Journal of Empirical Finance

1993 - 2018

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

From Elsevier
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Volume 48, issue C, 2018

Portfolio optimisation under flexible dynamic dependence modelling pp. 1-18

Mauro Bernardi and Leopoldo Catania

Modelling market implied ratings using LASSO variable selection techniques pp. 19-35

Georgios Sermpinis, Serafeim Tsoukas and Ping Zhang

Bid–ask spread estimator from high and low daily prices: Practical implementation for corporate bonds pp. 36-57

Belén Nieto

Conditional co-skewness and safe-haven currencies: A regime switching approach pp. 58-80

Kalok Chan, Jian Yang and Yinggang Zhou

Relative spread and price discovery pp. 81-98

Eric M. Aldrich and Seung Lee

Macroeconomic determinants of the term structure: Long-run and short-run dynamics pp. 99-122

Hitesh Doshi, Kris Jacobs and Rui Liu

A labor news hedge portfolio and the cross-section of expected stock returns pp. 123-139

Olaf Stotz

Macroeconomic uncertainty and the distant forward-rate slope pp. 140-161

Robert Connolly, David Dubofsky and Chris Stivers

Multivariate models with long memory dependence in conditional correlation and volatility pp. 162-180

Jonathan Dark

World output gap and global stock returns pp. 181-197

Victoria Atanasov

lCARE - localizing conditional autoregressive expectiles pp. 198-220

Xiu Xu, Andrija Mihoci and Wolfgang Karl Härdle

The rise before the close: Underwriter trading around SEOs pp. 221-235

Sean Foley, Amy Kwan, Siyuan Adrian Low and Jiri Svec

Female board representation, corporate innovation and firm performance pp. 236-254

Jie Chen, Woon Sau Leung and Kevin P. Evans

The role of firm investment in momentum and reversal pp. 255-278

Sandra C. Mortal and Michael J. Schill

Bayesian tests of global factor models pp. 279-289

Jonathan Fletcher

Testing for leverage effects in the returns of US equities pp. 290-306

Christophe Chorro, Dominique Guégan, Florian Ielpo and Hanjarivo Lalaharison

Financial literacy and gender difference in loan performance pp. 307-320

Jia Chen, Jiajun Jiang and Yu-jane Liu

Does meeting analysts’ forecasts matter in the private loan market? pp. 321-340

Chen-Lung Chin, Mei-Hui Chen and Po-Hsiang Yu

S&P 500 inclusions and stock supply pp. 341-356

Jan Schnitzler

ETF liquidation determinants pp. 357-373

D. Eli Sherrill and Jeffrey R. Stark

Simulating historical inflation-linked bond returns pp. 374-389

Laurens Swinkels

Volume 47, issue C, 2018

A robust and powerful test of abnormal stock returns in long-horizon event studies pp. 1-24

Anupam Dutta, Johan Knif, James W. Kolari and Seppo Pynnonen

Prospect theory and corporate bond returns: An empirical study pp. 25-48

Xiaoling Zhong and Junbo Wang

Cash savings and capital markets pp. 49-64

R. David McLean and Mengxin Zhao

On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects pp. 65-77

Oliver Blümke

Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia pp. 78-89

Abdullah Almansour and Steven Ongena

Oil and the short-term predictability of stock return volatility pp. 90-104

Yudong Wang, Yu Wei, Chongfeng Wu and Libo Yin

Risk-based loan pricing consequences for credit unions pp. 105-119

Adam G. Walke, Thomas Fullerton and Robert J. Tokle

Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule pp. 120-138

Jying-Nan Wang, Jiangze Du and Yuan-Teng Hsu

Investor types and stock return volatility pp. 139-161

Limei Che

Crash risk and risk neutral densities pp. 162-189

Ren-Raw Chen, Pei-lin Hsieh and Jeffrey Huang

Portfolio construction and crowding pp. 190-206

Salvatore Bruno, Ludwig B. Chincarini and Frank Ohara

The decomposition of jump risks in individual stock returns pp. 207-228

Xiao Xiao and Chen Zhou

The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle” pp. 229-245

Jared Egginton and Jungshik Hur

A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses pp. 246-262

Steffen Krüger, Toni Oehme, Daniel Rösch and Harald Scheule

Volume 46, issue C, 2018

Investment and profitability versus value and momentum: The price of residual risk pp. 1-10

