INDEX TO VOLUME LIV ARTICLES jue of the Stochastic Discount Can Costs of Consumption Adjustment ctor Methodology Explain Asset Pricing Puzzles? .. Raymond Kan and David A. Marshall and Guofu Zhou Nayan G. Parekh examination of the Conglomerate Can the Gains from International Di- Merger Wave in the 1960s: An In- versification be Achieved without il Capital Markets View Trading Abroad?.. Vihang Errunza, R. Glenn Hubbard and Ked Hogan, and Darius Palia Mao-Wei Hung cialist’s Quoted Depth and the Capital Structure and Corporate Con- nit Order Book . ; trol: The Effect of Antitakeover Stat- Kenneth A. Kavajecz utes on Firm Leverage AA T \ nified Theory of Underreaction, Mo- Gerald T. Garvey and entum Trading, and Overreaction Gordon Hanka in Asset Markets re CEO Involvement in the Selection of Harrison Hong and New Board Members: An Empirical Jeremy C. Stein Analysis Anil Shivdasani and An Empirical Comparison of Forward- David Yermick Rate and Spot-Rate Models for Valu- Conditioning Variables and the Cross Interest-Rate Options a Section of Stock Returns Wolfgang Biihler, Wayne E. Ferson and Marliese Uhrig-HRomburg, Campbell R. Harvey 1325 Ulrich Walter, and Corporate Cash Reserves and Acquisi- Thomas Weber tions.... ... Jarrad Harford 1969 Some Mutual Fund Managers Bet- Corporate Ownership Around the World er than Others? Cross-Sectional Pat- Rafael La Porta, erns in Behavior and Performance Florencio Lopez-de-Silanes, and Judith Chevalier and Andrei Shleifer Glenn Ellison Costs of Equity Capital and Model Are Tax Effects Important in the Long- Mispricing . Lubos Pastor and Run Fisher Relationship? Evidence Robert F. Stambaugh from the Municipal Bond Market Data-Snooping, Technical Trading Rule William J. Crowder and Performance, and the Bootstrap ... Mark E. Wohar Ryan Sullivan, Bank Deposit Rate Clustering: Theory Allan Timmermann, and ind Empirical Evidence Halbert White Charles Kahn, Determinants of the Consumer Bank- George Pennacchi, and ruptcy Decision Ben Sopranzetti Ian Domowitz and Banks and Corporate Control in Japan Robert L. Sartain Randall Morck and Differences in Trading Behavior across Masao Nakamura NYSE Specialist Firms... Call Options, Points, and Dominance Shane A. Corwin Restrictions on Debt Contracts Do Industries Explain Momentum? .. Kenneth B. Dunn and Tobias J. Moskowitz and Chester S. Spatt Mark Grinblatt 2400 The Journal of Finance Estimating Portfolio and Consump- Inefficiency in Analysts’ Earnings Fore- tion Choice A Conditional Euler casts: S Misreaction or Sys- Equations Approach. . tematic Optimism ») Michael W. Brandt 1609 ohn C 7 and Evidence on the Determinants of Credit Stacey R. Nutt Terms Used in Interfirm Trade International Ev idence on the Value of Chee K. Ng, Corporate Diversification Janet Kiholm Smith, and Karl Lins and Richard L. Smith Henri Servaes Ex Ante Bond Returns and the Liquid- Investment Decisions Depend on Port- ity Preference Hypothesis . folio Disclosures David K. Musto Jacob Boudoukh, Is Money Smart? A Study of Mutual Matthew Richardson, Fund Investors Fund Selection Tom Smith, and Ability ... Lu Zheng Robert F. Whitelau Leverage and Corporate Perfor- Executive Compensation, Strategic mance: Evidence from Unsuccess- Competition, and Relative Perfor- ful Takeovers a ere : mance Evaluation: Theory and sem Safieddine and Evidence Sheridan Titman Liquidity Provision and Noise Trad- Andrew A. Samwick 1999 ing: Evidence from the “Investment Fed Policy, Financial Market