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Does anyone know which bibliography style meet the following formatting requirements? The followings are the format required by Journal of Financial and Quantitative Analysis, I have spend a long searching online but none seems to fit. Could someone help please?

Brown, S., and J. Warner. "Using Daily Stock Returns: The Case of Event Studies." Journal of Financial Economics, 14 (1985), 1–31.

Ross, S. A. "Return, Risk and Arbitrage." In Risk and Return in Finance, Vol. I, I. Friend and J. L. Bicksler, eds. Cambridge, MA: Ballinger (1977).

Titman, S.; K. C. Wei; and F. Xie. "Capital Investments and Stock Returns." Journal of Financial and Quantitative Analysis, 39 (2004), 677–700.

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I checked the journal's website -- it does indeed feature different punctuation before the last author of two-author works (comma) and of three-or-more-author works (semicolon). – lockstep Nov 2 '12 at 21:13

At the moment there is no predefined bibliography style for Journal of Financial and Quantitative Analysis. You have two options creating your own bibliography style:

  1. Using the tool custom-bib (makebst).

    This is the custom-bib package for generating customized BibTeX bibliography styles from a generic file by means of the docstrip program that is part of the LaTeX2e installation.

  2. Using the package biblatex and modify a predefined style on the LaTeX-level.

As often I recommend the second option because it's more flexible. (In my opinion it's easier, too)

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For JFQA you will likely have to make your own bst file, see this link:

As you will notice, when you run latex makebst you will have to answer many questions. See my choices (only those where I differ from the default) below. Feel free to add suggestions.

Before showing you my bst choices, please note that you will probably have to put this into your tex document: \usepackage[longnamesfirst]{natbib}

Here are my bst choices, from the dbj file that the process creates:

%% Driver file to produce my_jfqa.bst from merlin.mbs
%% Generated with makebst, version 4.1 (2003/09/08)
%% Produced on 2016/04/07 at 8:28
%% 
\input docstrip
\preamble
----------------------------------------
*** JFQA style ***
\endpreamble
\postamble
End of customized bst file
\endpostamble
\keepsilent
\askforoverwritefalse
\def\MBopts{\from{merlin.mbs}{%
%<<STYLE OF CITATIONS:
  ay,%: Author-year with some non-standard interface
%<<AUTHOR--YEAR SUPPORT SYSTEM (if author-year citations)
  nat,%: Natbib for use with natbib v5.3 or later
%<<AUTHOR NAMES:
  nm-rev1,%: Only first name reversed, initials (AGU style: Smith, J. F., H. K. Jones)
%<<EDITOR NAMES IN COLLECTIONS (if author names reversed)
    %: (def) Editor names NOT reversed as edited by J. J. Smith
%<<POSITION OF JUNIOR (if author names reversed)
  jnrlst,%: Junior comes last as Smith, John, Jr.
%<<JUNIOR PART IN THE CITATION (if author-year citations)
    %: (def) No `junior' part in the citations but in the ref listing
%<<PUNCTUATION BETWEEN AUTHOR NAMES:
  aunm-semi,%: Names separated by semi-colon 
%<<LABEL WHEN AUTHORS MISSING (if author-year citations)
  keyxyr,%: Year blank when KEY replaces missing author (for natbib 7.0)
%<<DATE FORMAT (if author-year citations)
  yr-par,%: Year in parentheses as (1993)
%<<TRUNCATE YEAR (if author-year citations)
  note-yr,%: Year text full as 1990--1993 or `in press'
%<<TITLE OF ARTICLE:
  tit-qq,%: Title and punctuation in double quotes (``Title,'' ..)
%<<COLLECTION/PROCEEDINGS TITLES (if quoted title)
  bt-qq,%: Quote collection and proceedings titles too
%<<CAPITALIZATION OF ARTICLE TITLE:
  atit-u,%: Title style (just as in bib entry)
%<<JOURNAL VOL AND NUMBER:
  vnum-x,%: Journal vol, without number as 34
%<<VOLUME PUNCTUATION:
  volp-com,%: Volume with comma as vol(num), ppp
%<<YEAR IN JOURNAL SPECIFICATION:
  jdt-pc,%: Year, comma, pages as 34(2), (1995), 1345--1387
%<<NUMBER AND SERIES FOR COLLECTIONS:
  num-xser,%: Allows number without series and suppresses word "number"
%<<PAGES IN BOOKS:
  bkpg-x,%: Pages in book bare as 50-55
%<<PUBLISHER ADDRESS:
    %: (def) Publisher, address as Harcourt, New York
 add-pub,%: Address: Publisher as New York: Harcourt
%<<ISBN NUMBER:
  isbn,%: Include ISBN for books, booklets, etc.
%<<ISSN NUMBER:
  issn,%: Include ISSN for periodicals
%<<EDITOR IN COLLECTIONS:
  edby,edbyy,%: In booktitle, .., editor 
%<<ABBREVIATE WORD `PAGES' (if not using external language file)
  ppx,%: `Page' omitted 
%<<ABBREVIATE WORD `EDITORS':
  ed,%: `Editor' abbreviated as ed. or eds.
%<<EDITION NUMBERS:
  xedn,%: Editions as in database saving much processing memory
%<<COMPATIBILITY WITH PLAIN TEX:
  nfss,%: Use LaTeX commands which may not work with Plain TeX
  }}
\generate{\file{my_jfqa.bst}{\MBopts}}
\endbatchfile
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