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Editor: B. Lehmann
Editor: B. Lehmann
Series handle: RePEc:eee:finmar
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Content
2021, Volume 53, Issue C
2021, Volume 52, Issue C
- S1386418120300252 The economics of the financial market for volatility trading
by Ruan, Xinfeng & Zhang, Jin E.
- S1386418120300306 The invisible burden
by Liu, Xin & Yin, Chengxi & Zheng, Weinan
- S1386418120300318 Measurement of common risks in tails: A panel quantile regression model for financial returns
by Baruník, Jozef & Čech, František
- S1386418120300355 Informed liquidity provision in a limit order market
by Brolley, Michael & Malinova, Katya
- S138641812030015X Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan
by Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung
- S138641812030029X Cash conversion cycle and aggregate stock returns
by Lin, Qi & Lin, Xi
- S138641812030032X ETFs’ high overnight returns: The early liquidity provider gets the worm
by Lachance, Marie-Eve
2020, Volume 51, Issue C
- S1386418119300485 Costly index investing in foreign markets
by Pedraza, Alvaro & Pulga, Fredy & Vasquez, Jose
- S1386418119303593 ETF use among actively managed mutual fund portfolios
by Sherrill, D. Eli & Shirley, Sara E. & Stark, Jeffrey R.
- S1386418119303611 Predicting the equity premium with the implied volatility spread
by Cao, Charles & Simin, Timothy & Xiao, Han
- S1386418120300100 The role of an aligned investor sentiment index in predicting bond risk premia of the U.S
by Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E.
- S1386418120300148 Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns
by Melvin, Michael & Pan, Wenqiang & Wikstrom, Petra
- S1386418120300161 Self-fulfilling arbitrages necessitate crash risk
by Ahn, Dong-Hyun & Kim, Soohun & Seo, Kyoungwon
- S1386418120300288 Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets
by Aramonte, Sirio & Szerszeń, Paweł J.
- S138641812030001X The choice of SEO method in Korea: Rights vs. public offers
by Kim, Ju Hyun & Song, Kyojik
2020, Volume 50, Issue C
- S1386418119300126 Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha
by Ding, Rong & Zhou, Hang & Li, Yifan
- S1386418119303581 The information content of real operating performance measures from the airline industry
by Borochin, Paul
- S1386418120300033 The overnight return puzzle and the “T+1” trading rule in Chinese stock markets
by Qiao, Kenan & Dam, Lammertjan
- S1386418120300173 In law we trust: Lawyer CEOs and stock liquidity
by Pham, Mia Hang
- S1386418120300331 Intraday market making with overnight inventory costs
by Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong
- S138641811930134X The yield curve and the stock market: Mind the long run
by Faria, Gonçalo & Verona, Fabio
- S138641811930357X Insider trading ahead of cyber breach announcements
by Lin, Zhaoxin & Sapp, Travis R.A. & Ulmer, Jackie Rees & Parsa, Rahul
2020, Volume 49, Issue C
- S1386418116303123 Microstructure invariance in U.S. stock market trades
by Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan
- S1386418118302453 Biased short: Short sellers' disposition effect and limits to arbitrage
by von Beschwitz, Bastian & Massa, Massimo
- S1386418119303568 Trust and delegation: A case to consider on broker rebates and investor sophistication
by Haziza, Mor M. & Kalay, Avner
- S1386418120300021 Risk premium spillovers among stock markets: Evidence from higher-order moments
by Finta, Marinela Adriana & Aboura, Sofiane
- S1386418120300136 Google search volume and individual investor trading
by Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline
- S138641811930360X Call of duty: Designated market maker participation in call auctions
by Theissen, Erik & Westheide, Christian
2020, Volume 48, Issue C
- S1386418118300818 Volatility-of-volatility and the cross-section of option returns
by Ruan, Xinfeng
- S1386418118302039 The leverage ratio and liquidity in the gilt and gilt repo markets
by Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David
- S1386418118302428 Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes
by Kedar-Levy, Haim
- S1386418119300795 Expected issuance fees and market liquidity
by Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J.
