EconPapers    
Economics at your fingertips  
 

Journal of Empirical Finance

1993 - 2022

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.
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 66, issue C, 2022

Isolating momentum crashes pp. 1-22 Downloads
Maik Dierkes and Jan Krupski
The impact of liquidity risk in the Chinese banking system on the global commodity markets pp. 23-50 Downloads
Yonghwan Jo, Jihee Kim and Francisco Santos
Cross-border M&As and credit risk: Evidence from the CDS market pp. 51-73 Downloads
Iuliana Ismailescu and Burcin Col
Financial risk-taking, religiosity and denomination heterogeneity pp. 74-98 Downloads
Jian Li
Development banks and the syndicate structure: Evidence from a world sample pp. 99-120 Downloads
Degl’Innocenti, Marta, Marco Frigerio and Si Zhou
Is idiosyncratic risk priced? The international evidence pp. 121-136 Downloads
Paul Brockman, Tao Guo, Maria Gabriela Vivero and Wayne Yu
Reinsurance demand and liquidity creation: A search for bicausality pp. 137-154 Downloads
Denise Desjardins, Georges Dionne and Koné, N’Golo
The diversification benefits and policy risks of accessing China’s stock market pp. 155-175 Downloads
Chenyu Shan, Dragon Yongjun Tang, Sarah Qian Wang and Chang Zhang
Income, trading, and performance: Evidence from retail investors pp. 176-195 Downloads
Dien Giau Bui, Iftekhar Hasan, Chih-Yung Lin and Rui-Xiang Zhai

Volume 65, issue C, 2022

Non-marketability and one-day selling lockup pp. 1-23 Downloads
Jiangze Bian, Tie Su and Jun Wang
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition pp. 24-50 Downloads
Christopher Adcock, Wolfgang Bessler and Thomas Conlon
The time-varying bond risk premia in China pp. 51-76 Downloads
Han Zhang, Bin Guo and Lanbiao Liu
Asymmetric effects of the limit order book on price dynamics pp. 77-98 Downloads
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
A toolkit for exploiting contemporaneous stock correlations pp. 99-124 Downloads
Kazuhiro Hiraki and Chuanping Sun
Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model pp. 125-148 Downloads
M. Ulm and J. Hambuckers

Volume 64, issue C, 2021

City goes dark: Dark trading and adverse selection in aggregate markets pp. 1-22 Downloads
Gbenga Ibikunle, Matteo Aquilina, Ivan Diaz-Rainey and Yuxin Sun
Oil price shocks and the US stock market: A nonlinear approach pp. 23-36 Downloads
Inwook Hwang and Jaebeom Kim
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data pp. 37-52 Downloads
Christian-Oliver Ewald and Yihan Zou
The price discovery role of day traders in futures market: Evidence from different types of day traders pp. 53-77 Downloads
Scott Fung and Shih-Chuan Tsai
Executive risk-taking and the agency cost of debt pp. 78-94 Downloads
Matthew Imes and Ronald Anderson
The predictive power of Nelson–Siegel factor loadings for the real economy pp. 95-127 Downloads
Yang Han, Anqi Jiao and Jun Ma
Caught in the crossfire: How the threat of hedge fund activism affects creditors pp. 128-143 Downloads
Felix Zhiyu Feng, Qiping Xu and Caroline H. Zhu
Machine learning loss given default for corporate debt pp. 144-159 Downloads
Luke M. Olson, Min Qi, Xiaofei Zhang and Xinlei Zhao
Uncertainty, prospectus content, and the pricing of initial public offerings pp. 160-182 Downloads
Nicholas Crain, Robert Parrino and Raji Srinivasan
To be or not to be all-equity for firms that eliminate long-term debt pp. 183-206 Downloads
D’Mello, Ranjan and Mark Gruskin
On the stability of stablecoins pp. 207-223 Downloads
Klaus Grobys, Juha Junttila, James W. Kolari and Niranjan Sapkota
Reinforcement learning and risk preference in equity linked notes markets pp. 224-246 Downloads
Reo Song, Sungha Jang, Yingdi Wang, Dominique M. Hanssens and Jaebeom Suh
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution pp. 247-271 Downloads
David Rakowski and Ehab Yamani
Time-dependent lottery preference and the cross-section of stock returns pp. 272-294 Downloads
Chaonan Lin, Hong-Yi Chen, Kuan-Cheng Ko and Nien-Tzu Yang
Diversity and inclusion: Evidence from corporate inventors pp. 295-316 Downloads
Chunfang Cao, Xiaohui Li, Xiaoyang Li, Cheng Zeng and Xuan Zhou
Investment restrictions and fund performance pp. 317-336 Downloads
Jon A. Fulkerson and Xin Hong
Follow the leader: Index tracking with factor models pp. 337-350 Downloads
Pan Jiang and M. Fabricio Perez
Housing market spillovers through the lens of transaction volume: A new spillover index approach pp. 351-378 Downloads
Jian Yang, Meng Tong and Ziliang Yu
Gender and herding pp. 379-400 Downloads
Zhigang Zheng, Ke Tang, Yaodong Liu and Jie Michael Guo

