Author Index
Adams, M. and D. Hillier, The eect of captive insurer formation on stock
returns: An empirical test from the UK 24 (2000) 1787
Aintablian, S. and G.S. Roberts, A note on market response to corporate loan
announcements in Canada 24 (2000) 381
Akhigbe, A. and A.D. Martin, Information-signaling and competitive eects of
foreign acquisitions in the US 24 (2000) 1307
Al-Suhaibani, M. and L. Kryzanowski, An exploratory analysis of the order
book, and order ¯ow and execution on the Saudi stock market 24 (2000) 1323 Altman, E.I. and H.J. Suggitt, Default rates in the syndicated bank loan
market: A mortality analysis 24 (2000) 229
Altunbas, Y., M.-H. Liu, P. Molyneux and R. Seth, Eciency and risk in
Japanese banking 24 (2000) 1605
Amato, A. and M. Tronzano, Fiscal policy, debt management and exchange
rate credibility: Lessons from the recent Italian experience 24 (2000) 921 Anderson, R. and S. Sundaresan, A comparative study of structural models of
corporate bond yields: an exploratory investigation 24 (2000) 255 Anderson, R.C. and D.R. Fraser, Corporate control, bank risk taking, and the
health of the banking industry 24 (2000) 1383
Aziz, A.R. and E.Z. Prisman, After-tax term structures of real interest rates:
Inferences from the UK linked and non-linked gilt markets 24 (2000) 1433 Bagella, M., L. Becchetti and A. Carpentieri, ``The ®rst shall be last''. Size and
value strategy premia at the London Stock Exchange 24 (2000) 893 Bagliano, F.C., A. Dalmazzo and G. Marini, Bank competition and ECB's
monetary policy 24 (2000) 967
Beattie, V., A. Goodacre and S. Thomson, Operating leases and the assessment
of lease±debt substitutability 24 (2000) 427
Becchetti, L.,seeBagella, M. 24 (2000) 893
Berger, A.N., S.D. Bonime, D.M. Covitz and D. Hancock, Why are bank pro®ts so persistent? The roles of product market competition,
informational opacity, and regional/macroeconomic shocks 24 (2000) 1203 Bessler, W. and T. Nohel, Asymmetric information, dividend reductions, and
contagion eects in bank stock returns 24 (2000) 1831
Billett, M.T. and D.C. Mauer, Diversi®cation and the value of internal capital
markets: The case of tracking stock 24 (2000) 1457
Boehm, T.P.,seeCyree, K.B. 24 (2000) 709
Bondarenko, O. and P. Bossaerts, Expectations and learning in Iowa 24 (2000) 1535
Bonime, S.D.,seeBerger, A.N. 24 (2000) 1203
Bossaerts, P.,seeBondarenko, O. 24 (2000) 1535
www.elsevier.com/locate/econbase
0378-4266/00/$ - see front matterÓ2000 Elsevier Science B.V. All rights reserved.
Brewer III, E., B.A. Minton and J.T. Moser, Interest-rate derivatives and bank
lending 24 (2000) 353
Brooks, C., A.D. Clare and G. Persand, A word of caution on calculating
market-based minimum capital risk requirements 24 (2000) 1557
Carey, M.,seeTreacy, W.F. 24 (2000) 167
Carpentieri, A.,seeBagella, M. 24 (2000) 893
Chang, E.C., J.W. Cheng and A. Khorana, An examination of herd behavior in
equity markets: An international perspective 24 (2000) 1651
Charemza, W.W. and E. Majerowska, Regulation of the Warsaw Stock
Exchange: The portfolio allocation problem 24 (2000) 555
Chaudhry, M.K., R. Christie-David, T.W. Koch and A.K. Reichert, The risk of
foreign currency contingent claims at US commercial banks 24 (2000) 1399 Chen, S.-S., K.W. Ho, C.-f. Lee and G.H.H. Yeo, Investment opportunities,
