Journal of Financial and Quantitative Analysis

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

Create citation feed for this series

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.24 0.18 21 263 66 16 0 1 0.05 0.09 1997 0.11 0.21 26 174 54 6 0 4 0.15 0.08 1998 0.45 0.25 18 177 47 21 0 1 0.06 0.1 1999 0.43 0.32 23 242 44 19 0 6 0.26 0.15 2000 0.34 0.43 29 207 41 14 0 3 0.1 0.19 2001 0.62 0.41 25 145 52 32 0 3 0.12 0.17 2002 0.39 0.44 28 132 54 21 0 8 0.29 0.2 2003 0.43 0.47 37 268 53 23 0 20 0.54 0.22 2004 0.75 0.52 38 103 65 49 0 8 0.21 0.23 2005 0.77 0.56 36 77 75 58 0 11 0.31 0.25 2006 0.59 0.57 37 33 74 44 0 7 0.19 0.24 2007 0.3 0.48 41 33 73 22 0 6 0.15 0.22
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2 CiY: Cites in year y to documents published in year y IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:cup:jfinqa:v:22:y:1987:i:01:p:109-126_01 The Relation between Price Changes and Trading Volume: A Survey (1987).
Cited: 104 times.

(2) RePEc:cup:jfinqa:v:20:y:1985:i:04:p:391-405_01 The Determinants of Firms Hedging Policies (1985).
Cited: 101 times.

(3) RePEc:cup:jfinqa:v:24:y:1989:i:02:p:241-256_01 International Transmission of Stock Market Movements (1989).
Cited: 82 times.

(4) RePEc:cup:jfinqa:v:31:y:1996:i:03:p:377-397_00 Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders (1996).
Cited: 78 times.

(5) RePEc:cup:jfinqa:v:34:y:1999:i:04:p:465-487_00 Autoregressive Conditional Skewness (1999).
Cited: 55 times.

(6) RePEc:cup:jfinqa:v:38:y:2003:i:01:p:1-36_00 International Corporate Governance (2003).
Cited: 55 times.

(7) RePEc:cup:jfinqa:v:19:y:1984:i:02:p:127-140_01 Optimal Hedging Policies (1984).
Cited: 52 times.

(8) RePEc:cup:jfinqa:v:33:y:1998:i:03:p:335-359_00 The Determinants of Corporate Liquidity: Theory and Evidence (1998).
Cited: 47 times.

(9) RePEc:cup:jfinqa:v:34:y:1999:i:01:p:33-55_00 Volatility in Emerging Stock Markets (1999).
Cited: 47 times.

(10) RePEc:cup:jfinqa:v:38:y:2003:i:01:p:87-110_00 Corporate Governance and the Home Bias (2003).
Cited: 45 times.

(11) RePEc:cup:jfinqa:v:31:y:1996:i:01:p:85-107_00 Another Look at Models of the Short-Term Interest Rate (1996).
Cited: 45 times.

(12) RePEc:cup:jfinqa:v:36:y:2001:i:01:p:1-24_00 The Debt-Equity Choice (2001).
Cited: 43 times.

(13) RePEc:cup:jfinqa:v:12:y:1977:i:04:p:541-552_02 The Valuation of Corporate Liabilities as Compound Options (1977).
Cited: 43 times.

(14) RePEc:cup:jfinqa:v:25:y:1990:i:02:p:203-214_00 Stock Returns and Volatility (1990).
Cited: 42 times.

(15) RePEc:cup:jfinqa:v:37:y:2002:i:01:p:63-91_00 Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002).
Cited: 41 times.

(16) RePEc:cup:jfinqa:v:31:y:1996:i:03:p:419-439_00 Evidence on Corporate Hedging Policy (1996).
Cited: 39 times.

(17) RePEc:cup:jfinqa:v:23:y:1988:i:03:p:269-283_01 The Dependence between Hourly Prices and Trading Volume (1988).
Cited: 39 times.

(18) RePEc:cup:jfinqa:v:34:y:1999:i:02:p:211-239_00 Of Smiles and Smirks: A Term Structure Perspective (1999).
Cited: 36 times.

(19) RePEc:cup:jfinqa:v:35:y:2000:i:04:p:577-600_00 Market Segmentation and the Cost of the Capital in International Equity Markets (2000).
Cited: 36 times.

(20) RePEc:cup:jfinqa:v:21:y:1986:i:04:p:459-471_01 Financial Innovation: The Last Twenty Years and the Next (1986).
Cited: 35 times.

(21) RePEc:cup:jfinqa:v:32:y:1997:i:01:p:91-115_00 Recovering an Assets Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997).
Cited: 35 times.

(22) RePEc:cup:jfinqa:v:21:y:1986:i:03:p:279-292_01 Bayes-Stein Estimation for Portfolio Analysis (1986).
Cited: 34 times.

(23) RePEc:cup:jfinqa:v:26:y:1991:i:03:p:363-376_00 The Pricing of Exchange Rate Risk in the Stock Market (1991).
Cited: 34 times.

