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Journal of Empirical Finance
1993 - 2013
Edited by R. T. Baillie , F. C. Palm , Th. J. Vermaelen and C. C. P. Wolff
from Elsevier
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Volume 22, issue C , 2013
Advertising investments, information asymmetry, and insider gains pp. 1-15 Kissan Joseph and M. Babajide Wintoki Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach pp. 16-29 Akay, Ozgur (Ozzy) , Zeynep Senyuz and Emre Yoldas Understanding industry betas pp. 30-51 Lieven Baele and Juan M. Londono Equilibrium exchange rate determination and multiple structural changes pp. 52-66 Mario Cerrato , Hyunsok Kim and Ronald MacDonald Does mortality improvement increase equity risk premiums? A risk perception perspective pp. 67-77 Rachel J. Huang , Jerry C.Y. Miao and Larry Y. Tzeng Term structure dynamics with macro-factors using high frequency data pp. 78-93 Hwagyun Kim and Hail Park Long memory and tail dependence in trading volume and volatility pp. 94-112 Eduardo Rossi and Paolo Santucci de Magistris What do the Fama–French factors add to C-CAPM? pp. 113-127 Pongrapeeporn Abhakorn , Peter N. Smith and Michael R. Wickens An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil pp. 128-139 Minqiang Li On detection of volatility spillovers in overlapping stock markets pp. 140-158 Anssi Kohonen Stakeholder relations and stock returns: On errors in investors' expectations and learning pp. 159-175 Arian Borgers , Jeroen Derwall , Kees Koedijk and Jenke ter Horst Volume 21, issue C , 2013
The issuance of callable bonds under information asymmetry pp. 1-14 Seungmook Choi , Mel Jameson and Mookwon Jung Sovereign default risk premia: Evidence from the default swap market pp. 15-35 Gabriele Zinna No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options pp. 36-53 Namhyoung Kim and Jaewook Lee Does monetary policy determine stock market liquidity? New evidence from the euro zone pp. 54-68 Octavio Fernández-Amador , Martin Gächter , Martin Larch and Georg Peter A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter? pp. 69-85 Niklas Wagner and Elisabeth Winter Performance, stock selection and market timing of the German equity mutual fund industry pp. 86-101 Keith Cuthbertson and Dirk Nitzsche Credit risk in covered bonds pp. 102-120 Marcel Prokopczuk , Jan B. Siewert and Volker Vonhoff The discretionary effect of CEOs and board chairs on corporate governance structures pp. 121-131 Matteo P. Arena and Marcus V. Braga-Alves On the risk return relationship pp. 132-141 Jianxin Wang and Minxian Yang Are short sellers incrementally informed prior to earnings announcements? pp. 142-155 Benjamin M. Blau and J. Michael Pinegar What style-timing skills do mutual fund “stars” possess? pp. 156-173 Li-Wen Chen , Andrew Adams and Richard Taffler Stressing correlations and volatilities — A consistent modeling approach pp. 174-194 Christoph Becker and Wolfgang M. Schmidt An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions pp. 195-213 Teng Yuan Cheng , Chun Lee and Chao Hsien Lin Multi-period credit default prediction with time-varying covariates pp. 214-222 Walter Orth Corporate boards' political ideology diversity and firm performance pp. 223-240 Incheol Kim , Christos Pantzalis and Jung Chul Park Ranking of finance journals: Some Google Scholar citation perspectives pp. 241-250 Kam C. Chan , Chih-Hsiang Chang and Yuanchen Chang Volume 20, issue C , 2013
