Electronic Settlement” . GRAHAM, JOHN R. “How Big Are the Tax KANE, EDWARD J. (See Hovakimian).. Benefits of Debt?” 1901 KANG, JUN-Koo “The Effect of Bank Re- GRINBLATT, MARK “Financial Innova- lations on Investment Decisions: An tion and the Role of Derivative Se- Investigation of Japanese Takeover curities: An Empirical Analysis of the 3ids”.. Treasury STRIPS Program” KAuL, AbDITYA “Demand Curves for Gromps, DENIs (See Burkart) Stocks Do Slope Down: New Evi- Guiso, Luici (See Detragiache) dence from an Index Weights Ad- HAMADA, ROBERT S. “Report of the Rep- justment” resentative to the National Bureau KEIM, DONALD B. “The Relation be- of Economic Research” 1893 tween Stock Market Movements and Harris, ROBERT S. (See Conroy) 1199 NYSE Seat Prices” HARVEY, CAMPBELL R. (See Bekaert). . 565 KHANNA, TARUN “Is Group Affiliation HARVEY, CAMPBELL R. “Conditional Profitable in Emerging Markets? An Skewness in Asset Pricing Tests” . . 1263 Analysis of Diversified Indian Busi- HATHEWAY, FRANK (See Cao) ness Groups” Index to Volume LV KLIGER, DORON “The Information Value PATEL, AJAY (See Datta) .... of Bond Ratings” PEARSON, NEIL D. (See Chapman) . LAKONISHOK, JOSEF (See Ikenberry) . PEREZ-QUIROS, GABRIEL “Firm Size and LAMONT, OWEN A. “Investment Plans Cyclical Variations in Stock Returns” and Stock Returns” PHILLIPS, GORDON M. (See Allen) LA PorTA, RAFAEL “Agency Problems PROTTER, PHILIP Book Review .. ‘ and Dividend Policies around the PYLE, Davip H. “Minutes of the An- World” : ae nual Membership Meeting” LEE, CHARLES M. C. “Price Momentum PyLeE, Davip H. “Report of the Execu- and Trading Volume” tive Secretary and Treasurer” LEV, BARUCH (See Aboody) . RAJAN, RAGHURAM “The Cost of Diver- LIM, TERENCE (See Hong) .. sity: The Diversification Discount LIN, JAMES WUH (See Ang) and Inefficient Investment” Lipson, Marc L. (See Corwin) . RAJAN, RAGHURAM G. (See Diamond) Lo, ANDREW W. “Foundations of Tech- RAMCHAND, LATHA (See Chaplinsky) .. nical Analysis: Computational Algo- RHODES-Kropr, MATTHEW “Corporate rithms, Statistical Inference, and Reorganizations and Non-Cash Auc- Empirical Implementation” . tions” a4 LONGSTAFF, FRANCIS A. (See Grinblatt) RITTER, JAY R. (See Chen) . Baie LONGSTAFF, FRANCIS A. “Arbitrage and ROUTLEDGE, BRYAN R. “Equilibrium For- the Expectations Hypothesis” ward Curves for Commodities” LOPEZ-DE-SILANES, FLORENCIO (See La RYNGAERT, MIKE (See Naranjo) Porta) ; ; SARIG, ODED (See Kliger) . er Lucas, DEBORAH (See Heaton) SCHARFSTEIN, DAviD F. “The Dark Side LYNCH, ANTHONY W. “Predictability and of Internal Capital Markets: Divi- Transaction Costs: The Impact on Re- sional Rent-Seeking and Inefficient balancing Rules and Behavior” .... 2285 MADHAVAN, ANANTH (See Keim) 2817 MAMAYSKY, HARRY (See Lo) ... 