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
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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