Effi- Dartboard” Column ciency, and Capital Flows Jason Greene and David M. Jones Scott Smart Global Stock Markets in the Twenti- Local Return Factors and Turnover in eth Century .. ae a jaws Emerging Stock Markets Philippe Jorion and K. Geert Rouwenhorst William N. Goetzmann Market Risk and Model Risk for a Fi- Herding among Investment Newslet- nancial Institution Writing Options ters: Theory and Evidence T. Clifton Green and John R. Graham Stephen Figlewski Herding and Feedback Trading Merging Markets Tom Arnold, by Institutional and Individual Philip Hersch, Investors J. Harold Mulherin, and John R. Nofsinger and Jeffrey Netter 1083 Richard W. Sias Mintues of the Annual Membership Home Bias at Home: Local Equity Pref- Meeting Dat id H. Pyle 1523 erence in Domestic Portfolios Mutual Fund Herding and the Impact Joshua D. Coval and on Stock Prices Russ Wermers 581 Tobias J. Moskowitz Number of Sh ireholders and Stock How Are Derivatives Used? Evidence Prices: Evidence from Japan from the Mutual Fund Industry Yakov Amihud, Jennifer Lynch Koski and Haim Mendelson, and Jeffre y Pontiff Jun Uno 1169 How Long Do Junk Bonds Spend in On the Cross-Sectional Relation be- Default? Jean Helwege tween Expected Returns, Betas, and Improved Methods for Tests of Long- Size Robert R. Grauer Run Abnormal Steck Returns Optimal Investment, Growth Options, John D. Lyon and Security Returns Brad M. Barber, and Jonathan B. Berk, Chih-Ling Tsai urd C. Green, and Incomplete Markets and Security Vasant Naik Prices: Do Asset-Pricing Puzzles Re- Optimal Leverage and Aggregate In- sult from Aggregation Problems? vestment Bruno Biais and Kris Jacobs Catherine Casamatta 1291 Indext o Volume LIV 2401 timal Risk Management Using The Effects of Market Reform on the ptions . Dong-Hyun Ahn, Trading Costs and Depths of Nas- Jacob Boudoukh, daq Stocks Matthew Richardson, and Robert F- Whitelau William G. Christie, nents for Order Flow on Nasdaq Jeffrey H. Harris, Eugene Kandel and Eugene Kandel, and Leslie M. Marx Paul H. Schultz ormance Evaluation with Trans- The Effects of Market Segmentation tions Data: The Stock Selection of and Investor Recognition on Asset nvestment Newsletters eae Prices: Evidence from Foreign Stocks Andrew Metrick Listing in the United States...... srencing, Internalization, Best Ex- Stephen R. Foerster and ition, and Dealer Profits. th G. Andrew Karolyi Oliver Hansch, The Equity Performance of Firms Narayan Y. Naik, and Emerging from Bankruptcy . S. Viswanathan Allan C. Eberhart, Presidential Address: Expected Re- Edward I. Altman, and t irn, Realized Return, and Asset Reena Aggarwal pP ricing Tests .... The Financial and Operating Perfor- mance of Privatized Firms during the Price Formation and Liquidity in the 1990s... Juliet D'Souza and U.S. Treasury Market: The Response William L. Megginson to Public Information IPP ee The Financing and Redeployment of Michael J. Fleming and Specific Assets Eli M. Remolona 1901 Michel A. Habib and Pricing Options under Generalized D. Bruce Johnsen GARCH and Stochastic Volatility The Going-Public Decision and the De- Processes . .... Peter Ritchken and velopment of Financial Markets ... Rob Trevor Avanidhar Subrahmanyam and Reforming the Global Economic Archi- Sheridan Titman ecture: Lessons from Recent Crises The Impact of Trader Type on the Fu- Joseph E. Stiglitz tures Volatility-Volume Relation ... Report of the Editor of The Journal of Robert T. Daigler and Finance for the Year 1998 Marilyn