- S138641811830243X Tales of tails: Jumps in currency markets
by Lee, Suzanne S. & Wang, Minho
- S138641811830257X Credit default swaps and market information
by Osano, Hiroshi
2020, Volume 47, Issue C
- S1386418117302264 Trading aggressiveness and market efficiency
by Klein, Olga
- S1386418118302295 Too much of a good thing? Speculative effects on commodity futures curves
by van Huellen, Sophie
- S1386418119300084 Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model
by Ters, Kristyna & Urban, Jörg
- S1386418119303544 Price discovery in stock and options markets
by Patel, Vinay & Putniņš, Tālis J. & Michayluk, David & Foley, Sean
- S1386418119303556 The network nature of over-the-counter interest rates
by Rainone, Edoardo
- S138641811830140X The memory of stock return volatility: Asset pricing implications
by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp
2019, Volume 46, Issue C
- v:46:y:2019:i:c:s1386418118302519 A state-space modeling of the information content of trading volume
by Rzayev, Khaladdin & Ibikunle, Gbenga
- v:46:y:2019:i:c:s1386418118300168 Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
by Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George
- v:46:y:2019:i:c:s1386418118303094 How much do investors trade because of name/ticker confusion?
by Balashov, Vadim S. & Nikiforov, Andrei
- v:46:y:2019:i:c:s1386418118303057 The information content of short-term options
by Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin
- v:46:y:2019:i:c:s1386418118303525 Short selling and market anomalies
by Wu, Juan (Julie) & Zhang, Jianzhong (Andrew)
- v:46:y:2019:i:c:s1386418118300776 Market anomalies and disaster risk: Evidence from extreme weather events
by Lanfear, Matthew G. & Lioui, Abraham & Siebert, Mark G.
2019, Volume 45, Issue C
- 1-18 Make-take decisions under high-frequency trading competition
by Bernales, Alejandro
- 19-36 Disposition sales and stock market liquidity
by Choi, Darwin
- 37-60 How rigged are stock markets? Evidence from microsecond timestamps
by Bartlett, Robert P. & McCrary, Justin
- 61-82 The preholiday corporate announcement effect
by Autore, Don M. & Jiang, Danling
- 83-114 Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
by Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela
- 115-138 The long-term impact of sovereign wealth fund investments
by Park, Raphael Jonghyeon & Xu, Simon & In, Francis & Ji, Philip Inyeob
2019, Volume 44, Issue C
- 1-16 Strategic trading with risk aversion and information flow
by Sastry, Ravi & Thompson, Rex
- 17-30 Agreeing on disagreement: Heterogeneity or uncertainty?
by ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J.
- 31-41 Nominal stock price anchors: A global phenomenon?
by Bae, Kee-Hong & Bhattacharya, Utpal & Kang, Jisok & Rhee, S. Ghon
- 42-70 Beauties of the emperor: An investigation of a Chinese government bailout
by Chi, Yeguang & Li, Xiaoming
- 71-90 Extreme absolute strength of stocks and performance of momentum strategies
by Yang, Xuebing & Zhang, Huilan
- 91-118 Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section
by Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin
2019, Volume 43, Issue C
- 1-30 Fast and slow informed trading
by Roşu, Ioanid
- 31-53 An analysis of over-the-counter and centralized stock lending markets
by Huszár, Zsuzsa R. & Prado, Melissa Porras
- 54-77 Do upgrades matter? Evidence from trading volume
by Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F.
- 78-95 Good and bad volatility spillovers: An asymmetric connectedness
by BenSaïda, Ahmed
- 96-120 Excess comovement in credit default swap markets: Evidence from the CDX indices
by Cathcart, Lara & El-Jahel, Lina & Evans, Leo & Shi, Yining
- 121-136 Implied volatility and investor beliefs in experimental asset markets
by Ackert, Lucy F. & Kluger, Brian D. & Qi, Li
2019, Volume 42, Issue C
- 1-28 Short-term trading skill: An analysis of investor heterogeneity and execution quality
by Sağlam, Mehmet & Moallemi, Ciamac C. & Sotiropoulos, Michael G.
