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Journal of Empirical Finance

1993 - 2023

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

From Elsevier
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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 Downloads
María Ferrer Fernández, Ólan Henry, Sam Pybis and Michalis P. Stamatogiannis
Option price implied information and REIT returns pp. 13-28 Downloads
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 Downloads
Robert James, Henry Leung, Jessica Wai Yin Leung and Artem Prokhorov
Coreversal: The booms and busts of arbitrage activities in China pp. 51-65 Downloads
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 Downloads
Zhaozhao He, Mihail K. Miletkov and Viktoriya Staneva
The PhD origins of finance faculty pp. 88-103 Downloads
Todd R. Jones and Haoyang Xiong
The contributions of betas versus characteristics to the ESG premium pp. 104-124 Downloads
Rocco Ciciretti, Ambrogio Dalò and Lammertjan Dam

Volume 70, issue C, 2023

CEO networks and the labor market for directors pp. 1-21 Downloads
Hyemin Kim, Rüdiger Fahlenbrach and Angie Low
A robust Glasso approach to portfolio selection in high dimensions pp. 22-37 Downloads
Wenliang Ding, Lianjie Shu and Xinhua Gu
Salience theory in price and trading volume: Evidence from China pp. 38-61 Downloads
Kaisi Sun, Hui Wang and Yifeng Zhu
Spillover effects in managerial compensation pp. 62-73 Downloads
Robert Kieschnick and Wenyun Shi
Limit order revisions across investor sophistication pp. 74-90 Downloads
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 Downloads
Nima Nonejad
Capital mobility and the long-run return–risk trade-offs of industry portfolios pp. 123-143 Downloads
Jia Chen, Xin Xu and Tong Yao
The contribution of jump signs and activity to forecasting stock price volatility pp. 144-164 Downloads
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 Downloads
Gabriele M. Lepori
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals pp. 182-198 Downloads
Tom Stindl
Out-of-sample equity premium prediction: The role of option-implied constraints pp. 199-226 Downloads
Yunqi Wang and Ti Zhou
Maximum likelihood estimation of the Hull–White model pp. 227-247 Downloads
Kamil Kladívko and Tomáš Rusý
Portfolio homogeneity and systemic risk of financial networks pp. 248-275 Downloads
Yajing Huang, Taoxiong Liu and Donald Lien
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities pp. 276-307 Downloads
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 Downloads
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 Downloads
Alessandro Pollastri, Paulo Rodrigues, Christian Schlag and Norman J. Seeger
Using covariates to improve the efficacy of univariate bubble detection methods pp. 342-366 Downloads
Sam Astill, Robert Taylor, Neil Kellard and Ioannis Korkos
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach pp. 367-385 Downloads
Leon Li and Peter Miu
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland pp. 386-402 Downloads
Jörg R. Stahl
Say more to return less? Disclosure subsequent to successful technological innovation pp. 403-426 Downloads
Jing He and Dongyoung Lee
The value of risk-taking in mergers: Role of ownership and country legal institutions pp. 427-444 Downloads
Narjess Boubakri, Jean-Claude Cosset, Dev Mishra and Hyacinthe Y. Somé
A global monetary policy factor in sovereign bond yields pp. 445-465 Downloads
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 Downloads
Jiyoon Lee
Why Do U.S. Firms Invest Less over Time? pp. 15-42 Downloads
Fangjian Fu, Sheng Huang and Rong Wang
Running a mutual fund: Performance and trading behavior of runner managers pp. 43-62 Downloads
Arash Dayani and Sima Jannati
Is corporate tax avoidance related to employee treatment? pp. 63-80 Downloads
Sholom Schochet, Mohammed Benlemlih and Jamil Jaballah
Organization capital and analyst coverage pp. 81-105 Downloads
Konan Chan, Re-Jin J. Guo, Yanzhi A. Wang and Hsiao-Lin Yang
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity pp. 106-122 Downloads
Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen
Stock price movements: Evidence from global equity markets pp. 123-143 Downloads
Chunhua Lan and Bao Doan
Monitoring institutional ownership and corporate innovation pp. 144-165 Downloads
Steve Miller, Bin Qiu, Bin Wang and Tina Yang
Enhancing the profitability of lottery strategies pp. 166-184 Downloads
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 Downloads
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 Downloads
William Senyu Wang
A corporate credit rating model with autoregressive errors pp. 224-240 Downloads
Rainer Hirk, Laura Vana and Kurt Hornik
Coskewness and reversal of momentum returns: The US and international evidence pp. 241-264 Downloads
Liang Dong, Yiqing Dai, Tariq Haque, Hung Wan Kot and Takeshi Yamada
Peer influence and the value of cash holdings pp. 265-284 Downloads
Yuan Zhuang, Jing Nie and Weixing Wu
Consumption risks in option returns pp. 285-302 Downloads
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 Downloads
Mike Qinghao Mao and Ching Hin Wong
COVID-19, bank deposits, and lending pp. 20-33 Downloads
H. Özlem Dursun-de Neef and Alexander Schandlbauer
Mispricing chasing and hedge fund returns pp. 34-49 Downloads
Tianyi Ma, Baibing Li and Kai-Hong Tee
Economic evaluation of asset pricing models under predictability pp. 50-66 Downloads
Erwin Hansen
Technology shocks and stock returns: A long-term perspective pp. 67-83 Downloads
Susan Sunila Sharma and Paresh Kumar Narayan
Religiosity and sovereign credit quality pp. 84-103 Downloads
Wen-Liang G. Hsieh, Wei-Shao Wu and Anthony H. Tu
Decision-based trades: An analysis of institutional investors’ information advantages pp. 104-115 Downloads
Yawen Jiao
Natural disasters and the role of regional lenders in economic recovery pp. 116-132 Downloads
Hursit S. Celil, Seungjoon Oh and Srinivasan Selvam
Forecasting earnings with combination of analyst forecasts pp. 133-159 Downloads
Hai Lin, Xinyuan Tao and Chunchi Wu
New evidence on Bayesian tests of global factor pricing models pp. 160-172 Downloads
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 Downloads
Giulio Velliscig, Josanco Floreani and Maurizio Polato
Long-horizon stock valuation and return forecasts based on demographic projections pp. 190-215 Downloads
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 Downloads
Chen Gu, Denghui Chen, Raluca Stan and Aizhong Shen
Multiple testing of the forward rate unbiasedness hypothesis across currencies pp. 232-245 Downloads
Hsuan Fu and Richard Luger
Testing predictability of stock returns under possible bubbles pp. 246-260 Downloads
Bingduo Yang, Wei Long and Zihui Yang
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