Journal of Empirical Finance

1993 - 2009

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

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Volume 16, issue 4, 2009

Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns pp. 525-536

Stig Vinther Møller

Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM pp. 537-556

Tobias Adrian and Francesco Franzoni

The information content of stock splits pp. 557-567

Huang, Gow-Cheng, Kartono Liano and Pan, Ming-Shiun

Stock price and systematic risk effects of discontinuation of corporate R&D programs pp. 568-581

Mohsen Saad and Zaher Zantout

Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway pp. 582-596

Qinglei Dai and Kristian Rydqvist

Institutional ownership and credit spreads: An information asymmetry perspective pp. 597-612

Ashley W. Wang and Gaiyan Zhang

Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries pp. 613-631

Asani Sarkar and Lingjia Zhang

International comovement of stock market returns: A wavelet analysis pp. 632-639

António Rua and Luis C. Nunes

Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices pp. 640-654

Kate Phylaktis and Long Chen

A semiparametric model for the systematic factors of portfolio credit risk premia pp. 655-670

Flavia Giammarino and Pauline Barrieu

L-performance with an application to hedge funds pp. 671-685

Serge Darolles, Christian Gourieroux and Joann Jasiak

Which power variation predicts volatility well? pp. 686-700

Eric Ghysels and Bumjean Sohn

Volume 16, issue 3, 2009

Correlation risk pp. 353-367

C.N.V. Krishnan, Ralitsa Petkova and Peter Ritchken

Time-varying Integration and International diversification strategies pp. 368-387

Lieven Baele and Koen Inghelbrecht

Herding and information based trading pp. 388-393

Rhea Tingyu Zhou and Rose Neng Lai

Investor sentiment and stock returns: Some international evidence pp. 394-408

Maik Schmeling

The cross section of cashflow volatility and expected stock returns pp. 409-429

Alan Guoming Huang

Empirical evidence on jumps in the term structure of the US Treasury Market pp. 430-445

Mardi Dungey, Michael McKenzie and L. Vanessa Smith

Optimal futures hedging under jump switching dynamics pp. 446-456

Lee, Hsiang-Tai

Estimation of default probabilities using incomplete contracts data pp. 457-465

João M.C. Santos Silva and J.M.R. Murteira

Sample selection and event study estimation pp. 466-482

Kenneth R. Ahern

Improvement in finite sample properties of the Hansen-Jagannathan distance test pp. 483-506

Yu Ren and Katsumi Shimotsu

A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data pp. 507-523

Bernard Lejeune

Volume 16, issue 2, 2009

Dividend policy of German firms: A panel data analysis of partial adjustment models pp. 175-187

Christian Andres, André Betzer, Marc Goergen and Luc Renneboog

Forecasting financial crises and contagion in Asia using dynamic factor analysis pp. 188-200

Andrea Cipollini and G. Kapetanios

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models pp. 201-215

Dezhong Wang, Svetlozar T. Rachev and Frank J. Fabozzi

The credit rating process and estimation of transition probabilities: A Bayesian approach pp. 216-234

Catalina Stefanescu, Radu Tunaru and Stuart Turnbull

Modelling the distribution of credit losses with observable and latent factors pp. 235-253

Gabriel Jiménez and Javier Mencía

Modelling the distribution of the extreme share returns in Singapore pp. 254-263

Konstantinos Tolikas and Gareth D. Gettinby

Quantile regression analysis of hedge fund strategies pp. 264-279

Loukia Meligkotsidou, Ioannis D. Vrontos and Spyridon D. Vrontos

Model averaging in risk management with an application to futures markets pp. 280-305

M Hashem Pesaran, Christoph Schleicher and Paolo Zaffaroni

On the explanatory power of firm-specific variables in cross-sections of expected returns pp. 306-317

Chu Zhang

Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application pp. 318-329

Peter de Goeij and Wessel Marquering

Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management pp. 330-336

Jaroslava Hlouskova, Kurt Schmidheiny and Martin Wagner

A censored stochastic volatility approach to the estimation of price limit moves pp. 337-351

Hsieh, Ping-Hung and J. Jimmy Yang

Volume 16, issue 1, 2009

The transmission of emerging market shocks to global equity markets pp. 2-17

Cuadro-Sáez, Lucía, Marcel Fratzscher and Christian Thimann

Market liberalization within a country pp. 18-41

Qian Sun, Wilson H.S. Tong and Yuxing Yan

Credit cycles and macro fundamentals pp. 42-54

Siem Jan Koopman, Roman Kräussl, Andre Lucas and Andre Antonio Monteiro

Timing the investment grade securities market: Evidence from high quality bond funds pp. 55-69

Vaneesha Boney, George Comer and Lynne Kelly

Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing pp. 70-86

Scott W. Barnhart and Antoine Giannetti

Investor flows and stock market returns pp. 87-100

Brian Boyer and Lu Zheng

Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests pp. 101-111

Narasimhan Jegadeesh and Jason Karceski

Risk and performance estimation in hedge funds revisited: Evidence from errors in variables pp. 112-125

Alain Coën and Georges Hübner

Costly trade, managerial myopia, and long-term investment pp. 126-135

Craig W. Holden and Leonard L. Lundstrum

Understanding the relationship between founder-CEOs and firm performance pp. 136-150

Renée Adams, Heitor Almeida and Daniel Ferreira

Co-movements of index options and futures quotes pp. 151-163

Rüdiger Fahlenbrach and Patrik Sandås

Default estimation for low-default portfolios pp. 164-173

Nicholas M. Kiefer

Volume 15, issue 5, 2008

An inquiry into the economic fundamentals of the Fama and French equity factors pp. 801-815

