Journal of Empirical Finance

1993 - 2023

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

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Volume 71, issue C, 2023

Can we forecast better in periods of low uncertainty? The role of technical indicators pp. 1-12

María Ferrer Fernández, Ólan Henry, Sam Pybis and Michalis P. Stamatogiannis

Option price implied information and REIT returns pp. 13-28

Jie Cao, Bing Han, Linjia Song and Xintong Zhan

Forecasting tail risk measures for financial time series: An extreme value approach with covariates pp. 29-50

Robert James, Henry Leung, Jessica Wai Yin Leung and Artem Prokhorov

Coreversal: The booms and busts of arbitrage activities in China pp. 51-65

Xin Liu, Zhigang Qiu, Luyao Shen and Weinan Zheng

New kids on the block: The effect of Generation X directors on corporate performance pp. 66-87

Zhaozhao He, Mihail K. Miletkov and Viktoriya Staneva

The PhD origins of finance faculty pp. 88-103

Todd R. Jones and Haoyang Xiong

The contributions of betas versus characteristics to the ESG premium pp. 104-124

Rocco Ciciretti, Ambrogio Dalò and Lammertjan Dam

Volume 70, issue C, 2023

CEO networks and the labor market for directors pp. 1-21

Hyemin Kim, Rüdiger Fahlenbrach and Angie Low

A robust Glasso approach to portfolio selection in high dimensions pp. 22-37

Wenliang Ding, Lianjie Shu and Xinhua Gu

Salience theory in price and trading volume: Evidence from China pp. 38-61

Kaisi Sun, Hui Wang and Yifeng Zhu

Spillover effects in managerial compensation pp. 62-73

Robert Kieschnick and Wenyun Shi

Limit order revisions across investor sophistication pp. 74-90

Junmao Chiu and Chin-Ho Chen

Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables pp. 91-122

Nima Nonejad

Capital mobility and the long-run return–risk trade-offs of industry portfolios pp. 123-143

Jia Chen, Xin Xu and Tong Yao

The contribution of jump signs and activity to forecasting stock price volatility pp. 144-164

Ruijun Bu, Rodrigo Hizmeri, Marwan Izzeldin, Anthony Murphy and Mike Tsionas

Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City pp. 165-181

Gabriele M. Lepori

Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals pp. 182-198

Tom Stindl

Out-of-sample equity premium prediction: The role of option-implied constraints pp. 199-226

Yunqi Wang and Ti Zhou

Maximum likelihood estimation of the Hull–White model pp. 227-247

Kamil Kladívko and Tomáš Rusý

Portfolio homogeneity and systemic risk of financial networks pp. 248-275

Yajing Huang, Taoxiong Liu and Donald Lien

Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities pp. 276-307

Seung-Oh Han, Sahn-Wook Huh and Jeayoung Park

Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices pp. 308-321

Piotr Fiszeder, Marcin Fałdziński and Peter Molnár

A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks pp. 322-341

Alessandro Pollastri, Paulo Rodrigues, Christian Schlag and Norman J. Seeger

Using covariates to improve the efficacy of univariate bubble detection methods pp. 342-366

Sam Astill, Robert Taylor, Neil Kellard and Ioannis Korkos

Are cryptocurrencies a safe haven for stock investors? A regime-switching approach pp. 367-385

Leon Li and Peter Miu

Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland pp. 386-402

Jörg R. Stahl

Say more to return less? Disclosure subsequent to successful technological innovation pp. 403-426

Jing He and Dongyoung Lee

The value of risk-taking in mergers: Role of ownership and country legal institutions pp. 427-444

Narjess Boubakri, Jean-Claude Cosset, Dev Mishra and Hyacinthe Y. Somé

A global monetary policy factor in sovereign bond yields pp. 445-465

Dimitris Malliaropulos and Petros Migiakis

Volume 69, issue C, 2022

Do firms use credit lines to support investment opportunities?: Evidence from success in R&D pp. 1-14

