Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 21, issue C, 2014

Trading anonymity and order anticipation pp. 1-24

Sylvain Friederich and Richard Payne

Macroeconomic uncertainty and the cross-section of option returns pp. 25-49

Sirio Aramonte

Who trades with whom? Individuals, institutions, and returns pp. 50-75

Noah Stoffman

Liquidity risk and institutional ownership pp. 76-97

Charles Cao and Lubomir Petrasek

High short interest effect and aggregate volatility risk pp. 98-122

Alexander Barinov and Wu, Juan (Julie)

Predictions of corporate bond excess returns pp. 123-152

Hai Lin, Junbo Wang and Chunchi Wu

Commodity index trading and hedging costs pp. 153-180

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

Jyri Kinnunen

Exploiting stochastic dominance to generate abnormal stock returns pp. 20-38

Ephraim Clark and Konstantinos Kassimatis

On the relation between forecast precision and trading profitability of financial analysts pp. 39-60

Carlo Marinelli and Alex Weissensteiner

A comprehensive study of liquidity before and after SEOs and SEO underpricing pp. 61-78

Yan He, Junbo Wang and K.C. John Wei

Short sales and class-action lawsuits pp. 79-100

Benjamin Blau and Philip L. Tew

Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia pp. 101-128

Andrew Ainsworth and Adrian Lee

The relative contribution of ask and bid quotes to price discovery pp. 129-150

Roberto Pascual and Bartolomé Pascual-Fuster

Are trading imbalances indicative of private information? pp. 151-174

Sukwon Thomas Kim and Hans Stoll

The delta- and vega-related information content of near-the-money option market trading activity pp. 175-193

Thomas Rourke

Volume 19, issue C, 2014

Price impact and asset pricing pp. 1-38

Sahn-Wook Huh

Information disclosure and price discovery pp. 39-61

Ya Tang

How should individual investors diversify? An empirical evaluation of alternative asset allocation policies pp. 62-85

Heiko Jacobs, Sebastian Müller and Martin Weber

Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias pp. 86-109

Fearghal Kearney, Mark Cummins and Finbarr Murphy

Industry-based style investing pp. 110-130

Russell Jame and Qing Tong

Market conditions, underwriter reputation and first day return of IPOs pp. 131-153

Ansley Chua

Transparent bookbuilding, certification and initial public offerings pp. 154-169

Arif Khurshed, Stefano Paleari, Alok Pande and Silvio Vismara

When-issued trading in the Indian IPO market pp. 170-196

Raymond M. Brooks, Prem G. Mathew and J. Jimmy Yang

Investor ignorance in markets for worthless stocks pp. 197-218

Palani-Rajan Kadapakkam and Hongxian Zhang

Small investor sentiment, differences of opinion and stock overvaluation pp. 219-246

