Journal of Economics and Finance

Publishes theoretical and empirical articles in the general areas of economics and finance. 

Articles from Vol. 35, No. 3, July

Bank Loan Commitments and Material Adverse Change Clause
AbstractAs Ergungor (2001) indicated, some critical problems still exist in the valuation of bank loan commitments. One of them is the Material Adverse Change ("MAC") clause as a contractual discretion that may be exercised by banks. We explain how the...
Business Cycle and Aggregate Industry Mergers
AbstractThis paper tests the relationship between industry-level mergers and business cycle using panel tests that allow us to control for macro-economic and industry-level determinants of merger activity. We find robust evidence that both related and...
Financial Development and Economic Growth in Vietnam
AbstractBy making use of a panel dataset that covers 61 provinces of Vietnam over the period 1997 to 2006, this paper examines the link between financial development and economic growth. Our analysis, which is based on endogenous growth theory, reveals...
Jump Risk and Cross Section of Stock Returns: Evidence from China's Stock Market
AbstractVarious studies have confirmed the existence of jumps in different financial markets. However, there is sparse theoretical or empirical effort to examine the dynamic relation between jump risk and cross-sectional expected stock returns. We follow...
Mean Reversion and Long Memory in African Stock Market Prices
AbstractWe examine the behavior of stock market prices in several African countries by means of fractionally integrated techniques. In doing so, we can test for mean reversion in these markets. Our results can be summarized as follows: we cannot find...
Minimax Price Bounds in Incomplete Markets
AbstractThis paper develops an approach to tighten the bounds on asset prices in an incomplete market by combining no-arbitrage pricing and preference-based pricing, and the approach is applied to a call option in the absence of dynamic rebalancing....
Monday Returns and Asset Pricing
AbstractThe seasonal patterns observed on Monday stock returns are still unexplained by different asset pricing models. We attempt to fill this gap in the finance literature by using the Fama-French (Journal of Financial Economics 33:356, 1993) risk...
Temporary Open Market Operation on MBS Repos: Any Foreshadowing of the Financial Crisis of 2008?
AbstractThe financial crisis of 2008 was significantly influenced by housing, mortgage markets and mortgage-backed securities (MBS). The Federal Reserve (Fed) conducts temporary open market operations on a daily basis and frequently uses repos on MBS....