Journal of Empirical Finance

1993 - 2011

Edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

from Elsevier
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Volume 18, issue 4, 2011

The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds pp. 547-569

William Fung and David A. Hsieh

Stock market trading activity and returns around milestones pp. 570-584

George O. Aragon and Stephan Dieckmann

Working for the enemy? The impact of investment banker job changes on deal flow pp. 585-596

Daniel Bradley, Hyung-Suk Choi and Jonathan Clarke

The persistent effects of a false news shock pp. 597-615

Carlos Viana de Carvalho, Nicholas Klagge and Emanuel Moench

Are investment and financing anomalies two sides of the same coin? pp. 616-633

Michael Sullivan and Zhang, Andrew (Jianzhong)

Is unlevered firm volatility asymmetric? pp. 634-651

Hazem Daouk and David Ng

A note on the returns from minimum variance investing pp. 652-660

Bernd Scherer

Testing weak form efficiency on the Toronto Stock Exchange pp. 661-691

Vitali Alexeev and Francis Tapon

Modelling and forecasting short-term interest rate volatility: A semiparametric approach pp. 692-710

Ai Jun Hou and Sandy Suardi

The economic value of range-based covariance between stock and bond returns with dynamic copulas pp. 711-727

Chih-Chiang Wu and Shin-Shun Liang

Checking for asymmetric default dependence in a credit card portfolio: A copula approach pp. 728-742

Jonathan Crook and Fernando Moreira

In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008 pp. 743-764

Lili Cai and Norman Rasmus Swanson

Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions pp. 765-778

Dongming Zhu and John W. Galbraith

Volume 18, issue 3, 2011

Fixed-income fund performance: Role of luck and ability in tail membership pp. 379-392

Mohamed A. Ayadi and Lawrence Kryzanowski

How arbitrage-free is the Nelson-Siegel model? pp. 393-407

Laura Coroneo, Ken Nyholm and Rositsa Vidova-Koleva

Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets pp. 408-422

Ryan Garvey and Fei Wu

Markets change every day: Evidence from the memory of trade direction pp. 423-446

Christos Axioglou and Spyros Skouras

The Monday effect revisited: An alternative testing approach pp. 447-460

Raimund Alt, Ines Fortin and Simon Weinberger

The cross-section of dynamics in idiosyncratic risk pp. 461-473

Nadia Vozlyublennaia

Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand pp. 474-487

Nuttawat Visaltanachoti, Charlie Charoenwong and David K. Ding

Stock market momentum, business conditions, and GARCH option pricing models pp. 488-505

Min-Hsien Chiang and Hsin-Yi Huang

Residual momentum pp. 506-521

David Blitz, Joop Huij and Martin Martens

Modeling structural changes in the volatility process pp. 522-532

Bart Frijns, Thorsten Lehnert and Remco Zwinkels

Maximum likelihood estimation of non-affine volatility processes pp. 533-545

Kyriakos Chourdakis and George Dotsis

Volume 18, issue 2, 2011

Risk and return in convertible arbitrage: Evidence from the convertible bond market pp. 175-194

Vikas Agarwal, William H. Fung, Yee Cheng Loon and Narayan Y. Naik

Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline? pp. 195-210

Manja Völz and Michael Wedow

The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield pp. 211-224

Peng Liu and Ke Tang

Lack of consumer confidence and stock returns pp. 225-236

Shiu-Sheng Chen

Measuring the effects of geographical distance on stock market correlation pp. 237-247

Stefanie Eckel, Gunter Löffler, Alina Maurer and Volker Schmidt

Size, book-to-market ratio and macroeconomic news pp. 248-270

Tolga Cenesizoglu

The index premium and its hidden cost for index funds pp. 271-288

Antti Petajisto

The critical role of conditioning information in determining if value is really riskier than growth pp. 289-305

Michael J. Cooper and Stefano Gubellini

The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis pp. 306-320

Gernot Müller, Robert B. Durand and Ross A. Maller

When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions pp. 321-340

Axel Groß-Klußmann and Nikolaus Hautsch

"KLICing" there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance pp. 341-352

M. Ryan Haley and M. Kevin McGee

Robust estimation of intraweek periodicity in volatility and jump detection pp. 353-367

Kris Boudt, Christophe Croux and Sébastien Laurent

Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model pp. 368-378

Rehim KIlIç

Volume 18, issue 1, 2011

Obituary pp. 1-1

Franz C. Palm

Fund size, limited attention and valuation of venture capital backed firms pp. 2-15

Douglas J. Cumming and Na Dai

Does political economy reduce agency costs? Some evidence from dividend policies around the world pp. 16-35

HiuLam Choy, Ferdinand A. Gul and Jun Yao

Corporate governance and firm value: International evidence pp. 36-55

Manuel Ammann, David Oesch and Markus M. Schmid

Are investors moonstruck? Further international evidence on lunar phases and stock returns pp. 56-63

Stephen P. Keef and Mohammed S. Khaled

Country versus sector factors in equity returns: The roles of non-unit exposures pp. 64-77

Lieven De Moor and Piet Sercu

Regulatory underpricing: Determinants of Chinese extreme IPO returns pp. 78-90

Lihui Tian

Transaction duration and asymmetric price impact of trades--Evidence from Australia pp. 91-102

Joey Wenling Yang

Do bond rating changes affect the information asymmetry of stock trading? pp. 103-116

Yan He, Junbo Wang and K.C. John Wei

The success of bank mergers revisited. An assessment based on a matching strategy pp. 117-135

Andreas Behr and Frank Heid

Evaluating alternative methods for testing asset pricing models with historical data pp. 136-146

Martin Lozano and Gonzalo Rubio

Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study pp. 147-159

Christian Conrad, Menelaos Karanasos and Ning Zeng

Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns pp. 160-173

Wan-Hsiu Cheng and Jui-Cheng Hung