K. Wiley René M. Stulz The Performance of Hedge Funds: Risk, Report of the Executive Secretary and Return, and Incentives . Carl Ackermann Michael Keenan Richard McEnally, and Report of the Representative to the Na- David Ravenscraft tional Bureau of Economic Research The Persistence of IPO Mispricing and Robert S. Hamada the Predictive Power of Flipping... l'ax Incentives to Hedge. Laurie Krigman, John R. Graham and Wayne H. Shaw, and Clifford W. Smith, Jr. Kent L. Womack Corporate Cost of Capital and the The Relationship between Firm Invest- Return on Corporate Investment ment and Financial Status Eugene F. Fama and Sean Cleary Kenneth R. French The Sampling Error in Estimates of Delisting Bias in CRSP’s Nasdaq Mean-Variance Efficient Portfolio Data and the Size Effect Weights . Mark Britten-Jones Tyler Shumway and The Slope of the Credit Yield Curve Vincent A. Warther 2361 for Speculative-Grade Issuers The Dynamics of Discrete Bid and Ask Jean Helwege and Joel Hasbrouck 2109 Christopher M. Turner 1869 2402 The Journal of Finance The Stochastic Volatility of Short Were the Goon TaJxA VS That Good? Term Interest Rates Some Inter Changes igerial Stock national Evidence Ownersh e Great Depres- Clifford A. Ball and sion Walter N. Torous 2339 G. Holderness Transition Densities for Interest Rate S. Kroszner, and and Other Nonlinear Diffusions ern is P. Sheehan Yacine Ait-Sahalia Value of the Dow? Two-Pass Tests of Asset Pricing Mod- har ‘les M. C. Lee, els with Useless Factors Jar es Myers , and Raymond Kan yminathan 1693 Chu AUTHORS See Barclay tionship be on, Strategic Con ind Finan- lative Performances heory and Evidence’ 1999 Differences in Trad REENA (See EI 1L Oo90 ross NYSE Special- HYUN “Optimal ent Using Options” ne Bias at Home 4, YACINE “Transition nce in Domes- for Interest Rats ear Diffusions” Tax Effects EDWARD I. (See Eberhart Important Run Fisher YAKOV “Number of SI I Rel itionship E from the Mu- 1 Stock Prices: Evidence from nicipal Bond Ma ; DAIGLER, Rol T. “The Impact Tom “Merging Markets” ot f Trader 7T ype on the Futures FFORD A. “The Stochastic Vol- Volatility-Volume Relation” of Short-Term Interest Rates DomowitTz, IAN “Determinants of the International Evidence” Consumer Bankruptcy Decision”. . BraD M. (See Lyon D’Souza, JULIET “The Financial and MICHAEL J. “The Effects of Operating Performance of Privat- rket Reform on the Trading Costs ized Firms during the 1990s” Depths of Nasdaq Stocks DUNN, KENNETH B. “Call Options, CHRISTOPHER B. Book Review Points, and I ina Restric- JONATHAN B. “Optimal Invest tions on Debt C “ Growth Options, and Secu EASTERWOOD, JOHN ciency in Returns” Analysts’ Earnin Forecasts: Sys- NO “Optimal Lev temic Misreacti r Systematic Op- gate Investment” timism?” KH, JACOB “Ex Ante Bond Re- EBERHART, ALLAN C. “The Equity Per- ind the Liquidity Preference formance of merging from thesis” . - Bankruptcy” JACOB (See Ahn ; ELLISON, GLENN (See Chevalier *e MICHAEL W. “Estimating Port- ELTON, EDWIN J. “Presidential Address: ind Consumption Choice: A Con- Expected Return, Realized Return, Euler Equations Approach” 1609 and Asset Prici ing Tests” ee -JO? MarK “The Sampling ERRUNZA, VIHANG “Can the Gains from in Estimates of Mean-Variance International Diversification be ent Portfolio Weights” Achieved without Trading Abroad?” , WOLFGANG “An Empirical Com FAMA, EUGENE F » Corporate Cost son of Forward-Rate and Spot- of Capital and the Return on Corpo- Models for Valuing Interest- rate Investment” Na Options” FERSON, WAYNE E ATTA, CATHERINE (See Biais ables and the Cross Section of Stock IER, JUDITH “Are Some Mutual Returns” l Managers Better than Oth- FIGLEWSKI, STEPHEN (See Green) . 