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Journal of Financial Markets

1998 - 2021

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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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 Downloads
Erik Theissen
Investor risk evaluation in the determination of management incentives in the mutual fund industry pp. 365-387 Downloads
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 Downloads
Jari Kappi and Risto Siivonen

Volume 3, issue 3, 2000

Market microstructure: A survey pp. 205-258 Downloads
Ananth Madhavan
On the occurrence and consequences of inaccurate trade classification pp. 259-286 Downloads
Elizabeth R. Odders-White
On the endogeneity of trading arrangements pp. 287-314 Downloads
Andrei Kirilenko
Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand pp. 315-332 Downloads
Kenneth Kim and Piman Limpaphayom

Volume 3, issue 2, 2000

Inferring investor behavior: Evidence from TORQ data pp. 83-111 Downloads
Charles Lee and Balkrishna Radhakrishna
Underreactions, overreactions and moderated confidence pp. 113-137 Downloads
Robert Bloomfield, Robert Libby and Mark W. Nelson
The trades of NYSE floor brokers pp. 139-176 Downloads
George Sofianos and Ingrid M. Werner
The determinants of trading volume of high-yield corporate bonds pp. 177-204 Downloads
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 Downloads
Yue-Cheong Chan
Asset market equilibrium with general tastes, returns, and informational asymmetries pp. 17-43 Downloads
Antonio E. Bernardo and Kenneth Judd
Stock returns and trading at the close pp. 45-67 Downloads
David Cushing and Ananth Madhavan
The capital asset pricing model and the liquidity effect: A theoretical approach pp. 69-81 Downloads
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 Downloads
Craig Pirrong
Stock market dynamics with rational liquidity traders pp. 359-389 Downloads
Nadia Massoud and Dan Bernhardt
Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows pp. 391-402 Downloads
L. Franklin Fant
Security factors as linear combinations of economic variables pp. 403-432 Downloads
Guofu Zhou

Volume 2, issue 3, 1999

Intra-day market activity pp. 193-226 Downloads
Christian Gourieroux, Joann Jasiak and Gaelle Le Fol
Reputation and performance fee effects on portfolio choice by investment advisers1 pp. 227-271 Downloads
Steven Huddart
Endogenous informed trading in the presence of trading costs: Theory and evidence pp. 273-305 Downloads
Jin-Wan Cho, Jhinyoung Shin and Rajdeep Singh
The risk level discriminatory power of mutual fund investment objectives: Additional evidence pp. 307-328 Downloads
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 Downloads
Thierry Foucault
A new measure of the direction and timing of information flow between markets1 pp. 135-151 Downloads
Thomas J. Finucane
Learning from others, reacting, and market quality1 pp. 153-178 Downloads
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 Downloads
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 Downloads
Joel Hasbrouck
Market depth and order size1 pp. 29-48 Downloads
Alexander Kempf and Olaf Korn
The alpha factor asset pricing model: A parable pp. 49-68 Downloads
Wayne E. Ferson, Sergei Sarkissian and Timothy Simin
To believe or not to believe1 pp. 69-98 Downloads
Utpal Bhattacharya and Murugappa Krishnan

Volume 1, issue 3-4, 1998

Floors, dealer markets and limit order markets pp. 253-284 Downloads
Bruno Biais, Thierry Foucault and François Salanié
Endogenous market statistics and security pricing:: An empirical investigation pp. 285-319 Downloads
Thomas J. George and Chuan-Yang Hwang
Strategic trading, asymmetric information and heterogeneous prior beliefs pp. 321-352 Downloads
F. Albert Wang
Aggressiveness and survival of overconfident traders pp. 353-383 Downloads
Alexandros V. Benos
Long-lived information and intraday patterns pp. 385-402 Downloads
Kerry Back and Hal Pedersen

Volume 1, issue 2, 1998

Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs pp. 151-174 Downloads
Alan Kraus and Maxwell Smith
Financial analysts and information-based trade pp. 175-201 Downloads
David Easley, Maureen O'Hara and Joseph Paperman
Liquidity and stock returns: An alternative test pp. 203-219 Downloads
Vinay T. Datar, Narayan Y. Naik and Robert Radcliffe
Information acquisition, information release and trading dynamics pp. 221-252 Downloads
Mark Bagnoli and Susan G. Watts

Volume 1, issue 1, 1998

Optimal control of execution costs pp. 1-50 Downloads
Dimitris Bertsimas and Andrew Lo
Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities pp. 51-87 Downloads
Hee-Joon Ahn, Charles Cao and Hyuk Choe
Bid-ask spreads with indirect competition among specialists pp. 89-119 Downloads
Thomas Gehrig and Matthew Jackson
Adverse selection and bid-ask spreads: Evidence from closed-end funds pp. 121-149 Downloads
Robert Neal and Simon M. Wheatley
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