Vol. 65 August 2010 No. 4

Editor
CAMPBELL R. HARVEY
Duke University
Co-Editor
JOHN GRAHAM
Duke University
Associate Editors
ANAT R. ADMATI
Stanford University
YACINE A¨IT-SAHALIA
Princeton University
ANDREW ANG
Columbia University
KERRY BACK
Rice University
MALCOLM BAKER
Harvard University
NITTAI K. BERGMAN
Massachusetts Institute of Technology
HENDRIK BESSEMBINDER
University of Utah
MICHAEL W. BRANDT
Duke University
ALON BRAV
Duke University
MARKUS K. BRUNNERMEIER
Princeton University
DAVID A. CHAPMAN
Boston College
JENNIFER S. CONRAD
University of North Carolina
FRANCESCA CORNELLI
London Business School
BERNARD DUMAS
INSEAD
DAVID HIRSHLEIFER
University of California, Irvine
BURTON HOLLIFIELD
Carnegie Mellon University
HARRISON HONG
Princeton University
NARASIMHAN JEGADEESH
Emory University
STEVEN N. KAPLAN
University of Chicago
G. ANDREW KAROLYI
Cornell University
JONATHAN M. KARPOFF
University of Washington
ARVIND KRISHNAMURTHY
Northwestern University
MICHAEL LEMMON
University of Utah
FRANCIS A. LONGSTAFF
University of California, Los Angeles
ANDREW METRICK
Yale University
TOBIAS J. MOSKOWITZ
University of Chicago
DAVID K. MUSTO
University of Pennsylvania
TERRANCE ODEAN
University of California, Berkeley
CHRISTINE A. PARLOUR
University of California, Berkeley
˘L
UBO˘S P´ASTOR
University of Chicago
LASSE H. PEDERSEN
New York University
MITCHELL A. PETERSEN
Northwestern University
MANJU PURI
Duke University
RAGHURAM RAJAN
University of Chicago
MICHAEL R. ROBERTS
University of Pennsylvania
ANTOINETTE SCHOAR
Massachusetts Institute of Technology
HENRI SERVAES
London Business School
ANIL SHIVDASANI
University of North Carolina
RICHARD STANTON
University of California, Berkeley
ANNETTE VISSING-JORGENSEN
Northwestern University
ANDREW WINTON
University of Minnesota
Business Manager
DAVID H. PYLE
University of California, Berkeley
Assistant Editor
WENDY WASHBURN
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Volume 65 CONTENTS for AUGUST 2010 No. 4
ARTICLES
Presidential Address: Asset Price Dynamics with Slow-Moving Capital
DARRELL DUFFIE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1237
Disagreement and Learning: Dynamic Patterns of Trade
SNEHAL BANERJEE and ILAN KREMER. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1269
Generalized Disappointment Aversion and Asset Prices
BRYAN R. ROUTLEDGE and STANLEY E. ZIN . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1303
Information Quality and Long-Run Risk: Asset Pricing Implications
HENGJIE AI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1333
Intraday Patterns in the Cross-section of Stock Returns
STEVEN L. HESTON, ROBERT A. KORAJCZYK, and RONNIE SADKA . . . . . . . 1369
Sell-Side School Ties
LAUREN COHEN, ANDREA FRAZZINI, and CHRISTOPHER MALLOY. . . . . . . . . 1409
Predictive Regressions: A Present-Value Approach
JULES H. VAN BINSBERGEN and RALPH S. J. KOIJEN. . . . . . . . . . . . . . . . . . . . 1439
Do Limit Orders Alter Inferences about Investor Performance
and Behavior?
JUHANI T. LINNAINMAA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1473
Why Do Foreign Firms Leave U.S. Equity Markets?
CRAIG DOIDGE, G. ANDREW KAROLYI, and REN´E M. STULZ . . . . . . . . . . . . . 1507
Market Segmentation and Cross-predictability of Returns
LIOR MENZLY and OGUZHAN OZBAS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1555
Mutual Fund Incubation
RICHARD B. EVANS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1581
REPORTS OF THE AMERICAN FINANCE ASSOCIATION
Report of the Editor of The Journal of Finance for the Year 2009
CAMPBELL R. HARVEY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1613
Minutes of the Annual Membership Meeting January 4, 2010
DAVID H. PYLE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1629
Report of the Executive Secretary and Treasurer for the Year Ending
September 30, 2009
DAVID H. PYLE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1631
MISCELLANEA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1635