- 29-55 Intraday information from S&P 500 Index futures options
by Lim, Kian Guan & Chen, Ying & Yap, Nelson K.L.
- 56-74 Who trades on momentum?
by Baltzer, Markus & Jank, Stephan & Smajlbegovic, Esad
- 75-93 Informed contrarian trades and stock returns
by Chang, Sanders S. & Albert Wang, F.
- 94-120 The convergence and divergence of investors' opinions around earnings news: Evidence from a social network
by Giannini, Robert & Irvine, Paul & Shu, Tao
- 121-142 Financial sector bailouts, sovereign bailouts, and the transfer of credit risk
by Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang
2018, Volume 41, Issue C
- 1-16 The maximum bid-ask spread
by Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J.
- 17-35 The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ
by Dang, Viet Anh & Michayluk, David & Pham, Thu Phuong
- 36-56 Do leveraged ETFs really amplify late-day returns and volatility?
by Ivanov, Ivan T. & Lenkey, Stephen L.
- 57-76 Journalist disagreement
by Hillert, Alexander & Jacobs, Heiko & Müller, Sebastian
- 77-91 The MAX effect: Lottery stocks with price limits and limits to arbitrage
by Hung, Weifeng & Yang, J. Jimmy
- 92-116 When are extreme daily returns not lottery? At earnings announcements!
by Nguyen, Hung T. & Truong, Cameron
2018, Volume 40, Issue C
- 2-22 The microstructure of a U.S. Treasury ECN: The BrokerTec platform
by Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang
- 23-39 A natural experiment for efficient markets: Information quality and influential agents
by Mills, Brian M. & Salaga, Steven
- 40-59 Market frictions, investor sophistication, and persistence in mutual fund performance
by Dumitrescu, Ariadna & Gil-Bazo, Javier
- 60-74 Proximity and litigation: Evidence from the geographic location of institutional investors
by Mazur, Mieszko & Salganik-Shoshan, Galla & Walker, Thomas & Wang, Jun
- 75-91 The effects of conference call tones on market perceptions of value uncertainty
by Borochin, Paul A. & Cicon, James E. & DeLisle, R. Jared & Price, S. McKay
- 92-108 The curious case of negative volatility
by Merkle, Christoph
2018, Volume 39, Issue C
- 1-23 Liquidity might come at cost: The role of heterogeneous preferences
by Hauser, Shmuel & Kedar-Levy, Haim
- 24-43 Funding constraints and liquidity in two-tiered OTC markets
by Benos, Evangelos & Žikeš, Filip
- 44-67 Does exposure to foreign competition affect stock liquidity? Evidence from industry-level import data
by Atawnah, Nader & Balachandran, Balasingham & Duong, Huu Nhan & Podolski, Edward J.
- 68-83 Corporate investment, short-term return reversal, and stock liquidity
by Kang, Moonsoo & Khaksari, S. & Nam, Kiseok
- 84-110 Uncovering the impact of regulatory uncertainty on credit spreads: A study of the U.S. covered bond experience
by Bhanot, Karan & Larsson, Carl F.
- 111-125 Policy uncertainty and bank bailouts
by Caliendo, Frank N. & Guo, Nick L. & Smith, Jason M.
2018, Volume 38, Issue C
- 1-13 Politics and liquidity
by Marshall, Ben R. & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat
- 14-38 Bid- and ask-side liquidity in the NYSE limit order book
by Cenesizoglu, Tolga & Grass, Gunnar
- 39-59 Higher-moment liquidity risks and the cross-section of stock returns
by Kim, Soonho & Na, Haejung
- 60-82 Momentum lost and found in corporate bond returns
by Ho, Hwai-Chung & Wang, Hsiao-Chuan
- 83-102 Forecasting the equity risk premium: The importance of regime-dependent evaluation
by Baltas, Nick & Karyampas, Dimitrios
- 103-123 Technical analysis and stock return predictability: An aligned approach
by Lin, Qi
- 124-140 Cognitive reference points, institutional investors' bid prices, and IPO pricing: Evidence from IPO auctions in China
by Gao, Shenghao & Meng, Qingbin & Chan, Jesse Y. & Chan, Kam C.
