Journal of Empirical Finance

1993 - 2025

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 Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 82, issue C, 2025

Exploring the non-linear dynamics between Commercial Real Estate and systemic risk

George Kladakis, Nicole Lux and Alexandros Skouralis

Maxing out short-term reversals in weekly stock returns

Chen Chen, Andrew Cohen, Qiqi Liang and Licheng Sun

Bear factor and hedge fund performance

Thang Ho, Anastasios Kagkadis and George Wang

The influence of long-term managerial orientation on pay inequality

Chen-Chieh Liao and Yin-Hua Yeh

The rise of venture capital and IPO quality

Amrita Nain, Jie Ying and Joseph Arthur

Regulatory fragmentation and corporate innovation

Hongkang Xu

Credit distortions in Japanese momentum

Sharon Y. Ross

Climate change risk and green bond pricing

Alfonso Del Giudice, Silvia Rigamonti and Andrea Signori

Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model

Zhi De Khoo, Kok Haur Ng, You Beng Koh and Kooi Huat Ng

The economic value of equity implied volatility forecasting with machine learning

Paul Borochin and Yanhui Zhao

Portfolio optimization with estimation errors—A robust linear regression approach

Yilin Du, Wenfeng He and Xiaoling Mei

The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model

John M. Maheu and Azam Shamsi Zamenjani

Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms

Yunhe Li, Yu Liu, Mihail Miletkov and Tina Yang

A system of time-varying models for predictive regressions

Deshui Yu and Yayi Yan

Unlocking efficiency: How capital market liberalization shapes firm productivity

Lu Jolly Zhou, Nan Deng and Chenchen Li

Volume 81, issue C, 2025

Skilled active liquidity management: Evidence from shocks to fund flows

Aleksandra Rzeźnik

Smart beta, “smarter” flows

Jie Cao, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan

Short-term institutional investors and the diffusion of supply chain information

Rui Duan and Yelena Larkin

Social connectedness and cross-border mergers and acquisitions

Zhonghao Jiang, Yukun Shi and Lu Xing

CDS and credit: The effect of the bangs on credit insurance, lending and hedging

Yalin Gündüz, Steven Ongena, Günseli Tümer-Alkan and Yuejuan Yu

Unveiling the villain: Credit supply and the debt trap

Shun Fu, Emma Li, Li Liao, Zhengwei Wang and Hongyu Xiang

Tail risk dynamics of banks with score-driven extreme value models

Fernanda Fuentes, Rodrigo Herrera and Adam Clements

Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes

Rodrigo Hizmeri, Marwan Izzeldin and Giovanni Urga

Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies

Jiawen Luo, Oguzhan Cepni, Riza Demirer and Rangan Gupta

Do fees matter? Investor’s sensitivity to active management fees

Trond Døskeland, André Wattø Sjuve and Andreas Ørpetveit

Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575]

Jiawen Luo, Zhenbiao Chen and Mingmian Cheng

Is machine learning a necessity? A regression-based approach for stock return prediction

Tingting Cheng, Shan Jiang, Albert Bo Zhao and Junyi Zhao

The AH premium: A tale of “siamese twin” stocks

Renbin Zhang and Tongbin Zhang

Volume 80, issue C, 2025

On the performance of volatility-managed equity factors — International and further evidence

Patrick Schwarz

CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets

Dien Giau Bui, Robin K. Chou, Chih-Yung Lin and Chien-Lin Lu

Implied local volatility models

Chen Xu Li, Chenxu Li and Chun Li

What drives robo-advice?

Bernd Scherer and Sebastian Lehner

Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects

Jiawen Luo, Zhenbiao Chen and Mingmian Cheng

Geographical proximity, cultural familiarity and financial information production

Han Hao, Chun Liu and Shunzhi Pang

Market neutrality and beta crashes

Xia Xu

A revisit to bias-adjusted predictive regression

Ke-Li Xu

Volume 79, issue C, 2024

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Hamed Ghanbari

Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data

Erik Mekelburg and Jack Strauss

Using the Bayesian sampling method to estimate corporate loss given default distribution

Xiaofei Zhang and Xinlei Zhao

Stock price synchronicity and stock liquidity: International evidence

Paul Brockman, Tung Lam Dang and Thu Phuong Pham

A comparison of factor models in China

Jinzhe Wang and Yifeng Zhu

Banker directors on board and corporate tax avoidance

Qian Song, Wenjie Ding, Iftekhar Hasan and Qingwei Wang

Gold, platinum, and mutual fund flows

Ali K. Malik, Gonul Colak and Anders Löflund

How does bank opacity affect credit growth and return predictability?

Arpit Kumar Parija and Malvika Chhatwani

Local labor market and corporate investment

Yao Ge, Wei Huang, Zheng Qiao and Hao Zheng

Financial statement disaggregation and bank loan pricing

Chien-Lin Lu, Chih-Yung Lin, Tse-Chun Lin and Bin Miao

Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio

Chen Chen, Chris Stivers and Licheng Sun

Are stablecoins the money market mutual funds of the future?

Nico Oefele, Dirk G. Baur and Lee Smales

Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?

Marie Dutordoir, Joshua Shemesh, Chris Veld and Qing Wang

High-frequency realized stochastic volatility model

Toshiaki Watanabe and Jouchi Nakajima

Technological shocks and stock market volatility over a century

Afees Salisu, Riza Demirer and Rangan Gupta

Is firm-level political risk priced in the corporate bond market?

Luis Ceballos, Vanja Piljak and Laurens Swinkels

Time-varying variance decomposition of macro-finance term structure models

Anne Lundgaard Hansen

Trading volume shares and market quality: Pre- and post- zero commissions

Pankaj K. Jain, Suchismita Mishra, Shawn M. O'Donoghue and Le Zhao

Jump tail risk exposure and the cross-section of stock returns

Lykourgos Alexiou and Leonidas S. Rompolis