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Journal of Financial Markets

1998 - 2021

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 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

Volume 55, issue C, 2021

Overselling winners and losers: How mutual fund managers' trading behavior affects asset prices Downloads
Li An and Bronson Argyle
LIBOR's poker Downloads
Jiakai Chen
Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses Downloads
Wen Chen
Stock liquidity and default risk around the world Downloads
Sivathaasan Nadarajah, Huu Nhan Duong, Searat Ali, Benjamin Liu and Allen Huang
Do speed bumps curb low-latency investment? Evidence from a laboratory market Downloads
Mariana Khapko and Marius Zoican
Bank credit tightening, debt market frictions, and corporate yield spreads Downloads
Massimo Massa and Lei Zhang
Asymmetric information in the equity market and information flow from the equity market to the CDS market Downloads
Heewoo Park, Tong Suk Kim and Yuen Jung Park

Volume 54, issue C, 2021

Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors Downloads
William J. Procasky
Speed and learning in high-frequency auctions Downloads
Marlene Haas, Mariana Khapko and Marius Zoican
Nothing but noise? Price discovery across cryptocurrency exchanges Downloads
Thomas Dimpfl and Franziska J. Peter
Local investor horizon clientele and IPO underpricing Downloads
Massimo Massa and Lei Zhang
Broker routing decisions in limit order markets Downloads
David Cimon
Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration Downloads
Donghan Kim, Hyun-Dong Kim, Denis Yongmin Joe and Ji Yeol Jimmy Oh
Noise traders incarnate: Describing a realistic noise trading process Downloads
Joel Peress and Daniel Schmidt
Information processing on equity prices and exchange rate for cross-listed stocks Downloads
Cristina Mabel Scherrer

Volume 53, issue C, 2021

The dynamics of short sales constraints and market quality: An experimental approach Downloads
Juan Cabrera and Eleni Gousgounis
Options-implied information and the momentum cycle Downloads
Ming-Yu Liu, Wen-I Chuang and Chien-Ling Lo
Deviations from time priority on the NYSE Downloads
Robert Battalio, Robert Jennings and Bill McDonald
Forecasting stock returns: A time-dependent weighted least squares approach Downloads
Yudong Wang, Xianfeng Hao and Chongfeng Wu
Predicting stock returns with implied cost of capital: A partial least squares approach Downloads
Khoa Hoang, Damien Cannavan, Ronghong Huang and Xiaowen Peng
Bidding styles of institutional investors in IPO auctions Downloads
Ufuk Güçbilmez and Tomás Ó Briain
Deleveraging commonality Downloads
Conghui Hu, Yu-Jane Liu and Ning Zhu

Volume 52, issue C, 2021

Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan Downloads
Hong-Gia Huang, Wei-Che Tsai, Pei-Shih Weng and Ming-Hung Wu
The economics of the financial market for volatility trading Downloads
Xinfeng Ruan and Jin E. Zhang
Cash conversion cycle and aggregate stock returns Downloads
Qi Lin and Xi Lin
The invisible burden Downloads
Xin Liu, Chengxi Yin and Weinan Zheng
Measurement of common risks in tails: A panel quantile regression model for financial returns Downloads
Jozef Baruník and Frantisek Cech
ETFs’ high overnight returns: The early liquidity provider gets the worm Downloads
Marie-Eve Lachance
Informed liquidity provision in a limit order market Downloads
Michael Brolley and Katya Malinova

Volume 51, issue C, 2020

Costly index investing in foreign markets Downloads
Alvaro Pedraza, Fredy Pulga and Jose Vasquez
ETF use among actively managed mutual fund portfolios Downloads
D. Eli Sherrill, Sara E. Shirley and Jeffrey R. Stark
Predicting the equity premium with the implied volatility spread Downloads
Charles Cao, Timothy Simin and Han Xiao
The choice of SEO method in Korea: Rights vs. public offers Downloads
Ju Hyun Kim and Kyojik Song
The role of an aligned investor sentiment index in predicting bond risk premia of the U.S Downloads
Oğuzhan Çepni, I. Ethem Guney, Rangan Gupta and Mark Wohar
Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns Downloads
Michael Melvin, Wenqiang Pan and Petra Wikstrom
Self-fulfilling arbitrages necessitate crash risk Downloads
Dong-Hyun Ahn, Soohun Kim and Kyoungwon Seo
Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets Downloads
Sirio Aramonte and Paweł J. Szerszeń

Volume 50, issue C, 2020

Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha Downloads
Rong Ding, Hang Zhou and Yifan Li
The yield curve and the stock market: Mind the long run Downloads
Gonçalo Faria and Fabio Verona
Insider trading ahead of cyber breach announcements Downloads
Zhaoxin Lin, Travis R.A. Sapp, Jackie Rees Ulmer and Rahul Parsa
The information content of real operating performance measures from the airline industry Downloads
Paul Borochin
The overnight return puzzle and the “T+1” trading rule in Chinese stock markets Downloads
Kenan Qiao and Lammertjan Dam
In law we trust: Lawyer CEOs and stock liquidity Downloads
Mia Hang Pham
Intraday market making with overnight inventory costs Downloads
Tobias Adrian, Agostino Capponi, Michael Fleming, Erik Vogt and Hongzhong Zhang
Page updated 2021-11-27