2018, Volume 37, Issue C
- 1-16 Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange
by Jørgensen, Kjell & Skjeltorp, Johannes & Ødegaard, Bernt Arne
- 17-34 Market volatility and stock returns: The role of liquidity providers
by Chung, Kee H. & Chuwonganant, Chairat
- 35-51 Intraday momentum in FX markets: Disentangling informed trading from liquidity provision
by Elaut, Gert & Frömmel, Michael & Lampaert, Kevin
- 52-69 Inflation and equity mutual fund flows
by Krishnamurthy, Srinivasan & Pelletier, Denis & Warr, Richard S.
- 70-96 What options to trade and when: Evidence from seasoned equity offerings
by Kim, Donghan & Kim, Jun Sik & Seo, Sung Won
- 97-119 Do co-jumps impact correlations in currency markets?
by Barunik, Jozef & Vacha, Lukas
- 120-135 Evolution of historical prices in momentum investing
by Chen, Li-Wen & Yu, Hsin-Yi & Wang, Wen-Kai
2017, Volume 36, Issue C
- 1-16 Permanent price impact asymmetry of trades with institutional constraints
by Chiyachantana, Chiraphol & Jain, Pankaj K. & Jiang, Christine & Sharma, Vivek
- 17-39 The market for lemmings: The herding behavior of pension funds
by Blake, David & Sarno, Lucio & Zinna, Gabriele
- 40-55 Institutional trading before dividend reduction announcements
by Henry, Darren & Nguyen, Lily & Pham, Viet Hung
- 56-75 Equity premium prediction: The role of economic and statistical constraints
by Li, Jiahan & Tsiakas, Ilias
- 76-90 Macroeconomic risk and seasonality in momentum profits
by Ji, Xiuqing & Martin, J. Spencer & Yao, Yaqiong
- 91-114 The impact of central clearing on banks’ lending discipline
by Arnold, M.
- 115-131 On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment
by Han, Jianlei & Pan, Zheyao
2017, Volume 35, Issue C
- 1-20 Effects of lit and dark market fragmentation on liquidity
by Gresse, Carole
- 21-46 Price discovery in equity and CDS markets
by Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui
- 47-64 The relationship between equity and bond returns: An empirical investigation
by Demirovic, Amer & Guermat, Cherif & Tucker, Jon
- 65-83 Teaming up and quiet intervention: The impact of institutional investors on executive compensation policies
by Mazur, Mieszko & Salganik-Shoshan, Galla
- 84-103 Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street?
by Donadelli, Michael & Kizys, Renatas & Riedel, Max
- 104-129 When chasing the offender hurts the victim: The case of insider legislation
by Palan, Stefan & Stöckl, Thomas
2017, Volume 33, Issue C
- 1-21 Lockstep in liquidity: Common dealers and co-movement in bond liquidity
by Gissler, Stefan
- 22-41 The determinants and pricing of liquidity commonality around the world
by Moshirian, Fariborz & Qian, Xiaolin & Wee, Claudia Koon Ghee & Zhang, Bohui
- 42-74 Liquidity measures throughout the lifetime of the U.S. Treasury bond
by Díaz, Antonio & Escribano, Ana
- 75-101 Short selling around the 52-week and historical highs
by Lee, Eunju & Piqueira, Natalia
- 102-123 Short on drugs: Short selling during the drug development process
by Berkman, Henk & Eugster, Marco
- 124-142 Short selling and the pricing of closed-end funds
by Alexander, Gordon J. & Peterson, Mark A.
2017, Volume 32, Issue C
- 1-27 Understanding transactions prices in the credit default swaps market
by Tang, Dragon Yongjun & Yan, Hong
- 28-48 Intraday price discovery in fragmented markets
by Ozturk, Sait R. & van der Wel, Michel & van Dijk, Dick
- 49-68 Multiple markets, algorithmic trading, and market liquidity
by Upson, James & Van Ness, Robert A.