free cash ¯ow and market reaction to international joint ventures 24 (2000) 1747
Cheng, J.W.,seeChang, E.C. 24 (2000) 1651
Chow, Y.-F., C. Huang and M. Liu, Valuation of adjustable rate mortgages
with automatic stretching maturity 24 (2000) 1809
Christie-David, R.,seeChaudhry, M.K. 24 (2000) 1399
Chun, R.M., Compensation vouchers and equity markets: Evidence from
Hungary 24 (2000) 1155
Clare, A.D.,seeBrooks, C. 24 (2000) 1557
Covitz, D.M.,seeBerger, A.N. 24 (2000) 1203
Crouhy, M., D. Galai and R. Mark, A comparative analysis of current credit
risk models 24 (2000) 59
Cybo-Ottone, A. and M. Murgia, Mergers and shareholder wealth in European
banking 24 (2000) 831
Cyree, K.B., J.W. Wansley and T.P. Boehm, Determinants of bank growth
choice 24 (2000) 709
Dalmazzo, A.,seeBagliano, F.C. 24 (2000) 967
Davis, E.P.,seeDe Bandt, O. 24 (2000) 1045
De Bandt, O. and E.P. Davis, Competition, contestability and market structure
in European banking sectors on the eve of EMU 24 (2000) 1045
de Haan, J. and W.J. Kooi, Does central bank independence really matter? New
evidence for developing countries using a new indicator 24 (2000) 643 Dietsch, M. and A. Lozano-Vivas, How the environment determines banking
eciency: A comparison between French and Spanish industries 24 (2000) 995 Doukas, J. and L.N. Switzer, Common stock returns and international listing
announcements: Conditional tests of the mild segmentation hypothesis 24 (2000) 471 Drudi, F. and R. Giordano, Default risk and optimal debt management 24 (2000) 861 Drudi, F. and R. Giordano, Erratum to ``Default risk and optimal debt
management'' [Journal of Banking and Finance 24 (6) 861±891] 24 (2000) 1849 Ferri, G. and M. Messori, Bank±®rm relationships and allocative eciency in
Northeastern and Central Italy and in the South 24 (2000) 1067
Flavell, R.B.,seeNikeer, C.I. 24 (2000) 1903
Franses, P.H.,seeTaylor, N. 24 (2000) 1289
Fraser, D.R.,seeAnderson, R.C. 24 (2000) 1383
Fung, A.K.-W., D.M.Y. Mok and K. Lam, Intraday price reversals for index
futures in the US and Hong Kong 24 (2000) 1179
Galai, D.,seeCrouhy, M. 24 (2000) 59
Gangopadhyay, S. and G. Singh, Avoiding bank runs in transition economies:
Giordano, R.,seeDrudi, F. 24 (2000) 861
Giordano, R.,seeDrudi, F. 24 (2000) 1849
Gleason, K.C.,seeLee, C.I. 24 (2000) 787
Goodacre, A.,seeBeattie, V. 24 (2000) 427
Gordy, M.B., A comparative anatomy of credit risk models 24 (2000) 119 Grauer, R.R. and F.C. Shen, Do constraints improve portfolio performance? 24 (2000) 1253 Green, C.J., P. Maggioni and V. Murinde, Regulatory lessons for emerging
stock markets from a century of evidence on transactions costs and share
price volatility in the London Stock Exchange 24 (2000) 577
Hancock, D.,seeBerger, A.N. 24 (2000) 1203
Harper, J.T. and J.R. Wingender, An empirical test of agency cost reduction
using interest rate swaps 24 (2000) 1419
Hermes, N. and R. Lensink, Financial system development in transition
economies 24 (2000) 507
Hewins, R.D.,seeNikeer, C.I. 24 (2000) 1903
Hillier, D.,seeAdams, M. 24 (2000) 1787
Ho, K.W.,seeChen, S.-S. 24 (2000) 1747
Huang, C.,seeChow, Y.-F. 24 (2000) 1809
Hwang, S. and S.E. Satchell, Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and
