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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
Bibliographic data for series maintained by Dana Niculescu ().

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Volume 52, issue C, 2019

Jump risk premia across major international equity markets pp. 1-21 Downloads
Mohamed Arouri, M’saddek, Oussama and Kuntara Pukthuanthong
Fundamental strength and short-term return reversal pp. 22-39 Downloads
Zhaobo Zhu, Licheng Sun and Min Chen
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks pp. 40-55 Downloads
Feng Ma, Yin Liao, Yaojie Zhang and Yang Cao
Behavioral biases of informed traders: Evidence from insider trading on the 52-week high pp. 56-75 Downloads
Eunju Lee and Natalia Piqueira
Decomposing mutual fund alpha into security selection and security weighting pp. 76-91 Downloads
Jeffrey R. Stark
Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings pp. 92-111 Downloads
Juha Joenväärä and Bernd Scherer
Dividend growth and return predictability: A long-run re-examination of conventional wisdom pp. 112-127 Downloads
Gertjan Verdickt, Jan Annaert and Marc Deloof
The Fisher puzzle, real rate anomaly, and Wicksell effect pp. 128-148 Downloads
Ali Anari and James Kolari
Order price clustering, size clustering, and stock price movements: Evidence from the Taiwan Stock Exchange pp. 149-177 Downloads
Donald Lien, Pi-Hsia Hung and I-Chun Hung
Risk changes and external financing activities: Tests of the dynamic trade-off theory of capital structure pp. 178-200 Downloads
Martin Dierker, Inmoo Lee and Sung Won Seo
On the robustness of the principal volatility components pp. 201-219 Downloads
Carlos Trucíos, Luiz Hotta and Pedro Valls Pereira
Expected and realized returns in conditional asset pricing models: A new testing approach pp. 220-236 Downloads
Jan Antell and Mika Vaihekoski
The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market pp. 237-254 Downloads
Ming Gu, George J. Jiang and Bu Xu
Are capital requirements on small business loans flawed? pp. 255-274 Downloads
Dennis Bams, Magdalena Pisa and Christian Wolff

Volume 51, issue C, 2019

Portfolio concentration and mutual fund performance pp. 1-16 Downloads
Jon A. Fulkerson and Timothy B. Riley
Hierarchical GARCH pp. 17-27 Downloads
Christian Brownlees
Investor sentiment, SEO market timing, and stock price performance pp. 28-43 Downloads
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 Downloads
Xudong Fu, Tian Tang and Xinyan Yan
Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil pp. 64-94 Downloads
Michael W. Brandt and Lin Gao
Consumption growth predictability and asset prices pp. 95-118 Downloads
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 Downloads
Xiangnan Feng, Bin Lu, Xinyuan Song and Shuang Ma
Isolating the disaster risk premium with equity options pp. 138-148 Downloads
Jaroslav Horvath
Do institutional investors still encourage patent-based innovation after the tech bubble period? pp. 149-164 Downloads
Hsiu-yun Chang, Woan-lih Liang and Yanzhi Wang

Volume 50, issue C, 2019

Conditional tail-risk in cryptocurrency markets pp. 1-19 Downloads
Nicola Borri
Improved method for detecting acquirer fixed effects pp. 20-42 Downloads
Eric de Bodt, Jean-Gabriel Cousin and Richard Roll
Dispersion of beliefs, ambiguity, and the cross-section of stock returns pp. 43-56 Downloads
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 Downloads
Clark Liu, Shujing Wang, K.C. John Wei and Ninghua Zhong
In search of the optimal number of fund subgroups pp. 78-92 Downloads
Cheng Yan and Tingting Cheng
Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions pp. 93-112 Downloads
Hung-Ling Chen, Cheng-Yi Shiu and Hui-Shan Wei
Dynamic portfolio allocation with time-varying jump risk pp. 113-124 Downloads
Chunyang Zhou, Chongfeng Wu and Yudong Wang
Optimal granularity for portfolio choice pp. 125-146 Downloads
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 Downloads
Chen Gu, Alexander Kurov and Marketa Halova Wolfe
Smart beta, smart money pp. 19-38 Downloads
Qinhua Chen and Yeguang Chi
The re-pricing of sovereign risks following the Global Financial Crisis pp. 39-56 Downloads
Dimitrios Malliaropulos and Petros Migiakis
Stock liquidity and corporate diversification: Evidence from China’s split share structure reform pp. 57-80 Downloads
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 Downloads
Biqing Cai, Tingting Cheng and Cheng Yan
CRIX an Index for cryptocurrencies pp. 107-122 Downloads
Simon Trimborn and Wolfgang Härdle
Time-varying volatility and the power law distribution of stock returns pp. 123-141 Downloads
Missaka Warusawitharana
Managerial overconfidence and the buyback anomaly pp. 142-156 Downloads
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 Downloads
Ying Chen, Qian Han and Linlin Niu
Trading places: Price leadership and the competition for order flow pp. 178-200 Downloads
Gbenga Ibikunle
Limited attention and M&A announcements pp. 201-222 Downloads
Tomas Reyes
CAPM, components of beta and the cross section of expected returns pp. 223-246 Downloads
Tolga Cenesizoglu and Jonathan J. Reeves
Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment pp. 247-262 Downloads
Johannes Breckenfelder and Bernd Schwaab
Seasonality in the cross section of stock returns: Advanced markets versus emerging markets pp. 263-281 Downloads
Fengyun Li, Huacheng Zhang and Dazhi Zheng

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 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
Page updated 2019-08-23