Journal of Financial Markets

1998 - 2011

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

from Elsevier
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Volume 14, issue 4, 2011

Information misweighting and the cross-section of stock recommendations pp. 515-539

Jose Vicente Martinez

Local market makers, liquidity and market quality pp. 540-567

Simi Kedia and Xing Zhou

Automation, speed, and stock market quality: The NYSE's Hybrid pp. 568-604

Terrence Hendershott and Pamela C. Moulton

Strategic trading by index funds and liquidity provision around S&P 500 index additions pp. 605-624

T. Clifton Green and Russell Jame

A computing bias in estimating the probability of informed trading pp. 625-640

Hsiou-Wei William Lin and Wen-Chyan Ke

Volume 14, issue 3, 2011

Carry trades, momentum trading and the forward premium anomaly pp. 441-464

Richard T. Baillie and Sanders S. Chang

The informational role of institutional investors and financial analysts in the market pp. 465-493

Wen- Chuang and Bong-Soo Lee

Are momentum profits driven by the cross-sectional dispersion in expected stock returns? pp. 494-513

Ajay Bhootra

Volume 14, issue 2, 2011

Geographic proximity and price discovery: Evidence from NASDAQ pp. 193-226

Amber Anand, Vladimir A. Gatchev, Leonardo Madureira, Christo A. Pirinsky and Shane Underwood

Transparency matters: Price formation in the presence of order preferencing pp. 227-258

Laurence Lescourret and Christian Y. Robert

Stock price synchronicity and public firm-specificinformation pp. 259-276

Xuejing Xing and Randy Anderson

Capacity and factor timing effects in active portfoliomanagement pp. 277-300

Conrad Ciccotello, Jason Greene, Leng Ling and David Alexander Rakowski

Hedge fund return sensitivity to global liquidity pp. 301-322

Stephan Kessler and Bernd Scherer

Conventional mutual index funds versus exchange-traded funds pp. 323-343

Anna Agapova

Effects of foreign ownership on payout policy: Evidence from the Korean market pp. 344-375

Jin Q. Jeon, Cheolwoo Lee and Clay M. Moffett

Product market power and stock market liquidity pp. 376-410

Jayant R. Kale and Yee Cheng Loon

Patriotism in your portfolio pp. 411-440

Adair Morse and Sophie Shive

Volume 14, issue 1, 2011

What happened to the quants in August 2007? Evidence from factors and transactions data pp. 1-46

Amir E. Khandani and Andrew W. Lo

Order characteristics and the sources of commonality in prices and liquidity pp. 47-81

Shane A. Corwin and Marc L. Lipson

Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets pp. 82-108

Jianxin Wang and Minxian Yang

Why do only some Nasdaq firms switch to the NYSE? Evidence from corporate transactions pp. 109-126

Simi Kedia and Venkatesh Panchapagesan

Liquidity effect in OTC options markets: Premium or discount? pp. 127-160

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Relative valuation and analyst target price forecasts pp. 161-192

Zhi Da and Ernst Schaumburg

Volume 13, issue 4, 2010

Speed, distance, and electronic trading: New evidence on why location matters pp. 367-396

Ryan Garvey and Fei Wu

The skinny on the 2008 naked short-sale restrictions pp. 397-421

Thomas J. Boulton and Marcus V. Braga-Alves

International asset allocation for incompletely-informed investors pp. 422-447

Yin-Feng Gau, Mingshu Hua and Wen-Lin Wu

Daily institutional trades and stock price volatility in a retail investor dominated emerging market pp. 448-474

Wei Li and Steven Shuye Wang

Institutional ownership stability and the cost of debt pp. 475-500

Elyas Elyasiani, Jia, Jingyi (Jane) and Connie X. Mao

Volume 13, issue 3, 2010

The information content of option-implied volatility for credit default swap valuation pp. 321-343

Charles Cao, Fan Yu and Zhaodong Zhong

Surprising information, the MDH, and the relationship between volatility and trading volume pp. 344-366

Beum Jo Park

Volume 13, issue 2, 2010

How asymmetric is U.S. stock market volatility? pp. 225-248

Louis H. Ederington and Wei Guan

Financial distress and idiosyncratic volatility: An empirical investigation pp. 249-267

Jing Chen, Lorán Chollete and Rina Ray

Asset allocation and portfolio performance: Evidence from university endowment funds pp. 268-294

Keith C. Brown, Lorenzo Garlappi and Cristian Tiu

How and when is dual trading irrelevant? pp. 295-320

Dan Bernhardt and Bart Taub

Volume 13, issue 1, 2010

A structural analysis of price discovery measures pp. 1-19

Bingcheng Yan and Eric Zivot

Option market liquidity: Commonality and other characteristics pp. 20-48

Melanie Cao and Jason Wei

Price, trade size, and information revelation in multi-period securities markets pp. 49-76

Han Nazmi Ozsoylev and Shino Takayama

Do relative leverage and relative distress really explain size and book-to-market anomalies? pp. 77-100

Pin-Huang Chou, Kuan-Cheng Ko and Shinn-Juh Lin

Whose trades convey information? Evidence from a cross-section of traders pp. 101-128

Lukas Menkhoff and Maik Schmeling

Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration pp. 129-156

Ronald J. Balvers and Yangru Wu

Short sales and trade classification algorithms pp. 157-173

Paul Asquith, Rebecca Oman and Christopher Safaya

Confidence, opinions of market efficiency, and investment behavior of finance professors pp. 174-195

James S. Doran, David R. Peterson and Colby Wright

Group affiliation and the performance of IPOs in the Indian stock market pp. 196-223

Vijaya B. Marisetty and Marti G. Subrahmanyam

Volume 12, issue 4, 2009

Systematic noise pp. 547-569

Brad M. Barber, Terrance Odean and Ning Zhu

A tale of two time zones: The impact of substitutes on cross-listed stock liquidity pp. 570-591

Pamela C. Moulton and Li Wei

Spread behavior around board meetings for firms with concentrated insider ownership pp. 592-610

Suchi Mishra, Wei Rowe, Arun J. Prakash and Dilip K. Ghosh

Liquidity and capital structure pp. 611-644

Marc L. Lipson and Sandra Mortal

Locating decision rights: Evidence from the mutual fund industry pp. 645-671

George D. Cashman and Daniel N. Deli

Gone fishin': Seasonality in trading activity and asset prices pp. 672-702

Harrison Hong and Jialin Yu

The information content of trading halts pp. 703-726

Christine Jiang, Thomas H. McInish and James Upson

Cleaning house: Stock reassignments on the NYSE pp. 727-753

Amber Anand, Sugato Chakravarty and Chairat Chuwonganant

The value of combining the information content of analyst recommendations and target prices pp. 754-777

Joshua Huang, G. Mujtaba Mian and Srinivasan Sankaraguruswamy

New low-frequency spread measures pp. 778-813

Craig W. Holden

Daily income target effects: Evidence from a large sample of professional commodities traders pp. 814-831

Peter R. Locke and Steven C. Mann

Optimal execution of open-market stock repurchase programs pp. 832-869

Jacob Oded

Volume 12, issue 3, 2009

Anonymity, liquidity and fragmentation pp. 337-367

Carole Comerton-Forde 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

Pedro Santa-Clara 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

Volume 12, issue 2, 2009

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

Volume 12, issue 1, 2009

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

Wai-Man Liu