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Journal of Empirical Finance

1993 - 2018

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

From Elsevier
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Volume 48, issue C, 2018

Portfolio optimisation under flexible dynamic dependence modelling pp. 1-18 Downloads
Mauro Bernardi and Leopoldo Catania
Modelling market implied ratings using LASSO variable selection techniques pp. 19-35 Downloads
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 Downloads
Belén Nieto
Conditional co-skewness and safe-haven currencies: A regime switching approach pp. 58-80 Downloads
Kalok Chan, Jian Yang and Yinggang Zhou
Relative spread and price discovery pp. 81-98 Downloads
Eric M. Aldrich and Seung Lee
Macroeconomic determinants of the term structure: Long-run and short-run dynamics pp. 99-122 Downloads
Hitesh Doshi, Kris Jacobs and Rui Liu
A labor news hedge portfolio and the cross-section of expected stock returns pp. 123-139 Downloads
Olaf Stotz
Macroeconomic uncertainty and the distant forward-rate slope pp. 140-161 Downloads
Robert Connolly, David Dubofsky and Chris Stivers
Multivariate models with long memory dependence in conditional correlation and volatility pp. 162-180 Downloads
Jonathan Dark
World output gap and global stock returns pp. 181-197 Downloads
Victoria Atanasov
lCARE - localizing conditional autoregressive expectiles pp. 198-220 Downloads
Xiu Xu, Andrija Mihoci and Wolfgang Karl Härdle
The rise before the close: Underwriter trading around SEOs pp. 221-235 Downloads
Sean Foley, Amy Kwan, Siyuan Adrian Low and Jiri Svec
Female board representation, corporate innovation and firm performance pp. 236-254 Downloads
Jie Chen, Woon Sau Leung and Kevin P. Evans
The role of firm investment in momentum and reversal pp. 255-278 Downloads
Sandra C. Mortal and Michael J. Schill
Bayesian tests of global factor models pp. 279-289 Downloads
Jonathan Fletcher
Testing for leverage effects in the returns of US equities pp. 290-306 Downloads
Christophe Chorro, Dominique Guégan, Florian Ielpo and Hanjarivo Lalaharison
Financial literacy and gender difference in loan performance pp. 307-320 Downloads
Jia Chen, Jiajun Jiang and Yu-jane Liu
Does meeting analysts’ forecasts matter in the private loan market? pp. 321-340 Downloads
Chen-Lung Chin, Mei-Hui Chen and Po-Hsiang Yu
S&P 500 inclusions and stock supply pp. 341-356 Downloads
Jan Schnitzler
ETF liquidation determinants pp. 357-373 Downloads
D. Eli Sherrill and Jeffrey R. Stark
Simulating historical inflation-linked bond returns pp. 374-389 Downloads
Laurens Swinkels

Volume 47, issue C, 2018

A robust and powerful test of abnormal stock returns in long-horizon event studies pp. 1-24 Downloads
Anupam Dutta, Johan Knif, James W. Kolari and Seppo Pynnonen
Prospect theory and corporate bond returns: An empirical study pp. 25-48 Downloads
Xiaoling Zhong and Junbo Wang
Cash savings and capital markets pp. 49-64 Downloads
R. David McLean and Mengxin Zhao
On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects pp. 65-77 Downloads
Oliver Blümke
Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia pp. 78-89 Downloads
Abdullah Almansour and Steven Ongena
Oil and the short-term predictability of stock return volatility pp. 90-104 Downloads
Yudong Wang, Yu Wei, Chongfeng Wu and Libo Yin
Risk-based loan pricing consequences for credit unions pp. 105-119 Downloads
Adam G. Walke, Thomas Fullerton and Robert J. Tokle
Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule pp. 120-138 Downloads
Jying-Nan Wang, Jiangze Du and Yuan-Teng Hsu
Investor types and stock return volatility pp. 139-161 Downloads
Limei Che
Crash risk and risk neutral densities pp. 162-189 Downloads
Ren-Raw Chen, Pei-lin Hsieh and Jeffrey Huang
Portfolio construction and crowding pp. 190-206 Downloads
Salvatore Bruno, Ludwig B. Chincarini and Frank Ohara
The decomposition of jump risks in individual stock returns pp. 207-228 Downloads
Xiao Xiao and Chen Zhou
The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle” pp. 229-245 Downloads
Jared Egginton and Jungshik Hur
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses pp. 246-262 Downloads
Steffen Krüger, Toni Oehme, Daniel Rösch and Harald Scheule

