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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 ().

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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