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Journal of Empirical Finance

1993 - 2015

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

From Elsevier
Series data maintained by Zhang, Lei ().

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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
-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

Volume 32, issue C, 2015

Volatility transmission in global financial markets pp. 3-18 Downloads
Adam Clements, Stan Hurn and V.V. Volkov
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market pp. 19-34 Downloads
Carl Chiarella, Saskia ter Ellen, Xuezhong He and Eliza Wu
Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms pp. 35-48 Downloads
Bart Frijns, Ivan Indriawan and Alireza Tourani-Rad
The costs of a (nearly) fully independent board pp. 49-62 Downloads
Olubunmi Faleye
The frequency of regime switching in financial market volatility pp. 63-79 Downloads
Ahmed BenSaïda
The dynamics of squared returns under contemporaneous aggregation of GARCH models pp. 80-93 Downloads
Eric Jondeau
R&D investment and distress risk pp. 94-114 Downloads
Wei Zhang
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz pp. 115-134 Downloads
Georg Mainik, Georgi Mitov and Ludger Rüschendorf
Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? pp. 135-152 Downloads
Tobias Berens, Gregor N.F. Weiß and Dominik Wied
On financial risk and the safe haven characteristics of Swiss franc exchange rates pp. 153-164 Downloads
Christian Grisse and Thomas Nitschka
Disentangling contagion among sovereign CDS spreads during the European debt crisis pp. 165-179 Downloads
Carmen Broto and Gabriel Pérez-Quirós
Consumption risk and the cross-section of government bond returns pp. 180-200 Downloads
Abhay Abhyankar, Olga Klinkowska and Soyeon Lee
Financial weather derivatives for corn production in Northern China: A comparison of pricing methods pp. 201-209 Downloads
Baojing Sun and Gerrit van Kooten
Information shares of two parallel currency options markets: Trading costs versus transparency/tradability pp. 210-229 Downloads
Louis R. Piccotti and Ben Schreiber
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