Jiyoon Lee

Why Do U.S. Firms Invest Less over Time? pp. 15-42

Fangjian Fu, Sheng Huang and Rong Wang

Running a mutual fund: Performance and trading behavior of runner managers pp. 43-62

Arash Dayani and Sima Jannati

Is corporate tax avoidance related to employee treatment? pp. 63-80

Sholom Schochet, Mohammed Benlemlih and Jamil Jaballah

Organization capital and analyst coverage pp. 81-105

Konan Chan, Re-Jin J. Guo, Yanzhi A. Wang and Hsiao-Lin Yang

Bitcoin unchained: Determinants of cryptocurrency exchange liquidity pp. 106-122

Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen

Stock price movements: Evidence from global equity markets pp. 123-143

Chunhua Lan and Bao Doan

Monitoring institutional ownership and corporate innovation pp. 144-165

Steve Miller, Bin Qiu, Bin Wang and Tina Yang

Enhancing the profitability of lottery strategies pp. 166-184

Kyung Yoon Kwon, Byoung-Kyu Min and Chenfei Sun

Foreign bank entry deregulation and stock market stability: Evidence from staggered regulatory changes pp. 185-207

Tse-Chun Lin, Jinyu Liu and Xiaoran Ni

Does subsidiary bank failure affect parents’ capital decisions? Evidence from US bank holding companies pp. 208-223

William Senyu Wang

A corporate credit rating model with autoregressive errors pp. 224-240

Rainer Hirk, Laura Vana and Kurt Hornik

Coskewness and reversal of momentum returns: The US and international evidence pp. 241-264

Liang Dong, Yiqing Dai, Tariq Haque, Hung Wan Kot and Takeshi Yamada

Peer influence and the value of cash holdings pp. 265-284

Yuan Zhuang, Jing Nie and Weixing Wu

Consumption risks in option returns pp. 285-302

Shuwen Yang, Kevin Aretz, Hening Liu and Yuzhao Zhang

Volume 68, issue C, 2022

Managerial commitment and heterogeneity in target-date funds pp. 1-19

Mike Qinghao Mao and Ching Hin Wong

COVID-19, bank deposits, and lending pp. 20-33

H. Özlem Dursun-de Neef and Alexander Schandlbauer

Mispricing chasing and hedge fund returns pp. 34-49

Tianyi Ma, Baibing Li and Kai-Hong Tee

Economic evaluation of asset pricing models under predictability pp. 50-66

Erwin Hansen

Technology shocks and stock returns: A long-term perspective pp. 67-83

Susan Sunila Sharma and Paresh Kumar Narayan

Religiosity and sovereign credit quality pp. 84-103

Wen-Liang G. Hsieh, Wei-Shao Wu and Anthony H. Tu

Decision-based trades: An analysis of institutional investors’ information advantages pp. 104-115

Yawen Jiao

Natural disasters and the role of regional lenders in economic recovery pp. 116-132

Hursit S. Celil, Seungjoon Oh and Srinivasan Selvam

Forecasting earnings with combination of analyst forecasts pp. 133-159

Hai Lin, Xinyuan Tao and Chunchi Wu

New evidence on Bayesian tests of global factor pricing models pp. 160-172

Zhuo Qiao, Yan Wang and Keith S.K. Lam

How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs? pp. 173-189

Giulio Velliscig, Josanco Floreani and Maurizio Polato

Long-horizon stock valuation and return forecasts based on demographic projections pp. 190-215

Chaoyi Chen, Nikolay Gospodinov, Alex Maynard and Elena Pesavento

It is not just What you say, but How you say it: Why tonality matters in central bank communication pp. 216-231

Chen Gu, Denghui Chen, Raluca Stan and Aizhong Shen

Multiple testing of the forward rate unbiasedness hypothesis across currencies pp. 232-245

Hsuan Fu and Richard Luger

Testing predictability of stock returns under possible bubbles pp. 246-260

Bingduo Yang, Wei Long and Zihui Yang