testing for the impact of derivatives markets on ®nancial markets 24 (2000) 759 Jackson, P. and W. Perraudin, Regulatory implications of credit risk modelling 24 (2000) 1 Jarrow, R.A. and S.M. Turnbull, The intersection of market and credit risk 24 (2000) 271 Jones, D., Emerging problems with the Basel Capital Accord: Regulatory
capital arbitrage and related issues 24 (2000) 35
Kairys Jr. J.P, J.P. Kairys Jr., R. Kruza and R. Kumpins, Winners and losers from the introduction of continuous variable price trading: Evidence from
the Riga Stock Exchange 24 (2000) 603
Khorana, A.,seeChang, E.C. 24 (2000) 1651
Kim, M., A.C. Szakmary and I. Mathur, Price transmission dynamics between
ADRs and their underlying foreign securities 24 (2000) 1359
Kleimeier, S. and H. Sander, Regionalisation versus globalisation in European
®nancial market integration: Evidence from co-integration analyses 24 (2000) 1005 Klumpes, P.J.M. and M.B. Shackleton, Valuing the strategic option to sell life
insurance business: Theory and evidence 24 (2000) 1681
Koch, T.W.,seeChaudhry, M.K. 24 (2000) 1399
Kooi, W.J.,seede Haan, J. 24 (2000) 643
Koskela, E. and R. Stenbacka, Is there a tradeo between bank competition
and ®nancial fragility? 24 (2000) 1853
Kruza, R.,seeKairys Jr., J.P. 24 (2000) 603
Kryzanowski, L.,seeAl-Suhaibani, M. 24 (2000) 1323
Kumpins, R.,seeKairys Jr., J.P. 24 (2000) 603
Lam, K.,seeFung, A.K.-W. 24 (2000) 1179
Lee, C.-f.,seeChen, S.-S. 24 (2000) 1747
Lee, C.I., K.C. Gleason and I. Mathur, Eciency tests in the French derivatives
market 24 (2000) 787
Lensink, R.,seeHermes, N. 24 (2000) 507
Liu, M.,seeChow, Y.-F. 24 (2000) 1809
Liu, M.-H.,seeAltunbas, Y. 24 (2000) 1605
Lotz, C. and L. SchloÈgl, Default risk in a market model 24 (2000) 301
Lozano-Vivas, A.,seeDietsch, M. 24 (2000) 995
Lucas, A.,seeTaylor, N. 24 (2000) 1289
Maggioni, P.,seeGreen, C.J. 24 (2000) 577
Majerowska, E.,seeCharemza, W.W. 24 (2000) 555
Malliaropulos, D., A note on nonstationarity, structural breaks, and the Fisher
eect 24 (2000) 695
Marini, G.,seeBagliano, F.C. 24 (2000) 967
Mark, R.,seeCrouhy, M. 24 (2000) 59
Martin, A.D.,seeAkhigbe, A. 24 (2000) 1307
Mathur, I.,seeKim, M. 24 (2000) 1359
Mathur, I.,seeLee, C.I. 24 (2000) 787
Mauer, D.C.,seeBillett, M.T. 24 (2000) 1457
Menyah, K. and K. Paudyal, The components of bid±ask spreads on the
London Stock Exchange 24 (2000) 1767
Messori, M.,seeFerri, G. 24 (2000) 1067
Mingo, J.J., Policy implications of the Federal Reserve study of credit risk
models at major US banking institutions 24 (2000) 15
Minton, B.A.,seeBrewer III, E. 24 (2000) 353
Mok, D.M.Y.,seeFung, A.K.-W. 24 (2000) 1179
Molyneux, P.,seeAltunbas, Y. 24 (2000) 1605
Moser, J.T.,seeBrewer III, E. 24 (2000) 353
Murgia, M.,seeCybo-Ottone, A. 24 (2000) 831
Murinde, V.,seeGreen, C.J. 24 (2000) 577
Nakazato, D., Determination of the adequate capital for default protection
under the one-factor Gaussian term structure model 24 (2000) 329 Narayanan, R., Insider trading and the voluntary disclosure of information by
®rms 24 (2000) 395
Nickell, P., W. Perraudin and S. Varotto, Stability of rating transitions 24 (2000) 203 Nikeer, C.I., R.D. Hewins and R.B. Flavell, A synthetic factor approach to
the estimation of value-at-risk of a portfolio of interest rate swaps 24 (2000) 1903
Nohel, T.,seeBessler, W. 24 (2000) 1831
Pantzalis, C., D.A. Stangeland and H.J. Turtle, Political elections and the
