Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 3, issue 4, 2000

Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets pp. 333-363

Erik Theissen

Investor risk evaluation in the determination of management incentives in the mutual fund industry pp. 365-387

Michael Berkowitz and Yehuda Kotowitz

Market liquidity and depth on two different electronic trading systems: A comparison of Bund futures trading on the APT and DTB pp. 389-402

Jari Kappi and Risto Siivonen

Volume 3, issue 3, 2000

Market microstructure: A survey pp. 205-258

Ananth Madhavan

On the occurrence and consequences of inaccurate trade classification pp. 259-286

Elizabeth R. Odders-White

On the endogeneity of trading arrangements pp. 287-314

Andrei Kirilenko

Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand pp. 315-332

Kenneth Kim and Piman Limpaphayom

Volume 3, issue 2, 2000

Inferring investor behavior: Evidence from TORQ data pp. 83-111

Charles Lee and Balkrishna Radhakrishna

Underreactions, overreactions and moderated confidence pp. 113-137

Robert Bloomfield, Robert Libby and Mark W. Nelson

The trades of NYSE floor brokers pp. 139-176

George Sofianos and Ingrid M. Werner

The determinants of trading volume of high-yield corporate bonds pp. 177-204

Gordon Alexander, Amy Edwards and Michael G. Ferri

Volume 3, issue 1, 2000

The price impact of trading on the stock exchange of Hong Kong pp. 1-16

Yue-Cheong Chan

Asset market equilibrium with general tastes, returns, and informational asymmetries pp. 17-43

Antonio E. Bernardo and Kenneth Judd

Stock returns and trading at the close pp. 45-67

David Cushing and Ananth Madhavan

The capital asset pricing model and the liquidity effect: A theoretical approach pp. 69-81

Gady Jacoby, David J. Fowler and Aron A. Gottesman

Volume 2, issue 4, 1999

The organization of financial exchange markets: Theory and evidence pp. 329-357

Craig Pirrong

Stock market dynamics with rational liquidity traders pp. 359-389

Nadia Massoud and Dan Bernhardt

Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows pp. 391-402

L. Franklin Fant

Security factors as linear combinations of economic variables pp. 403-432

Guofu Zhou

Volume 2, issue 3, 1999

Intra-day market activity pp. 193-226

Christian Gourieroux, Joann Jasiak and Gaelle Le Fol

Reputation and performance fee effects on portfolio choice by investment advisers1 pp. 227-271

Steven Huddart

Endogenous informed trading in the presence of trading costs: Theory and evidence pp. 273-305

Jin-Wan Cho, Jhinyoung Shin and Rajdeep Singh

The risk level discriminatory power of mutual fund investment objectives: Additional evidence pp. 307-328

Mohammad Najand and Larry J. Prather

Volume 2, issue 2, 1999

Order flow composition and trading costs in a dynamic limit order market1 pp. 99-134

Thierry Foucault

A new measure of the direction and timing of information flow between markets1 pp. 135-151

Thomas J. Finucane

Learning from others, reacting, and market quality1 pp. 153-178

Rajesh Chakrabarti and Richard Roll

Explaining the intra-day variation in the bid-ask spread in competitive dealership markets - A research note 1 pp. 179-191

Eric J. Levin and Robert Wright

Volume 2, issue 1, 1999

Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1 pp. 1-28

Joel Hasbrouck

Market depth and order size1 pp. 29-48

Alexander Kempf and Olaf Korn

The alpha factor asset pricing model: A parable pp. 49-68

Wayne E. Ferson, Sergei Sarkissian and Timothy Simin

To believe or not to believe1 pp. 69-98

Utpal Bhattacharya and Murugappa Krishnan

Volume 1, issue 3-4, 1998

Floors, dealer markets and limit order markets pp. 253-284

Bruno Biais, Thierry Foucault and François Salanié

Endogenous market statistics and security pricing:: An empirical investigation pp. 285-319

Thomas J. George and Chuan-Yang Hwang

Strategic trading, asymmetric information and heterogeneous prior beliefs pp. 321-352

F. Albert Wang

Aggressiveness and survival of overconfident traders pp. 353-383

Alexandros V. Benos

Long-lived information and intraday patterns pp. 385-402

Kerry Back and Hal Pedersen

Volume 1, issue 2, 1998

Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs pp. 151-174

Alan Kraus and Maxwell Smith

Financial analysts and information-based trade pp. 175-201

David Easley, Maureen O'Hara and Joseph Paperman

Liquidity and stock returns: An alternative test pp. 203-219

Vinay T. Datar, Narayan Y. Naik and Robert Radcliffe

Information acquisition, information release and trading dynamics pp. 221-252

Mark Bagnoli and Susan G. Watts

Volume 1, issue 1, 1998

Optimal control of execution costs pp. 1-50

Dimitris Bertsimas and Andrew Lo

Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities pp. 51-87

Hee-Joon Ahn, Charles Cao and Hyuk Choe

Bid-ask spreads with indirect competition among specialists pp. 89-119

Thomas Gehrig and Matthew Jackson

Adverse selection and bid-ask spreads: Evidence from closed-end funds pp. 121-149

Robert Neal and Simon M. Wheatley