Journal of Financial Markets

1998 - 2009

Edited by B. Lehmann, D. Seppi and A. Subrahmanyam

from Elsevier
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Anonymity, liquidity and fragmentation pp. 337-367: Comerton-Forde, Carole and Kar Mei Tang
Leveraged investor disclosures and concentrations of risk pp. 368-390: K. Jeremy Ko
Option strategies: Good deals and margin calls pp. 391-417: Santa-Clara, Pedro and Alessio Saretto
Measures of implicit trading costs and buy-sell asymmetry pp. 418-437: Gang Hu
Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977) pp. 438-468: Rodney D. Boehme, Bartley R. Danielsen, Praveen Kumar and Sorin M. Sorescu
Credit ratings and the cross-section of stock returns pp. 469-499: Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
Corporate debt issues and interest rate risk management: Hedging or market timing? pp. 500-520: Antonios Antoniou, Huainan Zhao and Bilei Zhou
The other January effect: International, style, and subperiod evidence pp. 521-546: Chris Stivers, Licheng Sun and Yong Sun

Technology and liquidity provision: The blurring of traditional definitions pp. 143-172: Joel Hasbrouck and Gideon Saar
Using matched samples to test for differences in trade execution costs pp. 173-202: Ryan J. Davies and Sang Soo Kim
Intraday time and order execution quality dimensions pp. 203-228: Ryan Garvey and Fei Wu
Stock exchange merger and liquidity: The case of Euronext pp. 229-267: Ulf Nielsson
The cross-market information content of stock and bond order flow pp. 268-289: Shane Underwood
Daily short interest, idiosyncratic risk, and stock returns pp. 290-316: Andrea S. Au, John A. Doukas and Zhan Onayev
Do individual investors learn from their trading experience? pp. 317-336: Gina Nicolosi, Liang Peng and Ning Zhu

Which past returns affect trading volume? pp. 1-31: Markus Glaser and Martin Weber
Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia pp. 32-53: Sumit Agarwal, Sheri Faircloth, Chunlin Liu and S. Ghon Rhee
The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks pp. 54-86: Yan He, Hai Lin, Chunchi Wu and Uric B. Dufrene
Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions pp. 87-106: Charles Collver
Monitoring and limit order submission risks pp. 107-141: Liu, Wai-Man

Liquidity in the pricing of syndicated loans pp. 339-376: Anurag Gupta, Ajai K. Singh and Allan A. Zebedee
Market segmentation, liquidity spillover, and closed-end country fund discounts pp. 377-399: Justin S.P. Chan, Ravi Jain and Yihong Xia
Updating expectations: An analysis of post-9/11 returns pp. 400-432: Jarl Kallberg, Crocker H. Liu and Paolo Pasquariello
Probability weighting and loss aversion in futures hedging pp. 433-452: Fabio Mattos, Philip Garcia and Joost M.E. Pennings

Is the value spread a useful predictor of returns? pp. 199-227: Naiping Liu and Lu Zhang
Melting pot or salad bowl: Some evidence from U.S. investments abroad pp. 228-258: Utpal Bhattacharya and Peter Groznik
Investor and price response to patterns in earnings surprises pp. 259-283: Laura Frieder
Stock exchange competition in a simple model of capital market equilibrium pp. 284-307: Sofia B Ramos and Ernst-Ludwig von Thadden
Locked and crossed markets on NASDAQ and the NYSE pp. 308-337: Andriy V. Shkilko, Bonnie F. Van Ness and Robert A. Van Ness

Competition in the market for NASDAQ securities pp. 113-143: Michael Goldstein, Andriy V. Shkilko, Bonnie F. Van Ness and Robert A. Van Ness
Performance information dissemination in the mutual fund industry pp. 144-159: Alexei Goriaev, Theo E. Nijman and Bas J.M. Werker
Delisted firms and momentum profits pp. 160-179: Assaf Eisdorfer
Credit spread determinants: An 85 year perspective pp. 180-197: Andrew Davies

Failure to exercise call options: An anomaly and a trading game pp. 1-35: Veronika Krepely Pool, Hans R. Stoll and Robert E. Whaley
The information content of net buying pressure: Evidence from the KOSPI 200 index option market pp. 36-56: Jangkoo Kang and Park, Hyoung-Jin
On the effects of stock spam e-mails pp. 57-83: Michael Hanke and Florian Hauser
The effect of price tests on trader behavior and market quality: An analysis of Reg SHO pp. 84-111: Gordon J. Alexander and Mark A. Peterson

Pre-trade transparency and market quality pp. 319-341: Kyong Shik Eom, Jinho Ok and Park, Jong-Ho
Liquidity and firm characteristics: Evidence from mergers and acquisitions pp. 342-361: Marc L. Lipson and Sandra Mortal
Do the diversification choices of individual investors influence stock returns? pp. 362-390: Alok Kumar
The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market pp. 391-415: Kalok Chan, Albert J. Menkveld and Zhishu Yang

Ownership level, ownership concentration and liquidity pp. 219-248: Amir Rubin
Modelling the buy and sell intensity in a limit order book market pp. 249-286: Anthony David Hall and Nikolaus Hautsch
Financial market design and bounded rationality: An experiment pp. 287-317: Sebastien Pouget

Informative trading or just costly noise? An analysis of Central Bank interventions pp. 107-143: Paolo Pasquariello
Liquidity supply in electronic markets pp. 144-168: Michael Aitken, Niall Almeida, Frederick H. deB. Harris and Thomas H. McInish
The PIN anomaly around M&A announcements pp. 169-191: Nihat Aktas, Eric de Bodt, Fany Declerck and Herve Van Oppens
Commonality in the time-variation of stock-stock and stock-bond return comovements pp. 192-218: Robert A. Connolly, Chris Stivers and Licheng Sun

Measuring the resiliency of an electronic limit order book pp. 1-25: Jeremy Houston Large
Estimating the probability of informed trading--does trade misclassification matter? pp. 26-47: Ekkehart Boehmer, Joachim Grammig and Erik Theissen
Momentum, reversal, and the trading behaviors of institutions pp. 48-75: Roberto Gutierrez and Christo A. Prinsky
Noise trader risk: Evidence from the Siamese twins pp. 76-105: John T. Scruggs