resolution of uncertainty: The international evidence 24 (2000) 1575 Park, S., Eects of the aliation of banking and commerce on the ®rmÕs
investment and the bankÕs risk 24 (2000) 1629
Paudyal, K.,seeMenyah, K. 24 (2000) 1767
Perraudin, W.,seeJackson, P. 24 (2000) 1
Perraudin, W.,seeNickell, P. 24 (2000) 203
Persand, G.,seeBrooks, C. 24 (2000) 1557
Prisman, E.Z.,seeAziz, A.R. 24 (2000) 1433
Purroy, P. and V. Salas, Strategic competition in retail banking under expense
preference behavior 24 (2000) 809
Ramchand, L. and P. Sethapakdi, Changes in systematic risk following global
equity issuance 24 (2000) 1491
Reichert, A.K.,seeChaudhry, M.K. 24 (2000) 1399
Renneboog, L., Ownership, managerial control and the governance of
companies listed on the Brussels stock exchange 24 (2000) 1959
Roberts, G.S.,seeAintablian, S. 24 (2000) 381
Rousseau, P.L. and P. Wachtel, Equity markets and growth: Cross-country
SaÈfvenblad, P., Trading volume and autocorrelation: Empirical evidence from
the Stockholm Stock Exchange 24 (2000) 1275
Saidenberg, M.R.,seeLopez, J.A. 24 (2000) 151
Salas, V.,seePurroy, P. 24 (2000) 809
Sander, H.,seeKleimeier, S. 24 (2000) 1005
Santomero, A.M. and J.J. Seater, Is there an optimal size for the ®nancial
sector? 24 (2000) 945
Satchell, S.E.,seeHwang, S. 24 (2000) 759
SchloÈgl, L.,seeLotz, C. 24 (2000) 301
Scholtens, B., Financial regulation and ®nancial system architecture in Central
Europe 24 (2000) 525
Scholtens, B. and D. van Wensveen, A critique on the theory of ®nancial
intermediation 24 (2000) 1243
Seater, J.J.,seeSantomero, A.M. 24 (2000) 945
Sercu, P. and X. Wu, Cross- and delta-hedges: Regression- versus price-based
hedge ratios 24 (2000) 735
Seth, R.,seeAltunbas, Y. 24 (2000) 1605
Sethapakdi, P.,seeRamchand, L. 24 (2000) 1491
Shackleton, M.B.,seeKlumpes, P.J.M. 24 (2000) 1681
Shen, F.C.,seeGrauer, R.R. 24 (2000) 1253
Singh, G.,seeGangopadhyay, S. 24 (2000) 625
Soares de Pinho, P., The impact of deregulation on price and non-price
competition in the Portuguese deposits market 24 (2000) 1515
Stangeland, D.A.,seePantzalis, C. 24 (2000) 1575
Stenbacka, R.,seeKoskela, E. 24 (2000) 1853
Stiroh, K.J., How did bank holding companies prosper in the 1990s? 24 (2000) 1703
Suggitt, H.J.,seeAltman, E.I. 24 (2000) 229
Sun, Q. and W.H.S. Tong, The eect of market segmentation on stock prices:
The China syndrome 24 (2000) 1875
Sundaresan, S.,seeAnderson, R. 24 (2000) 255
Sweeney, R.J., Does the Fed beat the foreign-exchange market? 24 (2000) 665
Switzer, L.N.,seeDoukas, J. 24 (2000) 471
Szakmary, A.C.,seeKim, M. 24 (2000) 1359
Taylor, N., D. van Dijk, P.H. Franses and A. Lucas, SETS, arbitrage activity,
and stock price dynamics 24 (2000) 1289
Thomson, S.,seeBeattie, V. 24 (2000) 427
Tong, W.H.S.,seeSun, Q. 24 (2000) 1875
Treacy, W.F. and M. Carey, Credit risk rating systems at large US banks 24 (2000) 167
Tronzano, M.,seeAmato, A. 24 (2000) 921
Turnbull, S.M.,seeJarrow, R.A. 24 (2000) 271
Turtle, H.J.,seePantzalis, C. 24 (2000) 1575
van Dijk, D.,seeTaylor, N. 24 (2000) 1289
van Wensveen, D.,seeScholtens, B. 24 (2000) 1243
Varotto, S.,seeNickell, P. 24 (2000) 203
Vlaar, P.J.G., Value at risk models for Dutch bond portfolios 24 (2000) 1131
Wachtel, P.,seeRousseau, P.L. 24 (2000) 1933
Wansley, J.W.,seeCyree, K.B. 24 (2000) 709
Wingender, J.R.,seeHarper, J.T. 24 (2000) 1419
Wu, X.,seeSercu, P. 24 (2000) 735
