Journal of Financial Markets

Papers
(The median citation count of Journal of Financial Markets is 2. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2021-05-01 to 2025-05-01.)
ArticleCitations
Asymmetry and the cross-section of option returns57
Who is buying and (not) lending when shorts are selling?45
Dealer inventory, pricing, and liquidity in the OTC derivatives markets: Evidence from index CDSs35
Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data29
Do analysts distribute negative opinions earlier?23
Mood, attention, and household trading: Evidence from terrorist attacks19
Financial leverage and stock return comovement19
Benchmarking the effects of the Fed's Secondary Market Corporate Credit Facility using Yankee bonds19
An ETF-based measure of stock price fragility19
Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks18
Climate risks and state-level stock market realized volatility17
Spillover effects between liquidity risks through endogenous debt maturity16
Editorial Board15
Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency14
Corporate bond price reversals13
Attention: How high-frequency trading improves price efficiency following earnings announcements13
Net buying pressure and the information in bitcoin option trades13
Jump and volatility risk in the cross-section of corporate bond returns12
Retail trading and analyst coverage12
Editorial Board12
Machine invasion: Automation in information acquisition and the cross-section of stock returns10
Who should buy stocks when volatility spikes?10
Intraday variation in cross-sectional stock comovement and impact of index-based strategies10
Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns10
Informed trading prior to financial misconduct: Evidence from option markets10
Doctors managing mutual funds: Returns to specialization in asset management9
Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal9
Friend or foe: On a common shareholder relationship between mutual funds and public companies8
LIBOR's poker8
Bond risk’s role in the equity risk-return tradeoff8
Investor sentiment, style investing, and momentum8
Transparency in fragmented markets: Experimental evidence7
Newspapers tone and the overnight-intraday stock return anomaly7
Intraday time series momentum: Global evidence and links to market characteristics7
Asymmetric information in the equity market and information flow from the equity market to the CDS market7
Bigger pie, bigger slice: liquidity, value gain, and underpricing in IPOs6
Asset pricing with data revisions6
Spread position as a leading economic indicator6
Price impact versus bid–ask spreads in the index option market6
Surprise in short interest6
Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses6
Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup6
Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration6
Investor attention and municipal bond returns6
Market power, ambiguity, and market participation5
Does air pollution affect seasoned equity offering pricing? Evidence from investor bids5
Editorial Board5
Inferring trade directions in fast markets5
Fundamental characteristics, machine learning, and stock price crash risk5
Modern OTC market structure and liquidity: The tale of three tiers5
Are mutual fund managers good gamblers?5
Firm visibility, liquidity, and valuation for thinly traded assets5
Strategic trading by insiders in the presence of institutional investors5
Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic5
The price effect of temporary short-selling bans: Theory and evidence4
The alphas of beta and idiosyncratic volatility4
Editorial Board4
Search friction, liquidity risk, and bond misallocation4
Does shareholder litigation affect the corporate information environment?4
Climate risks and realized volatility of major commodity currency exchange rates4
Mutual fund preference for pure-play firms4
Price bands and their effects on equity markets: Evidence from a natural experiment4
Can stock trading suspension calm down investors during market crises?4
Editorial Board4
Arbitrage in the market for cryptocurrencies4
Does stock market rescue affect investment efficiency in the real sector?4
Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases4
Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program4
The equilibrium prices of auction IPO securities: Empirical evidence4
Nothing but noise? Price discovery across cryptocurrency exchanges4
Realizing correlations across asset classes3
Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors3
Editorial Board3
Private information disclosure in the secondary loan market and its impact on equity market trading costs3
Options market ambiguity and its information content3
Banning dark pools: Venue selection and investor trading costs3
Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns3
Strategic trading as a response to short sellers3
Editorial Board3
Informed options strategies before corporate events3
Editorial Board3
Firm fundamentals and the cross-section of implied volatility shapes3
The lead–lag relation between VIX futures and SPX futures3
Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China3
Contagious margin calls: How COVID-19 threatened global stock market liquidity3
Tick Size Pilot Program and price discovery in U.S. stock markets2
Broker routing decisions in limit order markets2
Editorial Board2
The price evolution in financial markets under influence of published opinions2
Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs2
Stock liquidity and default risk around the world2
Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange2
Is the index efficient? A worldwide tour with stochastic dominance2
Profitability anomaly and aggregate volatility risk2
Short selling and the pricing of PIN information risk2
Fast traders make a quick buck: The role of speed in liquidity provision2
Financial integration in the EU28 equity markets: Measures and drivers2
Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation2
Investment styles and the multiple testing of cross-sectional stock return predictability2
Transaction fees: Impact on institutional order types, commissions, and execution quality2
Noise traders incarnate: Describing a realistic noise trading process2
Back to the futures: When short selling is banned2
Auction-based tests of inventory control and private information in a centralized interdealer FX market2
Stabilizing the financial markets through communication and informed trading2
Common short selling and excess comovement: Evidence from a sample of LSE stocks2
Editorial Board2
Sequential entry in illiquid markets2
COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading2
Editorial Board2
Editorial Board2
On the choice of central counterparties in the EU2
Are retail investors less aggressive on small price stocks?2
The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave networks2
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?2
Speed competition and strategic trading2
Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market2
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