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 83, issue C, 2025

A robust latent factor model for high-dimensional portfolio selection

Fangquan Shi, Lianjie Shu and Xinhua Gu

Do investors reach for yield? Evidence from corporate bond mutual fund flows

Jing-Zhi Huang, Peipei Li, Ying Wang, Yuan Wang, Xiangkun Yao and Licheng Zhang

High frequency online inflation and term structure of interest rates: Evidence from China

Tao Zhang, Ke Tang, Taoxiong Liu and Tingfeng Jiang

(In)Attention: distracted shareholders and corporate innovation

Jing Zhao

Strategic implications of corporate disclosure via Twitter

Devendra Kale, Vikram Nanda and Anin Rupp

Public data openness and trade credit: Evidence from China

Xiao Li, Yuan Li, Xiaoxu Yu and Chun Yuan

Behavioral biases, information frictions and interest rate expectations

George Bulkley, Richard D.F. Harris and Vivekanand Nawosah

Improving information leadership share for measuring price discovery

Shulin Shen, Yixuan Zhang and Eric Zivot

Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks

Jue Gong, Gang-Jin Wang, Yang Zhou and Chi Xie

On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance

Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang and Yan Li

Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?

Kate Phylaktis and Ehab Yamani

Option-implied idiosyncratic skewness and expected returns: Mind the long run

Deshui Yu, Difang Huang and Mingtao Zhou

Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China

Zihui Li, Lijun Ma and Min Zhang

Default-probability-implied credit ratings for Chinese firms

Xiangzhen Li, Shida Liu and Hao Wang

Predicting risk premiums: A constraint-based model

Ying Yuan, Yong Qu and Tianyang Wang

Unlocking predictive potential: The frequency-domain approach to equity premium forecasting

Gonçalo Faria and Fabio Verona

Risk diversification and extreme risk mitigation

Matteo Bagnara and Benoit Vaucher

Tick size and firm financing decisions: Evidence from a natural experiment

Yangyang Chen, Jeffrey Ng, Emmanuel Ofosu and Xin Yang

Volume 82, issue C, 2025

Exploring the non-linear dynamics between Commercial Real Estate and systemic risk

George Kladakis, Nicole Lux and Alexandros Skouralis

Maxing out short-term reversals in weekly stock returns

Chen Chen, Andrew Cohen, Qiqi Liang and Licheng Sun

Bear factor and hedge fund performance

Thang Ho, Anastasios Kagkadis and George Wang

The influence of long-term managerial orientation on pay inequality

Chen-Chieh Liao and Yin-Hua Yeh

The rise of venture capital and IPO quality

Amrita Nain, Jie Ying and Joseph Arthur

Regulatory fragmentation and corporate innovation

Hongkang Xu

Credit distortions in Japanese momentum

Sharon Y. Ross

Climate change risk and green bond pricing

Alfonso Del Giudice, Silvia Rigamonti and Andrea Signori

Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model

Zhi De Khoo, Kok Haur Ng, You Beng Koh and Kooi Huat Ng

The economic value of equity implied volatility forecasting with machine learning

Paul Borochin and Yanhui Zhao

Portfolio optimization with estimation errors—A robust linear regression approach

Yilin Du, Wenfeng He and Xiaoling Mei

The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model

John Maheu and Azam Shamsi Zamenjani

Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms

Yunhe Li, Yu Liu, Mihail Miletkov and Tina Yang

A system of time-varying models for predictive regressions

Deshui Yu and Yayi Yan

Unlocking efficiency: How capital market liberalization shapes firm productivity

Lu Jolly Zhou, Nan Deng and Chenchen Li

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