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Journal of Empirical Finance

1993 - 2016

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

From Elsevier
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Volume 36, issue C, 2016

Uncovered interest parity: The long and the short of it pp. 1-7 Downloads
James R. Lothian
A study of analyst-run mutual funds: The abilities and roles of buy-side analysts pp. 8-29 Downloads
Gjergji Cici and Claire Rosenfeld
Time-varying integration of the sovereign bond markets in European post-transition economies pp. 30-40 Downloads
Petra Posedel Šimović, Marina Tkalec, Maruška Vizek and Junsoo Lee
Dynamic conditional correlation multiplicative error processes pp. 41-67 Downloads
Taras Bodnar and Nikolaus Hautsch
A test of asymmetric comovement for state-dependent stock returns pp. 68-85 Downloads
Kaihua Deng
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective pp. 86-99 Downloads
Marco Bee, Debbie J. Dupuis and Luca Trapin
Exchange rates and commodity prices: Measuring causality at multiple horizons pp. 100-120 Downloads
Hui Jun Zhang, Jean-Marie Dufour and John W. Galbraith
On the properties of the constrained Hansen–Jagannathan distance pp. 121-150 Downloads
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Liquidation discount—a novel application of ARFIMA–GARCH pp. 151-161 Downloads
Ranjodh B. Singh, John Gould, Felix Chan and Joey Wenling Yang
The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility pp. 162-180 Downloads
Sung Je Byun
Risk and return of short-duration equity investments pp. 181-198 Downloads
Georg Cejnek and Otto Randl

Volume 35, issue C, 2016

Corporate payout smoothing: A variance decomposition approach pp. 1-13 Downloads
Edward C. Hoang and Indrit Hoxha
Inflation illusion and stock returns pp. 14-24 Downloads
William O. Brown, Dayong Huang and Fang Wang
Air pollution and stock returns: Evidence from a natural experiment pp. 25-42 Downloads
Gabriele M. Lepori
Using Merton model for default prediction: An empirical assessment of selected alternatives pp. 43-67 Downloads
Zvika Afik, Ohad Arad and Koresh Galil
A risk-return explanation of the momentum-reversal “anomaly” pp. 68-77 Downloads
G. Geoffrey Booth, Hung-Gay Fung and Wai Kin Leung
Market uncertainty, expected volatility and the mispricing of S&P 500 index futures pp. 78-98 Downloads
Anthony H. Tu, Wen-Liang G. Hsieh and Wei-Shao Wu
Is there a bubble in the art market? pp. 99-109 Downloads
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
Conditional portfolio allocation: Does aggregate market liquidity matter? pp. 110-135 Downloads
Tarik Bazgour, Cedric Heuchenne and Danielle Sougné
Political affiliation and dividend tax avoidance: Evidence from the 2013 fiscal cliff pp. 136-149 Downloads
Urs Peyer and Theo Vermaelen
Are target leverage ratios stable? Investigating the impact of corporate asset restructuring pp. 150-168 Downloads
Douglas O. Cook, Xudong Fu and Tian Tang
Silverback CEOs: Age, experience, and firm value pp. 169-188 Downloads
Brandon N. Cline and Adam S. Yore

