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Elsevier

Journal of Financial Markets

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Web page: http://www.elsevier.com/locate/finmar

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2011, Volume 14, Issue 2

193-226 Geographic proximity and price discovery: Evidence from NASDAQ
by Anand, Amber & Gatchev, Vladimir A. & Madureira, Leonardo & Pirinsky, Christo A. & Underwood, Shane
227-258 Transparency matters: Price formation in the presence of order preferencing
by Lescourret, Laurence & Robert, Christian Y.
259-276 Stock price synchronicity and public firm-specificinformation
by Xing, Xuejing & Anderson, Randy
277-300 Capacity and factor timing effects in active portfoliomanagement
by Ciccotello, Conrad & Greene, Jason & Ling, Leng & Rakowski, David
301-322 Hedge fund return sensitivity to global liquidity
by Kessler, Stephan & Scherer, Bernd
323-343 Conventional mutual index funds versus exchange-traded funds
by Agapova, Anna
344-375 Effects of foreign ownership on payout policy: Evidence from the Korean market
by Jeon, Jin Q. & Lee, Cheolwoo & Moffett, Clay M.
376-410 Product market power and stock market liquidity
by Kale, Jayant R. & Loon, Yee Cheng
411-440 Patriotism in your portfolio
by Morse, Adair & Shive, Sophie

2011, Volume 14, Issue 1

1-46 What happened to the quants in August 2007? Evidence from factors and transactions data
by Khandani, Amir E. & Lo, Andrew W.
47-81 Order characteristics and the sources of commonality in prices and liquidity
by Corwin, Shane A. & Lipson, Marc L.
82-108 Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets
by Wang, Jianxin & Yang, Minxian
109-126 Why do only some Nasdaq firms switch to the NYSE? Evidence from corporate transactions
by Kedia, Simi & Panchapagesan, Venkatesh
127-160 Liquidity effect in OTC options markets: Premium or discount?
by Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G.
161-192 Relative valuation and analyst target price forecasts
by Da, Zhi & Schaumburg, Ernst

2010, Volume 13, Issue 4

367-396 Speed, distance, and electronic trading: New evidence on why location matters
by Garvey, Ryan & Wu, Fei
397-421 The skinny on the 2008 naked short-sale restrictions
by Boulton, Thomas J. & Braga-Alves, Marcus V.
422-447 International asset allocation for incompletely-informed investors
by Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin
448-474 Daily institutional trades and stock price volatility in a retail investor dominated emerging market
by Li, Wei & Wang, Steven Shuye
475-500 Institutional ownership stability and the cost of debt
by Elyasiani, Elyas & Jia, Jingyi (Jane) & Mao, Connie X.

2010, Volume 13, Issue 3

321-343 The information content of option-implied volatility for credit default swap valuation
by Cao, Charles & Yu, Fan & Zhong, Zhaodong
344-366 Surprising information, the MDH, and the relationship between volatility and trading volume
by Park, Beum-Jo

2010, Volume 13, Issue 2

225-248 How asymmetric is U.S. stock market volatility?
by Ederington, Louis H. & Guan, Wei
249-267 Financial distress and idiosyncratic volatility: An empirical investigation
by Chen, Jing & Chollete, Lorán & Ray, Rina
268-294 Asset allocation and portfolio performance: Evidence from university endowment funds
by Brown, Keith C. & Garlappi, Lorenzo & Tiu, Cristian
295-320 How and when is dual trading irrelevant?
by Bernhardt, Dan & Taub, Bart

