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Journal of Empirical Finance

1993 - 2017

Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

From Elsevier
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Volume 40, issue C, 2017

Time-varying continuous and jump betas: The role of firm characteristics and periods of stress pp. 1-19 Downloads
Vitali Alexeev, Mardi Dungey and Wenying Yao
Institutional ownership and aggregate volatility risk pp. 20-38 Downloads
Alexander Barinov
What drives the “Smart-Money” effect? Evidence from investors’ money flow to mutual fund classes pp. 39-58 Downloads
George J. Jiang and H. Zafer Yuksel
Informed retail investors: Evidence from retail short sales pp. 59-72 Downloads
Keith Jacks Gamble and Wei Xu
Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain pp. 73-100 Downloads
Atanas Mihov and Andy Naranjo
Relation between higher order comoments and dependence structure of equity portfolio pp. 101-120 Downloads
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
Improving the accuracy of asset price bubble start and end date estimators pp. 121-138 Downloads
David I. Harvey, Stephen J. Leybourne and Robert Sollis
The success of option listings pp. 139-161 Downloads
Alejandro Bernales
Dynamic cross-autocorrelation in stock returns pp. 162-173 Downloads
Jyri Kinnunen
Marked Hawkes process modeling of price dynamics and volatility estimation pp. 174-200 Downloads
Kyungsub Lee and Byoung Ki Seo
Return expectations and risk aversion heterogeneity in household portfolios pp. 201-219 Downloads
Alessandro Bucciol, Raffaele Miniaci and Sergio Pastorello
Earnings announcements and option returns pp. 220-235 Downloads
Sung Gon Chung and Henock Louis

Volume 39, issue PB, 2016

The legacy of the Eurozone crisis and how to overcome it pp. 147-155 Downloads
Paul De Grauwe
Is there an alternative way to avoid another eurozone crisis to the Five Presidents' Report? pp. 156-165 Downloads
Michael Wickens
A comment on De Grauwe's, “The legacy of the Eurozone crisis and how to overcome it” pp. 166-168 Downloads
Mark J. Jensen
Government finances and bank bailouts: Evidence from European stock markets pp. 169-179 Downloads
Matias Cabrera, Gerald P. Dwyer and Margarita Samartín-Saénz
Basel II and regulatory arbitrage. Evidence from financial crises pp. 180-196 Downloads
Andrea Beltratti and Giovanna Paladino
Assessing Euro crises from a time varying international CAPM approach pp. 197-208 Downloads
Richard T. Baillie and Dooyeon Cho
The effect of political communication on European financial markets during the sovereign debt crisis pp. 209-214 Downloads
Christian Conrad and Klaus Ulrich Zumbach
Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters pp. 215-228 Downloads
Alexander Glas and Matthias Hartmann
On the significance of labour reallocation for European unemployment: Evidence from a panel of 15 countries pp. 229-240 Downloads
Dimitrios Bakas, Theodore Panagiotidis and Gianluigi Pelloni
Inflation convergence in the EMU pp. 241-253 Downloads
M. Karanasos, P. Koutroumpis, Yiannis Karavias, A. Kartsaklas and V. Arakelian
In search of the Euro area fiscal stance pp. 254-264 Downloads
Alice Albonico, Alessia Paccagnini and Patrizio Tirelli
The financial Kuznets curve: Evidence for the euro area pp. 265-269 Downloads
Donatella Baiardi and Claudio Morana

Volume 39, issue PA, 2016

Birds of a feather or celebrating differences? The formation and impacts of venture capital syndication pp. 1-14 Downloads
Qianqian Du
Business cycle and credit risk modeling with jump risks pp. 15-36 Downloads
Bong-Gyu Jang, Yuna Rhee and Ji Hee Yoon
The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns pp. 37-53 Downloads
Dongcheol Kim and Haejung Na
Monitoring multivariate variance changes pp. 54-68 Downloads
Katharina Pape, Dominik Wied and Pedro Galeano
Target signaling with material adverse change clauses in merger agreements pp. 69-92 Downloads
Antonio J. Macias and Thomas Moeller
Credit ratings and the premiums paid in mergers and acquisitions pp. 93-104 Downloads
Surendranath R. Jory, Thanh N. Ngo and Daphne Wang
A compound duration model for high-frequency asset returns pp. 105-128 Downloads
Eric Aldrich, Indra Heckenbach and Gregory Laughlin
Dynamics of interest and inflation rates pp. 129-144 Downloads
Ali Anari and James Kolari

