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Journal of Financial Markets
1998 - 2011
Edited by B. Lehmann , D. Seppi and A. Subrahmanyam
from Elsevier Series data maintained by Jeroen Loos ().
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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