2010, Volume 13, Issue 1

1-19 A structural analysis of price discovery measures
by Yan, Bingcheng & Zivot, Eric
20-48 Option market liquidity: Commonality and other characteristics
by Cao, Melanie & Wei, Jason
49-76 Price, trade size, and information revelation in multi-period securities markets
by Ozsoylev, Han N. & Takayama, Shino
77-100 Do relative leverage and relative distress really explain size and book-to-market anomalies?
by Chou, Pin-Huang & Ko, Kuan-Cheng & Lin, Shinn-Juh
101-128 Whose trades convey information? Evidence from a cross-section of traders
by Menkhoff, Lukas & Schmeling, Maik
129-156 Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration
by Balvers, Ronald & Wu, Yangru
157-173 Short sales and trade classification algorithms
by Asquith, Paul & Oman, Rebecca & Safaya, Christopher
174-195 Confidence, opinions of market efficiency, and investment behavior of finance professors
by Doran, James S. & Peterson, David R. & Wright, Colby
196-223 Group affiliation and the performance of IPOs in the Indian stock market
by Marisetty, Vijaya B. & Subrahmanyam, Marti G.

2009, Volume 12, Issue 4

547-569 Systematic noise
by Barber, Brad M. & Odean, Terrance & Zhu, Ning
570-591 A tale of two time zones: The impact of substitutes on cross-listed stock liquidity
by Moulton, Pamela C. & Wei, Li
592-610 Spread behavior around board meetings for firms with concentrated insider ownership
by Mishra, Suchi & Rowe, Wei & Prakash, Arun & Ghosh, Dilip K.
611-644 Liquidity and capital structure
by Lipson, Marc L. & Mortal, Sandra
645-671 Locating decision rights: Evidence from the mutual fund industry
by Cashman, George D. & Deli, Daniel N.
672-702 Gone fishin': Seasonality in trading activity and asset prices
by Hong, Harrison & Yu, Jialin
703-726 The information content of trading halts
by Jiang, Christine & McInish, Thomas & Upson, James
727-753 Cleaning house: Stock reassignments on the NYSE
by Anand, Amber & Chakravarty, Sugato & Chuwonganant, Chairat
754-777 The value of combining the information content of analyst recommendations and target prices
by Huang, Joshua & Mujtaba Mian, G. & Sankaraguruswamy, Srinivasan
778-813 New low-frequency spread measures
by Holden, Craig W.
814-831 Daily income target effects: Evidence from a large sample of professional commodities traders
by Locke, Peter R. & Mann, Steven C.
832-869 Optimal execution of open-market stock repurchase programs
by Oded, Jacob

2009, Volume 12, Issue 3

337-367 Anonymity, liquidity and fragmentation
by Comerton-Forde, Carole & Tang, Kar Mei
368-390 Leveraged investor disclosures and concentrations of risk
by Ko, K. Jeremy
391-417 Option strategies: Good deals and margin calls
by Santa-Clara, Pedro & Saretto, Alessio
418-437 Measures of implicit trading costs and buy-sell asymmetry
by Hu, Gang
438-468 Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)
by Boehme, Rodney D. & Danielsen, Bartley R. & Kumar, Praveen & Sorescu, Sorin M.
469-499 Credit ratings and the cross-section of stock returns
by Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander
500-520 Corporate debt issues and interest rate risk management: Hedging or market timing?
by Antoniou, Antonios & Zhao, Huainan & Zhou, Bilei
521-546 The other January effect: International, style, and subperiod evidence
by Stivers, Chris & Sun, Licheng & Sun, Yong

2009, Volume 12, Issue 2

143-172 Technology and liquidity provision: The blurring of traditional definitions
by Hasbrouck, Joel & Saar, Gideon
173-202 Using matched samples to test for differences in trade execution costs
by Davies, Ryan J. & Kim, Sang Soo
203-228 Intraday time and order execution quality dimensions
by Garvey, Ryan & Wu, Fei
229-267 Stock exchange merger and liquidity: The case of Euronext
by Nielsson, Ulf
268-289 The cross-market information content of stock and bond order flow
by Underwood, Shane
290-316 Daily short interest, idiosyncratic risk, and stock returns
by Au, Andrea S. & Doukas, John A. & Onayev, Zhan
317-336 Do individual investors learn from their trading experience?
by Nicolosi, Gina & Peng, Liang & Zhu, Ning