2403 2404 The Journal of Finance FLEMING, MICHAEL J. “Price Forma- HOLDERNESS, ( ORD G. “Were the tion and Liquidity in the U.S. Trea- Good Old Days That Good? Changes sury Market: The Response to Public in Managerial! Stock Ownership Information” ee Since the Great Depression” . FOERSTER, STEPHEN R. “The Effects of HONG, HARRISON “A Unified Theory of Market Segmentation and Investor Underreaction, Momentum Trading, Recognition on Asset Prices: Evi- and Overreaction in Asset Markets dence from Foreign Stocks Listing HUBBARD, R. GLENN “A Reexamination in the United States” of the Conglomerate Merger Wave in FRENCH, KENNETH R. (See Fama) the 1960s: An Internal Capital Mar- GALLO, JOHN G. Book Review kets View” GARVEY, GERALD T. “Capital Structure HUNG, Mao-WEI (See Errunza) and Corporate Control: The Effect of JACOBS, KRIS “Incomplete Markets and Antitakeover Statutes on Firm Le- Security Prices Do Asset-Pricing verage” ay eae Puzzles Result from Aggregation GOETZMANN, WILLIAM N. (See Jorion) Problems?” GRAHAM, JOHN R. “Herding among In- JOHNSEN, D. Bruce (See Habib). vestment Newsletters: Theory and JONES, Davip M Fed Policy, Finan- Evidence” cae : cial Market Ef ficiency, and Capital GRAHAM, JOHN R. “Tax Incentives to Flows” Hedge” ee reat eee the JORION, PHI GRAUER, ROBERT R. “On the Cross- kets in the Twentieth Century” .... Sectional Relation between Expected KAHN, CHARLES “Bank Deposit Rate Returns, Betas, and Size” Clustering: Theory and Empirical GREEN, RICHARD C. (See Berk Evidence” GREEN, T. CLIFTON “Market Risk and KAN, RAYMOND “A Mode! Risk for a Financial Institu- chastic Discount Factor Methodology” tion Writing Options” .. KAN, RAYMOND “Two-Pass Tests of As- GREENE, JASON “Liquidity Provision and set Pricing Models with Useless Fac- Noise Trading: Evidence from the tors” “Investment Dartboard” Column” . KANDEL, EUGE? GRINBLATT, MARK (See Moskowitz) ... Flow on Nasdaq” Se eee HABIB, MICHEL A. “The Financing and KANDEL, EUGENE (See Barclay) .... Redeployment of Specific Assets” KAROLYI, G. A? See Foerster) . HAMADA, ROBERT S. “Report of the Rep- KAVAJECZ, KEN? A. “A Specialist’s resentative to the National Bureau Quoted Dept! ind the Limit Order of Economic Research” Book” HANKA, GORDON (See Garvey) , KEENAN, MICHA “Report of the Exec- HANSCH, OLIVER “Preferencing, Inter- utive Secretary and Treasurer” .... nalization, Best Execution, and KIHOLM SMITH, JANET (See Ng) Dealer Profits” yas 1799 KRIGMAN, LAURIE “The Persistence of HARFORD, JARRAD “Corporate Cash Re- IPO Mispricing and the Predictive serves and Acquisitions” 1969 Power of Flipping” HARGIS, KENT Book Review 421 KROSZNER, RANDALL S. (See Holder- HARRIS, JEFFREY H. (See Barclay) . l ness) HARVEY, CAMPBELL R. (See Ferson 132 5 LEE, CHARLES M. C “What is the In- HASBROUCK, JOEL “The Dynamics of trinsic Value of the Dow?” Discrete Bid and Ask Quotes” 2109 Lins, KARL “Interr 1ational Evidence on HELWEGE, JEAN “How Long Do Junk the Value of Corporate Diversifica- Bonds Spend in Default?” is 341 tion” HELWEGE, JEAN “The Slope of the Credit LOPEZ-DE-SILANES Yield Curve for Speculative-Grade Is- Porta) : Gite suers” : 1869 LYNCH KoskKI, JENNIFER “How Are De- HERSCH, PHILIP (See Arnold) 1083 rivatives Used? Evidence from the HoGAN, KED (See Errunza) 2075 Mutual Fund