Yuming Li

On the (Ab)use of Omega? pp. 11-33

Massimiliano Caporin, Michele Costola, Gregory Jannin and Bertrand Maillet

Behavioral biases in the corporate bond market pp. 34-55

Jason Wei

The disciplinary effects of short sales on controlling shareholders pp. 56-76

Shenglan Chen, Bingxuan Lin, Rui Lu and Hui Ma

Market integration and financial linkages among stock markets in Pacific Basin countries pp. 77-92

Julien Chevallier, Duc Khuong Nguyen, Jonathan Siverskog and Gazi Uddin

Opting out of good governance pp. 93-110

C. Fritz Foley, Paul Goldsmith-Pinkham, Jonathan Greenstein and Eric Zwick

Forecasting global stock market implied volatility indices pp. 111-129

Stavros Degiannakis, George Filis and Hossein Hassani

Market timing over the business cycle pp. 130-145

Magnus Sander

Default prediction models: The role of forward-looking measures of returns and volatility pp. 146-162

Hong Miao, Sanjay Ramchander, Patricia Ryan and Tianyang Wang

Empirical analysis of the international public covered bond market pp. 163-181

Marc Gürtler and Philipp Neelmeier

The “Cubic Law of the Stock Returns” in emerging markets pp. 182-190

Zhiye Gu and Rustam Ibragimov

The number of bank relationships and borrowing costs: The role of information asymmetries pp. 191-209

Diana Bonfim, Qinglei Dai and Francesco Franco

Volume 45, issue C, 2018

Friendly boards and innovation pp. 1-25

Jun-Koo Kang, Wei-Lin Liu, Angie Low and Le Zhang

Macroeconomic determinants of stock market betas pp. 26-44

Mariano González, Juan Nave and Gonzalo Rubio

Industry specific defaults pp. 45-58

Tae Yeon Kwon and Yoonjung Lee

Asymmetric attention and volatility asymmetry pp. 59-67

Michał Dzieliński, Marc Oliver Rieger and Tõnn Talpsepp

Volatility in equity markets and monetary policy rate uncertainty pp. 68-83

Iryna Kaminska and Matt Roberts-Sklar

Information uncertainty and target valuation in mergers and acquisitions pp. 84-107

Lin Li and Wilson H.S. Tong

The valuation effects of investor attention in stock-financed acquisitions pp. 108-125

Samer Adra and Leonidas G. Barbopoulos

Equity premium predictions with many predictors: A risk-based explanation of the size and value factors pp. 126-140

Adam Stivers

Momentum of return predictability pp. 141-156

Yudong Wang, Li Liu, Feng Ma and Xundi Diao

Operations in offshore financial centers and loan syndicate structure pp. 157-180

Wenxia Ge, Jeong-Bon Kim, Tiemei Li and Yutao Li

Hindsight effect: What are the actual cash flow timing skills of mutual fund investors? pp. 181-193

Fernando Muñoz and Ruth Vicente

CEO dividend protection pp. 194-211

Dan Zhang

New evidence on asymmetric return–volume dependence and extreme movements pp. 212-227

Yi-Chiuan Wang, Jyh-Lin Wu and Yi-Hao Lai

Forecasting stock market returns by summing the frequency-decomposed parts pp. 228-242

Gonçalo Faria and Fabio Verona

A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors pp. 243-268

Anthony H. Tu and Cathy Yi-Hsuan Chen

Maximal predictability under long-term mean reversion pp. 269-282

Erik Hjalmarsson

Residual momentum in Japan pp. 283-299

Rosita P. Chang, Kuan-Cheng Ko, Shinji Nakano and S. Ghon Rhee

Global macro risks in currency excess returns pp. 300-315

Kimberly Berg and Nelson C. Mark