2009, Volume 12, Issue 1

1-31 Which past returns affect trading volume?
by Glaser, Markus & Weber, Martin
32-53 Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia
by Agarwal, Sumit & Faircloth, Sheri & Liu, Chunlin & Ghon Rhee, S.
54-86 The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks
by He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B.
87-106 Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions
by Collver, Charles
107-141 Monitoring and limit order submission risks
by Liu, Wai-Man

2008, Volume 11, Issue 4

339-376 Liquidity in the pricing of syndicated loans
by Gupta, Anurag & Singh, Ajai K. & Zebedee, Allan A.
377-399 Market segmentation, liquidity spillover, and closed-end country fund discounts
by Chan, Justin S.P. & Jain, Ravi & Xia, Yihong
400-432 Updating expectations: An analysis of post-9/11 returns
by Kallberg, Jarl & Liu, Crocker H. & Pasquariello, Paolo
433-452 Probability weighting and loss aversion in futures hedging
by Mattos, Fabio & Garcia, Philip & Pennings, Joost M.E.

2008, Volume 11, Issue 3

199-227 Is the value spread a useful predictor of returns?
by Liu, Naiping & Zhang, Lu
228-258 Melting pot or salad bowl: Some evidence from U.S. investments abroad
by Bhattacharya, Utpal & Groznik, Peter
259-283 Investor and price response to patterns in earnings surprises
by Frieder, Laura
284-307 Stock exchange competition in a simple model of capital market equilibrium
by Ramos, Sofia B. & von Thadden, Ernst-Ludwig
308-337 Locked and crossed markets on NASDAQ and the NYSE
by Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A.

2008, Volume 11, Issue 2

113-143 Competition in the market for NASDAQ securities
by Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A.
144-159 Performance information dissemination in the mutual fund industry
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J.M.
160-179 Delisted firms and momentum profits
by Eisdorfer, Assaf
180-197 Credit spread determinants: An 85 year perspective
by Davies, Andrew

2008, Volume 11, Issue 1

1-35 Failure to exercise call options: An anomaly and a trading game
by Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E.
36-56 The information content of net buying pressure: Evidence from the KOSPI 200 index option market
by Kang, Jangkoo & Park, Hyoung-Jin
57-83 On the effects of stock spam e-mails
by Hanke, Michael & Hauser, Florian
84-111 The effect of price tests on trader behavior and market quality: An analysis of Reg SHO
by Alexander, Gordon J. & Peterson, Mark A.

2007, Volume 10, Issue 4

319-341 Pre-trade transparency and market quality
by Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho
342-361 Liquidity and firm characteristics: Evidence from mergers and acquisitions
by Lipson, Marc L. & Mortal, Sandra
362-390 Do the diversification choices of individual investors influence stock returns?
by Kumar, Alok
391-415 The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market
by Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu

2007, Volume 10, Issue 3

219-248 Ownership level, ownership concentration and liquidity
by Rubin, Amir
249-286 Modelling the buy and sell intensity in a limit order book market
by Hall, Anthony D. & Hautsch, Nikolaus
287-317 Financial market design and bounded rationality: An experiment
by Pouget, Sebastien

2007, Volume 10, Issue 2

107-143 Informative trading or just costly noise? An analysis of Central Bank interventions
by Pasquariello, Paolo
144-168 Liquidity supply in electronic markets
by Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H.
169-191 The PIN anomaly around M&A announcements
by Aktas, Nihat & de Bodt, Eric & Declerck, Fany & Van Oppens, Herve
192-218 Commonality in the time-variation of stock-stock and stock-bond return comovements
by Connolly, Robert A. & Stivers, Chris & Sun, Licheng

2007, Volume 10, Issue 1

1-25 Measuring the resiliency of an electronic limit order book
by Large, Jeremy
26-47 Estimating the probability of informed trading--does trade misclassification matter?
by Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik
48-75 Momentum, reversal, and the trading behaviors of institutions
by Gutierrez, Roberto Jr. & Prinsky, Christo A.
76-105 Noise trader risk: Evidence from the Siamese twins
by Scruggs, John T.

