Journal of Financial Markets

1998 - 2025

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

From Elsevier
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A dynamic model of hedging and speculation in the commodity futures markets pp. 1-15: Giulio Cifarelli and Giovanna Paladino
Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market pp. 16-32: Jason P. Berkowitz, Craig Depken and John M. Gandar
Equity volatility as a determinant of future term-structure volatility pp. 33-51: Naresh Bansal, Robert Connolly and Chris Stivers
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm pp. 52-79: Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko

Frontier market transaction costs and diversification pp. 1-24: Ben Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Relative liquidity and future volatility pp. 25-48: Marcela Valenzuela, Ilknur Zer, Piotr Fryzlewicz and Thorsten Rheinländer
Asymmetric effects of sell-side analyst optimism and broker market share by clientele pp. 49-65: Andrew Grant, Elvis Jarnecic and Mark Su
Trading price jump clusters in foreign exchange markets pp. 66-92: Jan Novotný, Dmitri Petrov and Giovanni Urga

Style representation and portfolio choice pp. 1-25: Massimo Massa, Andrei Simonov and Anders Stenkrona
Options market makers׳ hedging and informed trading: Theory and evidence pp. 26-58: Sahn-Wook Huh, Hao Lin and Antonio S. Mello
Sentiment bubbles pp. 59-74: David Berger and Harry J. Turtle
On the determinants of pairs trading profitability pp. 75-97: Heiko Jacobs and Martin Weber

Cross-listings and liquidity commonality around the world pp. 1-26: Tung Lam Dang, Fariborz Moshirian, Claudia Koon Ghee Wee and Bohui Zhang
The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X pp. 27-49: Peng William He, Elvis Jarnecic and Yubo Liu
Equity hedging and exchange rates at the London 4p.m. fix pp. 50-72: Michael Melvin and John Prins
Intermediated investment management in private markets: Evidence from pension fund investments in real estate pp. 73-103: Aleksandar Andonov, Piet Eichholtz and Nils Kok

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

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

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

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