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Journal of Financial Markets

1998 - 2021

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 21, issue C, 2014

Trading anonymity and order anticipation pp. 1-24 Downloads
Sylvain Friederich and Richard Payne
Macroeconomic uncertainty and the cross-section of option returns pp. 25-49 Downloads
Sirio Aramonte
Who trades with whom? Individuals, institutions, and returns pp. 50-75 Downloads
Noah Stoffman
Liquidity risk and institutional ownership pp. 76-97 Downloads
Charles Cao and Lubomir Petrasek
High short interest effect and aggregate volatility risk pp. 98-122 Downloads
Alexander Barinov and Wu, Juan (Julie)
Predictions of corporate bond excess returns pp. 123-152 Downloads
Hai Lin, Junbo Wang and Chunchi Wu
Commodity index trading and hedging costs pp. 153-180 Downloads
Celso Brunetti and David Reiffen

Volume 20, issue C, 2014

Risk-return trade-off and serial correlation: Do volume and volatility matter? pp. 1-19 Downloads
Jyri Kinnunen
Exploiting stochastic dominance to generate abnormal stock returns pp. 20-38 Downloads
Ephraim Clark and Konstantinos Kassimatis
On the relation between forecast precision and trading profitability of financial analysts pp. 39-60 Downloads
Carlo Marinelli and Alex Weissensteiner
A comprehensive study of liquidity before and after SEOs and SEO underpricing pp. 61-78 Downloads
Yan He, Junbo Wang and K.C. John Wei
Short sales and class-action lawsuits pp. 79-100 Downloads
Benjamin Blau and Philip L. Tew
Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia pp. 101-128 Downloads
Andrew Ainsworth and Adrian Lee
The relative contribution of ask and bid quotes to price discovery pp. 129-150 Downloads
Roberto Pascual and Bartolomé Pascual-Fuster
Are trading imbalances indicative of private information? pp. 151-174 Downloads
Sukwon Thomas Kim and Hans Stoll
The delta- and vega-related information content of near-the-money option market trading activity pp. 175-193 Downloads
Thomas Rourke

Volume 19, issue C, 2014

Price impact and asset pricing pp. 1-38 Downloads
Sahn-Wook Huh
Information disclosure and price discovery pp. 39-61 Downloads
Ya Tang
How should individual investors diversify? An empirical evaluation of alternative asset allocation policies pp. 62-85 Downloads
Heiko Jacobs, Sebastian Müller and Martin Weber
Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias pp. 86-109 Downloads
Fearghal Kearney, Mark Cummins and Finbarr Murphy
Industry-based style investing pp. 110-130 Downloads
Russell Jame and Qing Tong
Market conditions, underwriter reputation and first day return of IPOs pp. 131-153 Downloads
Ansley Chua
Transparent bookbuilding, certification and initial public offerings pp. 154-169 Downloads
Arif Khurshed, Stefano Paleari, Alok Pande and Silvio Vismara
When-issued trading in the Indian IPO market pp. 170-196 Downloads
Raymond M. Brooks, Prem G. Mathew and J. Jimmy Yang
Investor ignorance in markets for worthless stocks pp. 197-218 Downloads
Palani-Rajan Kadapakkam and Hongxian Zhang
Small investor sentiment, differences of opinion and stock overvaluation pp. 219-246 Downloads
Xiaolin Qian

Volume 18, issue C, 2014

The cross-section of speculator skill: Evidence from day trading pp. 1-24 Downloads
Brad Barber, Yi-Tsung Lee, Yu-Jane Liu and Terrance Odean
Hedging costs, liquidity, and inventory management: The evidence from option market makers pp. 25-48 Downloads
Wei-Shao Wu, Yu-Jane Liu, Yi-Tsung Lee and Robert C.W. Fok
Ambiguity aversion, funding liquidity, and liquidation dynamics pp. 49-76 Downloads
Ji Yeol Jimmy Oh
Option pricing with stochastic liquidity risk: Theory and evidence pp. 77-95 Downloads
Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei Wang
Delta and vega exposure trading in stock and option markets pp. 96-125 Downloads
Hilda Maraachlian and Thomas Rourke
Financial networks and trading in bond markets pp. 126-157 Downloads
G. Geoffrey Booth, Umit Gurun and Harold Zhang
The intertemporal risk-return relation: A bivariate model approach pp. 158-181 Downloads
Xiaoquan Jiang and Bong-Soo Lee
Informed trading around acquisitions: Evidence from corporate bonds pp. 182-205 Downloads
Simi Kedia and Xing Zhou
Investor sentiment and bond risk premia pp. 206-233 Downloads
Ricardo Laborda and Jose Olmo
When do stop-loss rules stop losses? pp. 234-254 Downloads
Kathryn M. Kaminski and Andrew Lo