Industry” Index to Volume LIV 2405 1D “Improved Methods for ROUWENHORST, K. GEERT “Local Re- ts of Long-Run Abnormal Stock turn Factors and Turnover in Emerg- ing Stock Markets” / L, DavipA . “Can Costs of Con- SAFIEDDINE, ASSEM “Leverage and Cor- ption Adjustment Explain Asset porate Performance: Evidence from ng Puzzles?” Unsuccessful Takeovers” 547 LESLIE M. (See Kandel SAMWICK, ANDREW A. (See Aggarwal) 1999 STEWART Book Review SARTAIN, See Domowitz 403 y, RICHARD (See Ackermann SCHULTZ, PAUL I See Barclay SON, WILLIAM L. (See D’Souza SERVAES, HENRI (See Lins)... sON, Haim (See Amihud) SHAW, WAYNE H. (See Krigman) Eval- SHEEHAN, DENNIS P. (See Holderness) yn with Transactions Data: The SHIVDASANI, ANIL “CEO Involvement in Selection of Investment News- the Selection of New Board Mem- bers: An Empirical Analysis” GEORGE Book Review SHLEIFER, ANDREI (See La Porta) Topias J. “Do Industries SHUMWAY, TYLER “The Delisting Bias 1in Momentum?” in CRSP’s Nasdaq Data and the Size TosiAs J. (See Coval Effect” ‘ 2361 RANDALL “Banks and Corpo- Sias, RICHARD W. (See Nofsinger) 2263 Control in Japan” SMART, Scott (See Greene - 1885 J. HAROLD (See Arnold SMITH, JR., CLIFFORD W. (See Graham) 2241 Davip K. “Investment Deci- SMITH, RICHARD L. (See Ng) 1109 s Depend on Portfolio Disclo- SMITH, Tom (See Boudoukh) SOPRANZETTI, BEN (See Kahn JAMES (see Lee SpattT, CHESTER S. (See Dunn NARAYAN Y. (See Hansch STEIN, JEREMY C. (See Hong VASANT (See Berk STIGLITZ, JOSEPH E. “Reforming the Glo- RA, MASAO (See Morck bal Economic Architecture: Lessons JEFFREY (See Arnold from Recent Crises” Sok E K. “Evidence on the Deter- STAMBAUGH, ROBERT F. (See Pastor) ints of Credit Terms Used in In- STULZ, RENE M. “Report of the Editor rm Trade”.... ; of The Journal of Finance for the , JOHN R. “Herding and Feed- Year 1998” Trading by Institutional and In- SUBRAHMANYAM, AVANIDHAR “The Going- jual Investors” . Public Decision and the Develop- STACEY R. (See Easterwood) ment of Financial Markets” FRANK Book Review SULLIVAN, RYAN “Data-Snooping, Tech- Darius (See Hubbard nical Trading Rule Performance, and , NAYAN G. (See Marshall the Bootstrap” aw ates ee Lusos “Costs of Equity Capi- SWAMINATHAN, BHASKARAN (See Lee) 1693 ind Model Mispricing’ TIMMERMANN, ALLAN (See Sullivan) 1647 HI, GEORGE (See Kahn TITMAN, SHERIDAN (See Safieddine) 547 JEFFREY (See Lynch Koski TITMAN, SHERIDAN (See Subrahman- ROBERT Book Review yam) tae ad gianaa ig: Davip H. “Mintues of the An- Torous, WALTER N. (See Ball) 2339 Membership Meeting” TREVOR, Ros (See Ritchken) ......... 377 NSCRAFT, DAviD (See Acker- TsAl, CHIH-LING (See Lyon) . 165 TURNER, CHRISTOPHER M. (See Hel- 1901 wege) 1869 ARDSON, MATTHEW (See Ahn) 359 UHRIG-HOMBURG : ‘ 269 ISON, MATTHEW (See Boudoukh) 1153 Uno, JUN (See Amihud) 1169 HKEN, PETER “Pricing Options un- VISWANATHAN, S. (See Hansch) 1799 ler Generalized GARCH and Sto- WALTER, ULRICH (See Biihler) 269 hastic Volatility Processes” WARTHER, VINCENT A. (See Shumway) 23?6 1 2406 The Journal of Finance WEBER, THOMAS (See Biihler 269 Womack, Ke See Krigman) WeERMERS, Russ “Mutual Fund Herd- YERMICK, Davip (See Shivdasani) ing and the Impact on Stock Prices” 581 ZHANG, CuHu (See Kan ‘ WHITE, HALBERT (See Sullivan) 1647 ZHENG, Lu “Is Money Smart? A Study WHITELAW, ROBERT F. (See Ahn) 359 of Mutual Fund In\ estors’ Fund Se- WHITELAW, RoBertT F. (See Boudoukh) 1153 lection Ability WILEY, MARILYN K. (See Daigler) 2297 ZHOU, GUOI See Kan) Wouar, MARK E. (See Crowder) 307 chet