Two-pass estimation of risk premiums with multicollinear and near-invariant betas pp. 1-17 Seung C. Ahn , Marcos Fabricio Perez and Christopher Gadarowski Liquidity and firm investment: Evidence for Latin America pp. 18-29 Francisco Muñoz Do strategic alliances in a developing country create firm value? Evidence from Korean firms pp. 30-41 Hyunchul Lee , Euije Cho , Chongcheul Cheong and Jinsu Kim Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices pp. 42-62 Pierre Perron , Sungju Chun and Cosme Vodounou The international evidence on discouraged small businesses pp. 63-82 Sugato Chakravarty and Meifang Xiang The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts pp. 83-95 Rasmus Varneskov and Valeri Voev A global approach to mutual funds market timing ability pp. 96-101 Laurent Bodson , Laurent Cavenaile and Danielle Sougné Aggregational Gaussianity and barely infinite variance in financial returns pp. 102-108 Antonios Antypas , Phoebe Koundouri and Nikolaos Kourogenis What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests? pp. 109-129 Jesper Rangvid , Maik Schmeling and Andreas Schrimpf Another look at the cross-section and time-series of stock returns: 1951 to 2011 pp. 130-146 Ding Du Volume 19, issue 5 , 2012
Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts pp. 627-639 Guillermo Benavides and Carlos Capistrán Drug approval decisions: A note on stock liquidity effects pp. 640-652 Achim Himmelmann and Dirk Schiereck Product market relationships and cost of bank loans: Evidence from strategic alliances pp. 653-674 Yiwei Fang , Bill Francis , Iftekhar Hasan and Haizhi Wang Short-term predictability of equity returns along two style dimensions pp. 675-685 Andrei Shynkevich Fractal market time pp. 686-701 James McCulloch Speed of convergence to market efficiency: The role of ECNs pp. 702-720 Dennis Y. Chung and Karel Hrazdil Optimal portfolio choice in real terms: Measuring the benefits of TIPS pp. 721-740 Álvaro Cartea , Jonatan Saúl and Juan Toro A new country risk index for emerging markets: A stochastic dominance approach pp. 741-761 Elettra Agliardi , Rossella Agliardi , Mehmet Pinar , Thanasis Stengos and Nikolas Topaloglou Relationship lending and firm innovativeness pp. 762-781 Caterina Giannetti Nonlinearity and smoothing in venture capital performance data pp. 782-795 Michael McKenzie , Stephen Satchell and Warapong Wongwachara The cross-section of stock returns in frontier emerging markets pp. 796-818 Wilma de Groot , Juan Pang and Laurens A. P. Swinkels A meta-analysis of the equity premium pp. 819-830 Casper van Ewijk , Henri L.F. de Groot and Santing, A.J. (Coos) Volume 19, issue 3 , 2012
Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis pp. 309-318 Shao-Chi Chang , Sheng-Syan Chen , Robin K. Chou and Yueh-Hsiang Lin Global style momentum pp. 319-333 Hsiao-Ying Chao , Charles Collver and Natcha Limthanakom Time-varying performance of international mutual funds pp. 334-348 H.J. Turtle and Chengping Zhang Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing pp. 349-358 Anders G. Ekholm Equity order flow and exchange rate dynamics pp. 359-381 Sara Ferreira Filipe Common influences, spillover and integration in Chinese stock markets pp. 382-394 Enzo Weber and Yanqun Zhang On the determinants of the implied default barrier pp. 395-408 Georges Dionne and Sadok Laajimi Volume 19, issue 2 , 2012
Does information vault Niagara Falls? Cross-listed trading in New York and Toronto pp. 175-199 Haiqiang Chen and Paul Moon Sub Choi Cross-listing and subsequent delisting in foreign markets pp. 200-216 Leyuan You , Ali M. Parhizgari and Suresh Srivastava When does investor sentiment predict stock returns? pp. 217-240 San-Lin Chung , Chi-Hsiou Daniel Hung and Chung-Ying Yeh Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model pp. 241-253 Tom Engsted and Thomas Quistgaard Pedersen Stock return autocorrelations revisited: A quantile regression approach pp. 254-265 Dirk G. Baur , Thomas Dimpfl and Robert C. Jung Credit ratings and excess value of diversification pp. 266-281 Ting-Kai Chou and Jia-Chi Cheng On the intraday periodicity duration adjustment of high-frequency data pp. 282-291 Zhengxiao Wu Moments of multivariate regime switching with application to risk-return trade-off pp. 292-308 Abderrahim Taamouti
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