(24) RePEc:cup:jfinqa:v:38:y:2003:i:01:p:159-184_00 Equity Ownership and Firm Value in Emerging Markets (2003).
Cited: 34 times.

(25) RePEc:cup:jfinqa:v:33:y:1998:i:03:p:383-408_00 The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998).
Cited: 33 times.

(26) RePEc:cup:jfinqa:v:38:y:2003:i:01:p:111-133_00 International Corporate Governance and Corporate Cash Holdings (2003).
Cited: 33 times.

(27) RePEc:cup:jfinqa:v:15:y:1980:i:04:p:907-929_01 Analyzing Convertible Bonds (1980).
Cited: 33 times.

(28) RePEc:cup:jfinqa:v:17:y:1982:i:03:p:301-329_01 An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982).
Cited: 31 times.

(29) RePEc:cup:jfinqa:v:18:y:1983:i:01:p:53-65_01 A Simplified Jump Process for Common Stock Returns (1983).
Cited: 31 times.

(30) RePEc:cup:jfinqa:v:30:y:1995:i:01:p:117-134_00 The Short-Run Dynamics of the Price Adjustment to New Information (1995).
Cited: 30 times.

(31) RePEc:cup:jfinqa:v:16:y:1981:i:04:p:581-600_00 The Determinants of Bank Interest Margins: Theory and Empirical Evidence (1981).
Cited: 30 times.

(32) RePEc:cup:jfinqa:v:23:y:1988:i:02:p:135-151_01 International Listings and Stock Returns: Some Empirical Evidence (1988).
Cited: 30 times.

(33) RePEc:cup:jfinqa:v:26:y:1991:i:03:p:377-389_00 A Quick Algorithm for Pricing European Average Options (1991).
Cited: 30 times.

(34) RePEc:cup:jfinqa:v:21:y:1986:i:04:p:361-376_01 The Microeconomics of Market Making (1986).
Cited: 25 times.

(35) RePEc:cup:jfinqa:v:29:y:1994:i:03:p:419-444_00 A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994).
Cited: 25 times.

(36) RePEc:cup:jfinqa:v:25:y:1990:i:04:p:441-468_00 The Dynamics of Stock Index and Stock Index Futures Returns (1990).
Cited: 25 times.

(37) RePEc:cup:jfinqa:v:34:y:1999:i:01:p:115-130_00 Kalman Filtering of Generalized Vasicek Term Structure Models (1999).
Cited: 24 times.

(38) RePEc:cup:jfinqa:v:24:y:1989:i:04:p:409-425_01 Executive Stock Option Plans and Corporate Dividend Policy (1989).
Cited: 24 times.

(39) RePEc:cup:jfinqa:v:22:y:1987:i:02:p:143-151_01 Option Pricing when the Variance Is Changing (1987).
Cited: 23 times.

(40) RePEc:cup:jfinqa:v:28:y:1993:i:04:p:535-551_00 Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993).
Cited: 23 times.

(41) RePEc:cup:jfinqa:v:23:y:1988:i:01:p:1-12_01 A Lattice Framework for Option Pricing with Two State Variables (1988).
Cited: 23 times.

(42) RePEc:cup:jfinqa:v:22:y:1987:i:02:p:127-141_01 Transaction Data Tests of the Mixture of Distributions Hypothesis (1987).
Cited: 23 times.

(43) RePEc:cup:jfinqa:v:27:y:1992:i:03:p:311-336_00 Market Manipulation, Bubbles, Corners, and Short Squeezes (1992).
Cited: 22 times.

(44) RePEc:cup:jfinqa:v:30:y:1995:i:01:p:101-116_00 The Conditional Relation between Beta and Returns (1995).
Cited: 22 times.

(45) RePEc:cup:jfinqa:v:29:y:1994:i:04:p:589-607_00 Stochastic Volatility Option Pricing (1994).
Cited: 22 times.

(46) RePEc:cup:jfinqa:v:35:y:2000:i:02:p:127-151_00 Behavioral Portfolio Theory (2000).
Cited: 22 times.

(47) RePEc:cup:jfinqa:v:30:y:1995:i:03:p:383-405_00 Numerical Valuation of High Dimensional Multivariate American Securities (1995).
Cited: 21 times.

(48) RePEc:cup:jfinqa:v:36:y:2001:i:01:p:53-73_00 Another Look at Mutual Fund Tournaments (2001).
Cited: 21 times.

(49) RePEc:cup:jfinqa:v:17:y:1982:i:01:p:75-100_01 The Pricing of Options on Default-Free Bonds (1982).
Cited: 21 times.

