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Journal of Financial Markets

1998 - 2022

Current editor(s): B. Lehmann, D. Seppi and A. Subrahmanyam

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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Volume 60, issue C, 2022

Financial leverage and stock return comovement Downloads
Hung X. Do, Nhut H. Nguyen and Quan M.P. Nguyen
Bond risk’s role in the equity risk-return tradeoff Downloads
Naresh Bansal and Chris Stivers
Who should buy stocks when volatility spikes? Downloads
Andrés Schneider
Legal risk and information spillover through private lender reports Downloads
Abe de Jong, Tim Kooijmans and Chris Veld
Jumps in stock prices: New insights from old data Downloads
James A. Johnson, Marcelo C. Medeiros and Bradley S. Paye
Transaction fees: Impact on institutional order types, commissions, and execution quality Downloads
O’Donoghue, Shawn M.
Liquidity components: Commonality in liquidity, underreaction, and equity returns Downloads
Baris Ince
Jump and volatility risk in the cross-section of corporate bond returns Downloads
Xi Chen, Junbo Wang and Chunchi Wu
Investor attention and municipal bond returns Downloads
Kimberly Cornaggia, John Hund and Giang Nguyen

Volume 59, issue PB, 2022

Asset pricing with data revisions Downloads
Daniel Borup and Erik Christian Montes Schütte
Trading costs of private debt Downloads
Andreas Keßler and Thomas Mählmann
Investor short-termism and real investment Downloads
Dominik M. Rösch, Avanidhar Subrahmanyam and Mathijs A. van Dijk
Recovery from fast crashes: Role of mutual funds Downloads
Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova
Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds Downloads
Song Han, Alan Guoming Huang, Madhu Kalimipalli and Ke Wang
Ease-of-processing heuristics and asset prices: Evidence from the exchange-traded repo market in China Downloads
Xuyun Fang, Zhiqian Jiang, Baixiao Liu, John J. McConnell and Mingshan Zhou
Does air pollution affect seasoned equity offering pricing? Evidence from investor bids Downloads
Lin Han, Xiaoke Cheng, Kam C. Chan and Shenghao Gao
Tick Size Pilot Program and price discovery in U.S. stock markets Downloads
Bidisha Chakrabarty, Justin Cox and James E. Upson
Is the index efficient? A worldwide tour with stochastic dominance Downloads
Olga Kolokolova, Olivier Le Courtois and Xia Xu
Betting against analyst target price Downloads
Chulwoo Han, Jangkoo Kang and Sun Yung Kim
Predictive information in corporate bond yields Downloads
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou

Volume 59, issue PA, 2022

Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks Downloads
Matthew Greenwood-Nimmo and Artur Tarassow
Central clearing and loss allocation rules Downloads
Dominic Cucic
Sidedness in the interbank market Downloads
Celso Brunetti, Jeffrey Harris and Shawn Mankad
Price impact versus bid–ask spreads in the index option market Downloads
Andreas Kaeck, Vincent van Kervel and Norman J. Seeger
The repo channel of cross-border lending in the European sovereign debt crisis Downloads
Jaime Luque
Spread position as a leading economic indicator Downloads
Yang-Ho Park
Are retail investors less aggressive on small price stocks? Downloads
Carole Métais and Tristan Roger
Contagious margin calls: How COVID-19 threatened global stock market liquidity Downloads
Sean Foley, Amy Kwan, Richard Philip and Bernt Ødegaard
Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation Downloads
Shmuel Hauser, Haim Kedar-Levy and Orit Milo
Standardization, transparency initiatives, and liquidity in the CDS market Downloads
Laurence Daures-Lescourret and Andras Fulop
Realizing correlations across asset classes Downloads
Niels S. Grønborg, Asger Lunde, Kasper V. Olesen and Harry Vander Elst
Transparency in fragmented markets: Experimental evidence Downloads
Terrence Hendershott, Marvin Wee and Yuanji Wen

Volume 58, issue C, 2022

Fast traders make a quick buck: The role of speed in liquidity provision Downloads
Markus Baldauf and Joshua Mollner
Speed segmentation on exchanges: Competition for slow flow Downloads
Lisa Anderson, Emad Andrews, Baiju Devani, Michael Mueller and Adrian Walton
Inferring trade directions in fast markets Downloads
Simon Jurkatis
Options listings and loan contract terms: Information versus risk-shifting Downloads
Viet Do, Cameron Truong and Tram Vu
Option trading volume by moneyness, firm fundamentals, and expected stock returns Downloads
Yi Zhou
The shrinking stock market Downloads
Michael B. McDonald
Friend or foe: On a common shareholder relationship between mutual funds and public companies Downloads
Shu Lin, Shu Tian and Lu Zheng
Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange Downloads
Seongkyu (Gilbert) Park, Wing Suen and Kam-Ming Wan

Volume 57, issue C, 2022

R&D information quality and stock returns Downloads
Tao Huang, Junye Li, Fei Wu and Ning Zhu
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps? Downloads
Ging-Ginq Pan, Yung-Ming Shiu and Tu-Cheng Wu
Who is buying and (not) lending when shorts are selling? Downloads
Jesse Blocher and Chi Zhang
Hedge fund hold ’em Downloads
Yan Lu, Sandra Mortal and Sugata Ray
Dealer inventory, pricing, and liquidity in the OTC derivatives markets: Evidence from index CDSs Downloads
Xinjie Wang and Zhong, Zhaodong (Ken)
Intraday time series momentum: Global evidence and links to market characteristics Downloads
Zeming Li, Athanasios Sakkas and Andrew Urquhart
The equilibrium prices of auction IPO securities: Empirical evidence Downloads
Alex Petkevich and Taufique Samdani
Financial integration in the EU28 equity markets: Measures and drivers Downloads
M. Nardo, Elisa Ossola and E. Papanagiotou
Attention: How high-frequency trading improves price efficiency following earnings announcements Downloads
Bidisha Chakrabarty, Pamela C. Moulton and Wang, Xu (Frank)

Volume 56, issue C, 2021

Does the Nationally Recognized Statistical Rating Organization certification matter for Japanese credit rating agencies? Downloads
Soku Byoun, Seung Hun Han and Yoon S. Shin
Does it pay to follow anomalies research? Machine learning approach with international evidence Downloads
Ondrej Tobek and Martin Hronec
Optimal contract for asset trades: Collateralizing or selling? Downloads
Kee-Youn Kang
Investment styles and the multiple testing of cross-sectional stock return predictability Downloads
Kendro Vincent, Yu-Chin Hsu and Hsiou-Wei Lin
Does shareholder litigation affect the corporate information environment? Downloads
Nhan Le, Duc Duy Nguyen and Vathunyoo Sila
The pricing of the illiquidity factor’s conditional risk with time-varying premium Downloads
Yakov Amihud and Joonki Noh
Financial oligopolies and parallel exclusion in the credit default swap markets Downloads
Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong
Page updated 2022-12-04