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Corrigendum to “Search friction, liquidity risk, and bond misallocation” [J. Financ. Mark., 70 (2024) 100912] “搜索摩擦、流动性风险与债券错配”[J]。Financ。马克。， 70 (2024) 100912]
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2026-03-05 DOI: 10.1016/j.finmar.2026.101061
Shuo Liu
{"title":"Corrigendum to “Search friction, liquidity risk, and bond misallocation” [J. Financ. Mark., 70 (2024) 100912]","authors":"Shuo Liu","doi":"10.1016/j.finmar.2026.101061","DOIUrl":"10.1016/j.finmar.2026.101061","url":null,"abstract":"","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101061"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916884","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Product markets, gender, and investment behavior 产品市场、性别和投资行为
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2025-11-03 DOI: 10.1016/j.finmar.2025.101030
Daniel Bradley, Kyre Dane Lahtinen, Stephan Shipe
{"title":"Product markets, gender, and investment behavior","authors":"Daniel Bradley,&nbsp;Kyre Dane Lahtinen,&nbsp;Stephan Shipe","doi":"10.1016/j.finmar.2025.101030","DOIUrl":"10.1016/j.finmar.2025.101030","url":null,"abstract":"<div><div>We examine firms that primarily target male or female consumers and find that female (male) households overweight female (male)-focused firms. Females’ investment returns slightly outperform men, but they significantly underperform when investing in female-focused firms. Females trade less than men, but their trading activity increases to match men in female-focused firms. We observe weaker, but similar patterns among institutional investors, indicating that even professional investors are influenced by gender-based preferences. Our findings support domain-specific overconfidence among female investors when investing in firms they are more familiar with and where they may perceive having expertise.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101030"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mandatory co-investment and lock-up in China: A case of inconsistency in gradualistic financial market reform 中国强制性共同投资与锁定期：渐进式金融市场改革的不一致案例
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2025-11-24 DOI: 10.1016/j.finmar.2025.101041
Chonglin Wang, Jia He
{"title":"Mandatory co-investment and lock-up in China: A case of inconsistency in gradualistic financial market reform","authors":"Chonglin Wang,&nbsp;Jia He","doi":"10.1016/j.finmar.2025.101041","DOIUrl":"10.1016/j.finmar.2025.101041","url":null,"abstract":"<div><div>We examine China's mandatory co-investment system, which has been designed to enhance underwriter certification and reduce information asymmetry. We demonstrate inconsistencies between this policy and other regulations within China's gradualistic reform. We argue that these inconsistencies enable underwriters to hedge their co-investment risk, which diminishes the mechanism's effectiveness. After correcting for self-selection bias and estimating the present value of locked co-investment, we find that both issuers and underwriters benefit from co-investment. However, we find no significant improvement in long-term post-IPO stock performance. Our empirical results support this analysis of underwriter hedging and regulatory inconsistencies.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101041"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
AI availability and U.S. corporate bond markets 人工智能可用性和美国公司债券市场
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2025-12-04 DOI: 10.1016/j.finmar.2025.101033
Feng Gao, Shuo Liu, Chuleng Qiu
{"title":"AI availability and U.S. corporate bond markets","authors":"Feng Gao,&nbsp;Shuo Liu,&nbsp;Chuleng Qiu","doi":"10.1016/j.finmar.2025.101033","DOIUrl":"10.1016/j.finmar.2025.101033","url":null,"abstract":"<div><div>We investigate the impact of AI adoption by dealers on U.S. corporate bond liquidity. We use LinkedIn profile data to estimate dealer-specific AI adoption and subsequently construct AI availability at the bond level. Analyzing transaction-level data, we show that AI adoption by bond dealers significantly enhances bond liquidity across various metrics. Specifically, AI adoption improves dealers’ liquidity provision to customer investors and reduces frictions in the over-the-counter dealer-customer market. The reduction in market frictions further enhances the performance of various multi-factor bond pricing models, and mitigates associated anomalies by eliminating arbitrage opportunities.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101033"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Identifying and characterizing opening auction manipulation 识别和表征开拍操纵
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2025-11-14 DOI: 10.1016/j.finmar.2025.101031
Huu Nhan Duong, Sean Foley, Petko S. Kalev, Kin Soon Lim
{"title":"Identifying and characterizing opening auction manipulation","authors":"Huu Nhan Duong,&nbsp;Sean Foley,&nbsp;Petko S. Kalev,&nbsp;Kin Soon Lim","doi":"10.1016/j.finmar.2025.101031","DOIUrl":"10.1016/j.finmar.2025.101031","url":null,"abstract":"<div><div>We identify the motivations, characteristics, and effects of opening price manipulation in Australia using a over 1000 manipulated opening auctions. Detailed order-level data document significant increases in order amendments and cancellations immediately prior to manipulated auctions. Based on these manipulations, we develop an index of the probability of opening price manipulation. Applying our index to opening auctions from 2016 to 2021, we show that potential manipulation remains a persistent issue, particularly around futures expiry dates. Our index can be used by regulators and exchanges seeking to identify potential opening price manipulation, as well as by researchers who lack prosecution data.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101031"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The crumbling wall between crypto and non-crypto markets: Risk transmission through stablecoins 加密和非加密市场之间的摇摇欲坠的墙：通过稳定币的风险传导
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2025-11-22 DOI: 10.1016/j.finmar.2025.101043
Yiping Huang, Yang Ji, Juan Lin, Dan Su, Peng Wang