2006, Volume 9, Issue 4

333-365 Quantifying cognitive biases in analyst earnings forecasts
by Friesen, Geoffrey & Weller, Paul A.
366-407 Underwriter learning about unfamiliar firms: Evidence from the history of biotech IPOS
by Pukthuanthong, Kuntara
408-432 Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market
by Naes, Randi & Skjeltorp, Johannes A.
433-447 Hybrid markets, tick size and investor trading costs
by Portniaguina, Evgenia & Bernhardt, Dan & Hughson, Eric

2006, Volume 9, Issue 3

223-245 Profits and speculation in intra-day foreign exchange trading
by Mende, Alexander & Menkhoff, Lukas
246-273 The impact of preferencing on execution quality
by He, Chen & Odders-White, Elizabeth & Ready, Mark J.
274-309 Value of analyst recommendations: International evidence
by Jegadeesh, Narasimhan & Kim, Woojin
310-331 Divergence of opinion and equity returns under different states of earnings expectations
by Doukas, John A. & Kim, Chansog & Pantzalis, Christos

2006, Volume 9, Issue 2

79-99 Equity trading by institutional investors: To cross or not to cross?
by Naes, Randi & Odegaard, Bernt Arne
100-118 The value of the specialist: Empirical evidence from the CBOE
by Anand, Amber & Weaver, Daniel G.
119-143 An examination of large sell orders in cold IPO aftermarkets
by Krishnan, C.N.V. & Singh, Ajai K. & Zebedee, Allan A.
144-161 Cross-listing, price discovery and the informativeness of the trading process
by Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco
162-179 On the importance of timing specifications in market microstructure research
by Henker, Thomas & Wang, Jian-Xin
180-198 Option-implied risk preferences: An extension to wider classes of utility functions
by Kang, Byung Jin & Kim, Tong Suk
199-222 The influence of call auction algorithm rules on market efficiency
by Comerton-Forde, Carole & Rydge, James

2006, Volume 9, Issue 1

1-26 Strategic delivery failures in U.S. equity markets
by Boni, Leslie
27-48 On the presence and market-structure of exchanges around the world
by Clayton, Matthew J. & Jorgensen, Bjorn N. & Kavajecz, Kenneth A.
49-78 Market structure, fragmentation, and market quality
by Bennett, Paul & Wei, Li

2005, Volume 8, Issue 4

351-376 Liquidity commonality and return co-movement
by Domowitz, Ian & Hansch, Oliver & Wang, Xiaoxin
377-399 Duration, volume and volatility impact of trades
by Manganelli, Simone
400-420 Did decimalization hurt institutional investors?
by Chakravarty, Sugato & Panchapagesan, Venkatesh & Wood, Robert A.
421-451 Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong
by Ahn, Hee-Joon & Cai, Jun & Cheung, Yan Leung

2005, Volume 8, Issue 3

265-287 Should securities markets be transparent?
by Madhavan, Ananth & Porter, David & Weaver, Daniel
288-308 Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders
by Anand, Amber & Chakravarty, Sugato & Martell, Terrence
309-323 Firm-initiated and exchange-initiated transfers to continuous trading: Evidence from the Warsaw Stock Exchange
by Henke, Harald & Lauterbach, Beni
324-349 Dispersion of opinion and stock returns
by Goetzmann, William N. & Massa, Massimo

2005, Volume 8, Issue 2

111-151 Stock valuation in dynamic economies
by Bakshi, Gurdip & Chen, Zhiwu
153-181 Time-varying informed and uninformed trading activities
by Lei, Qin & Wu, Guojun
183-216 Trade disclosure and price dispersion
by Angeles de Frutos, M. & Manzano, Carolina
217-264 Market microstructure: A survey of microfoundations, empirical results, and policy implications
by Biais, Bruno & Glosten, Larry & Spatt, Chester

2005, Volume 8, Issue 1

1-23 Trade-through prohibitions and market quality
by Hendershott, Terrence & Jones, Charles M.
25-67 The information content of the limit order book: evidence from NYSE specialist trading decisions
by Harris, Lawrence E. & Panchapagesan, Venkatesh
69-87 Price impacts of options volume
by Schlag, Christian & Stoll, Hans
89-109 International momentum strategies: a stochastic dominance approach
by Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi

