EconPapers    
Economics at your fingertips  
 

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
Bibliographic data for series maintained by Dana Niculescu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


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
Page updated 2018-12-16