- 69-96 Cross-sectional factor dynamics and momentum returns
by Avramov, Doron & Hore, Satadru
- 97-143 Limited participation under ambiguity of correlation
by Huang, Helen Hui & Zhang, Shunming & Zhu, Wei
2016, Volume 31, Issue C
- 1-24 Does high-frequency trading increase systemic risk?
by Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H.
- 25-42 The total benefit of alternative assets to pension fund portfolios
by Jackwerth, Jens Carsten & Slavutskaya, Anna
- 43-62 Risk and return spillovers among the G10 currencies
by Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Rafferty, Barry
- 63-80 What׳s a name worth? The impact of a likeable stock ticker symbol on firm value
by Xing, Xuejing & Anderson, Randy I. & Hu, Yan
- 81-126 The determinants of IPO-related shareholder litigation: The role of CEO equity incentives and corporate governance
by Li, Xingli & Pukthuanthong, Kuntara & Glenn Walker, Marcus & Walker, Thomas John
2016, Volume 30, Issue C
- 1-26 Network externalities in mutual funds
by Blocher, Jesse
- 27-53 Liquidity, style investing and excess comovement of exchange-traded fund returns
by Broman, Markus S.
- 54-77 Price discovery and the cross-section of high-frequency trading
by Benos, Evangelos & Sagade, Satchit
- 78-102 Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions
by Rydqvist, Kristian & Wu, Mark
- 103-124 Time series momentum and volatility scaling
by Kim, Abby Y. & Tse, Yiuman & Wald, John K.
2016, Volume 29, Issue C
- 1-26 Does mood affect trading behavior?
by Kaustia, Markku & Rantapuska, Elias
- 27-46 Limited cognition and clustered asset prices: Evidence from betting markets
by Brown, Alasdair & Yang, Fuyu
- 47-65 What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?
by Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han
- 66-86 Return predictability in the corporate bond market along the supply chain
by Chen, Long & Zhang, Gaiyan & Zhang, Weina
- 87-109 Cross-sectional return dispersion and the equity premium
by Maio, Paulo
- 110-143 Earnings news, expected earnings, and aggregate stock returns
by Choi, Jung Ho & Kalay, Alon & Sadka, Gil
2016, Volume 28, Issue C
- 1-23 Market quality breakdowns in equities
by Gao, Cheng & Mizrach, Bruce
- 24-45 Market size matters: A model of excess volatility in large markets
by Kawakami, Kei
- 46-69 Pricing errors and the geography of trade in the foreign exchange market
by Piccotti, Louis R.
- 70-90 Liquidity cost vs. real investment efficiency
by Bade, Marco & Hirth, Hans
- 91-115 Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders
by Gozluklu, Arie E.
- 116-131 The value of the wildcard option in cash-settled American index options
by Lasser, Dennis J. & Spizman, Joshua D.
- 132-148 On variance bounds for asset price changes
by Lansing, Kevin J.
2016, Volume 27, Issue C
- 1-27 Reducing opacity in over-the-counter markets
by Zhong, Zhuo
- 28-54 Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?
by Ülkü, Numan & Fatullayev, Sabutay & Diachenko, Daria
- 55-78 Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš
- 79-101 Is there information leakage prior to share repurchase announcements? Evidence from daily options trading
by Hao, (Grace) Qing
- 102-131 Dissecting the bond profitability premium
by Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex
- 132-146 Trading activities of short-sellers around index deletions: Evidence from the Nikkei 225
by Takahashi, Hidetomo & Xu, Peng
2015, Volume 26, Issue C
- 1-37 Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
by Bernales, Alejandro & Guidolin, Massimo
- 38-63 Volatility-of-volatility and tail risk hedging returns
by Park, Yang-Ho
- 64-84 Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach
by Jawadi, Fredj & Louhichi, Waël & Idi Cheffou, Abdoulkarim
- 85-102 Short sales and the weekend effect—Evidence from a natural experiment
by Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu
- 103-121 Informed trading in parallel bond markets
by Paiardini, Paola
2015, Volume 25, Issue C
- 1-15 A dynamic model of hedging and speculation in the commodity futures markets
by Cifarelli, Giulio & Paladino, Giovanna
- 16-32 Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market
by Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M.
