Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 40, issue C, 2018

The microstructure of a U.S. Treasury ECN: The BrokerTec platform pp. 2-22

Michael Fleming, Bruce Mizrach and Giang Nguyen

A natural experiment for efficient markets: Information quality and influential agents pp. 23-39

Brian Mills and Steven Salaga

Market frictions, investor sophistication, and persistence in mutual fund performance pp. 40-59

Ariadna Dumitrescu and Javier Gil-Bazo

Proximity and litigation: Evidence from the geographic location of institutional investors pp. 60-74

Mieszko Mazur, Galla Salganik-Shoshan, Thomas Walker and Jun Wang

The effects of conference call tones on market perceptions of value uncertainty pp. 75-91

Paul A. Borochin, James E. Cicon, Jared DeLisle and S. McKay Price

The curious case of negative volatility pp. 92-108

Christoph Merkle

Volume 39, issue C, 2018

Liquidity might come at cost: The role of heterogeneous preferences pp. 1-23

Shmuel Hauser and Haim Kedar-Levy

Funding constraints and liquidity in two-tiered OTC markets pp. 24-43

Evangelos Benos and Filip Žikeš

Does exposure to foreign competition affect stock liquidity? Evidence from industry-level import data pp. 44-67

Nader Atawnah, Balasingham Balachandran, Huu Nhan Duong and Edward J. Podolski

Corporate investment, short-term return reversal, and stock liquidity pp. 68-83

Moonsoo Kang, S. Khaksari and Kiseok Nam

Uncovering the impact of regulatory uncertainty on credit spreads: A study of the U.S. covered bond experience pp. 84-110

Karan Bhanot and Carl F. Larsson

Policy uncertainty and bank bailouts pp. 111-125

Frank Caliendo, Nick Guo and Jason M. Smith

Volume 38, issue C, 2018

Politics and liquidity pp. 1-13

Ben Marshall, Hung T. Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti

Bid- and ask-side liquidity in the NYSE limit order book pp. 14-38

Tolga Cenesizoglu and Gunnar Grass

Higher-moment liquidity risks and the cross-section of stock returns pp. 39-59

Soonho Kim and Haejung Na

Momentum lost and found in corporate bond returns pp. 60-82

Hwai-Chung Ho and Hsiao-Chuan Wang

Forecasting the equity risk premium: The importance of regime-dependent evaluation pp. 83-102

Nick Baltas and Dimitrios Karyampas

Technical analysis and stock return predictability: An aligned approach pp. 103-123

Qi Lin

Cognitive reference points, institutional investors' bid prices, and IPO pricing: Evidence from IPO auctions in China pp. 124-140

Shenghao Gao, Qingbin Meng, Jesse Y. Chan and Kam C. Chan

Volume 37, issue C, 2018

Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange pp. 1-16

Kjell Jørgensen, Johannes Skjeltorp and Bernt Ødegaard

Market volatility and stock returns: The role of liquidity providers pp. 17-34

Kee H. Chung and Chairat Chuwonganant

Intraday momentum in FX markets: Disentangling informed trading from liquidity provision pp. 35-51

Gert Elaut, Michael Frömmel and Kevin Lampaert

Inflation and equity mutual fund flows pp. 52-69

Srinivasan Krishnamurthy, Denis Pelletier and Richard S. Warr

What options to trade and when: Evidence from seasoned equity offerings pp. 70-96

Donghan Kim, Jun Sik Kim and Sung Won Seo

Do co-jumps impact correlations in currency markets? pp. 97-119

Jozef Baruník and Lukas Vacha

Evolution of historical prices in momentum investing pp. 120-135

Li-Wen Chen, Hsin-Yi Yu and Wen-Kai Wang

Volume 36, issue C, 2017

Permanent price impact asymmetry of trades with institutional constraints pp. 1-16

Chiraphol Chiyachantana, Pankaj K. Jain, Christine Jiang and Vivek Sharma

The market for lemmings: The herding behavior of pension funds pp. 17-39

David Blake, Lucio Sarno and Gabriele Zinna

Institutional trading before dividend reduction announcements pp. 40-55

Darren Henry, Lily Nguyen and Viet Hung Pham

Equity premium prediction: The role of economic and statistical constraints pp. 56-75

Jiahan Li and Ilias Tsiakas

Macroeconomic risk and seasonality in momentum profits pp. 76-90

Xiuqing Ji, J. Spencer Martin and Yaqiong Yao

The impact of central clearing on banks’ lending discipline pp. 91-114

Maik Arnold

On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment pp. 115-131

Jianlei Han and Zheyao Pan

Volume 35, issue C, 2017

Effects of lit and dark market fragmentation on liquidity pp. 1-20

Carole Gresse

Price discovery in equity and CDS markets pp. 21-46

Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong

The relationship between equity and bond returns: An empirical investigation pp. 47-64

Amer Demirovic, Cherif Guermat and Jon Tucker

Teaming up and quiet intervention: The impact of institutional investors on executive compensation policies pp. 65-83

Mieszko Mazur and Galla Salganik-Shoshan

Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street? pp. 84-103

Michael Donadelli, Renatas Kizys and Max Riedel

When chasing the offender hurts the victim: The case of insider legislation pp. 104-129

Stefan Palan and Thomas Stöckl

Volume 33, issue C, 2017

Lockstep in liquidity: Common dealers and co-movement in bond liquidity pp. 1-21

Stefan Gissler

The determinants and pricing of liquidity commonality around the world pp. 22-41

Fariborz Moshirian, Xiaolin Qian, Claudia Koon Ghee Wee and Bohui Zhang

Liquidity measures throughout the lifetime of the U.S. Treasury bond pp. 42-74

Antonio Díaz and Ana Escribano

Short selling around the 52-week and historical highs pp. 75-101

Eunju Lee and Natalia Piqueira

Short on drugs: Short selling during the drug development process pp. 102-123

Henk Berkman and Marco Eugster

Short selling and the pricing of closed-end funds pp. 124-142

Gordon Alexander and Mark A. Peterson

Volume 32, issue C, 2017

Understanding transactions prices in the credit default swaps market pp. 1-27

Dragon Yongjun Tang and Hong Yan

Intraday price discovery in fragmented markets pp. 28-48

Sait Ozturk, Michel van der Wel and Dick van Dijk

Multiple markets, algorithmic trading, and market liquidity pp. 49-68

James Upson and Robert A. Van Ness

Cross-sectional factor dynamics and momentum returns pp. 69-96

Doron Avramov and Satadru Hore

Limited participation under ambiguity of correlation pp. 97-143

Helen Hui Huang, Shunming Zhang and Wei Zhu