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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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Editor: B. Lehmann
Editor: D. Seppi
Series handle: RePEc:eee:finmar
ISSN: 1386-4181

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Content

August 2003, Volume 6, Issue 4

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

May 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.

April 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
163-197 Evolution, efficiency and noise traders in a one-sided auction market
by Luo, Guo Ying
199-225 Speculating against an overconfident market
by Caballe, Jordi & Sakovics, Jozsef

January 2003, Volume 6, Issue 1

1-21 Excess demand and equilibration in multi-security financial markets: the empirical evidence
by Asparouhova, Elena & Bossaerts, Peter & Plott, Charles
23-47 Information dissemination by insiders in equilibrium
by Levine, Carolyn B. & Smith, Michael J.
49-72 Who makes markets
by Schultz, Paul
73-98 The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year
by D'Mello, Ranjan & Ferris, Stephen P. & Hwang, Chuan Yang

October 2002, Volume 5, Issue 4

391-410 Tick size and quote revisions on the NYSE
by Chung, Kee H. & Chuwonganant, Chairat
411-417 Price clustering in foreign exchange spot markets
by Sopranzetti, Ben J. & Datar, Vinay
419-450 Strategic trading and learning about liquidity
by Hong, Harrison & Rady, Sven
451-464 Insider trading and risk aversion
by Baruch, Shmuel

July 2002, Volume 5, Issue 3

259-276 Some desiderata for the measurement of price discovery across markets
by Lehmann, Bruce N.
277-308 Security price adjustment across exchanges: an investigation of common factor components for Dow stocks
by deB. Harris, Frederick H. & McInish, Thomas H. & Wood, Robert A.
309-321 Price discovery and common factor models
by Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana
323-327 Measures of contributions to price discovery: a comparison
by de Jong, Frank
329-339 Stalking the "efficient price" in market microstructure specifications: an overview
by Hasbrouck, Joel
341-348 Common factor components versus information shares: a reply
by Harris, Frederick H. deB. & McInish, Thomas H. & Wood, Robert A.
349-390 Incentives for voluntary disclosure
by Ronen, Joshua & Yaari, Varda (Lewinstein)

April 2002, Volume 5, Issue 2

127-167 Market architecture: limit-order books versus dealership markets
by Viswanathan, S. & Wang, James J. D.
169-195 Depth improvement and adjusted price improvement on the New York stock exchange
by Bacidore, Jeffrey M. & Battalio, Robert H. & Jennings, Robert H.
197-221 Optimal slice of a VWAP trade
by Konishi, Hizuru
223-257 The impact of the Federal Reserve Bank's open market operations
by Harvey, Campbell R. & Huang, Roger D.

January 2002, Volume 5, Issue 1

1-30 East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis
by Chakrabarti, Rajesh & Roll, Richard
31-56 Illiquidity and stock returns: cross-section and time-series effects
by Amihud, Yakov
57-82 Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York
by Hupperets, Erik C. J. & Menkveld, Albert J.
83-125 Can splits create market liquidity? Theory and evidence
by Anshuman, V. Ravi & Kalay, Avner

October 2001, Volume 4, Issue 4

309-357 Incentives for voluntary disclosure
by Ronen, Joshua & Yaari, Varda (Lewinstein)
359-384 Volatility and market structure
by Kavajecz, Kenneth A. & Odders-White, Elizabeth R.
385-412 Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets
by Grammig, Joachim & Schiereck, Dirk & Theissen, Erik

June 2001, Volume 4, Issue 3

209-229 Market microstructure and securities values: : Evidence from the Paris Bourse
by Muscarella, Chris J. & Piwowar, Michael S.
231-260 'Teenies' anyone?
by Ronen, Tavy & Weaver, Daniel G.
261-267 Swimming against the tides: : The case of Aeroflex move from NYSE to Nasdaq
by Kalay, Avner & Portniaguina, Evgenia
269-308 Competing market makers, liquidity provision, and bid-ask spreads
by Bondarenko, Oleg

