OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Financial Markets is 4. 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.)

Article	Citations
Stock liquidity and default risk around the world	45
Nothing but noise? Price discovery across cryptocurrency exchanges	27
Climate risks and realized volatility of major commodity currency exchange rates	25
Does it pay to follow anomalies research? Machine learning approach with international evidence	24
Contagious margin calls: How COVID-19 threatened global stock market liquidity	21
Forecasting stock returns: A time-dependent weighted least squares approach	20
The role of an aligned investor sentiment index in predicting bond risk premia of the U.S	18
Financial integration in the EU28 equity markets: Measures and drivers	17
Cash conversion cycle and aggregate stock returns	16
Attention: How high-frequency trading improves price efficiency following earnings announcements	14
Noise traders incarnate: Describing a realistic noise trading process	14
Net buying pressure and the information in bitcoin option trades	13
The pricing of the illiquidity factor’s conditional risk with time-varying premium	13
Investor attention and municipal bond returns	11
Does air pollution affect seasoned equity offering pricing? Evidence from investor bids	11
Measurement of common risks in tails: A panel quantile regression model for financial returns	11
Option trading volume by moneyness, firm fundamentals, and expected stock returns	11
Intraday time series momentum: Global evidence and links to market characteristics	10
COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading	10
Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan	10
The choice of SEO method in Korea: Rights vs. public offers	9
Tick Size Pilot Program and price discovery in U.S. stock markets	9
Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic	9
Climate risks and state-level stock market realized volatility	9
Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns	9

Does shareholder litigation affect the corporate information environment?	9
Local investor horizon clientele and IPO underpricing	8
Bidding styles of institutional investors in IPO auctions	8
ETFs’ high overnight returns: The early liquidity provider gets the worm	8
ETF use among actively managed mutual fund portfolios	8
Informed liquidity provision in a limit order market	8
Arbitrage in the market for cryptocurrencies	8
Predicting the equity premium with the implied volatility spread	8
Who trades at the close? Implications for price discovery and liquidity	7
Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses	7
Broker routing decisions in limit order markets	7
Does the U.S. president affect the stock market?	7
Media abnormal tone, earnings announcements, and the stock market	7
Climate events and return comovement	6
Does the Nationally Recognized Statistical Rating Organization certification matter for Japanese credit rating agencies?	6
Deviations from time priority on the NYSE	6
Overselling winners and losers: How mutual fund managers' trading behavior affects asset prices	6
R&D information quality and stock returns	6
Options-based systemic risk, financial distress, and macroeconomic downturns	6
Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration	5
Fast traders make a quick buck: The role of speed in liquidity provision	5
Speed and learning in high-frequency auctions	5
Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors	5
Predicting stock returns with implied cost of capital: A partial least squares approach	5
Dissecting the listing gap: Mergers, private equity, or regulation?	5
Investor sentiment, style investing, and momentum	5
Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup	5
Mutual fund preference for pure-play firms	5
Jumps in stock prices: New insights from old data	5
Asymmetric information in the equity market and information flow from the equity market to the CDS market	4
Firm fundamentals and the cross-section of implied volatility shapes	4
Do speed bumps curb low-latency investment? Evidence from a laboratory market	4
The equilibrium prices of auction IPO securities: Empirical evidence	4
Standardization, transparency initiatives, and liquidity in the CDS market	4
Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange	4
Information processing on equity prices and exchange rate for cross-listed stocks	4
ETF ownership and firm-specific information in corporate bond returns	4
Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns	4
The Bank of Japan's equity purchases and stock illiquidity	4
Liquidity components: Commonality in liquidity, underreaction, and equity returns	4
Surprise in short interest	4
Institutional herding and investor sentiment	4
Predictive information in corporate bond yields	4
Risk disclosure in IPO advertisement and the quality of the firm	4
Transaction costs, frequent trading, and stock prices	4
Costly index investing in foreign markets	4
Financial oligopolies and parallel exclusion in the credit default swap markets	4