Journal of Financial Markets

1998 - 2026

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

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

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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

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