Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 15, issue 2, 2012

Order revelation at market openings pp. 127-150

Archishman Chakraborty, Michael S. Pagano and Robert A. Schwartz

Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008 pp. 151-180

Justin Birru and Stephen Figlewski

Do expected business conditions explain the value premium? pp. 181-206

Wai Mun Fong

Buy-side trades and sell-side recommendations: Interactions and information content pp. 207-232

Jeffrey A. Busse, T. Clifton Green and Narasimhan Jegadeesh

Stock option contract adjustments: The case of special dividends pp. 233-257

Kathryn Barraclough, Hans Stoll and Robert E. Whaley

Anything wrong with breaking a buck? An empirical evaluation of NASDAQ's $1 minimum bid price maintenance criterion pp. 258-285

S. Ghon Rhee and Feng Wu

Primary market characteristics and secondary market frictions of stocks pp. 286-327

Rodney Boehme and Gönül Çolak

Volume 15, issue 1, 2012

The information content of a limit order book: The case of an FX market pp. 1-28

Roman Kozhan and Mark Salmon

What does PIN identify? Evidence from the T-bill market pp. 29-46

Akay, Ozgur (Ozzy), Ken B. Cyree, Mark D. Griffiths and Drew B. Winters

An improved test for statistical arbitrage pp. 47-80

Robert Jarrow, Melvyn Teo, Yiu Kuen Tse and Mitch Warachka

The impact of naked short selling on the securities lending and equity market pp. 81-107

Steven Lecce, Andrew Lepone, Michael D. McKenzie and Reuben Segara

Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds pp. 108-125

Sean Flynn

Volume 14, issue 4, 2011

Information misweighting and the cross-section of stock recommendations pp. 515-539

Jose Vicente Martinez

Local market makers, liquidity and market quality pp. 540-567

Simi Kedia and Xing Zhou

Automation, speed, and stock market quality: The NYSE's Hybrid pp. 568-604

Terrence Hendershott and Pamela C. Moulton

Strategic trading by index funds and liquidity provision around S&P 500 index additions pp. 605-624

T. Clifton Green and Russell Jame

A computing bias in estimating the probability of informed trading pp. 625-640

Hsiou-Wei William Lin and Wen-Chyan Ke

Volume 14, issue 3, 2011

Carry trades, momentum trading and the forward premium anomaly pp. 441-464

Richard T. Baillie and Sanders Chang

The informational role of institutional investors and financial analysts in the market pp. 465-493

Wen-I Chuang and Bong-Soo Lee

Are momentum profits driven by the cross-sectional dispersion in expected stock returns? pp. 494-513

Ajay Bhootra

Volume 14, issue 2, 2011

Geographic proximity and price discovery: Evidence from NASDAQ pp. 193-226

Amber Anand, Vladimir A. Gatchev, Leonardo Madureira, Christo A. Pirinsky and Shane Underwood

Transparency matters: Price formation in the presence of order preferencing pp. 227-258

Laurence Daures Lescourret and Christian Y. Robert

Stock price synchronicity and public firm-specificinformation pp. 259-276

Xuejing Xing and Randy Anderson

Capacity and factor timing effects in active portfoliomanagement pp. 277-300

Conrad Ciccotello, Jason Greene, Leng Ling and David Rakowski

Hedge fund return sensitivity to global liquidity pp. 301-322

Stephan Kessler and Bernd Scherer

Conventional mutual index funds versus exchange-traded funds pp. 323-343

Anna Agapova

Effects of foreign ownership on payout policy: Evidence from the Korean market pp. 344-375

Jin Q. Jeon, Cheolwoo Lee and Clay M. Moffett

Product market power and stock market liquidity pp. 376-410

Jayant R. Kale and Yee Cheng Loon

Patriotism in your portfolio pp. 411-440

Adair Morse and Sophie Shive

Volume 14, issue 1, 2011

What happened to the quants in August 2007? Evidence from factors and transactions data pp. 1-46

Amir E. Khandani and Andrew Lo

Order characteristics and the sources of commonality in prices and liquidity pp. 47-81

Shane A. Corwin and Marc L. Lipson

Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets pp. 82-108

Jianxin Wang and Minxian Yang

Why do only some Nasdaq firms switch to the NYSE? Evidence from corporate transactions pp. 109-126

Simi Kedia and Venkatesh Panchapagesan

Liquidity effect in OTC options markets: Premium or discount? pp. 127-160

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Relative valuation and analyst target price forecasts pp. 161-192

Zhi Da and Ernst Schaumburg

Volume 13, issue 4, 2010

Speed, distance, and electronic trading: New evidence on why location matters pp. 367-396

Ryan Garvey and Fei Wu

The skinny on the 2008 naked short-sale restrictions pp. 397-421

Thomas J. Boulton and Marcus V. Braga-Alves

International asset allocation for incompletely-informed investors pp. 422-447

Yin-Feng Gau, Mingshu Hua and Wen-Lin Wu

Daily institutional trades and stock price volatility in a retail investor dominated emerging market pp. 448-474

Wei Li and Steven Shuye Wang

Institutional ownership stability and the cost of debt pp. 475-500

Elyas Elyasiani, Jia, Jingyi (Jane) and Connie X. Mao

Volume 13, issue 3, 2010

The information content of option-implied volatility for credit default swap valuation pp. 321-343

Charles Cao, Fan Yu and Zhaodong Zhong

Surprising information, the MDH, and the relationship between volatility and trading volume pp. 344-366

Beum Jo Park

Volume 13, issue 2, 2010

How asymmetric is U.S. stock market volatility? pp. 225-248

Louis H. Ederington and Wei Guan

Financial distress and idiosyncratic volatility: An empirical investigation pp. 249-267

Jing Chen, Lorán Chollete and Rina Ray

Asset allocation and portfolio performance: Evidence from university endowment funds pp. 268-294

Keith C. Brown, Lorenzo Garlappi and Cristian Tiu

How and when is dual trading irrelevant? pp. 295-320

Dan Bernhardt and Bart Taub

Volume 13, issue 1, 2010

A structural analysis of price discovery measures pp. 1-19

Bingcheng Yan and Eric Zivot

Option market liquidity: Commonality and other characteristics pp. 20-48

Melanie Cao and Jason Wei

Price, trade size, and information revelation in multi-period securities markets pp. 49-76

Han Ozsoylev and Shino Takayama

Do relative leverage and relative distress really explain size and book-to-market anomalies? pp. 77-100

Pin-Huang Chou, Kuan-Cheng Ko and Shinn-Juh Lin

Whose trades convey information? Evidence from a cross-section of traders pp. 101-128

Lukas Menkhoff and Maik Schmeling

Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration pp. 129-156

Ronald Balvers and Yangru Wu

Short sales and trade classification algorithms pp. 157-173

Paul Asquith, Rebecca Oman and Christopher Safaya

Confidence, opinions of market efficiency, and investment behavior of finance professors pp. 174-195

James Doran, David R. Peterson and Colby Wright

Group affiliation and the performance of IPOs in the Indian stock market pp. 196-223

Vijaya B. Marisetty and Marti G. Subrahmanyam