Journal of Financial Markets

1998 - 2026

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 64, issue C, 2023

Tracking speculative trading

Dominik Boos and Linus Grob

Transaction costs, frequent trading, and stock prices

Sergey Isaenko

Profitability anomaly and aggregate volatility risk

Alexander Barinov

Liquid speed: A micro-burst fee for low-latency exchanges

Michael Brolley and Marius Zoican

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Andrew Carverhill and Dan Luo

Are mutual fund managers good gamblers?

Roberto Stein

Machine invasion: Automation in information acquisition and the cross-section of stock returns

Raunaq S. Pungaliya and Yanbo Wang

Risk disclosure in IPO advertisement and the quality of the firm

Supriya Katti, Edward R. Lawrence and Mehul Raithatha

Options market ambiguity and its information content

Qiang Chen and Yu Han

Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs

Naoshi Ikeda

Equity premium prediction: The role of information from the options market

Antonios K. Alexandridis, Iraklis Apergis, Ekaterini Panopoulou and Nikolaos Voukelatos

Strategic trading by insiders in the presence of institutional investors

Lai T. Hoang, Marvin Wee and Joey Wenling Yang

COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading

Kee H. Chung and Chairat Chuwonganant

Job postings and aggregate stock returns

Pratik Kothari and O’Doherty, Michael S.

Benchmarking the effects of the Fed's Secondary Market Corporate Credit Facility using Yankee bonds

Hui Xu and George G. Pennacchi

Spillover effects between liquidity risks through endogenous debt maturity

Xu Wei, Xiao Xiao, Yi Zhou and Yimin Zhou

Modern OTC market structure and liquidity: The tale of three tiers

Ryan Davis, Todd Griffith, Bonnie Van Ness and Robert Van Ness

Spoilt for choice: Determinants of market shares in fragmented equity markets

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber and Christian Westheide

Arbitrage in the market for cryptocurrencies

Tommy Crépellière, Matthias Pelster and Stefan Zeisberger

Sequential entry in illiquid markets

Vincent Fardeau

On the choice of central counterparties in the EU

Gabrielle Demange and Thibaut Piquard

The role of idiosyncratic jumps in stock markets

Suzanne S. Lee

Volume 63, issue C, 2023

Net buying pressure and the information in bitcoin option trades

Carol Alexander, Jun Deng, Jianfen Feng and Huning Wan

Stock illiquidity and option returns

Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg

Informed options strategies before corporate events

Patrick Augustin, Menachem Brenner, Gunnar Grass, Piotr Orłowski and Marti G. Subrahmanyam

Finding information in obvious places: Work connections and mutual fund investment ideas

Egemen Genc, Sara E. Shirley, Jeffrey R. Stark and Hai Tran

Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup

Philip A. Drummond

Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation

Jose Faias

The Bank of Japan's equity purchases and stock illiquidity

Izidin El Kalak, Woon Sau Leung, Hidenori Takahashi and Kazuo Yamada

Firm fundamentals and the cross-section of implied volatility shapes

Ding Chen, Biao Guo and Guofu Zhou

ETF ownership and firm-specific information in corporate bond returns

Meredith E. Rhodes and Joseph R. Mason

Volume 62, issue C, 2023

Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns

Andrew Ainsworth and Adrian D. Lee

The race to exploit anomalies and the cost of slow trading

Guy Kaplanski

Investor sentiment, style investing, and momentum

Samar Ashour, Grace Qing Hao and Adam Harper

Gender, learning, and earnings estimate accuracy

Vineet Bhagwat, Sara E. Shirley and Jeffrey R. Stark

Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic

Liao Xu, Xuan Zhang and Jing Zhao

Local institutional investors and debt maturity

Wang, Qin (Emma) and Jun Zhang

Climate risks and realized volatility of major commodity currency exchange rates

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

Market power, ambiguity, and market participation

Zhigang Qiu, Yanyi Wang and Shunming Zhang

When is the order-to-trade ratio fee effective?

Nidhi Aggarwal, Venkatesh Panchapagesan and Susan Thomas

Volume 61, issue C, 2022

Media abnormal tone, earnings announcements, and the stock market

David Ardia, Keven Bluteau and Kris Boudt

Does the U.S. president affect the stock market?

Maurizio Montone

Mutual fund preference for pure-play firms

Bradford Jordan, Ang Li and Mark H. Liu

The alphas of beta and idiosyncratic volatility

Percy Poon, Tong Yao and Zhang, Andrew (Jianzhong)

Climate events and return comovement

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

The visible hand: benchmarks, regulation, and liquidity

Matteo Aquilina, Gbenga Ibikunle, Vito Mollica and Tom Steffen

Back to the futures: When short selling is banned

George J. Jiang, Yoshiki Shimizu and Cuyler Strong

Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns

Huaigang Long, Adam Zaremba, Wenyu Zhou and Elie Bouri

Hidden liquidity, market quality, and order submission strategies

Albert Lee and Kee H. Chung

Volume 60, issue C, 2022

Financial leverage and stock return comovement

Hung X. Do, Nhut H. Nguyen and Quan M.P. Nguyen

Bond risk’s role in the equity risk-return tradeoff

Naresh Bansal and Chris Stivers

Who should buy stocks when volatility spikes?

Andrés Schneider

Legal risk and information spillover through private lender reports

Abe de Jong, Tim Kooijmans and Chris Veld

Jumps in stock prices: New insights from old data

James A. Johnson, Marcelo Medeiros and Bradley S. Paye

Transaction fees: Impact on institutional order types, commissions, and execution quality

O’Donoghue, Shawn M.

Liquidity components: Commonality in liquidity, underreaction, and equity returns

Baris Ince

Jump and volatility risk in the cross-section of corporate bond returns

Xi Chen, Junbo Wang and Chunchi Wu

Investor attention and municipal bond returns

Kimberly Cornaggia, John Hund and Giang Nguyen