Journal of Empirical Finance

1993 - 2025

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 81, issue C, 2025

Skilled active liquidity management: Evidence from shocks to fund flows

Aleksandra Rzeźnik

Smart beta, “smarter” flows

Jie Cao, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan

Short-term institutional investors and the diffusion of supply chain information

Rui Duan and Yelena Larkin

Social connectedness and cross-border mergers and acquisitions

Zhonghao Jiang, Yukun Shi and Lu Xing

CDS and credit: The effect of the bangs on credit insurance, lending and hedging

Yalin Gündüz, Steven Ongena, Günseli Tümer-Alkan and Yuejuan Yu

Unveiling the villain: Credit supply and the debt trap

Shun Fu, Emma Li, Li Liao, Zhengwei Wang and Hongyu Xiang

Tail risk dynamics of banks with score-driven extreme value models

Fernanda Fuentes, Rodrigo Herrera and Adam Clements

Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes

Rodrigo Hizmeri, Marwan Izzeldin and Giovanni Urga

Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies

Jiawen Luo, Oguzhan Cepni, Riza Demirer and Rangan Gupta

Do fees matter? Investor’s sensitivity to active management fees

Trond Døskeland, André Wattø Sjuve and Andreas Ørpetveit

Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575]

Jiawen Luo, Zhenbiao Chen and Mingmian Cheng

Is machine learning a necessity? A regression-based approach for stock return prediction

Tingting Cheng, Shan Jiang, Albert Bo Zhao and Junyi Zhao

The AH premium: A tale of “siamese twin” stocks

Renbin Zhang and Tongbin Zhang

Volume 80, issue C, 2025

On the performance of volatility-managed equity factors — International and further evidence

Patrick Schwarz

CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets

Dien Giau Bui, Robin K. Chou, Chih-Yung Lin and Chien-Lin Lu

Implied local volatility models

Chen Xu Li, Chenxu Li and Chun Li

What drives robo-advice?

Bernd Scherer and Sebastian Lehner

Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects

Jiawen Luo, Zhenbiao Chen and Mingmian Cheng

Geographical proximity, cultural familiarity and financial information production

Han Hao, Chun Liu and Shunzhi Pang

Market neutrality and beta crashes

Xia Xu

A revisit to bias-adjusted predictive regression

Ke-Li Xu

Volume 79, issue C, 2024

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Hamed Ghanbari

Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data

Erik Mekelburg and Jack Strauss

Using the Bayesian sampling method to estimate corporate loss given default distribution

Xiaofei Zhang and Xinlei Zhao

Stock price synchronicity and stock liquidity: International evidence

Paul Brockman, Tung Dang and Thu Phuong Pham

A comparison of factor models in China

Jinzhe Wang and Yifeng Zhu

Banker directors on board and corporate tax avoidance

Qian Song, Wenjie Ding, Iftekhar Hasan and Qingwei Wang

Gold, platinum, and mutual fund flows

Ali K. Malik, Gonul Colak and Anders Löflund

How does bank opacity affect credit growth and return predictability?

Arpit Kumar Parija and Malvika Chhatwani

Local labor market and corporate investment

Yao Ge, Wei Huang, Zheng Qiao and Hao Zheng

Financial statement disaggregation and bank loan pricing

Chien-Lin Lu, Chih-Yung Lin, Tse-Chun Lin and Bin Miao

Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio

Chen Chen, Chris Stivers and Licheng Sun

Are stablecoins the money market mutual funds of the future?

Nico Oefele, Dirk G. Baur and Lee Smales

Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?

Marie Dutordoir, Joshua Shemesh, Chris Veld and Qing Wang

High-frequency realized stochastic volatility model

Toshiaki Watanabe and Jouchi Nakajima

Technological shocks and stock market volatility over a century

Afees Salisu, Riza Demirer and Rangan Gupta

Is firm-level political risk priced in the corporate bond market?

Luis Ceballos, Vanja Piljak and Laurens Swinkels

Time-varying variance decomposition of macro-finance term structure models

Anne Lundgaard Hansen

Trading volume shares and market quality: Pre- and post- zero commissions

Pankaj K. Jain, Suchismita Mishra, Shawn M. O'Donoghue and Le Zhao

Jump tail risk exposure and the cross-section of stock returns

Lykourgos Alexiou and Leonidas S. Rompolis

Volume 78, issue C, 2024

Assessing proxies for market prices of thinly traded assets with scheduled cash flows

Walter I. Boudry, Crocker H. Liu, Tobias Mühlhofer and Walter N. Torous

Certainty of uncertainty for asset pricing

Fuwei Jiang, Jie Kang and Lingchao Meng

The battle between activist hedge funds and labor unions

Xu Niu

Policy uncertainty, bad news disclosure, and stock price crash risk

Jeong-Bon Kim, Kevin Tseng, Wang, Jundong (Jeff) and Yaoyi Xi

Firm-level political risk and corporate R&D investment

Emmanuel Boah and Nacasius U. Ujah

Shadow capital in venture financing: Selection, valuation, and exit dynamic

Douglas Cumming and Na Dai

Effects of customer unionization on supplier relationships and supplier value

Hyemin Kim

Why do firms with no leverage still have leverage and volatility feedback effects?

Geoffrey Peter Smith

Non-standard errors in asset pricing: Mind your sorts

Amar Soebhag, Bart Van Vliet and Patrick Verwijmeren

The risk–return tradeoff among equity factors

Pedro Barroso and Paulo Maio

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Katja Ignatieva and Patrick Wong

Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?

Efe Cotelioglu

Betting on success: Unveiling the role of local gambling culture in equity crowdfunding

Hui-Ching Hsieh, Dat Thanh Nguyen and Thien Le-Hoang Nguyen

The correlated trading and investment performance of individual investors

Wei-Yu Kuo, Tse-Chun Lin and Jing Zhao

Does carbon risk exposure make funds more vulnerable?

Hu Wang

Forecasting realized volatility: Does anything beat linear models?

Rafael R. Branco, Alexandre Rubesam and Mauricio Zevallos

A portfolio-level, sum-of-the-parts approach to return predictability

Hongyi Xu, Dean Katselas and Jo Drienko

The value of information in China’s connected market

Keqi Chen, Yuehan Wang and Xiaoquan Zhu

In the mood for creativity: Sunshine-induced mood, inventor performance, and firm value

Yangyang Chen, Po-Hsuan Hsu, Edward J. Podolski and Madhu Veeraraghavan

The aftermath of covenant violations: Evidence from China's corporate debt securities

Guang Xu and Xiaoyan Zhang

Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain

Simon Trimborn, Hanqiu Peng and Ying Chen

Inverted vs maker-taker routing choice and trader information

Ryan Garvey and Yaohua Qin

The 2008 short-selling ban’s impact on tail risk

Jonas Bartl, Denefa Bostandzic, Felix Irresberger, Gregor Weiß and Ruomei Yang

Big portfolio selection by graph-based conditional moments method

Zhoufan Zhu, Ningning Zhang and Ke Zhu

Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China

Yueqian Peng, Li Shi, Xiaojun Shi and Songtao Tan

Time-varying relative risk aversion: Theoretical mechanism and empirical evidence

Xuan Liu, Haiyong Liu and Zongwu Cai

Estimation and inference in low frequency factor model regressions with overlapping observations

Asad Dossani

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Yufeng Han, Lu, Yueliang (Jacques), Weike Xu and Guofu Zhou