{"title":"The crumbling wall between crypto and non-crypto markets: Risk transmission through stablecoins","authors":"Yiping Huang,&nbsp;Yang Ji,&nbsp;Juan Lin,&nbsp;Dan Su,&nbsp;Peng Wang","doi":"10.1016/j.finmar.2025.101043","DOIUrl":"10.1016/j.finmar.2025.101043","url":null,"abstract":"<div><div>We develop a theoretical model to explain the shift in risk transmission between the dollar and crypto markets, focusing on stablecoins while excluding other channels like institutional investors. Our model shows that risk flows from the dollar market into the crypto market as stablecoin supply expands, and flows into the dollar market when stablecoin reserves contract. This transmission mechanism can be asymmetric when stablecoins hold sufficient reserves to absorb crypto-market shocks. Copula-based CoVaR tests results support our model. Akin to securitization during the 2007–2009 global financial crisis, stablecoins’ role as a bridge highlights how niche markets can amplify systemic risks.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101043"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Informed securities lending: Evidence from structured finance 知情证券借贷：来自结构融资的证据
IF 2.5 2区 经济学
Journal of Financial Markets Pub Date : 2026-09-01 Epub Date: 2025-11-21 DOI: 10.1016/j.finmar.2025.101032
Alberto Manconi, Massimo Massa
{"title":"Informed securities lending: Evidence from structured finance","authors":"Alberto Manconi,&nbsp;Massimo Massa","doi":"10.1016/j.finmar.2025.101032","DOIUrl":"10.1016/j.finmar.2025.101032","url":null,"abstract":"<div><div>We study the information content of the supply side of the securities lending market by asking two questions: first, whether the supply of lendable securities reflects information about fundamentals; and second, what the source of that information might be. Focusing on structured finance securities, where short selling is limited and loan-level performance is observable, attenuating potential confounding effects, we find that decreases in lendable amounts predict worsening performance. Additional tests suggest that lenders may have access to information not available to other investors, potentially acquired through interactions with lending intermediaries, such as custodians.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"80 ","pages":"Article 101032"},"PeriodicalIF":2.5,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148916879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Can news predict firm bankruptcy? 新闻能预测公司破产吗？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-06-01 Epub Date: 2025-07-21 DOI: 10.1016/j.finmar.2025.101002
Siyu Bie , Guanhao Feng , Naixin Guo , Jingyu He
{"title":"Can news predict firm bankruptcy?","authors":"Siyu Bie ,&nbsp;Guanhao Feng ,&nbsp;Naixin Guo ,&nbsp;Jingyu He","doi":"10.1016/j.finmar.2025.101002","DOIUrl":"10.1016/j.finmar.2025.101002","url":null,"abstract":"<div><div>We examine whether real-time business news predicts firm bankruptcy. Using full-text daily articles from the Dow Jones Newswires database, we generate firm-level predictors with ChatGPT and benchmark against FinBERT and dictionary-based models. ChatGPT-based variables outperform alternatives, with sentiment scores showing predictive power across horizons. Full-text news significantly enhance predictive accuracy over headlines. News-based measures add explanatory power beyond financial variables. Finally, we show that news captures timely information on macroeconomic conditions relevant to bankruptcy prediction, such as VIX, real GDP growth, and recession probability.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"79 ","pages":"Article 101002"},"PeriodicalIF":2.1,"publicationDate":"2026-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148208560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Order flow and cryptocurrency returns 订单流和加密货币回报
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-06-01 Epub Date: 2026-01-15 DOI: 10.1016/j.finmar.2026.101047
Alexia Anastasopoulos, Nikola Gradojevic, Fred Liu, Alex Maynard, Ilias Tsiakas
{"title":"Order flow and cryptocurrency returns","authors":"Alexia Anastasopoulos,&nbsp;Nikola Gradojevic,&nbsp;Fred Liu,&nbsp;Alex Maynard,&nbsp;Ilias Tsiakas","doi":"10.1016/j.finmar.2026.101047","DOIUrl":"10.1016/j.finmar.2026.101047","url":null,"abstract":"<div><div>We assess the information content of order flow for the cross-section of cryptocurrency returns. Our analysis is based on a set of international order flows denominated in 11 major currencies that reflect world order flow. We find that world order flow has strong explanatory and predictive power for cryptocurrency returns. Order flow tends to dominate economic fundamentals for out-of-sample prediction, especially in the context of non-linear machine learning models, and its performance cannot be explained by limits to arbitrage. Overall, our findings indicate that order flow has a permanent effect on cryptocurrency returns.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"79 ","pages":"Article 101047"},"PeriodicalIF":2.1,"publicationDate":"2026-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148208565","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Convertible bond return predictability with machine learning 可转换债券回报可预测性与机器学习
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-06-01 Epub Date: 2025-08-26 DOI: 10.1016/j.finmar.2025.101010
Zhiyong Li , Yining Wang , Fang Qiao , Mei Yu
{"title":"Convertible bond return predictability with machine learning","authors":"Zhiyong Li ,&nbsp;Yining Wang ,&nbsp;Fang Qiao ,&nbsp;Mei Yu","doi":"10.1016/j.finmar.2025.101010","DOIUrl":"10.1016/j.finmar.2025.101010","url":null,"abstract":"<div><div>We employ 13 machine learning algorithms and construct 56 convertible bond predictors to predict the cross-sectional returns of Chinese convertible bonds, a financial instrument that combines debt and equity characteristics. The out-of-sample tests reveal that neural networks (e.g., NN1) notably outperform other models. All methods identify the same set of dominant predictors, primarily including convertible bond returns, prices, conversion premium, and yield to maturity. More importantly, the machine learning portfolio performance remains economically significant even after accounting for transaction costs. Machine learning also enhances out-of-sample trading performance compared to traditional valuation models.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"79 ","pages":"Article 101010"},"PeriodicalIF":2.1,"publicationDate":"2026-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148208562","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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