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Journal of Empirical Finance

1993 - 2021

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

From Elsevier
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Volume 60, issue C, 2021

Entrepreneurship and household portfolio choice: Evidence from the China Household Finance Survey pp. 1-15 Downloads
Rui Li, Tianyu Wang and Mingshan Zhou
Liquidity provider incentives in fragmented securities markets pp. 16-38 Downloads
Benjamin Clapham, Peter Gomber, Jens Lausen and Sven Panz
Housing returns, precautionary savings and consumption: Micro evidence from China pp. 39-55 Downloads
Xuefeng Pan and Weixing Wu
Modeling the cross-section of stock returns using sensible models in a model pool pp. 56-73 Downloads
I-Hsuan Ethan Chiang, Yin Liao and Qing Zhou
Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill pp. 74-93 Downloads
Alessandro Beber, Michael W. Brandt, Jason Cen and Kenneth A. Kavajecz
Non-parametric momentum based on ranks and signs pp. 94-109 Downloads
Tsung-Yu Chen, Pin-Huang Chou, Kuan-Cheng Ko and S. Ghon Rhee

Volume 59, issue C, 2020

Industry equi-correlation: A powerful predictor of stock returns pp. 1-24 Downloads
Yudong Wang, Zhiyuan Pan, Chongfeng Wu and Wenfeng Wu
Investment income taxes and private equity acquisition activity pp. 25-51 Downloads
Alex Holcomb, Paul Mason and Harold H. Zhang
Does financial reporting regulation influence the value of cash holdings? pp. 52-67 Downloads
Ahmet Karpuz, Kirak Kim and Neslihan Ozkan
Does product market competition affect corporate governance? Evidence from corporate takeovers pp. 68-87 Downloads
Frederick Dongchuhl Oh and Sean Seunghun Shin
Innovate or die: Corporate innovation and bankruptcy forecasts pp. 88-108 Downloads
Qing Bai and Shaonan Tian
Retail investor attention and herding behavior pp. 109-132 Downloads
Shu-Fan Hsieh, Chia-Ying Chan and Ming-Chun Wang
Volatility forecasts, proxies and loss functions pp. 133-153 Downloads
Erhard Reschenhofer, Manveer Kaur Mangat and Thomas Stark
Short trading and short investing pp. 154-171 Downloads
Jesse Blocher, Peter Haslag and Chi Zhang
Cash-flow or return predictability at long horizons? The case of earnings yield pp. 172-192 Downloads
Paulo Maio and Danielle Xu
Dissecting the idiosyncratic volatility anomaly pp. 193-209 Downloads
Linda H. Chen, George J. Jiang, Danielle D. Xu and Tong Yao
On the stability of portfolio selection models pp. 210-234 Downloads
Francesco Cesarone, Fabiomassimo Mango, Carlo Domenico Mottura, Jacopo Maria Ricci and Fabio Tardella
Beta dispersion and market timing pp. 235-256 Downloads
Laura-Chloé Kuntz
Does program trading contribute to excess comovement of stock returns? pp. 257-277 Downloads
Mingyi Li, Xiangkang Yin and Jing Zhao
Artificial Intelligence Alter Egos: Who might benefit from robo-investing? pp. 278-299 Downloads
D’Hondt, Catherine, Rudy De Winne, Eric Ghysels and Steve Raymond