Xiaolin Qian

Volume 18, issue C, 2014

The cross-section of speculator skill: Evidence from day trading pp. 1-24

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

Wei-Shao Wu, Yu-Jane Liu, Yi-Tsung Lee and Robert C.W. Fok

Ambiguity aversion, funding liquidity, and liquidation dynamics pp. 49-76

Ji Yeol Jimmy Oh

Option pricing with stochastic liquidity risk: Theory and evidence pp. 77-95

Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei Wang

Delta and vega exposure trading in stock and option markets pp. 96-125

Hilda Maraachlian and Thomas Rourke

Financial networks and trading in bond markets pp. 126-157

G. Geoffrey Booth, Umit Gurun and Harold Zhang

The intertemporal risk-return relation: A bivariate model approach pp. 158-181

Xiaoquan Jiang and Bong-Soo Lee

Informed trading around acquisitions: Evidence from corporate bonds pp. 182-205

Simi Kedia and Xing Zhou

Investor sentiment and bond risk premia pp. 206-233

Ricardo Laborda and Jose Olmo

When do stop-loss rules stop losses? pp. 234-254

Kathryn M. Kaminski and Andrew Lo

Volume 17, issue C, 2014

VPIN and the flash crash pp. 1-46

Torben Andersen and Oleg Bondarenko

VPIN and the Flash Crash: A rejoinder pp. 47-52

David Easley, Marcos M. López de Prado and Maureen O'Hara

Reflecting on the VPIN dispute pp. 53-64

Torben Andersen and Oleg Bondarenko

Leveling the trading field pp. 65-93

David Easley, Terrence Hendershott and Tarun Ramadorai

A simple approximation of intraday spreads using daily data pp. 94-120

Kee H. Chung and Hao Zhang

Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks pp. 121-149

Kris Boudt and Mikael Petitjean

Price delay premium and liquidity risk pp. 150-173

Ji-Chai Lin, Ajai K. Singh, Sun, Ping-Wen (Steven) and Wen Yu

Market transparency, market quality, and sunshine trading pp. 174-198

Maria-Angeles de Frutos and Carolina Manzano

Aggregate short selling, commonality, and stock market returns pp. 199-229

Andrew Lynch, Biljana Nikolic, Yan, Xuemin (Sterling) and Han Yu

Informational linkages between dark and lit trading venues pp. 230-261

Mahendrarajah Nimalendran and Sugata Ray

Volume 16, issue 4, 2013

Low-latency trading pp. 646-679

Joel Hasbrouck and Gideon Saar

Very fast money: High-frequency trading on the NASDAQ pp. 680-711

Allen Carrion

High frequency trading and the new market makers pp. 712-740

Albert Menkveld

The diversity of high-frequency traders pp. 741-770

Björn Hagströmer and Lars Nordén

Volume 16, issue 3, 2013

Rational expectations equilibrium with uncertain proportion of informed traders pp. 387-413

Feng Gao, Fengming Song and Jun Wang

Stock price synchronicity and liquidity pp. 414-438

Kalok Chan, Allaudeen Hameed and Wenjin Kang

Investment opportunities and bankruptcy prediction pp. 439-476

Evgeny Lyandres and Alexei Zhdanov

Short-term residual reversal pp. 477-504

David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek

Informed local trading prior to earnings announcements pp. 505-525

Thomas Berry and Keith Jacks Gamble

Noise and aggregation of information in large markets pp. 526-549

Diego García and Branko Urošević

Patriotic name bias and stock returns pp. 550-570

Evangelos Benos and Marek Jochec

How do designated market makers create value for small-caps? pp. 571-603

Albert Menkveld and Ting Wang

Does order flow in the European Carbon Futures Market reveal information? pp. 604-635

Iordanis Kalaitzoglou and Boulis M. Ibrahim

Volume 16, issue 2, 2013

The options market maker exception to SEC Regulation SHO pp. 195-226

Thomas Stratmann and John W. Welborn

Microstructure-based manipulation: Strategic behavior and performance of spoofing traders pp. 227-252

Eun Jung Lee, Kyong Shik Eom and Kyung Suh Park

The realized forward term premium in the repo market pp. 253-278

Seth Kopchak

Do mutual fund managers time market liquidity? pp. 279-307

Charles Cao, Timothy T. Simin and Ying Wang

Short sales and put options: Where is the bad news first traded? pp. 308-330

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

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

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

Anna Obizhaeva and Jiang Wang

Investing in Chapter 11 stocks: Trading, value, and performance pp. 33-60

Yuanzhi Li and Zhong, Zhaodong (Ken)

Trade and information in the corporate bond market pp. 61-103

Tavy Ronen and Xing Zhou

Liquidity, volume and price efficiency: The impact of order vs. quote driven trading pp. 104-126

Katya Malinova and Andreas Park

Price discovery in government bond markets pp. 127-151

Siri Valseth

Can representativeness heuristic traders survive in a competitive securities market? pp. 152-164

Guo Ying Luo

Is warrant really a derivative? Evidence from the Chinese warrant market pp. 165-193

Eric C. Chang, Xingguo Luo, Lei Shi and Jin E. Zhang