- 33-51 Equity volatility as a determinant of future term-structure volatility
by Bansal, Naresh & Connolly, Robert A. & Stivers, Chris
- 52-79 Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm
by Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy
2015, Volume 24, Issue C
- 1-24 Frontier market transaction costs and diversification
by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat
- 25-48 Relative liquidity and future volatility
by Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinländer, Thorsten
- 49-65 Asymmetric effects of sell-side analyst optimism and broker market share by clientele
by Grant, Andrew & Jarnecic, Elvis & Su, Mark
- 66-92 Trading price jump clusters in foreign exchange markets
by Novotný, Jan & Petrov, Dmitri & Urga, Giovanni
2015, Volume 23, Issue C
- 1-25 Style representation and portfolio choice
by Massa, Massimo & Simonov, Andrei & Stenkrona, Anders
- 26-58 Options market makers׳ hedging and informed trading: Theory and evidence
by Huh, Sahn-Wook & Lin, Hao & Mello, Antonio S.
- 59-74 Sentiment bubbles
by Berger, David & Turtle, Harry J.
- 75-97 On the determinants of pairs trading profitability
by Jacobs, Heiko & Weber, Martin
2015, Volume 22, Issue C
- 1-26 Cross-listings and liquidity commonality around the world
by Dang, Tung Lam & Moshirian, Fariborz & Wee, Claudia Koon Ghee & Zhang, Bohui
- 27-49 The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X
by He, Peng William & Jarnecic, Elvis & Liu, Yubo
- 50-72 Equity hedging and exchange rates at the London 4p.m. fix
by Melvin, Michael & Prins, John
- 73-103 Intermediated investment management in private markets: Evidence from pension fund investments in real estate
by Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils
2014, Volume 21, Issue C
- 1-24 Trading anonymity and order anticipation
by Friederich, Sylvain & Payne, Richard
- 25-49 Macroeconomic uncertainty and the cross-section of option returns
by Aramonte, Sirio
- 50-75 Who trades with whom? Individuals, institutions, and returns
by Stoffman, Noah
- 76-97 Liquidity risk and institutional ownership
by Cao, Charles & Petrasek, Lubomir
- 98-122 High short interest effect and aggregate volatility risk
by Barinov, Alexander & Wu, Juan (Julie)
- 123-152 Predictions of corporate bond excess returns
by Lin, Hai & Wang, Junbo & Wu, Chunchi
- 153-180 Commodity index trading and hedging costs
by Brunetti, Celso & Reiffen, David
2014, Volume 20, Issue C
- 1-19 Risk-return trade-off and serial correlation: Do volume and volatility matter?
by Kinnunen, Jyri
- 20-38 Exploiting stochastic dominance to generate abnormal stock returns
by Clark, Ephraim & Kassimatis, Konstantinos
- 39-60 On the relation between forecast precision and trading profitability of financial analysts
by Marinelli, Carlo & Weissensteiner, Alex
- 61-78 A comprehensive study of liquidity before and after SEOs and SEO underpricing
by He, Yan & Wang, Junbo & John Wei, K.C.
- 79-100 Short sales and class-action lawsuits
by Blau, Benjamin M. & Tew, Philip L.
- 101-128 Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia
by Ainsworth, Andrew & Lee, Adrian D.
- 129-150 The relative contribution of ask and bid quotes to price discovery
by Pascual, Roberto & Pascual-Fuster, Bartolomé
- 151-174 Are trading imbalances indicative of private information?
by Kim, Sukwon Thomas & Stoll, Hans R.
- 175-193 The delta- and vega-related information content of near-the-money option market trading activity
by Rourke, Thomas
2014, Volume 19, Issue C
- 1-38 Price impact and asset pricing
by Huh, Sahn-Wook
- 39-61 Information disclosure and price discovery
by Tang, Ya
- 62-85 How should individual investors diversify? An empirical evaluation of alternative asset allocation policies
by Jacobs, Heiko & Müller, Sebastian & Weber, Martin
- 86-109 Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias
by Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr
- 110-130 Industry-based style investing
by Jame, Russell & Tong, Qing