(50) RePEc:cup:jfinqa:v:23:y:1988:i:02:p:231-235_01 The Determinants of Bank Interest Margins: A Note (1988).
Cited: 21 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:anp:en2007:108 CHARACTERIZING THE BRAZILIAN TERM STRUCTURE OF INTEREST RATES (2007). ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] / Anais do XXXV Enc

(2) RePEc:cbr:cbrwps:wp357 UK Corporate Governance and Takeover Performance (2007). ESRC Centre for Business Research / ESRC Centre for Business Research - Working Papers

(3) RePEc:cpr:ceprdp:6445 The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (2007). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(4) RePEc:fgv:epgewp:657 The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model (2007). Graduate School of Economics, Getulio Vargas Foundation (Brazil) / Economics Working Papers (Ensaios Economicos da EPGE)

(5) RePEc:fip:fedlwp:2006-061 The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value (2007). Federal Reserve Bank of St. Louis / Working Papers

(6) RePEc:han:dpaper:dp-357 Whose trades convey information? Evidence from a cross-section of traders (2007). Universität Hannover, Wirtschaftswissenschaftliche Fakultät / Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hanno

Recent citations received in: 2006

(1) RePEc:dgr:kubcen:200655 How do mergers and acquisitions affect bondholders in Europe? : evidence on the impact and spillover of governance and legal standards (2006). Tilburg University, Center for Economic Research / Discussion Paper

(2) RePEc:dgr:kubcen:20066 Mergers and acquisitions in Europe (2006). Tilburg University, Center for Economic Research / Discussion Paper

(3) RePEc:dgr:kubtil:20063 Mergers and Acquisitions in Europe (2006). Tilburg University, Tilburg Law and Economic Center / Discussion Paper

(4) RePEc:fip:fedlwp:2006-036 The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries (2006). Federal Reserve Bank of St. Louis / Working Papers

(5) RePEc:nbr:nberwo:12626 The Performance of Reverse Leveraged Buyouts (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(6) RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330 A jump to default extended CEV model: an application of Bessel processes (2006). Finance and Stochastics

(7) RePEc:yor:yorken:06/08 The Role of Cash Holdings in Reducing Investment-Cash Flow Sensitivity: Evidence from a Financial Crisis Period in an Emerging Market (2006). Department of Economics, University of York / Discussion Papers

Recent citations received in: 2005

(1) RePEc:cfs:cfswop:wp200504 A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005). Center for Financial Studies / CFS Working Paper Series

(2) RePEc:dnb:dnbwpp:060 Bond Market and Stock Market Integration in Europe (2005). Netherlands Central Bank, Research Department / DNB Working Papers

(3) RePEc:ebg:heccah:0828 Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM (2005). Groupe HEC / Les Cahiers de Recherche

(4) RePEc:ecl:upafin:06-3 International Stock Return Comovements (2005). University of Pennsylvania, Wharton School, Weiss Center / Working Papers

(5) RePEc:kap:rqfnac:v:25:y:2005:i:3:p:293-312 Pursuing Value Through Liquidity in IPOs: Underpricing, Share Retention, Lockup, and Trading Volume Relationships (2005). Review of Quantitative Finance and Accounting

(6) RePEc:nbr:nberwo:11323 Expected Returns, Yield Spreads, and Asset Pricing Tests (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(7) RePEc:nbr:nberwo:11400 Investor Attention: Overconfidence and Category Learning (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(8) RePEc:nbr:nberwo:11903 CAPM Over the Long Run: 1926-2001 (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(9) RePEc:nbr:nberwo:11906 International Stock Return Comovements (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(10) RePEc:pen:papers:05-009 A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005). Penn Institute for Economic Research, Department of Economics, University of Pennsylvania / PIER Working Paper Archive

(11) RePEc:wpa:wuwpif:0511005 Structural versus Temporary Drivers of Country and Industry Risk (2005). EconWPA / International Finance

Recent citations received in: 2004

(1) RePEc:cdl:anderf:1252 European M&A Regulation is Protectionist (2004). Anderson Graduate School of Management, UCLA / University of California at Los Angeles, Anderson Graduate School of Management

(2) RePEc:cir:cirwor:2004s-46 Le placement privé dans les sociétés ouvertes : dimensions réglementaires, économiques et financières (2004). CIRANO / CIRANO Working Papers

(3) RePEc:nbr:nberwo:10823 Pseudo Market Timing and Predictive Regressions (2004). National Bureau of Economic Research, Inc / NBER Working Papers

(4) RePEc:nbr:nberwo:10851 The Impact of Population Aging on Financial Markets (2004). National Bureau of Economic Research, Inc / NBER Working Papers

(5) RePEc:nbr:nberwo:10998 Corporate Financing Decisions When Investors Take the Path of Least Resistance (2004). National Bureau of Economic Research, Inc / NBER Working Papers

(6) RePEc:taf:eurjfi:v:10:y:2004:i:5:p:412-436 Heterogeneity effects from market interventions (2004). European Journal of Finance

(7) RePEc:zbw:bubdp1:2161 On the decision to go public : Evidence from privately-held firms (2004). Deutsche Bundesbank, Research Centre / Discussion Paper Series 1: Economic Studies

(8) RePEc:zbw:zewdip:2183 Underdiversification in Private Companies : Required Returns and Incentive Effects (2004). ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research / ZEW Discussion Papers

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.