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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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: Michela 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)

Does the Nationally Recognized Statistical Rating Organization certification matter for Japanese credit rating agencies?: Soku Byoun, Seung Hun Han and Yoon S. Shin
Does it pay to follow anomalies research? Machine learning approach with international evidence: Ondrej Tobek and Martin Hronec
Optimal contract for asset trades: Collateralizing or selling?: Kee-Youn Kang
Investment styles and the multiple testing of cross-sectional stock return predictability: Kendro Vincent, Yu-Chin Hsu and Hsiou-Wei Lin
Does shareholder litigation affect the corporate information environment?: Nhan Le, Duc Duy Nguyen and Vathunyoo Sila
The pricing of the illiquidity factor’s conditional risk with time-varying premium: Yakov Amihud and Joonki Noh
Financial oligopolies and parallel exclusion in the credit default swap markets: Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong

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

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

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

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