Journal of Financial Markets

1998 - 2025

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

From Elsevier
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Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets pp. 333-363: Erik Theissen
Investor risk evaluation in the determination of management incentives in the mutual fund industry pp. 365-387: Michael Berkowitz and Yehuda Kotowitz
Market liquidity and depth on two different electronic trading systems: A comparison of Bund futures trading on the APT and DTB pp. 389-402: Jari Kappi and Risto Siivonen

Market microstructure: A survey pp. 205-258: Ananth Madhavan
On the occurrence and consequences of inaccurate trade classification pp. 259-286: Elizabeth R. Odders-White
On the endogeneity of trading arrangements pp. 287-314: Andrei Kirilenko
Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand pp. 315-332: Kenneth Kim and Piman Limpaphayom

Inferring investor behavior: Evidence from TORQ data pp. 83-111: Charles Lee and Balkrishna Radhakrishna
Underreactions, overreactions and moderated confidence pp. 113-137: Robert Bloomfield, Robert Libby and Mark W. Nelson
The trades of NYSE floor brokers pp. 139-176: George Sofianos and Ingrid M. Werner
The determinants of trading volume of high-yield corporate bonds pp. 177-204: Gordon Alexander, Amy Edwards and Michael G. Ferri

The price impact of trading on the stock exchange of Hong Kong pp. 1-16: Yue-Cheong Chan
Asset market equilibrium with general tastes, returns, and informational asymmetries pp. 17-43: Antonio E. Bernardo and Kenneth Judd
Stock returns and trading at the close pp. 45-67: David Cushing and Ananth Madhavan
The capital asset pricing model and the liquidity effect: A theoretical approach pp. 69-81: Gady Jacoby, David J. Fowler and Aron A. Gottesman

The organization of financial exchange markets: Theory and evidence pp. 329-357: Craig Pirrong
Stock market dynamics with rational liquidity traders pp. 359-389: Nadia Massoud and Dan Bernhardt
Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows pp. 391-402: L. Franklin Fant
Security factors as linear combinations of economic variables pp. 403-432: Guofu Zhou

Intra-day market activity pp. 193-226: Christian Gourieroux, Joann Jasiak and Gaelle Le Fol
Reputation and performance fee effects on portfolio choice by investment advisers1 pp. 227-271: Steven Huddart
Endogenous informed trading in the presence of trading costs: Theory and evidence pp. 273-305: Jin-Wan Cho, Jhinyoung Shin and Rajdeep Singh
The risk level discriminatory power of mutual fund investment objectives: Additional evidence pp. 307-328: Mohammad Najand and Larry J. Prather

Order flow composition and trading costs in a dynamic limit order market1 pp. 99-134: Thierry Foucault
A new measure of the direction and timing of information flow between markets1 pp. 135-151: Thomas J. Finucane
Learning from others, reacting, and market quality1 pp. 153-178: Rajesh Chakrabarti and Richard Roll
Explaining the intra-day variation in the bid-ask spread in competitive dealership markets - A research note 1 pp. 179-191: Eric J. Levin and Robert Wright

Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1 pp. 1-28: Joel Hasbrouck
Market depth and order size1 pp. 29-48: Alexander Kempf and Olaf Korn
The alpha factor asset pricing model: A parable pp. 49-68: Wayne E. Ferson, Sergei Sarkissian and Timothy Simin
To believe or not to believe1 pp. 69-98: Utpal Bhattacharya and Murugappa Krishnan

Floors, dealer markets and limit order markets pp. 253-284: Bruno Biais, Thierry Foucault and François Salanié
Endogenous market statistics and security pricing:: An empirical investigation pp. 285-319: Thomas J. George and Chuan-Yang Hwang
Strategic trading, asymmetric information and heterogeneous prior beliefs pp. 321-352: F. Albert Wang
Aggressiveness and survival of overconfident traders pp. 353-383: Alexandros V. Benos
Long-lived information and intraday patterns pp. 385-402: Kerry Back and Hal Pedersen

Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs pp. 151-174: Alan Kraus and Maxwell Smith
Financial analysts and information-based trade pp. 175-201: David Easley, Maureen O'Hara and Joseph Paperman
Liquidity and stock returns: An alternative test pp. 203-219: Vinay T. Datar, Narayan Y. Naik and Robert Radcliffe
Information acquisition, information release and trading dynamics pp. 221-252: Mark Bagnoli and Susan G. Watts

Optimal control of execution costs pp. 1-50: Dimitris Bertsimas and Andrew Lo
Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities pp. 51-87: Hee-Joon Ahn, Charles Cao and Hyuk Choe
Bid-ask spreads with indirect competition among specialists pp. 89-119: Thomas Gehrig and Matthew Jackson
Adverse selection and bid-ask spreads: Evidence from closed-end funds pp. 121-149: Robert Neal and Simon M. Wheatley