Volume 58, issue C, 2020

Disaggregation and the equity premium puzzle pp. 1-18 Downloads
Matthew Wilson
Information shares in a two-tier FX market pp. 19-35 Downloads
Louis R. Piccotti and Ben Z. Schreiber
Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection pp. 36-49 Downloads
Tong Fang, Tae Hwy Lee and Zhi Su
Beta and firm age pp. 50-74 Downloads
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
Equity premium prediction and the state of the economy pp. 75-95 Downloads
Ilias Tsiakas, Jiahan Li and Haibin Zhang
Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions pp. 96-120 Downloads
Roel Beetsma, Massimo Giuliodori, Jesper Hanson and Frank de Jong
The economic value of VIX ETPs pp. 121-138 Downloads
Kim Christensen, Charlotte Christiansen and Anders M. Posselt
Mispricing firm-level productivity pp. 139-163 Downloads
Ang, Tze Chuan ‘Chewie’, F.Y. Eric C. Lam and K.C. John Wei
Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios? pp. 164-180 Downloads
Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert Faff
Stock market illiquidity, bargaining power and the cost of borrowing pp. 181-206 Downloads
Jiayuan Chen, Di Gong and Cal Muckley
Testing for explosive bubbles in the presence of autocorrelated innovations pp. 207-225 Downloads
Thomas Quistgaard Pedersen and Erik Christian Montes Schütte
Date-stamping multiple bubble regimes pp. 226-246 Downloads
David I. Harvey, Stephen J. Leybourne and Emily Whitehouse
The information content of the term structure of risk-neutral skewness pp. 247-274 Downloads
Paul Borochin, Hao Chang and Yangru Wu
The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model pp. 275-292 Downloads
Martin Iseringhausen
Forced retirement risk and portfolio choice pp. 293-315 Downloads
Guodong Chen, Minjoon Lee and Tong-yob Nam
The beauty contest between systemic and systematic risk measures: Assessing the empirical performance pp. 316-332 Downloads
Fabrizio Cipollini, Alessandro Giannozzi, Fiammetta Menchetti and Oliviero Roggi
Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach pp. 333-355 Downloads
Linh Hoang Nguyen, Thanaset Chevapatrakul and Kai Yao
A comparison of non-Gaussian VaR estimation and portfolio construction techniques pp. 356-368 Downloads
David Allen, Colin Lizieri and Stephen Satchell
Time varying integration of European stock markets and monetary drivers pp. 369-385 Downloads
Hyunchul Lee and Heeho Kim
Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy pp. 386-411 Downloads
Bill B. Francis, Delroy M. Hunter and Patrick Kelly
Conditional extreme risk, black swan hedging, and asset prices pp. 412-435 Downloads
S. Ghon Rhee and Wu, Feng (Harry)
Turning local: Home-bias dynamics of relocating foreigners pp. 436-452 Downloads
Bjarne Florentsen, Ulf Nielsson, Peter Raahauge and Jesper Rangvid

Volume 57, issue C, 2020

Communication and financial supervision: How does disclosure affect market stability? pp. 1-15 Downloads
Fausto Pacicco, Luigi Vena and Andrea Venegoni
Testing moving average trading strategies on ETFs pp. 16-32 Downloads
Jing-Zhi Huang and Huang, Zhijian (James)
When is a MAX not the MAX? How news resolves information uncertainty pp. 33-51 Downloads
Ran Tao, Chris Brooks and Adrian Bell
Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits pp. 52-70 Downloads
Jingru Ji, Donghua Wang, Dinghai Xu and Chi Xu
Board independence and firm value: A quasi-natural experiment using Taiwanese data pp. 71-88 Downloads
Yaoyao Fan, Yuxiang Jiang, Mao-Feng Kao and Frank Hong Liu
Biased information weight processing in stock markets pp. 89-106 Downloads
Hannes Mohrschladt and Thomas Langer
Modeling CDS spreads: A comparison of some hybrid approaches pp. 107-124 Downloads
Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi

Volume 56, issue C, 2020

Value at risk, cross-sectional returns and the role of investor sentiment pp. 1-18 Downloads
Jia Bi and Yifeng Zhu
National culture and housing credit pp. 19-41 Downloads
Chrysovalantis Gaganis, Iftekhar Hasan and Fotios Pasiouras
Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro pp. 42-73 Downloads
Sebastian Lindman, Tom Tuvhag, Ranadeva Jayasekera, Gazi Uddin and Victor Troster
High-frequency trading and institutional trading costs pp. 74-93 Downloads
Marie Chen and Corey Garriott
Is the presidential premium spurious? pp. 94-104 Downloads
Oumar Sy and Ashraf Al Zaman
Issuer IPO underpricing and Directed Share Program (DSP) pp. 105-125 Downloads
Beng Chong and Zhenbin Liu
Page updated 2021-01-24