Journal of Empirical Finance

1993 - 2019

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 Dana Niculescu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 52, issue C, 2019

Jump risk premia across major international equity markets pp. 1-21

Mohamed Arouri, M’saddek, Oussama and Kuntara Pukthuanthong

Fundamental strength and short-term return reversal pp. 22-39

Zhaobo Zhu, Licheng Sun and Min Chen

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks pp. 40-55

Feng Ma, Yin Liao, Yaojie Zhang and Yang Cao

Behavioral biases of informed traders: Evidence from insider trading on the 52-week high pp. 56-75

Eunju Lee and Natalia Piqueira

Decomposing mutual fund alpha into security selection and security weighting pp. 76-91

Jeffrey R. Stark

Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings pp. 92-111

Juha Joenväärä and Bernd Scherer

Dividend growth and return predictability: A long-run re-examination of conventional wisdom pp. 112-127

Gertjan Verdickt, Jan Annaert and Marc Deloof

The Fisher puzzle, real rate anomaly, and Wicksell effect pp. 128-148

Ali Anari and James Kolari

Order price clustering, size clustering, and stock price movements: Evidence from the Taiwan Stock Exchange pp. 149-177

Donald Lien, Pi-Hsia Hung and I-Chun Hung

Risk changes and external financing activities: Tests of the dynamic trade-off theory of capital structure pp. 178-200

Martin Dierker, Inmoo Lee and Sung Won Seo

On the robustness of the principal volatility components pp. 201-219

Carlos Trucíos, Luiz Hotta and Pedro Valls Pereira

Expected and realized returns in conditional asset pricing models: A new testing approach pp. 220-236

Jan Antell and Mika Vaihekoski

The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market pp. 237-254

Ming Gu, George J. Jiang and Bu Xu

Are capital requirements on small business loans flawed? pp. 255-274

Dennis Bams, Magdalena Pisa and Christian Wolff

Volume 51, issue C, 2019

Portfolio concentration and mutual fund performance pp. 1-16

Jon A. Fulkerson and Timothy B. Riley

Hierarchical GARCH pp. 17-27

Christian Brownlees

Investor sentiment, SEO market timing, and stock price performance pp. 28-43

Yi-Wen Chen, Robin K. Chou and Chu-Bin Lin

Why do institutions like corporate social responsibility investments? evidence from horizon heterogeneity pp. 44-63

Xudong Fu, Tian Tang and Xinyan Yan

Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil pp. 64-94

Michael W. Brandt and Lin Gao

Consumption growth predictability and asset prices pp. 95-118

Tai-Yong Roh, Changjun Lee and Byoung-Kyu Min

Financial literacy and household finances: A Bayesian two-part latent variable modeling approach pp. 119-137

Xiangnan Feng, Bin Lu, Xinyuan Song and Shuang Ma

Isolating the disaster risk premium with equity options pp. 138-148

Jaroslav Horvath

Do institutional investors still encourage patent-based innovation after the tech bubble period? pp. 149-164

Hsiu-yun Chang, Woan-lih Liang and Yanzhi Wang

Volume 50, issue C, 2019

Conditional tail-risk in cryptocurrency markets pp. 1-19

Nicola Borri

Improved method for detecting acquirer fixed effects pp. 20-42

Eric de Bodt, Jean-Gabriel Cousin and Richard Roll

Dispersion of beliefs, ambiguity, and the cross-section of stock returns pp. 43-56

Deok-Hyeon Lee, Byoung-Kyu Min and Tong Suk Kim

The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market pp. 57-77

Clark Liu, Shujing Wang, K.C. John Wei and Ninghua Zhong

In search of the optimal number of fund subgroups pp. 78-92

Cheng Yan and Tingting Cheng

Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions pp. 93-112

Hung-Ling Chen, Cheng-Yi Shiu and Hui-Shan Wei

Dynamic portfolio allocation with time-varying jump risk pp. 113-124

Chunyang Zhou, Chongfeng Wu and Yudong Wang

Optimal granularity for portfolio choice pp. 125-146

Nicole Branger, Katarína Lučivjanská and Alex Weissensteiner

Volume 49, issue C, 2018

Relief Rallies after FOMC Announcements as a Resolution of Uncertainty pp. 1-18

Chen Gu, Alexander Kurov and Marketa Halova Wolfe

Smart beta, smart money pp. 19-38

Qinhua Chen and Yeguang Chi

The re-pricing of sovereign risks following the Global Financial Crisis pp. 39-56

Dimitrios Malliaropulos and Petros Migiakis

Stock liquidity and corporate diversification: Evidence from China’s split share structure reform pp. 57-80

Lifeng Gu, Yixin Wang, Wentao Yao and Yilin Zhang

Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds pp. 81-106

Biqing Cai, Tingting Cheng and Cheng Yan

CRIX an Index for cryptocurrencies pp. 107-122

Simon Trimborn and Wolfgang Härdle

Time-varying volatility and the power law distribution of stock returns pp. 123-141

Missaka Warusawitharana

Managerial overconfidence and the buyback anomaly pp. 142-156

Panayiotis C. Andreou, Ilan Cooper, Ignacio Garcia de Olalla Lopez and Christodoulos Louca

Forecasting the term structure of option implied volatility: The power of an adaptive method pp. 157-177

Ying Chen, Qian Han and Linlin Niu

Trading places: Price leadership and the competition for order flow pp. 178-200

Gbenga Ibikunle

Limited attention and M&A announcements pp. 201-222

Tomas Reyes

CAPM, components of beta and the cross section of expected returns pp. 223-246

Tolga Cenesizoglu and Jonathan J. Reeves

Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment pp. 247-262

Johannes Breckenfelder and Bernd Schwaab

Seasonality in the cross section of stock returns: Advanced markets versus emerging markets pp. 263-281

Fengyun Li, Huacheng Zhang and Dazhi Zheng

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 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