Volume 46, issue C, 2018

Investment and profitability versus value and momentum: The price of residual risk pp. 1-10 Downloads
Yuming Li
On the (Ab)use of Omega? pp. 11-33 Downloads
Massimiliano Caporin, Michele Costola, Gregory Jannin and Bertrand Maillet
Behavioral biases in the corporate bond market pp. 34-55 Downloads
Jason Wei
The disciplinary effects of short sales on controlling shareholders pp. 56-76 Downloads
Shenglan Chen, Bingxuan Lin, Rui Lu and Hui Ma
Market integration and financial linkages among stock markets in Pacific Basin countries pp. 77-92 Downloads
Julien Chevallier, Duc Khuong Nguyen, Jonathan Siverskog and Gazi Uddin
Opting out of good governance pp. 93-110 Downloads
C. Fritz Foley, Paul Goldsmith-Pinkham, Jonathan Greenstein and Eric Zwick
Forecasting global stock market implied volatility indices pp. 111-129 Downloads
Stavros Degiannakis, George Filis and Hossein Hassani
Market timing over the business cycle pp. 130-145 Downloads
Magnus Sander
Default prediction models: The role of forward-looking measures of returns and volatility pp. 146-162 Downloads
Hong Miao, Sanjay Ramchander, Patricia Ryan and Tianyang Wang
Empirical analysis of the international public covered bond market pp. 163-181 Downloads
Marc Gürtler and Philipp Neelmeier
The “Cubic Law of the Stock Returns” in emerging markets pp. 182-190 Downloads
Zhiye Gu and Rustam Ibragimov
The number of bank relationships and borrowing costs: The role of information asymmetries pp. 191-209 Downloads
Diana Bonfim, Qinglei Dai and Francesco Franco

Volume 45, issue C, 2018

Friendly boards and innovation pp. 1-25 Downloads
Jun-Koo Kang, Wei-Lin Liu, Angie Low and Le Zhang
Macroeconomic determinants of stock market betas pp. 26-44 Downloads
Mariano González, Juan Nave and Gonzalo Rubio
Industry specific defaults pp. 45-58 Downloads
Tae Yeon Kwon and Yoonjung Lee
Asymmetric attention and volatility asymmetry pp. 59-67 Downloads
Michał Dzieliński, Marc Oliver Rieger and Tõnn Talpsepp
Volatility in equity markets and monetary policy rate uncertainty pp. 68-83 Downloads
Iryna Kaminska and Matt Roberts-Sklar
Information uncertainty and target valuation in mergers and acquisitions pp. 84-107 Downloads
Lin Li and Wilson H.S. Tong
The valuation effects of investor attention in stock-financed acquisitions pp. 108-125 Downloads
Samer Adra and Leonidas G. Barbopoulos
Equity premium predictions with many predictors: A risk-based explanation of the size and value factors pp. 126-140 Downloads
Adam Stivers
Momentum of return predictability pp. 141-156 Downloads
Yudong Wang, Li Liu, Feng Ma and Xundi Diao
Operations in offshore financial centers and loan syndicate structure pp. 157-180 Downloads
Wenxia Ge, Jeong-Bon Kim, Tiemei Li and Yutao Li
Hindsight effect: What are the actual cash flow timing skills of mutual fund investors? pp. 181-193 Downloads
Fernando Muñoz and Ruth Vicente
CEO dividend protection pp. 194-211 Downloads
Dan Zhang
New evidence on asymmetric return–volume dependence and extreme movements pp. 212-227 Downloads
Yi-Chiuan Wang, Jyh-Lin Wu and Yi-Hao Lai
Forecasting stock market returns by summing the frequency-decomposed parts pp. 228-242 Downloads
Gonçalo Faria and Fabio Verona
A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors pp. 243-268 Downloads
Anthony H. Tu and Cathy Yi-Hsuan Chen
Maximal predictability under long-term mean reversion pp. 269-282 Downloads
Erik Hjalmarsson
Residual momentum in Japan pp. 283-299 Downloads
Rosita P. Chang, Kuan-Cheng Ko, Shinji Nakano and S. Ghon Rhee
Global macro risks in currency excess returns pp. 300-315 Downloads
Kimberly Berg and Nelson C. Mark
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