Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 12, issue 4, 2009

Systematic noise pp. 547-569

Brad Barber, Terrance Odean and Ning Zhu

A tale of two time zones: The impact of substitutes on cross-listed stock liquidity pp. 570-591

Pamela C. Moulton and Li Wei

Spread behavior around board meetings for firms with concentrated insider ownership pp. 592-610

Suchi Mishra, Wei Rowe, Arun Prakash and Dilip K. Ghosh

Liquidity and capital structure pp. 611-644

Marc L. Lipson and Sandra Mortal

Locating decision rights: Evidence from the mutual fund industry pp. 645-671

George D. Cashman and Daniel N. Deli

Gone fishin': Seasonality in trading activity and asset prices pp. 672-702

Harrison Hong and Jialin Yu

The information content of trading halts pp. 703-726

Christine Jiang, Thomas McInish and James Upson

Cleaning house: Stock reassignments on the NYSE pp. 727-753

Amber Anand, Sugato Chakravarty and Chairat Chuwonganant

The value of combining the information content of analyst recommendations and target prices pp. 754-777

Joshua Huang, G. Mujtaba Mian and Srinivasan Sankaraguruswamy

New low-frequency spread measures pp. 778-813

Craig W. Holden

Daily income target effects: Evidence from a large sample of professional commodities traders pp. 814-831

Peter R. Locke and Steven Mann

Optimal execution of open-market stock repurchase programs pp. 832-869

Jacob Oded

Volume 12, issue 3, 2009

Anonymity, liquidity and fragmentation pp. 337-367

Carole Comerton-Forde and Kar Mei Tang

Leveraged investor disclosures and concentrations of risk pp. 368-390

K. Jeremy Ko

Option strategies: Good deals and margin calls pp. 391-417

Pedro Santa-Clara and Alessio Saretto

Measures of implicit trading costs and buy-sell asymmetry pp. 418-437

Gang Hu

Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977) pp. 438-468

Rodney D. Boehme, Bartley R. Danielsen, Praveen Kumar and Sorin M. Sorescu

Credit ratings and the cross-section of stock returns pp. 469-499

Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov

Corporate debt issues and interest rate risk management: Hedging or market timing? pp. 500-520

Antonios Antoniou, Huainan Zhao and Bilei Zhou

The other January effect: International, style, and subperiod evidence pp. 521-546

Chris Stivers, Licheng Sun and Yong Sun

Volume 12, issue 2, 2009

Technology and liquidity provision: The blurring of traditional definitions pp. 143-172

Joel Hasbrouck and Gideon Saar

Using matched samples to test for differences in trade execution costs pp. 173-202

Ryan Davies and Sang Soo Kim

Intraday time and order execution quality dimensions pp. 203-228

Ryan Garvey and Fei Wu

Stock exchange merger and liquidity: The case of Euronext pp. 229-267

Ulf Nielsson

The cross-market information content of stock and bond order flow pp. 268-289

Shane Underwood

Daily short interest, idiosyncratic risk, and stock returns pp. 290-316

Andrea S. Au, John Doukas and Zhan Onayev

Do individual investors learn from their trading experience? pp. 317-336

Gina Nicolosi, Liang Peng and Ning Zhu

Volume 12, issue 1, 2009

Which past returns affect trading volume? pp. 1-31

Markus Glaser and Martin Weber

Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia pp. 32-53

Sumit Agarwal, Sheri Faircloth, Chunlin Liu and S. Ghon Rhee

The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks pp. 54-86

Yan He, Hai Lin, Chunchi Wu and Uric B. Dufrene

Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions pp. 87-106

Charles Collver

Monitoring and limit order submission risks pp. 107-141

Wai-Man Liu

Volume 11, issue 4, 2008

Liquidity in the pricing of syndicated loans pp. 339-376

Anurag Gupta, Ajai K. Singh and Allan A. Zebedee

Market segmentation, liquidity spillover, and closed-end country fund discounts pp. 377-399

