Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 31, issue C, 2016

Does high-frequency trading increase systemic risk? pp. 1-24

Pankaj K. Jain, Pawan Jain and Thomas McInish

The total benefit of alternative assets to pension fund portfolios pp. 25-42

Jens Carsten Jackwerth and Anna Slavutskaya

Risk and return spillovers among the G10 currencies pp. 43-62

Matthew Greenwood-Nimmo, Viet Hoang Nguyen and Barry Rafferty

What׳s a name worth? The impact of a likeable stock ticker symbol on firm value pp. 63-80

Xuejing Xing, Randy I. Anderson and Yan Hu

The determinants of IPO-related shareholder litigation: The role of CEO equity incentives and corporate governance pp. 81-126

Xingli Li, Kuntara Pukthuanthong, Marcus Glenn Walker and Thomas John Walker

Volume 30, issue C, 2016

Network externalities in mutual funds pp. 1-26

Jesse Blocher

Liquidity, style investing and excess comovement of exchange-traded fund returns pp. 27-53

Markus S. Broman

Price discovery and the cross-section of high-frequency trading pp. 54-77

Evangelos Benos and Satchit Sagade

Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions pp. 78-102

Kristian Rydqvist and Mark Wu

Time series momentum and volatility scaling pp. 103-124

Abby Y. Kim, Yiuman Tse and John K. Wald

Volume 29, issue C, 2016

Does mood affect trading behavior? pp. 1-26

Markku Kaustia and Elias Rantapuska

Limited cognition and clustered asset prices: Evidence from betting markets pp. 27-46

Alasdair Brown and Fuyu Yang

What explains the orange juice puzzle: Sentiment, smart money, or fundamentals? pp. 47-65

Pin-Huang Chou, Chia-Hsun Hsieh and Carl Hsin-Han Shen

Return predictability in the corporate bond market along the supply chain pp. 66-86

Long Chen, Gaiyan Zhang and Weina Zhang

Cross-sectional return dispersion and the equity premium pp. 87-109

Paulo Maio

Earnings news, expected earnings, and aggregate stock returns pp. 110-143

Jung Ho Choi, Alon Kalay and Gil Sadka

Volume 28, issue C, 2016

Market quality breakdowns in equities pp. 1-23

Cheng Gao and Bruce Mizrach

Market size matters: A model of excess volatility in large markets pp. 24-45

Kei Kawakami

Pricing errors and the geography of trade in the foreign exchange market pp. 46-69

Louis R. Piccotti

Liquidity cost vs. real investment efficiency pp. 70-90

Marco Bade and Hans Hirth

Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders pp. 91-115

Arie E. Gozluklu

The value of the wildcard option in cash-settled American index options pp. 116-131

Dennis J. Lasser and Joshua D. Spizman

On variance bounds for asset price changes pp. 132-148

Kevin Lansing

Volume 27, issue C, 2016

Reducing opacity in over-the-counter markets pp. 1-27

Zhuo Zhong

Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it? pp. 28-54

Numan Ülkü, Sabutay Fatullayev and Daria Diachenko

Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers pp. 55-78

Jozef Baruník, Evžen Kočenda and Lukas Vacha

Is there information leakage prior to share repurchase announcements? Evidence from daily options trading pp. 79-101

Hao, (Grace) Qing

Dissecting the bond profitability premium pp. 102-131

T. Colin Campbell, Doina C. Chichernea and Alex Petkevich

Trading activities of short-sellers around index deletions: Evidence from the Nikkei 225 pp. 132-146

Hidetomo Takahashi and Peng Xu

Volume 26, issue C, 2015

Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? pp. 1-37

Alejandro Bernales and Massimo Guidolin

Volatility-of-volatility and tail risk hedging returns pp. 38-63

Yang-Ho Park

Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach pp. 64-84

Fredj Jawadi, Waël Louhichi and Abdoulkarim Idi Cheffou

Short sales and the weekend effect—Evidence from a natural experiment pp. 85-102

Pengjie Gao, Jia Hao, Ivalina Kalcheva and Tongshu Ma

Informed trading in parallel bond markets pp. 103-121

Paola Paiardini

Volume 25, issue C, 2015

A dynamic model of hedging and speculation in the commodity futures markets pp. 1-15

Giulio Cifarelli and Giovanna Paladino

Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market pp. 16-32

Jason P. Berkowitz, Craig Depken and John M. Gandar

Equity volatility as a determinant of future term-structure volatility pp. 33-51

Naresh Bansal, Robert Connolly and Chris Stivers

Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm pp. 52-79

Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko

Volume 24, issue C, 2015

Frontier market transaction costs and diversification pp. 1-24

Ben Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti

Relative liquidity and future volatility pp. 25-48

Marcela Valenzuela, Ilknur Zer, Piotr Fryzlewicz and Thorsten Rheinländer

Asymmetric effects of sell-side analyst optimism and broker market share by clientele pp. 49-65

Andrew Grant, Elvis Jarnecic and Mark Su

Trading price jump clusters in foreign exchange markets pp. 66-92

Jan Novotný, Dmitri Petrov and Giovanni Urga

Volume 23, issue C, 2015

Style representation and portfolio choice pp. 1-25

Massimo Massa, Andrei Simonov and Anders Stenkrona

Options market makers׳ hedging and informed trading: Theory and evidence pp. 26-58

Sahn-Wook Huh, Hao Lin and Antonio S. Mello

Sentiment bubbles pp. 59-74

David Berger and Harry J. Turtle

On the determinants of pairs trading profitability pp. 75-97

Heiko Jacobs and Martin Weber

Volume 22, issue C, 2015

Cross-listings and liquidity commonality around the world pp. 1-26

Tung Dang, Fariborz Moshirian, Claudia Koon Ghee Wee and Bohui Zhang

The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X pp. 27-49

Peng William He, Elvis Jarnecic and Yubo Liu

Equity hedging and exchange rates at the London 4p.m. fix pp. 50-72

Michael Melvin and John Prins

Intermediated investment management in private markets: Evidence from pension fund investments in real estate pp. 73-103

Aleksandar Andonov, Piet Eichholtz and Nils Kok