Marc W. Simpson and Sanjay Ramchander

Specification tests of asset pricing models using excess returns pp. 816-838

Raymond Kan and Cesare Robotti

A comparison of trading and non-trading mechanisms for price discovery pp. 839-849

Michael J. Barclay and Terrence Hendershott

Robust performance hypothesis testing with the Sharpe ratio pp. 850-859

Oliver Ledoit and Michael Wolf

Regression analysis of proportions in finance with self selection pp. 860-867

Douglas O. Cook, Robert Kieschnick and B D McCullough

Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data pp. 868-877

Amine Jalal and Michael Rockinger

A model-independent measure of aggregate idiosyncratic risk pp. 878-896

Turan G. Bali, Nusret Cakici and Haim Levy

Volume 15, issue 4, 2008

Firm heterogeneity and credit risk diversification pp. 583-612

Samuel G. Hanson, M Hashem Pesaran and Til Schuermann

UK mutual fund performance: Skill or luck? pp. 613-634

Keith Cuthbertson, Dirk Nitzsche and O'Sullivan, Niall

Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market pp. 635-655

Reza S. Mahani and Allen M. Poteshman

Determinants of bid and ask quotes and implications for the cost of trading pp. 656-678

Michael Yuanjie Zhang, Jeffrey R. Russell and Ruey S. Tsay

Liquidity and conditional portfolio choice: A nonparametric investigation pp. 679-699

Eric Ghysels and João Pedro Pereira

Identifying multiple outliers in heavy-tailed distributions with an application to market crashes pp. 700-713

Christian Schluter and Mark Trede

Can exchange rate volatility explain persistence in the forward premium? pp. 714-728

Neil Kellard and Nicholas Sarantis

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility pp. 729-750

Michael Peter Clements, Ana Beatriz Galvão and Jae Hoon Kim

Structural models of corporate bond pricing with maximum likelihood estimation pp. 751-777

Ka Leung Li and Hoi Ying Wong

Asset pricing models with errors-in-variables pp. 778-788

Benoît Carmichael and Alain Coën

Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution pp. 789-798

Carl R. Chen, Yuli Su and Ying Huang

Volume 15, issue 3, 2008

Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses pp. 363-386

Mary M. Bange, Kenneth Khang and Thomas W. Miller

Corruption and valuation of multinational corporations pp. 387-417

Christos Pantzalis, Jung Chul Park and Ninon Sutton

Multiple directorships and corporate diversification pp. 418-435

Pornsit Jiraporn, Young Sang Kim and Wallace N. Davidson

Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks pp. 436-454

Steven Xiaofan Zheng and Mingsheng Li

Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP pp. 455-467

Lukas Menkhoff and Rafael R. Rebitzky

Economic and financial crises and the predictability of U.S. stock returns pp. 468-480

Daniel Hartmann, Bernd Kempa and Christian Pierdzioch

Time-series and cross-sectional excess comovement in stock indexes pp. 481-502

Jarl Kallberg and Paolo Pasquariello

A Bayesian view of temporary components in asset prices pp. 503-517

Bjørn Eraker

Are Asian stock markets efficient? Evidence from new multiple variance ratio tests pp. 518-532

Jae Hoon Kim and Abul Shamsuddin

Excess demand and price formation during a Walrasian auction pp. 533-548

James Eaves, Michael Melvin and Sandeep Mohapatra

Box-Cox stochastic volatility models with heavy-tails and correlated errors pp. 549-566

Xibin Zhang and Maxwell L. King

Is long memory necessary? An empirical investigation of nonnegative interest rate processes pp. 567-581

Duan, Jin-Chuan and Kris Jacobs

Volume 15, issue 2, 2008

Assessing the role of option grants to CEOs: How important is heterogeneity? pp. 145-166

Nina Baranchuk and Siddhartha Chib

Does risk aversion drive financial crises? Testing the predictive power of empirical indicators pp. 167-184

Virginie Coudert and Mathieu Gex

How does owners' exposure to idiosyncratic risk influence the capital structure of private companies? pp. 185-198

Elisabeth Mueller

Does intraday technical analysis in the U.S. equity market have value? pp. 199-210

Ben R. Marshall, Rochester H. Cahan and Jared M. Cahan

Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004 pp. 211-231

Christophe Morel and Jérôme Teïletche

Noise trading and the price formation process pp. 232-250

Henk Berkman and Paul D. Koch

The factor structure of time-varying conditional volume pp. 251-264

Eric C. Chang, Joseph W. Cheng and J. Michael Pinegar

Finite sample accuracy and choice of sampling frequency in integrated volatility estimation pp. 265-286

Morten Ørregaard Nielsen and Per Frederiksen

Increasing correlations or just fat tails? pp. 287-309

Rachel A.J. Campbell, Catherine S. Forbes, Kees G. Koedijk and Paul Kofman

Simulation-based pricing of convertible bonds pp. 310-331

Manuel Ammann, Axel Kind and Christian Wilde

Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models pp. 332-341

Manabu Asai

Estimation of an adaptive stock market model with heterogeneous agents pp. 342-362

Henrik Amilon

Volume 15, issue 1, 2008

A functional approach to the price impact of stock trades and the implied true price pp. 1-16

Roger D. Huang and Christopher Ting

Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s pp. 17-40

George J. Benston and Robert A. Wood

Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution pp. 41-63

Pilsun Choi and Kiseok Nam

Volatility of stock price as predicted by patent data: An MGARCH perspective pp. 64-79

William W. Chow and Michael K. Fung

It takes a model to beat a model: Volatility bounds pp. 80-110

Ludan Liu

The ordered qualitative model for credit rating transitions pp. 111-130

D. Feng, Christian S. Gourieroux and Joann Jasiak

Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence pp. 131-144

G. Geoffrey Booth and Umit G. Gurun