Volume 63, issue C, 2021

Predicting corporate policies using downside risk: A machine learning approach pp. 1-26 Downloads
Doron Avramov, Minwen Li and Hao Wang
Herding behaviour in P2P lending markets pp. 27-41 Downloads
Mustafa Caglayan, Oleksandr Talavera and Wei Zhang
Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies pp. 42-56 Downloads
Wenjie Ding, Khelifa Mazouz and Qingwei Wang
The protective role of saving: Bayesian analysis of British panel data pp. 57-72 Downloads
Sarah Brown, Pulak Ghosh, Bhuvanesh Pareek and Karl Taylor
Smoking hot portfolios? Trading behavior, investment biases, and self-control failure pp. 73-95 Downloads
Charline Uhr, Steffen Meyer and Andreas Hackethal
Household portfolio allocation, uncertainty, and risk pp. 96-117 Downloads
Sarah Brown, Daniel Gray, Mark Harris and Christopher Spencer
Stock price fragility and the cost of bank loans pp. 118-135 Downloads
Bill Francis, Iftekhar Hasan, Shen, Yinjie (Victor) and Pengfei Ye
Risk optimizations on basis portfolios: The role of sorting pp. 136-163 Downloads
Boris Fays, Nicolas Papageorgiou and Marie Lambert
Do leveraged warrants prompt individuals to speculate on stock price reversals? pp. 164-176 Downloads
Miklos Farkas and Kata Váradi
On the role of foreign directors: Evidence from cross-listed firms pp. 177-202 Downloads
Chinmoy Ghosh, Fan He and Haoyong Zhou
Bank stocks, risk factors, and tail behavior pp. 203-229 Downloads
Huan Yang, Jun Cai, Lin Huang and Alan J. Marcus
Trading the foreign exchange market with technical analysis and Bayesian Statistics pp. 230-251 Downloads
Arman Hassanniakalager, Georgios Sermpinis and Charalampos Stasinakis
Forecasting stock returns with large dimensional factor models pp. 252-269 Downloads
Alessandro Giovannelli, Daniele Massacci and Stefano Soccorsi
Media coverage and investment efficiency pp. 270-293 Downloads
Xin Gao, Weidong Xu, Donghui Li and Lu Xing
Exploring risk premium factors for country equity returns pp. 294-322 Downloads
Giovanni Calice and Ming-Tsung Lin
The transformed Gram Charlier distribution: Parametric properties and financial risk applications pp. 323-349 Downloads
Ángel León and Trino-Manuel Ñíguez
Do negative interest rates affect bank risk-taking? pp. 350-364 Downloads
Alessio Bongiovanni, Alessio Reghezza, Riccardo Santamaria and Jonathan Williams
Investor sentiment and stock returns: Global evidence pp. 365-391 Downloads
Wenzhao Wang, Chen Su and Darren Duxbury
Is convexity efficiently priced? Evidence from international swap markets pp. 392-413 Downloads
Riccardo Rebonato and Riccardo Ronzani
Page updated 2022-05-27