1705 and Sponsorship” .... Sha tiad eabataters 429 MARQUEZ, ROBERT “Discussion” 1850 SCHWERT, G. WILLIAM “Hostility in Take- MEHROTRA, VIKAS (See Kaul)... 893 overs: In the Eyes of the Beholder?” 2599 MENDELSON, Haim (See Hendershott) 2071 SEpp!I, DUANE J. (See Routledge) .... 1297 MICHAELY, RONI (See Ellis) 1039 SERVAES, HENRI (See Rajan) .. 35 Morck, RANDALL (See Kaul) . 893 SHIVDASANIA,NI L (See Kang).. a 2197 Moskowitz, ToBiaAs J. “Discussion” ... 1695 SHLEIFER, ANDREI (See La Porta)... 1 MYERS, STEWART C. “Outside Equity” 1005 SHROFF, PERVIN K. (See D’Mello) . 2399 NARANJO, ANDY “Time Variation of Ex- SIDDIQUE, AKHTAR (See Harvey) 1263 Dividend Day Stock Returns and SIMKINS, Betry J. (See Borokhovich) . 1457 Corporate Dividend Capture: A Re- SINGLETON, KENNETH J. (See Dai) . 1943 examination” SORESCU, SORIN M. “The Effect of Op- NEUBERGER, ANTHONY (See Britten- tions on Stock Prices: 1973 to 1995” oo Jones).. SPATT, CHESTER S. (See Routledge)... ~ NIJMAN, THEO E. (See de Roon) STEIN, JEREMY C. (See Hong) . NIMALENDRAN, M. (See Naranjo) STEIN, JEREMY C. (See Scharfstein)... boa> o©Gno oJ=hN]n w O’HarA, MAuREEN (See Ellis) STOLL, HANS R. “Presidential Address: ODEAN, TERRANCE (See Barber) Friction” OFEK, ELI “Taking Stock: Equity-Based STROMBERG, PER “Conflicts of Interest Compensation and the Evolution of and Market Illiquidity in Bankruptcy Managerial Ownership” Auctions: Theory and Tests” PALEPU, KRISHNA (See Khanna) STULZ, RENE M. “Report of the Editor PANUNZI, Fausto (See Burkart) for His Tenure and 1999” PARK, CHEOL “Monitoring and Struc- Suay, JOSE (See Coles) ture of Debt Contracts” SUNDARESAN, SURESH M. “Continuous- PAstor, Lusos “Portfolio Selection and Time Methods in Finance: A Review Asset Pricing Models” and an Assessment” 2938 The Journal of Finance SWAMINATHAN, BHASKARAN (See Chor- WESTON, JAMES P. “Competition on the 913 Nasdaq and the Impact of Market 2017 Reforms” .... cites yates THAKOR, ANJAN V. (See Boot). 679 WILLARD, GREGORY A. (See Back) TIMMERMANN, ALLAN (See Perez-Quiros) 1229 WILNER, BENJAMIN S. “The Exploita- VELD, CHRIS (See de Roon). : 1437 tion of Relationships in Financial VERMAELEN, THEO (See Ikenberry). . 2373 Distress: The Case of Trade Credit” VERONESI, PIETRO “How Does Informa- RY, DENISE (See Coles) . tion Quality Affect Stock Returns?” 807 , JOANNA SHUANG (See Jain)... VISHNY, ROBERT W. (See La Porta) 1 , YANGRU (See Balvers) VISWANATHAN, S. (See Rhodes-Kropf) 1807 RGLER, JEFFREY (See Baker) WANG, JIANG (See Hong) 297 YAMADA, TAKESHI (See Kang).... WANG, JIANG (See Lo) 4 1705 MACK, DaAvipD (See Ofek) WEAVER, DANIEL G. “Discussion” 1801 \LES, LuicI (See Rajan) WELCH, Ivo (See Allen)... eee 2499 ALES, Luici “In Search of WERMERS, Russ “Mutual Fund Perfor- Foundations” mance: An Empirical Decomposi- tion into Stock-Picking Talent, Style, Transactions Costs, and Expenses”