Volume 38, issue PB, 2016

Special issue of the Journal of Empirical Finance Guest Editors' introduction pp. 513-515 Downloads
Neil Kellard and Robert Taylor
Bubbling over! The behaviour of oil futures along the yield curve pp. 516-533 Downloads
Daniel Tsvetanov, Jerry Coakley and Neil Kellard
Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes pp. 534-547 Downloads
James Davidson and Xiaoyu Li
Tests for explosive financial bubbles in the presence of non-stationary volatility pp. 548-574 Downloads
David I. Harvey, Stephen J. Leybourne, Robert Sollis and Robert Taylor
Testing against changing correlation pp. 575-589 Downloads
Andrew Harvey and Stephen Thiele
Asset pricing with financial bubble risk pp. 590-622 Downloads
Ji Hyung Lee and Peter Phillips
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets pp. 623-639 Downloads
Sepideh Dolatabadi, Morten Nielsen and Ke Xu
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) pp. 640-663 Downloads
Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek
Testing the martingale hypothesis for gross returns pp. 664-689 Downloads
Oliver Linton and Ekaterina Smetanina
A time varying DSGE model with financial frictions pp. 690-716 Downloads
Ana Galvão, Liudas Giraitis, George Kapetanios and Katerina Petrova
The shine of precious metals around the global financial crisis pp. 717-738 Downloads
Isabel Figuerola-Ferretti and J. Roderick McCrorie
The exact discretisation of CARMA models with applications in finance pp. 739-761 Downloads
Michael Thornton and Marcus Chambers
Duality in mean-variance frontiers with conditioning information pp. 762-785 Downloads
Francisco Peñaranda and Enrique Sentana

Volume 38, issue PA, 2016

Leverage and asymmetric volatility: The firm-level evidence pp. 1-21 Downloads
Jan Ericsson, Xiao Huang and Stefano Mazzotta
Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets pp. 22-36 Downloads
Pavel Teterin, Robert Brooks and Walter Enders
News sentiment and bank credit risk pp. 37-61 Downloads
Lee Smales
The short trading day anomaly pp. 62-80 Downloads
Mahmoud Qadan and Doron Kliger
Informed short selling, fails-to-deliver, and abnormal returns pp. 81-102 Downloads
Thomas Stratmann and John W. Welborn
Immigrant-native differences in stockholding – The role of cognitive and non-cognitive skills pp. 103-119 Downloads
Marc-André Luik and Max Steinhardt
Effects of financial turmoil on financial integration and risk premia in emerging markets pp. 120-138 Downloads
Salem Boubakri, Cécile Couharde and Hélène Raymond
Optimal conditional hedge ratio: A simple shrinkage estimation approach pp. 139-156 Downloads
Myeong Jun Kim and Sung Y. Park
A network approach to portfolio selection pp. 157-180 Downloads
Gustavo Peralta and Abalfazl Zareei
The effect of overvaluation on investment and accruals: The role of information pp. 181-201 Downloads
Shing-yang Hu, Yueh-Hsiang Lin and Christine W. Lai
An infinite hidden Markov model for short-term interest rates pp. 202-220 Downloads
John Maheu and Qiao Yang
Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation pp. 221-235 Downloads
Ivan Paya and Peng Wang
Free float and market liquidity around the world pp. 236-257 Downloads
Ding, Xiaoya (Sara), Yang Ni and Ligang Zhong
Religious beliefs and local government financing, investment, and cash holding decisions pp. 258-271 Downloads
Yangyang Chen, Zoltan Murgulov, S. Ghon Rhee and Madhu Veeraraghavan
Halo, horn, or dark horse biases: Corporate reputation and the earnings announcement puzzle pp. 272-289 Downloads
Woan-Yuh Jang, Jie-Haun Lee and Hsueh-Chin Hu
How regular are directional movements in commodity and asset prices? A Wald test pp. 290-306 Downloads
Atle Oglend and Tore Kleppe
CDS-bond basis and bond return predictability pp. 307-337 Downloads
Gi H. Kim, Haitao Li and Weina Zhang
Local bias in investor attention: Evidence from China's Internet stock message boards pp. 338-354 Downloads
Yuqin Huang, Huiyan Qiu and Zhiguo Wu
Commodity price volatility under regulatory changes and disaster pp. 355-361 Downloads
Akbar Marvasti and Antonio Lamberte
The European sovereign debt crisis: What have we learned? pp. 363-373 Downloads
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Financial sector linkages and the dynamics of bank and sovereign credit spreads pp. 374-393 Downloads
René Kallestrup, David Lando and Agatha Murgoci
Bank fragility and contagion: Evidence from the bank CDS market pp. 394-416 Downloads
Laura Ballester, Barbara Casu and Ana González-Urteaga
Euro crash risk pp. 417-428 Downloads
Roman Kräussl, Thorsten Lehnert and Sigita Senulytė
Time-varying importance of country and industry factors in European corporate bonds pp. 429-448 Downloads
Mary Pieterse-Bloem, Zhaowen Qian, Willem Verschoor and Remco Zwinkels
The geography of the great rebalancing in euro area bond markets during the sovereign debt crisis pp. 449-460 Downloads
Roland Beck, Georgios Georgiadis and Johannes Gräb
The information in systemic risk rankings pp. 461-475 Downloads
Federico Nucera, Bernd Schwaab, Siem Jan Koopman and André Lucas
Decision-making during the credit crisis: Did the Treasury let commercial banks fail? pp. 476-497 Downloads
Ettore Croci, Gerard Hertig and Eric Nowak
Political risk and expected government bond returns pp. 498-512 Downloads
Johan Duyvesteyn, Martin Martens and Patrick Verwijmeren
Page updated 2017-03-30