Journal of Financial Markets

1998 - 2025

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

From Elsevier
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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

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

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

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

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 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

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

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

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

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

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