Volume 17, issue C, 2014

VPIN and the flash crash pp. 1-46 Downloads
Torben Andersen and Oleg Bondarenko
VPIN and the Flash Crash: A rejoinder pp. 47-52 Downloads
David Easley, Marcos M. López de Prado and Maureen O'Hara
Reflecting on the VPIN dispute pp. 53-64 Downloads
Torben Andersen and Oleg Bondarenko
Leveling the trading field pp. 65-93 Downloads
David Easley, Terrence Hendershott and Tarun Ramadorai
A simple approximation of intraday spreads using daily data pp. 94-120 Downloads
Kee H. Chung and Hao Zhang
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks pp. 121-149 Downloads
Kris Boudt and Mikael Petitjean
Price delay premium and liquidity risk pp. 150-173 Downloads
Ji-Chai Lin, Ajai K. Singh, Sun, Ping-Wen (Steven) and Wen Yu
Market transparency, market quality, and sunshine trading pp. 174-198 Downloads
Maria-Angeles de Frutos and Carolina Manzano
Aggregate short selling, commonality, and stock market returns pp. 199-229 Downloads
Andrew Lynch, Biljana Nikolic, Yan, Xuemin (Sterling) and Han Yu
Informational linkages between dark and lit trading venues pp. 230-261 Downloads
Mahendrarajah Nimalendran and Sugata Ray

Volume 16, issue 4, 2013

Low-latency trading pp. 646-679 Downloads
Joel Hasbrouck and Gideon Saar
Very fast money: High-frequency trading on the NASDAQ pp. 680-711 Downloads
Allen Carrion
High frequency trading and the new market makers pp. 712-740 Downloads
Albert Menkveld
The diversity of high-frequency traders pp. 741-770 Downloads
Björn Hagströmer and Lars Nordén

Volume 16, issue 3, 2013

Rational expectations equilibrium with uncertain proportion of informed traders pp. 387-413 Downloads
Feng Gao, Fengming Song and Jun Wang
Stock price synchronicity and liquidity pp. 414-438 Downloads
Kalok Chan, Allaudeen Hameed and Wenjin Kang
Investment opportunities and bankruptcy prediction pp. 439-476 Downloads
Evgeny Lyandres and Alexei Zhdanov
Short-term residual reversal pp. 477-504 Downloads
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Informed local trading prior to earnings announcements pp. 505-525 Downloads
Thomas Berry and Keith Jacks Gamble
Noise and aggregation of information in large markets pp. 526-549 Downloads
Diego García and Branko Urošević
Patriotic name bias and stock returns pp. 550-570 Downloads
Evangelos Benos and Marek Jochec
How do designated market makers create value for small-caps? pp. 571-603 Downloads
Albert Menkveld and Ting Wang
Does order flow in the European Carbon Futures Market reveal information? pp. 604-635 Downloads
Iordanis Kalaitzoglou and Boulis M. Ibrahim

Volume 16, issue 2, 2013

The options market maker exception to SEC Regulation SHO pp. 195-226 Downloads
Thomas Stratmann and John W. Welborn
Microstructure-based manipulation: Strategic behavior and performance of spoofing traders pp. 227-252 Downloads
Eun Jung Lee, Kyong Shik Eom and Kyung Suh Park
The realized forward term premium in the repo market pp. 253-278 Downloads
Seth Kopchak
Do mutual fund managers time market liquidity? pp. 279-307 Downloads
Charles Cao, Timothy T. Simin and Ying Wang
Short sales and put options: Where is the bad news first traded? pp. 308-330 Downloads
Xiaoting Hao, Eunju Lee and Natalia Piqueira
A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market pp. 331-361 Downloads
Michael S. Pagano, Lin Peng and Robert A. Schwartz
The intraday behavior of information misreaction across various categories of investors in the Taiwan options market pp. 362-385 Downloads
Chuang-Chang Chang, Pei-Fang Hsieh, Chih-Wei Tang and Yaw-Huei Wang

Volume 16, issue 1, 2013

Optimal trading strategy and supply/demand dynamics pp. 1-32 Downloads
Anna Obizhaeva and Jiang Wang
Investing in Chapter 11 stocks: Trading, value, and performance pp. 33-60 Downloads
Yuanzhi Li and Zhong, Zhaodong (Ken)
Trade and information in the corporate bond market pp. 61-103 Downloads
Tavy Ronen and Xing Zhou
Liquidity, volume and price efficiency: The impact of order vs. quote driven trading pp. 104-126 Downloads
Katya Malinova and Andreas Park
Price discovery in government bond markets pp. 127-151 Downloads
Siri Valseth
Can representativeness heuristic traders survive in a competitive securities market? pp. 152-164 Downloads
Guo Ying Luo
Is warrant really a derivative? Evidence from the Chinese warrant market pp. 165-193 Downloads
Eric C. Chang, Xingguo Luo, Lei Shi and Jin E. Zhang
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