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Editor: B. Lehmann
Editor: B. Lehmann
Editor: B. Lehmann
Series handle: RePEc:eee:finmar
ISSN: 1386-4181
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Content
May 2005, Volume 8, Issue 2
February 2005, Volume 8, Issue 1
October 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.
June 2004, Volume 7, Issue 3
February 2004, Volume 7, Issue 2
January 2004, Volume 7, Issue 1
August 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
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
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
January 2002, Volume 5, Issue 1
October 2001, Volume 4, Issue 4
June 2001, Volume 4, Issue 3
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
August 2000, Volume 3, Issue 3
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
August 1999, Volume 2, Issue 3
May 1999, Volume 2, Issue 2
February 1999, Volume 2, Issue 1
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