2004, Volume 7, Issue 4

351-375 The manipulation of closing prices
by Hillion, Pierre & Suominen, Matti
377-403 Are share price levels informative? Evidence from the ownership, pricing, turnover and performance of IPO firms
by Fernando, Chitru S. & Krishnamurthy, Srinivasan & Spindt, Paul A.
405-426 Can order exposure be mandated?
by Anand, Amber & Weaver, Daniel G.
427-451 Short sales, price pressure, and the stock price response to convertible bond calls
by Bechmann, Ken L.

2004, Volume 7, Issue 3

237-270 Value creating stock manipulation: feedback effect of stock prices on firm value
by Khanna, Naveen & Sonti, Ramana
271-299 Market liquidity as a sentiment indicator
by Baker, Malcolm & Stein, Jeremy C.
301-333 Trading strategies during circuit breakers and extreme market movements
by Goldstein, Michael A. & Kavajecz, Kenneth A.
335-350 The market microstructure and relative performance of Taiwan stock index futures: a comparison of the Singapore exchange and the Taiwan futures exchange
by Huang, Yu Chuan

2004, Volume 7, Issue 2

117-143 Microstructure with multiple assets: an experimental investigation into direct and indirect dealer competition
by Lamoureux, Christopher G. & Schnitzlein, Charles R.
145-185 Expandable limit order markets
by Boni, Leslie & Leach, Chris
187-206 Manipulation in market order models
by Chakraborty, Archishman & Yilmaz, Bilge
207-235 Market-wide impact of the disposition effect: evidence from IPO trading volume
by Kaustia, Markku

2004, Volume 7, Issue 1

1-25 Impacts of trades in an error-correction model of quote prices
by Engle, Robert F. & Patton, Andrew J.
27-51 Specialist performance and new listing allocations on the NYSE: an empirical analysis
by Corwin, Shane A.
53-74 Order aggressiveness in limit order book markets
by Ranaldo, Angelo
75-96 Determining security speed of adjustment coefficients
by Theobald, Michael & Yallup, Peter
97-116 Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending
by Furfine, Craig H.

2003, Volume 6, Issue 4

461-489 Quote setting and price formation in an order driven market
by Handa, Puneet & Schwartz, Robert & Tiwari, Ashish
491-516 The Toronto Stock Exchange preopening session
by Davies, Ryan J.
517-538 Traders' choice between limit and market orders: evidence from NYSE stocks
by Bae, Kee-Hong & Jang, Hasung & Park, Kyung Suh
539-571 Specialist participation and limit orders
by Bondarenko, Oleg & Sung, Jaeyoung
573-605 Local parametric analysis of derivatives pricing and hedging
by Bossaerts, Peter & Hillion, Pierre
607-624 Market structure and diversification of mutual funds
by Shy, Oz & Stenbacka, Rune

2003, Volume 6, Issue 3

227-231 What we measure in execution cost measurement
by Lehmann, Bruce N.
233-257 Issues in assessing trade execution costs
by Bessembinder, Hendrik
259-280 Evaluation of the biases in execution cost estimation using trade and quote data
by Peterson, Mark & Sirri, Erik
281-307 Quantifying market order execution quality at the New York stock exchange
by Bacidore, Jeffrey & Ross, Katharine & Sofianos, George
309-335 NYSE order flow, spreads, and information
by Werner, Ingrid M.
337-362 Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange
by Bacidore, Jeffrey & Battalio, Robert H. & Jennings, Robert H.
363-387 Intra-industry momentum: the case of REITs
by Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John
389-411 Firm-level return dispersion and the future volatility of aggregate stock market returns
by Stivers, Christopher T.

2003, Volume 6, Issue 2

99-141 Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market
by Massa, Massimo & Simonov, Andrei
143-162 All else equal?: a multidimensional analysis of retail, market order execution quality
by Battalio, Robert & Hatch, Brian & Jennings, Robert