Justin S.P. Chan, Ravi Jain and Yihong Xia

Updating expectations: An analysis of post-9/11 returns pp. 400-432

Jarl Kallberg, Crocker H. Liu and Paolo Pasquariello

Probability weighting and loss aversion in futures hedging pp. 433-452

Fabio Mattos, Philip Garcia and Joost Pennings

Volume 11, issue 3, 2008

Is the value spread a useful predictor of returns? pp. 199-227

Naiping Liu and Lu Zhang

Melting pot or salad bowl: Some evidence from U.S. investments abroad pp. 228-258

Utpal Bhattacharya and Peter Groznik

Investor and price response to patterns in earnings surprises pp. 259-283

Laura Frieder

Stock exchange competition in a simple model of capital market equilibrium pp. 284-307

Sofia Ramos and Ernst-Ludwig von Thadden

Locked and crossed markets on NASDAQ and the NYSE pp. 308-337

Andriy V. Shkilko, Bonnie F. Van Ness and Robert A. Van Ness

Volume 11, issue 2, 2008

Competition in the market for NASDAQ securities pp. 113-143

Michael Goldstein, Andriy V. Shkilko, Bonnie F. Van Ness and Robert A. Van Ness

Performance information dissemination in the mutual fund industry pp. 144-159

Alexei Goriaev, Theo Nijman and Bas J.M. Werker

Delisted firms and momentum profits pp. 160-179

Assaf Eisdorfer

Credit spread determinants: An 85 year perspective pp. 180-197

Andrew Davies

Volume 11, issue 1, 2008

Failure to exercise call options: An anomaly and a trading game pp. 1-35

Veronika Krepely Pool, Hans Stoll and Robert E. Whaley

The information content of net buying pressure: Evidence from the KOSPI 200 index option market pp. 36-56

Jangkoo Kang and Hyoung-Jin Park

On the effects of stock spam e-mails pp. 57-83

Michael Hanke and Florian Hauser

The effect of price tests on trader behavior and market quality: An analysis of Reg SHO pp. 84-111

Gordon Alexander and Mark A. Peterson

Volume 10, issue 4, 2007

Pre-trade transparency and market quality pp. 319-341

Kyong Shik Eom, Jinho Ok and Jong-Ho Park

Liquidity and firm characteristics: Evidence from mergers and acquisitions pp. 342-361

Marc L. Lipson and Sandra Mortal

Do the diversification choices of individual investors influence stock returns? pp. 362-390

Alok Kumar

The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market pp. 391-415

Kalok Chan, Albert Menkveld and Zhishu Yang

Volume 10, issue 3, 2007

Ownership level, ownership concentration and liquidity pp. 219-248

Amir Rubin

Modelling the buy and sell intensity in a limit order book market pp. 249-286

Anthony Hall and Nikolaus Hautsch

Financial market design and bounded rationality: An experiment pp. 287-317

Sébastien Pouget

Volume 10, issue 2, 2007

Informative trading or just costly noise? An analysis of Central Bank interventions pp. 107-143

Paolo Pasquariello

Liquidity supply in electronic markets pp. 144-168

Michael Aitken, Niall Almeida, Frederick H. deB. Harris and Thomas McInish

The PIN anomaly around M&A announcements pp. 169-191

Nihat Aktas, Eric de Bodt, Fany Declerck and Herve Van Oppens

Commonality in the time-variation of stock-stock and stock-bond return comovements pp. 192-218

Robert Connolly, Chris Stivers and Licheng Sun

Volume 10, issue 1, 2007

Measuring the resiliency of an electronic limit order book pp. 1-25

Jeremy Large

Estimating the probability of informed trading--does trade misclassification matter? pp. 26-47

Ekkehart Boehmer, Joachim Grammig and Erik Theissen

Momentum, reversal, and the trading behaviors of institutions pp. 48-75

Roberto Gutierrez and Christo A. Prinsky

Noise trader risk: Evidence from the Siamese twins pp. 76-105

John T. Scruggs