Volume 34, issue C, 2015

Significance testing in empirical finance: A critical review and assessment pp. 1-14 Downloads
Jae Kim and Philip Inyeob Ji
Permanent sales increase and investment pp. 15-33 Downloads
Insun Yang, Peter Koveos and Tom Barkley
Volatility co-movements: A time-scale decomposition analysis pp. 34-44 Downloads
Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli
The economic value of volatility timing with realized jumps pp. 45-59 Downloads
Ingmar Nolte and Qi Xu
Analysis of earnings management influence on the investment efficiency of listed Chinese companies pp. 60-78 Downloads
Chung-Hua Shen, Fuyan Luo and Dengshi Huang
Credit market imperfections and business cycle asymmetries in Turkey pp. 79-98 Downloads
Hüseyin Günay and Mustafa Kilinc
Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions pp. 99-111 Downloads
Richard T. Baillie and Kun Ho Kim
Predicting exchange rate cycles utilizing risk factors pp. 112-130 Downloads
Jameel Ahmed and Stefan Straetmans
The information content of R&D reductions pp. 131-155 Downloads
Konan Chan, Yueh-hsiang Lin and Yanzhi Wang
Beta vs. characteristics: Comparison of risk model performances pp. 156-171 Downloads
Daehwan Kim
Firm performance when ownership is very concentrated: Evidence from a semiparametric panel pp. 172-194 Downloads
Malika Hamadi and Andréas Heinen
Do industries lead stock markets? A reexamination pp. 195-203 Downloads
Yiuman Tse
The effects of non-trading on the illiquidity ratio pp. 204-228 Downloads
Patricia L. Chelley-Steeley, Neophytos Lambertides and James M. Steeley
The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework pp. 229-238 Downloads
Dooyeon Cho
A tale of feedback trading by hedge funds pp. 239-259 Downloads
Marc B.J. Schauten, Robin Willemstein and Remco C.J. Zwinkels
Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices pp. 260-274 Downloads
Feng Wu, Robert J. Myers, Zhengfei Guan and Zhiguang Wang
A trade-off in corporate diversification pp. 275-292 Downloads
Manapol Ekkayokkaya and Krishna Paudyal
Measures of equity home bias puzzle pp. 293-312 Downloads
Anil V. Mishra
Does managerial ability facilitate corporate innovative success? pp. 313-326 Downloads
Yangyang Chen, Edward Podolski and Madhu Veeraraghavan

Volume 33, issue C, 2015

Power transformations of absolute returns and long memory estimation pp. 1-18 Downloads
Violetta Dalla
Adverse selection and the presence of informed trading pp. 19-33 Downloads
Sanders Chang and F. Albert Wang
Personality traits and stock market participation pp. 34-50 Downloads
Andrew Conlin, Petri Kyröläinen, Marika Kaakinen, Marjo-Riitta Järvelin, Jukka Perttunen and Rauli Svento
The predictive density simulation of the yield curve with a zero lower bound pp. 51-66 Downloads
Kyu Ho Kang
Euro at risk: The impact of member countries' credit risk on the stability of the common currency pp. 67-83 Downloads
Lamia Bekkour, Xisong Jin, Thorsten Lehnert, Fanou Rasmouki and Christian Wolff
Market sentiment in commodity futures returns pp. 84-103 Downloads
Lin Gao and Stephan Süss
Long memory in log-range series: Do structural breaks matter? pp. 104-113 Downloads
Vasiliki Chatzikonstanti and Ioannis Venetis
Modern portfolio management with conditioning information pp. 114-134 Downloads
I-Hsuan Ethan Chiang
Two-step estimation of the volatility functions in diffusion models with empirical applications pp. 135-159 Downloads
Xu-Guo Ye, Jin-Guan Lin, Yan-Yong Zhao and Hong-Xia Hao
Liquidity and credit premia in the yields of highly-rated sovereign bonds pp. 160-173 Downloads
Jacob Ejsing, Magdalena Grothe and Oliver Grothe
Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps pp. 174-189 Downloads
Giovanni Calice, RongHui Mio, Filip Štěrba and Bořek Vašíček
Modelling household finances: A Bayesian approach to a multivariate two-part model pp. 190-207 Downloads
Sarah Brown, Pulak Ghosh, Li Su and Karl Taylor
Real term structure forecasts of consumption growth pp. 208-222 Downloads
Efthymios Argyropoulos and Elias Tzavalis
Measuring bond mutual fund performance with portfolio characteristics pp. 223-242 Downloads
Fabio Moneta
Detecting abnormal trading activities in option markets pp. 263-275 Downloads
Marc Chesney, Remo Crameri and Loriano Mancini
Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-customer data pp. 276-286 Downloads
Anne-Sophie Bergerès, d'Astous, Philippe and Georges Dionne
Macro variables and the components of stock returns pp. 287-308 Downloads
Paulo Maio and Dennis Philip
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