The short�time behavior of VIX�implied volatilities...
Abstract We consider a modeling setup where the volatility index (VIX) dynamics are explicitly computable as a smooth transformation of a purely diffusive, multidimensional Markov process. The...
View ArticleTrading algorithms with learning in latent alpha models
Abstract Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyzes how to optimally trade with latent factors that cause prices to jump and diffuse....
View ArticleUnspanned stochastic volatility in the multifactor CIR model
Abstract Empirical evidence suggests that fixedâincome markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds....
View ArticleValue�at�Risk bounds with two�sided...
Abstract ValueâatâRisk (VaR) bounds for aggregated risks have been derived in the literature in settings where, besides the marginal distributions of the individual risk factors, oneâsided...
View ArticleA Retained Earnings�Consistent KVA Approach and the Impact of Taxes
KVA represents the extra cost being charged by banks to nonâcollateralized counterparties in order to remunerate banks' shareholders for the mandatory regulatory capital provided by them throughout...
View ArticleBartlett's Delta in the SABR Model
The presence of stochastic volatility in an option model impacts the values of the hedge ratios (the âgreeksâ), and in particular the option delta. In the context of the SABR model, the greeks...
View ArticleExact Solutions for a GBM�Type Stochastic Volatility Model Having...
Alan Lewis discusses the background to the Extended Geometric Brownian Motion model introduced in this issue.
View ArticleDoes It Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for...
Despite its unusual payout structure, the Canadian 6/49 Lottoc is one of the few governmentâsponsored lotteries that has the potential for a favorable strategy we call âbuying the pot.â By...
View ArticleNon�normality restored
This time we look at some recent work on volatilitly modelling. (It should really say nonâlognormality in the title, but that would make it a lot less pithy.)
View ArticleCars
The iconic Renault A110 is back in an allânew package that harks back to its beautiful predecessor of the 1960s and 1970s.
View ArticleAll the Men Just Call Him “Sir”
This may represent the first example of an SV model combining exact solutions, GBMâtype volatility noise, and a stationary volatility density.
View ArticleThe Sales�Margin Transparency Farce
How does the sell side make money with financial products, particularly with zeroâcost strategies?
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JFQ volume 51 issue 3 Cover and Front matter
Miscellaneous Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp f1-f5Abstract
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JFQ volume 51 issue 3 Cover and Back matter
Miscellaneous Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp b1-b7Abstract
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A Rent-Protection Explanation for SEO Flotation-Method Choice
Research Articles Xueping Wu, Zheng Wang, Jun Yao, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 1039-1069Abstract
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New Evidence on the Forward Premium Puzzle
Research Articles Jacob Boudoukh, Matthew Richardson, Robert F. Whitelaw, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 875-897Abstract
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Are Ex Ante CEO Severance Pay Contracts Consistent with Efficient Contracting?
Research Articles Brian D. Cadman, John L. Campbell, Sandy Klasa, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 737-769Abstract
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Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite...
Research Articles Matthew T. Billett, Redouane Elkamhi, Latchezar Popov, Raunaq S. Pungaliya, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 839-873Abstract
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The Valuation of Hedge Funds’ Equity Positions
Research Articles Gjergji Cici, Alexander Kempf, Alexander Puetz, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 1013-1037Abstract
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Understanding Portfolio Efficiency with Conditioning Information
Research Articles Francisco Peñaranda, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 985-1011Abstract
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Portfolio Diversification and International Corporate Bonds
Research Articles Edith X. Liu, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 959-983Abstract
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What Is the Nature of Hedge Fund Manager Skills? Evidence from the...
Research Articles Charles Cao, Bradley A. Goldie, Bing Liang, Lubomir Petrasek, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 929-957Abstract
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Corporate Boards and SEOs: The Effect of Certification and Monitoring
Research Articles Miguel Ferreira, Paul Laux, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 899-927Abstract
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The Price of Street Friends: Social Networks, Informed Trading, and...
Research Articles Jie Cai, Ralph A. Walkling, Ke Yang, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 801-837Abstract
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On the Style-Based Feedback Trading of Mutual Fund Managers
Research Articles Bart Frijns, Aaron Gilbert, Remco C. J. Zwinkels, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 771-800Abstract
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Volume 51 Issue 03
Journal of Financial and Quantitative Analysis, Volume 51 Issue 03The Journal of Financial and Quantitative Analysis ( JFQA ) publishes theoretical and empirical research in financial economics. Topics...
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Risk, Uncertainty, and Expected Returns
Research Articles Turan G. Bali, Hao Zhou, Journal of Financial and Quantitative Analysis, Volume 51 Issue 03, pp 707-735Abstract
View ArticleCostly Information Acquisition, Social Networks, and Asset Prices:...
ABSTRACT We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics...
View ArticleCEO Horizon, Optimal Pay Duration, and the Escalation of...
ABSTRACT This paper studies optimal contracts when managers manipulate their performance measure at the expense of firm value. Optimal contracts defer compensation. The manager's incentives vest over...
View ArticleLabor�Technology Substitution: Implications for Asset Pricing
ABSTRACT This paper studies the asset pricing implications of a firm's opportunities to replace routineâtask labor with automation. I develop a model in which firms optimally undertake such...
View ArticlePrice Discovery without Trading: Evidence from Limit Orders
ABSTRACT We analyze the contribution to price discovery of market and limit orders by highâfrequency traders (HFTs) and nonâHFTs. While market orders have a larger individual price impact, limit...
View ArticleReal Anomalies
ABSTRACT We examine the importance of crossâsectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the crossâsection of firms that...
View ArticleTime�Varying Asset Volatility and the Credit Spread Puzzle
ABSTRACT Most extant structural credit risk models underestimate credit spreadsâa shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to...
View ArticleCapital Share Dynamics When Firms Insure Workers
ABSTRACT Although the aggregate capital share of U.S. firms has increased, capital share at the firmâlevel has decreased. This divergence is due to megaâfirms that produce a larger output share...
View ArticleCapital Share Risk in U.S. Asset Pricing
ABSTRACT A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic...
View ArticleReport of the Editor of The Journal of Finance for the Year 2018
The Journal of Finance, EarlyView.
View ArticleISSUE INFORMATION BM
The Journal of Finance, Volume 74, Issue 3, Page 1580-1581, June 2019.
View ArticleISSUE INFORMATION FM
The Journal of Finance, Volume 74, Issue 3, Page 1083-1085, June 2019.
View ArticleG. William Schwert
The Journal of Finance, Volume 74, Issue 3, Page 1087-1089, June 2019.
View ArticleOn Equilibrium When Contingent Capital Has a Market Trigger: A Correction to...
ABSTRACT This paper identifies an error in Sundaresan and Wang (2015, hereafter SW) that invalidates its Theorem 1. The paper develops a model of contingent capital (CC) with a stock price trigger...
View ArticleHigh�Frequency Trading around Large Institutional Orders
ABSTRACT Liquidity suppliers lean against the wind. We analyze whether highâfrequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The...
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