Journal of Empirical Finance

1993 - 2026

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

From Elsevier
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Volume 88, issue C, 2026

Back to the future: Revival of behavioral explanations for long-term return reversals

Tsung-Yu Chen, Pin-Huang Chou, Kuan-Cheng Ko and S. Ghon Rhee

On the predictability of ETF returns with technical predictors

Zihan Gong and Sebastian Müller

The real effects of AI: Evidence from corporate investment efficiency

Sheng-Syan Chen, Jungmin Kim and Shu-Cing Peng

Sovereign credit ceilings and corporate default risk: Evidence from global downgrades

Huimin Chung, Junmao Chiu, Chih-Yung Lin, Kuang-Chih Tsao and Hao-Wen Chang

Don’t draw the downs apart: How to best simulate asset price drawdowns

Hubert Dichtl, Wolfgang Drobetz, Tizian Otto and Tatjana Puhan

Machine learning for realised volatility forecasting

Eghbal Rahimikia and Ser-Huang Poon

Global currency volatility risk and currency return predictability

Zhiyong Li, Fang Qiao and Tianyi Wang

A novel scaling approach for unbiased adjustment of risk estimators

Marcin Pitera, Thorsten Schmidt and Łukasz Stettner

Option-implied variance asymmetry and stock market returns

Yuanyi Zhang and Jiantao Ma

Corrigendum to “Positivity and Long-Lasting Momentum” [Journal of Empirical Finance, volume 87 (2026)/101694]

Jingjing Chen, George J. Jiang, Chenye Liu and Dongming Zhu

Shocks to CEO overconfidence and the deflation of hubris in acquisitions

M. Babajide Wintoki and Yaoyi Xi

The asymmetric effects of monetary policy shocks: Evidence from credit default swap markets

Difang Huang and Ying Liang

Automated versus manual investments: Evidence from peer-to-peer lending

Yongqiang Chu, Chunxing Sun and Daxuan Zhao

The cross-section of individual equity option returns

Mobina Shafaati, Don M. Chance and Robert Brooks

The origins and impacts of uncertainty: New evidence from a TVP-VAR extended joint connectedness approach

Wenbin Cao, Hyung-Eun Choi, Xiaoman Duan and Sora Kim

Identifying excessive spread dispersion in the euro area: When do sovereign spreads go beyond fundamentals?

Jan Kakes and Jan Willem van den End

Spotlight on the neighborhood: The spillover effect of IPOs on retail investor attention

Stefano Mengoli and Pierpaolo Pattitoni

The impact of series investment companies on mutual fund attributes

Timothy D. Haight and Chengdong Yin

Risk-based peer networks and return predictability: Evidence from textual analysis on 10-K filings

Jian Yuan and Yiming Zhang

Volume 87, issue C, 2026

Factor pricing across asset classes

Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk

Unlocking stability: Corporate site visits and information disclosure

Zhou Liu, Lina Shi, Yaxian Yang and Shunming Zhang

Firm location and the value-growth premium

Brent Ambrose, Yifan Chen and Timothy T. Simin

Brown bonds in a green world: Are investors punishing high-carbon issuers with illiquidity?

Alexander Schoeffel, Florian Kiesel, Martin Geissdoerfer, Lukas Mueller and Dirk Schiereck

Salience theory and cross-sectional corporate bond returns

Xi Chen, Junbo Wang, K.C.John Wei, Chunchi Wu and Linti Zhang

Measuring daily systemic risk with intraday data: Evidence from foreign exchange market

Yi Zhou, Wenjing Xia and Wuyi Ye

Positivity and long-lasting momentum

Jingjing Chen, George J. Jiang, Chenye Liu and Dongming Zhu

Are the stylized features of stock returns the same in market downturns and upturns?

Bowen Cheng, Wanling Huang, Cathy Ning and Dinghai Xu

Who hires whom? connected hiring in the CEO labor market

Hyemin Kim and Angie Low

IPO underwriting incentives and macroeconomic forecast optimism

Danyang Jiang, Haoyuan Li and Xiaoli Tian

Deep learning, predictability, and optimal portfolio returns

Mykola Babiak and Jozef Baruník

Prospect theory and stock price behavior in retail trading booms

Xu Guo, Junbo Wang, Chunchi Wu and Xiaoling Zhong

Realized, expected and unexpected returns in asset pricing tests

Olaf Stotz

Sparse heterogeneous auto-regressive model for volatility forecasting

Mingmian Cheng

What drives retail investors’ overconfidence? The role of information acquisition costs

Gang Li, Shuqi Wang and K.C. John Wei

Trust and momentum: International evidence

Qianqiu Liu and Ming Shou

Equity risk factors for the long and short run: Pricing and performance at different frequencies

Terri van der Zwan, Erik Hennink and Patrick Tuijp

Peer effects in financial expectations

Joshua Thornton

Is this time different? Reconsidering inflation hedged portfolios through community detection and fuzzy network

Gregory Gadzinski

Economic conditions and portfolio tail risk: A probability-weighted simulation approach

Lei Jiao and Zhou, Qing (Clara)

Investors awaken: Fragility in China’s wealth management product market

Yabin Wang and Zhang Wu

Volume 86, issue C, 2026

The veracity of insider trading signals in financially distressed firms

Paula Hill, Adriana Korczak and Shuo Wang

Bankruptcy prediction of privately held SMEs using feature selection methods

Florentina Paraschiv, Markus Schmid and Ranik Raaen Wahlstrøm

Do shortages forecast aggregate and sectoral U.S. stock market realized variance? Evidence from a century of data

Matteo Bonato, Rangan Gupta and Christian Pierdzioch

The free dividend fallacy in the Chinese stock market: Evidence from stock pricing behavior around ex-dividend day

Jeffery Jinfan Chang, Huancheng Du, Xiaoran Ni and Yuheng Wang

Volume 85, issue C, 2026

The decay of cay

Moritz Dauber and Jochen Lawrenz

Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic

Chae-Deug Yi

Information salience, investor attention, and stock price crash risk

Zhenshan Chen, Zhibing Li, Jie Liu and Xiaoyu Liu

A GARCH model with two volatility components and two driving factors

Luca Vincenzo Ballestra, D’Innocenzo, Enzo and Christian Tezza

Can mutual fund “stars” really pick stocks? New evidence from a wild bootstrap analysis

Ulrich Hounyo and Jiahao Lin

On evaluating the style-selection skill of hedge funds

Xiaolin Ye, Baibing Li and Kai-Hong Tee

Global standard and bank liquidity creation: A case study of Basel III liquidity regulation

Yong Kyu Gam

Deleveraging driven by profitability improvement: Evidence from China’s business tax to value-added tax transition

Zhenjie Qian, Dan Xi, Jia Xu and Lingrui Zhou

Factors in the cross-section of Chinese corporate bonds: Evidence from reduced-rank analysis

Xuejun Jin, Yifan Chen, Xiaobin Liu and Tao Zeng

A skew is a skill: Portfolio skewness of mutual fund holdings

Jo Drienko, Chao Gao and Yifei Liu