Journal of Empirical Finance

1993 - 2022

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

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Volume 66, issue C, 2022

Isolating momentum crashes pp. 1-22

Maik Dierkes and Jan Krupski

The impact of liquidity risk in the Chinese banking system on the global commodity markets pp. 23-50

Yonghwan Jo, Jihee Kim and Francisco Santos

Cross-border M&As and credit risk: Evidence from the CDS market pp. 51-73

Iuliana Ismailescu and Burcin Col

Financial risk-taking, religiosity and denomination heterogeneity pp. 74-98

Jian Li

Development banks and the syndicate structure: Evidence from a world sample pp. 99-120

Degl’Innocenti, Marta, Marco Frigerio and Si Zhou

Is idiosyncratic risk priced? The international evidence pp. 121-136

Paul Brockman, Tao Guo, Maria Gabriela Vivero and Wayne Yu

Reinsurance demand and liquidity creation: A search for bicausality pp. 137-154

Denise Desjardins, Georges Dionne and Koné, N’Golo

The diversification benefits and policy risks of accessing China’s stock market pp. 155-175

Chenyu Shan, Dragon Yongjun Tang, Sarah Qian Wang and Chang Zhang

Income, trading, and performance: Evidence from retail investors pp. 176-195

Dien Giau Bui, Iftekhar Hasan, Chih-Yung Lin and Rui-Xiang Zhai

Volume 65, issue C, 2022

Non-marketability and one-day selling lockup pp. 1-23

Jiangze Bian, Tie Su and Jun Wang

Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition pp. 24-50

Christopher Adcock, Wolfgang Bessler and Thomas Conlon

The time-varying bond risk premia in China pp. 51-76

Han Zhang, Bin Guo and Lanbiao Liu

Asymmetric effects of the limit order book on price dynamics pp. 77-98

Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou

A toolkit for exploiting contemporaneous stock correlations pp. 99-124

Kazuhiro Hiraki and Chuanping Sun

Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model pp. 125-148

M. Ulm and J. Hambuckers

Volume 64, issue C, 2021

City goes dark: Dark trading and adverse selection in aggregate markets pp. 1-22

Gbenga Ibikunle, Matteo Aquilina, Ivan Diaz-Rainey and Yuxin Sun

Oil price shocks and the US stock market: A nonlinear approach pp. 23-36

Inwook Hwang and Jaebeom Kim

Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data pp. 37-52

Christian-Oliver Ewald and Yihan Zou

The price discovery role of day traders in futures market: Evidence from different types of day traders pp. 53-77

Scott Fung and Shih-Chuan Tsai

Executive risk-taking and the agency cost of debt pp. 78-94

Matthew Imes and Ronald Anderson

The predictive power of Nelson–Siegel factor loadings for the real economy pp. 95-127

Yang Han, Anqi Jiao and Jun Ma

Caught in the crossfire: How the threat of hedge fund activism affects creditors pp. 128-143

Felix Zhiyu Feng, Qiping Xu and Caroline H. Zhu

Machine learning loss given default for corporate debt pp. 144-159

Luke M. Olson, Min Qi, Xiaofei Zhang and Xinlei Zhao

Uncertainty, prospectus content, and the pricing of initial public offerings pp. 160-182

Nicholas Crain, Robert Parrino and Raji Srinivasan

To be or not to be all-equity for firms that eliminate long-term debt pp. 183-206

D’Mello, Ranjan and Mark Gruskin

On the stability of stablecoins pp. 207-223

Klaus Grobys, Juha Junttila, James W. Kolari and Niranjan Sapkota

Reinforcement learning and risk preference in equity linked notes markets pp. 224-246

Reo Song, Sungha Jang, Yingdi Wang, Dominique M. Hanssens and Jaebeom Suh

Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution pp. 247-271

David Rakowski and Ehab Yamani

Time-dependent lottery preference and the cross-section of stock returns pp. 272-294

Chaonan Lin, Hong-Yi Chen, Kuan-Cheng Ko and Nien-Tzu Yang

Diversity and inclusion: Evidence from corporate inventors pp. 295-316

Chunfang Cao, Xiaohui Li, Xiaoyang Li, Cheng Zeng and Xuan Zhou

Investment restrictions and fund performance pp. 317-336

Jon A. Fulkerson and Xin Hong

Follow the leader: Index tracking with factor models pp. 337-350

Pan Jiang and M. Fabricio Perez

Housing market spillovers through the lens of transaction volume: A new spillover index approach pp. 351-378

Jian Yang, Meng Tong and Ziliang Yu

Gender and herding pp. 379-400

Zhigang Zheng, Ke Tang, Yaodong Liu and Jie Michael Guo

Volume 63, issue C, 2021

Predicting corporate policies using downside risk: A machine learning approach pp. 1-26

Doron Avramov, Minwen Li and Hao Wang

Herding behaviour in P2P lending markets pp. 27-41

Mustafa Caglayan, Oleksandr Talavera and Wei Zhang

Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies pp. 42-56

Wenjie Ding, Khelifa Mazouz and Qingwei Wang

The protective role of saving: Bayesian analysis of British panel data pp. 57-72

Sarah Brown, Pulak Ghosh, Bhuvanesh Pareek and Karl Taylor

Smoking hot portfolios? Trading behavior, investment biases, and self-control failure pp. 73-95

Charline Uhr, Steffen Meyer and Andreas Hackethal

Household portfolio allocation, uncertainty, and risk pp. 96-117

Sarah Brown, Daniel Gray, Mark Harris and Christopher Spencer

Stock price fragility and the cost of bank loans pp. 118-135

Bill Francis, Iftekhar Hasan, Shen, Yinjie (Victor) and Pengfei Ye

Risk optimizations on basis portfolios: The role of sorting pp. 136-163

Boris Fays, Nicolas Papageorgiou and Marie Lambert

Do leveraged warrants prompt individuals to speculate on stock price reversals? pp. 164-176

Miklos Farkas and Kata Váradi

On the role of foreign directors: Evidence from cross-listed firms pp. 177-202

Chinmoy Ghosh, Fan He and Haoyong Zhou

Bank stocks, risk factors, and tail behavior pp. 203-229

Huan Yang, Jun Cai, Lin Huang and Alan J. Marcus

Trading the foreign exchange market with technical analysis and Bayesian Statistics pp. 230-251

Arman Hassanniakalager, Georgios Sermpinis and Charalampos Stasinakis

Forecasting stock returns with large dimensional factor models pp. 252-269

Alessandro Giovannelli, Daniele Massacci and Stefano Soccorsi

Media coverage and investment efficiency pp. 270-293

Xin Gao, Weidong Xu, Donghui Li and Lu Xing

Exploring risk premium factors for country equity returns pp. 294-322

Giovanni Calice and Ming-Tsung Lin

The transformed Gram Charlier distribution: Parametric properties and financial risk applications pp. 323-349

Ángel León and Trino-Manuel Ñíguez

Do negative interest rates affect bank risk-taking? pp. 350-364

Alessio Bongiovanni, Alessio Reghezza, Riccardo Santamaria and Jonathan Williams

Investor sentiment and stock returns: Global evidence pp. 365-391

Wenzhao Wang, Chen Su and Darren Duxbury

Is convexity efficiently priced? Evidence from international swap markets pp. 392-413

Riccardo Rebonato and Riccardo Ronzani