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Journal of Empirical Finance

1993 - 2014

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

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

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Volume 28, issue C, 2014

Direct evidence of dividend tax clienteles pp. 1-12 Downloads
Magnus Dahlquist, Göran Robertsson and Kristian Rydqvist
Trading activity in the equity market and its contingent claims: An empirical investigation pp. 13-35 Downloads
Richard Roll, Eduardo Schwartz and Avanidhar Subrahmanyam
Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach pp. 36-59 Downloads
Danling Jiang, David R. Peterson and James S. Doran
Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off? pp. 60-77 Downloads
Enrique Salvador, Christos Floros and Vicent Arago
Hedging the time-varying risk exposures of momentum returns pp. 78-89 Downloads
Martin Martens and Arco van Oord
Timescale-dependent stock market comovement: BRICs vs. developed markets pp. 90-103 Downloads
Heikki Lehkonen and Kari Heimonen
On the distribution and estimation of trading costs pp. 104-117 Downloads
Apostolos Kourtis
Regime switches in the risk–return trade-off pp. 118-138 Downloads
Eric Ghysels, Pierre Guérin and Massimiliano Marcellino
Market states and the risk-based explanation of the size premium pp. 139-150 Downloads
Jungshik Hur, Glenn Pettengill and Vivek Singh
Are regime-shift sources of risk priced in the market? pp. 151-170 Downloads
Kyriakos Chourdakis, Yiannis Dendramis and Elias Tzavalis
The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange pp. 171-184 Downloads
Annica Rose
Order flow and volatility: An empirical investigation pp. 185-201 Downloads
Anne Opschoor, Nick Taylor, Michel van der Wel and Dick van Dijk
Stock liquidity and the Taylor rule pp. 202-214 Downloads
Lei Jiang
Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing pp. 215-229 Downloads
Michael McKenzie, Stephen Satchell and Warapong Wongwachara
Consumer confidence or the business cycle: What matters more for European expected returns? pp. 230-248 Downloads
Stig V. Møller, Henrik Nørholm and Jesper Rangvid
Average funds versus average dollars: Implications for mutual fund research pp. 249-260 Downloads
Christopher P. Clifford, Bradford D. Jordan and Timothy B. Riley
A frequency-domain alternative to long-horizon regressions with application to return predictability pp. 261-272 Downloads
Natalia Sizova
Stock returns on option expiration dates: Price impact of liquidity trading pp. 273-290 Downloads
Chin-Han Chiang
Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types pp. 291-320 Downloads
Shermineh Haghani
Quantiles of the realized stock–bond correlation and links to the macroeconomy pp. 321-331 Downloads
Nektarios Aslanidis and Charlotte Christiansen
Price and earnings momentum: An explanation using return decomposition pp. 332-351 Downloads
Mike Qinghao Mao and K.C. John Wei
Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation pp. 352-361 Downloads
Yiu-Kuen Tse and Yingjie Dong
How did the financial crisis alter the correlations of U.S. yield spreads? pp. 362-385 Downloads
Silvio Contessi, Pierangelo De Pace and Massimo Guidolin

Volume 27, issue C, 2014

Private equity alliances in mergers pp. 10-20 Downloads
Tae-Nyun Kim and Darius Palia
Pay inequalities and managerial turnover pp. 21-39 Downloads
Jayant R. Kale, Ebru Reis and Anand Venkateswaran
Gentlemen do not talk about money: Remuneration dispersion and firm performance relationship on British boards pp. 40-57 Downloads
Anna Zalewska
Family control, expropriation, and investor protection: A panel data analysis of Western European corporations pp. 58-74 Downloads
Julio Pindado, Ignacio Requejo and Chabela de la Torre
Excessive financial services CEO pay and financial crisis: Evidence from calibration estimation pp. 75-96 Downloads
Gang Nathan Dong
CEO compensation and future shareholder returns: Evidence from the London Stock Exchange pp. 97-115 Downloads
Nikolaos Balafas and Chris Florackis
Managerial shareholding policies and retention of vested equity incentives pp. 116-129 Downloads
Piotr Korczak and Xicheng Liu
The effect of concentration and regulation on audit fees: An application of panel data techniques pp. 130-144 Downloads
Lawrance Evans and Jeremy Schwartz

Volume 25, issue C, 2014

Measuring and testing for the systemically important financial institutions pp. 1-14 Downloads
Carlos Castro Iragorri and Stijn Ferrari
Modelling changes in the unconditional variance of long stock return series pp. 15-35 Downloads
Cristina Amado and Timo Teräsvirta
International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares pp. 36-51 Downloads
Yoichi Otsubo
Does the market matter for more than investment? pp. 52-61 Downloads
Jason Smith
Using local Gaussian correlation in a nonlinear re-examination of financial contagion pp. 62-82 Downloads
Bård Støve, Dag Tjøstheim and Karl Ove Hufthammer
Firm opacity and financial market information asymmetry pp. 83-94 Downloads
Rahul Ravi and Youna Hong
Risk-free rate effects on conditional variances and conditional correlations of stock returns pp. 95-111 Downloads
Alessandro Palandri
Pricing of liquidity risks: Evidence from multiple liquidity measures pp. 112-133 Downloads
Soon-Ho Kim and Kuan-Hui Lee
Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market pp. 134-148 Downloads
Ju Xiang and Xiaoneng Zhu

Volume 24, issue C, 2013

Detecting synchronous cycles in financial time series of unequal length pp. 1-9 Downloads
Erhard Reschenhofer and Michaela Lingler
An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC pp. 10-23 Downloads
Thomas W. Miller and David E. Rapach
Linear-price term structure models pp. 24-41 Downloads
C. Gourieroux and Alain Monfort
Valuation of collateralized debt obligations with hierarchical Archimedean copulae pp. 42-62 Downloads
Barbara Choroś-Tomczyk, Wolfgang Karl Härdle and Ostap Okhrin
The development of emerging stock markets and the demand for cross-listing pp. 63-77 Downloads
Adriana Korczak and Piotr Korczak
Autocorrelation and partial price adjustment pp. 78-93 Downloads
Robert M. Anderson, Kyong Shik Eom, Sang Buhm Hahn and Jong-Ho Park
Dividend privileges and the value of voting rights: Evidence from Italy pp. 94-107 Downloads
Marco Bigelli and Ettore Croci
Volatility timing: How best to forecast portfolio exposures pp. 108-115 Downloads
Adam Clements and Annastiina Silvennoinen
Estimating PIN for firms with high levels of trading pp. 116-120 Downloads
David Jackson
Risk spillovers in international equity portfolios pp. 121-137 Downloads
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
Bond vs stock market's Q: Testing for stability across frequencies and over time pp. 138-150 Downloads
Marco Gallegati and James B. Ramsey
Are there diversification benefits of increasing noninterest income in the Chinese banking industry? pp. 151-165 Downloads
Li Li and Yu Zhang
Modeling the relationship between European carbon permits and certified emission reductions pp. 166-181 Downloads
Gary Koop and Lise Tole
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