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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Costly index investing in foreign markets: Alvaro Pedraza, Fredy Pulga and Jose Vasquez
ETF use among actively managed mutual fund portfolios: D. Eli Sherrill, Sara E. Shirley and Jeffrey R. Stark
Predicting the equity premium with the implied volatility spread: Charles Cao, Timothy Simin and Han Xiao
The choice of SEO method in Korea: Rights vs. public offers: Ju Hyun Kim and Kyojik Song
The role of an aligned investor sentiment index in predicting bond risk premia of the U.S: Oguzhan Cepni, I. Ethem Guney, Rangan Gupta and Mark Wohar
Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns: Michael Melvin, Wenqiang Pan and Petra Wikstrom
Self-fulfilling arbitrages necessitate crash risk: Dong-Hyun Ahn, Soohun Kim and Kyoungwon Seo
Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets: Sirio Aramonte and Paweł J. Szerszeń

Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha: Rong Ding, Hang Zhou and Yifan Li
The yield curve and the stock market: Mind the long run: Gonçalo Faria and Fabio Verona
Insider trading ahead of cyber breach announcements: Zhaoxin Lin, Travis R.A. Sapp, Jackie Rees Ulmer and Rahul Parsa
The information content of real operating performance measures from the airline industry: Paul Borochin
The overnight return puzzle and the “T+1” trading rule in Chinese stock markets: Kenan Qiao and Lammertjan Dam
In law we trust: Lawyer CEOs and stock liquidity: Mia Hang Pham
Intraday market making with overnight inventory costs: Tobias Adrian, Agostino Capponi, Michael Fleming, Erik Vogt and Hongzhong Zhang

Microstructure invariance in U.S. stock market trades: Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
Biased short: Short sellers' disposition effect and limits to arbitrage: Bastian von Beschwitz and Massimo Massa
Trust and delegation: A case to consider on broker rebates and investor sophistication: Mor M. Haziza and Avner Kalay
Call of duty: Designated market maker participation in call auctions: Erik Theissen and Christian Westheide
Risk premium spillovers among stock markets: Evidence from higher-order moments: Marinela Adriana Finta and Sofiane Aboura
Google search volume and individual investor trading: Dimitrios Kostopoulos, Steffen Meyer and Charline Uhr

Volatility-of-volatility and the cross-section of option returns: Xinfeng Ruan
The leverage ratio and liquidity in the gilt and gilt repo markets: Andreea Bicu-Lieb, Louisa Chen and David Elliott
Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes: Haim Kedar-Levy
Tales of tails: Jumps in currency markets: Suzanne S. Lee and Minho Wang
Credit default swaps and market information: Hiroshi Osano
Expected issuance fees and market liquidity: Boyd Buis, Mary Pieterse-Bloem, Willem Verschoor and Remco Zwinkels

Trading aggressiveness and market efficiency: Olga Klein
The memory of stock return volatility: Asset pricing implications: Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen
Too much of a good thing? Speculative effects on commodity futures curves: Sophie van Huellen
Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model: Kristyna Ters and Jörg Urban
Price discovery in stock and options markets: Vinay Patel, Talis Putnins, David Michayluk and Sean Foley
The network nature of over-the-counter interest rates: Edoardo Rainone

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market: George Kapetanios, Eirini Konstantinidi, Michael Neumann and George Skiadopoulos
Market anomalies and disaster risk: Evidence from extreme weather events: Matthew G. Lanfear, Abraham Lioui and Mark G. Siebert
A state-space modeling of the information content of trading volume: Khaladdin Rzayev and Gbenga Ibikunle
The information content of short-term options: Ioannis Oikonomou, Andrei Stancu, Lazaros Symeonidis and Chardin Wese Simen
How much do investors trade because of name/ticker confusion?: Vadim S. Balashov and Andrei Nikiforov
Short selling and market anomalies: Wu, Juan (Julie) and Zhang, Jianzhong (Andrew)

Make-take decisions under high-frequency trading competition pp. 1-18: Alejandro Bernales
Disposition sales and stock market liquidity pp. 19-36: Darwin Choi
How rigged are stock markets? Evidence from microsecond timestamps pp. 37-60: Robert P. Bartlett and Justin McCrary
The preholiday corporate announcement effect pp. 61-82: Don M. Autore and Danling Jiang
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach pp. 83-114: Massimo Guidolin, Erwin Hansen and Manuela Pedio
The long-term impact of sovereign wealth fund investments pp. 115-138: Raphael Jonghyeon Park, Simon Xu, Francis In and Philip Inyeob Ji

Strategic trading with risk aversion and information flow pp. 1-16: Ravi Sastry and Rex Thompson
Agreeing on disagreement: Heterogeneity or uncertainty? pp. 17-30: Saskia ter Ellen, Willem Verschoor and Remco Zwinkels
Nominal stock price anchors: A global phenomenon? pp. 31-41: Kee-Hong Bae, Utpal Bhattacharya, Jisok Kang and S. Ghon Rhee
Beauties of the emperor: An investigation of a Chinese government bailout pp. 42-70: Yeguang Chi and Xiaoming Li
Extreme absolute strength of stocks and performance of momentum strategies pp. 71-90: Xuebing Yang and Huilan Zhang
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section pp. 91-118: Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen