Journal of Financial Markets

Papers
(The median citation count of Journal of Financial Markets is 1. 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 2020-04-01 to 2024-04-01.)
ArticleCitations
Stock liquidity and default risk around the world35
Risk premium spillovers among stock markets: Evidence from higher-order moments32
The overnight return puzzle and the “T+1” trading rule in Chinese stock markets30
Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha28
Google search volume and individual investor trading27
Nothing but noise? Price discovery across cryptocurrency exchanges23
In law we trust: Lawyer CEOs and stock liquidity22
Does it pay to follow anomalies research? Machine learning approach with international evidence19
Contagious margin calls: How COVID-19 threatened global stock market liquidity17
Forecasting stock returns: A time-dependent weighted least squares approach16
Insider trading ahead of cyber breach announcements16
Cash conversion cycle and aggregate stock returns16
The role of an aligned investor sentiment index in predicting bond risk premia of the U.S16
Financial integration in the EU28 equity markets: Measures and drivers15
Climate risks and realized volatility of major commodity currency exchange rates12
The pricing of the illiquidity factor’s conditional risk with time-varying premium11
Measurement of common risks in tails: A panel quantile regression model for financial returns11
Biased short: Short sellers' disposition effect and limits to arbitrage11
The yield curve and the stock market: Mind the long run11
Noise traders incarnate: Describing a realistic noise trading process10
Does air pollution affect seasoned equity offering pricing? Evidence from investor bids9
Intraday time series momentum: Global evidence and links to market characteristics9
Attention: How high-frequency trading improves price efficiency following earnings announcements9
The choice of SEO method in Korea: Rights vs. public offers9
Local investor horizon clientele and IPO underpricing8
ETFs’ high overnight returns: The early liquidity provider gets the worm8
Intraday market making with overnight inventory costs8
Tick Size Pilot Program and price discovery in U.S. stock markets8
Net buying pressure and the information in bitcoin option trades8
Informed liquidity provision in a limit order market8
Investor attention and municipal bond returns8
Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic7
Option trading volume by moneyness, firm fundamentals, and expected stock returns7
Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses6
Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan6
Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns6
Does shareholder litigation affect the corporate information environment?6
Deviations from time priority on the NYSE6
Does the U.S. president affect the stock market?6
ETF use among actively managed mutual fund portfolios6
Climate events and return comovement5
Does the Nationally Recognized Statistical Rating Organization certification matter for Japanese credit rating agencies?5
Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors5
Broker routing decisions in limit order markets5
Media abnormal tone, earnings announcements, and the stock market5
Climate risks and state-level stock market realized volatility5
Predicting the equity premium with the implied volatility spread5
Predicting stock returns with implied cost of capital: A partial least squares approach5
Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration5
Overselling winners and losers: How mutual fund managers' trading behavior affects asset prices5
Asymmetric information in the equity market and information flow from the equity market to the CDS market4
COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading4
R&D information quality and stock returns4
Arbitrage in the market for cryptocurrencies4
Bidding styles of institutional investors in IPO auctions4
ETF ownership and firm-specific information in corporate bond returns4
Investor sentiment, style investing, and momentum4
Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns4
Financial oligopolies and parallel exclusion in the credit default swap markets4
Who trades at the close? Implications for price discovery and liquidity4
Information processing on equity prices and exchange rate for cross-listed stocks4
Speed and learning in high-frequency auctions4
The equilibrium prices of auction IPO securities: Empirical evidence4
Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange4
The information content of real operating performance measures from the airline industry3
Tracking speculative trading3
Do speed bumps curb low-latency investment? Evidence from a laboratory market3
Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup3
Trust and delegation: A case to consider on broker rebates and investor sophistication3
Fast traders make a quick buck: The role of speed in liquidity provision3
Microstructure invariance in U.S. stock market trades3
Firm fundamentals and the cross-section of implied volatility shapes3
Costly index investing in foreign markets3
Investment styles and the multiple testing of cross-sectional stock return predictability3
Trading costs of private debt3
Predictive information in corporate bond yields3
Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks3
Liquidity components: Commonality in liquidity, underreaction, and equity returns3
Surprise in short interest3
Strategic trading by insiders in the presence of institutional investors2
Sequential entry in illiquid markets2
Sidedness in the interbank market2
Liquid speed: A micro-burst fee for low-latency exchanges2
Inferring trade directions in fast markets2
The shrinking stock market2
Dealer inventory, pricing, and liquidity in the OTC derivatives markets: Evidence from index CDSs2
Recovery from fast crashes: Role of mutual funds2
Profitability anomaly and aggregate volatility risk2
The economics of the financial market for volatility trading2
Stock illiquidity and option returns2
Asset pricing with data revisions2
LIBOR's poker2
Risk disclosure in IPO advertisement and the quality of the firm2
Optimal contract for asset trades: Collateralizing or selling?2
Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets2
Mutual fund preference for pure-play firms2
Legal risk and information spillover through private lender reports2
Market power, ambiguity, and market participation2
The Bank of Japan's equity purchases and stock illiquidity2
Who should buy stocks when volatility spikes?2
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options2
Price impact versus bid–ask spreads in the index option market2
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?2
Dissecting the listing gap: Mergers, private equity, or regulation?2
The visible hand: benchmarks, regulation, and liquidity1
The dynamics of short sales constraints and market quality: An experimental approach1
Jump and volatility risk in the cross-section of corporate bond returns1
Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation1
Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program1
Gender, learning, and earnings estimate accuracy1
Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns1
Job postings and aggregate stock returns1
The role of idiosyncratic jumps in stock markets1
The race to exploit anomalies and the cost of slow trading1
Insider trading regulation and trader migration1
Options-implied information and the momentum cycle1
Betting against analyst target price1
Informed options strategies before corporate events1
Spillover effects between liquidity risks through endogenous debt maturity1
The disappearing profitability of volatility-managed equity factors1
Spread position as a leading economic indicator1
Price formation in field prediction markets: The wisdom in the crowd1
Realizing correlations across asset classes1
Standardization, transparency initiatives, and liquidity in the CDS market1
Are retail investors less aggressive on small price stocks?1
Local institutional investors and debt maturity1
Is the index efficient? A worldwide tour with stochastic dominance1
Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds1
Options-based systemic risk, financial distress, and macroeconomic downturns1
Investor short-termism and real investment1
Central clearing and loss allocation rules1
Daily short selling around reverse stock splits1
Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation1
Financial leverage and stock return comovement1
Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs1
Transaction costs, frequent trading, and stock prices1
Call of duty: Designated market maker participation in call auctions1
Common short selling and excess comovement: Evidence from a sample of LSE stocks1
Who is buying and (not) lending when shorts are selling?1
Jumps in stock prices: New insights from old data1
The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave networks1
Options listings and loan contract terms: Information versus risk-shifting1
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