April 2001, Volume 4, Issue 2

113-142 Predicting VNET: A model of the dynamics of market depth
by Engle, Robert F. & Lange, Joe
143-161 Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks
by Chung, Kee H. & Van Ness, Robert A.
163-184 Volatility, autocorrelations, and trading activity after stock splits
by Kamara, Avraham & Koski, Jennifer Lynch
185-208 An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior
by Ackert, Lucy F. & Church, Bryan & Jayaraman, Narayanan

January 2001, Volume 4, Issue 1

1-32 A new historical database for the NYSE 1815 to 1925: Performance and predictability
by Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang
33-71 A simple model of payment for order flow, internalization, and total trading cost
by Battalio, Robert & Holden, Craig W.
73-84 On the survival of overconfident traders in a competitive securities market
by Hirshleifer, David & Luo, Guo Ying
85-112 The potential for clientele pricing when making markets in financial securities
by Battalio, Robert & Jennings, Robert & Selway, Jamie

November 2000, Volume 3, Issue 4

333-363 Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets
by Theissen, Erik
365-387 Investor risk evaluation in the determination of management incentives in the mutual fund industry
by Berkowitz, Michael K. & Kotowitz, Yehuda
389-402 Market liquidity and depth on two different electronic trading systems: A comparison of Bund futures trading on the APT and DTB
by Kappi, Jari & Siivonen, Risto

August 2000, Volume 3, Issue 3

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

May 2000, Volume 3, Issue 2

83-111 Inferring investor behavior: Evidence from TORQ data
by Lee, Charles M. C. & Radhakrishna, Balkrishna
113-137 Underreactions, overreactions and moderated confidence
by Bloomfield, Robert & Libby, Robert & Nelson, Mark W.
139-176 The trades of NYSE floor brokers
by Sofianos, George & Werner, Ingrid M.
177-204 The determinants of trading volume of high-yield corporate bonds
by Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G.

February 2000, Volume 3, Issue 1

1-16 The price impact of trading on the stock exchange of Hong Kong
by Chan, Yue-Cheong
17-43 Asset market equilibrium with general tastes, returns, and informational asymmetries
by Bernardo, Antonio E. & Judd, Kenneth L.
45-67 Stock returns and trading at the close
by Cushing, David & Madhavan, Ananth
69-81 The capital asset pricing model and the liquidity effect: A theoretical approach
by Jacoby, Gady & Fowler, David J. & Gottesman, Aron A.

November 1999, Volume 2, Issue 4

329-357 The organization of financial exchange markets: Theory and evidence
by Pirrong, Craig
359-389 Stock market dynamics with rational liquidity traders
by Massoud, Nadia & Bernhardt, Dan
391-402 Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows
by Franklin Fant, L.
403-432 Security factors as linear combinations of economic variables
by Zhou, Guofu

August 1999, Volume 2, Issue 3

193-226 Intra-day market activity
by Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle
227-271 Reputation and performance fee effects on portfolio choice by investment advisers1
by Huddart, Steven
273-305 Endogenous informed trading in the presence of trading costs: Theory and evidence
by Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep
307-328 The risk level discriminatory power of mutual fund investment objectives: Additional evidence
by Najand, Mohammad & Prather, Larry J.

May 1999, Volume 2, Issue 2

99-134 Order flow composition and trading costs in a dynamic limit order market1
by Foucault, Thierry
135-151 A new measure of the direction and timing of information flow between markets1
by Finucane, Thomas J.
153-178 Learning from others, reacting, and market quality1
by Chakrabarti, Rajesh & Roll, Richard
179-191 Explaining the intra-day variation in the bid-ask spread in competitive dealership markets - A research note 1
by Levin, Eric J. & Wright, Robert E.

February 1999, Volume 2, Issue 1

1-28 Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1
by Hasbrouck, Joel
29-48 Market depth and order size1
by Kempf, Alexander & Korn, Olaf
49-68 The alpha factor asset pricing model: A parable
by Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy
69-98 To believe or not to believe1
by Bhattacharya, Utpal & Krishnan, Murugappa

September 1998, Volume 1, Issue 3-4

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

August 1998, Volume 1, Issue 2

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

April 1998, Volume 1, Issue 1

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

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