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 2020-10-01 to 2024-10-01.)
ArticleCitations
Stock liquidity and default risk around the world45
Nothing but noise? Price discovery across cryptocurrency exchanges27
Climate risks and realized volatility of major commodity currency exchange rates25
Does it pay to follow anomalies research? Machine learning approach with international evidence24
Contagious margin calls: How COVID-19 threatened global stock market liquidity21
Forecasting stock returns: A time-dependent weighted least squares approach20
The role of an aligned investor sentiment index in predicting bond risk premia of the U.S18
Financial integration in the EU28 equity markets: Measures and drivers17
Cash conversion cycle and aggregate stock returns16
Noise traders incarnate: Describing a realistic noise trading process14
Attention: How high-frequency trading improves price efficiency following earnings announcements14
The pricing of the illiquidity factor’s conditional risk with time-varying premium13
Net buying pressure and the information in bitcoin option trades13
Option trading volume by moneyness, firm fundamentals, and expected stock returns11
Investor attention and municipal bond returns11
Does air pollution affect seasoned equity offering pricing? Evidence from investor bids11
Measurement of common risks in tails: A panel quantile regression model for financial returns11
COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading10
Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan10
Intraday time series momentum: Global evidence and links to market characteristics10
Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic9
Climate risks and state-level stock market realized volatility9
Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns9
Does shareholder litigation affect the corporate information environment?9
The choice of SEO method in Korea: Rights vs. public offers9
Tick Size Pilot Program and price discovery in U.S. stock markets9
Informed liquidity provision in a limit order market8
Arbitrage in the market for cryptocurrencies8
Predicting the equity premium with the implied volatility spread8
Local investor horizon clientele and IPO underpricing8
Bidding styles of institutional investors in IPO auctions8
ETFs’ high overnight returns: The early liquidity provider gets the worm8
ETF use among actively managed mutual fund portfolios8
Media abnormal tone, earnings announcements, and the stock market7
Who trades at the close? Implications for price discovery and liquidity7
Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses7
Broker routing decisions in limit order markets7
Does the U.S. president affect the stock market?7
R&D information quality and stock returns6
Options-based systemic risk, financial distress, and macroeconomic downturns6
Climate events and return comovement6
Does the Nationally Recognized Statistical Rating Organization certification matter for Japanese credit rating agencies?6
Deviations from time priority on the NYSE6
Overselling winners and losers: How mutual fund managers' trading behavior affects asset prices6
Predicting stock returns with implied cost of capital: A partial least squares approach5
Dissecting the listing gap: Mergers, private equity, or regulation?5
Investor sentiment, style investing, and momentum5
Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup5
Mutual fund preference for pure-play firms5
Jumps in stock prices: New insights from old data5
Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration5
Fast traders make a quick buck: The role of speed in liquidity provision5
Speed and learning in high-frequency auctions5
Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors5
Surprise in short interest4
Institutional herding and investor sentiment4
Predictive information in corporate bond yields4
Risk disclosure in IPO advertisement and the quality of the firm4
Transaction costs, frequent trading, and stock prices4
Costly index investing in foreign markets4
Financial oligopolies and parallel exclusion in the credit default swap markets4
Asymmetric information in the equity market and information flow from the equity market to the CDS market4
Firm fundamentals and the cross-section of implied volatility shapes4
Do speed bumps curb low-latency investment? Evidence from a laboratory market4
The equilibrium prices of auction IPO securities: Empirical evidence4
Standardization, transparency initiatives, and liquidity in the CDS market4
Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange4
Information processing on equity prices and exchange rate for cross-listed stocks4
ETF ownership and firm-specific information in corporate bond returns4
Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns4
The Bank of Japan's equity purchases and stock illiquidity4
Liquidity components: Commonality in liquidity, underreaction, and equity returns4
Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds3
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options3
Trading costs of private debt3
Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks3
Dealer inventory, pricing, and liquidity in the OTC derivatives markets: Evidence from index CDSs3
Investment styles and the multiple testing of cross-sectional stock return predictability3
LIBOR's poker3
Insider trading regulation and trader migration3
Strategic trading by insiders in the presence of institutional investors3
The shrinking stock market3
Profitability anomaly and aggregate volatility risk3
Price formation in field prediction markets: The wisdom in the crowd3
The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave networks3
Options-implied information and the momentum cycle3
Stock illiquidity and option returns3
Tracking speculative trading3
The economics of the financial market for volatility trading3
The exit choices of European private firms: A dynamic empirical analysis3
Asset pricing with data revisions3
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?3
Liquid speed: A micro-burst fee for low-latency exchanges2
Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets2
The race to exploit anomalies and the cost of slow trading2
Local institutional investors and debt maturity2
Sequential entry in illiquid markets2
Who should buy stocks when volatility spikes?2
Sidedness in the interbank market2
Fundamental characteristics, machine learning, and stock price crash risk2
Optimal contract for asset trades: Collateralizing or selling?2
Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs2
Price impact versus bid–ask spreads in the index option market2
Who is buying and (not) lending when shorts are selling?2
Common short selling and excess comovement: Evidence from a sample of LSE stocks2
Informed options strategies before corporate events2
Inferring trade directions in fast markets2
Betting against analyst target price2
Spillover effects between liquidity risks through endogenous debt maturity2
The disappearing profitability of volatility-managed equity factors2
Gender, learning, and earnings estimate accuracy2
Job postings and aggregate stock returns2
Recovery from fast crashes: Role of mutual funds2
Bond risk’s role in the equity risk-return tradeoff2
Legal risk and information spillover through private lender reports2
Market power, ambiguity, and market participation2
Investor short-termism and real investment2
The visible hand: benchmarks, regulation, and liquidity2
Jump and volatility risk in the cross-section of corporate bond returns2
The dynamics of short sales constraints and market quality: An experimental approach2
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