Journal of Financial Markets

1998 - 2025

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

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

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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 J. Lee and Kee H. Chung

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

Asset pricing with data revisions: Daniel Borup and Erik Christian Schütte
Trading costs of private debt: Andreas Keßler and Thomas Mählmann
Investor short-termism and real investment: Dominik M. Rösch, Avanidhar Subrahmanyam and Mathijs A. van Dijk
Recovery from fast crashes: Role of mutual funds: 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: 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: Xuyun Fang, Zhiqian Jiang, Baixiao Liu, John J. McConnell and Mingshan Zhou
Does air pollution affect seasoned equity offering pricing? Evidence from investor bids: Lin Han, Xiaoke Cheng, Kam C. Chan and Shenghao Gao
Tick Size Pilot Program and price discovery in U.S. stock markets: Bidisha Chakrabarty, Justin Cox and James E. Upson
Is the index efficient? A worldwide tour with stochastic dominance: Olga Kolokolova, Olivier Le Courtois and Xia Xu
Betting against analyst target price: Chulwoo Han, Jangkoo Kang and Sun Yung Kim
Predictive information in corporate bond yields: Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou

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

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

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