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 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

Volume 84, issue C, 2025

A unified duration-based explanation of the value, profitability, and investment anomalies

Shan Chen and Tao Li

Managerial job security and firm diversification

Ziwen Bu, Suyang Li and Rongbing Xiao

Why does the Cochrane–Piazzesi model predict treasury returns?

Riccardo Rebonato and Ken Nyholm

Ranking finance conferences: An update

Wei Hou, Esad Smajlbegovic and Daniel Urban

Momentum is still there conditional on volatility-amplified pessimism

Soroush Ghazi, Mark Schneider and Jack Strauss

The stock return predictability of treasury bond yield in China

Han Zhang, Xiong Xiong and Bin Guo

Mutual fund performance and flow-performance relationship under ambiguity

Ariel Gu and Hong Il Yoo

Economic aggregation of return signals in global markets

Mengmeng Dong

Media, inventors, and corporate innovation

Yuqi Gu, Mahsa Kaviani, Lily Li, Hosein Maleki and Connie X. Mao

Household debt overhang and bankruptcy abuse prevention

Yunqi Zhang, Yu Meng and Xiaoyu Zhang

Insider trading and anomalies

Jiaxing Tian, Hong Xiang and Minghai Xu

Bank dividends, interest expenses, and leverage

Pierluca Pannella

Understanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?

Nicola Bartolini, Silvia Romagnoli and Amia Santini

Volume 83, issue C, 2025

A robust latent factor model for high-dimensional portfolio selection

Fangquan Shi, Lianjie Shu and Xinhua Gu

Do investors reach for yield? Evidence from corporate bond mutual fund flows

Jing-Zhi Huang, Peipei Li, Ying Wang, Yuan Wang, Xiangkun Yao and Licheng Zhang

High frequency online inflation and term structure of interest rates: Evidence from China

Tao Zhang, Ke Tang, Taoxiong Liu and Tingfeng Jiang

(In)Attention: distracted shareholders and corporate innovation

Jing Zhao

Strategic implications of corporate disclosure via Twitter

Devendra Kale, Vikram Nanda and Anin Rupp

Public data openness and trade credit: Evidence from China

Xiao Li, Yuan Li, Xiaoxu Yu and Chun Yuan

Behavioral biases, information frictions and interest rate expectations

George Bulkley, Richard D.F. Harris and Vivekanand Nawosah

Improving information leadership share for measuring price discovery

Shulin Shen, Yixuan Zhang and Eric Zivot

Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks

Jue Gong, Gang-Jin Wang, Yang Zhou and Chi Xie

On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance

Po-Hsuan Hsu, Mark Taylor, Zigan Wang and Yan Li

Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?

Kate Phylaktis and Ehab Yamani

Option-implied idiosyncratic skewness and expected returns: Mind the long run

Deshui Yu, Difang Huang and Mingtao Zhou

Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China

Zihui Li, Lijun Ma and Min Zhang

Default-probability-implied credit ratings for Chinese firms

Xiangzhen Li, Shida Liu and Hao Wang

Predicting risk premiums: A constraint-based model

Ying Yuan, Yong Qu and Tianyang Wang

Unlocking predictive potential: The frequency-domain approach to equity premium forecasting

Gonçalo Faria and Fabio Verona

Risk diversification and extreme risk mitigation

Matteo Bagnara and Benoit Vaucher

Tick size and firm financing decisions: Evidence from a natural experiment

Yangyang Chen, Jeffrey Ng, Emmanuel Ofosu and Xin Yang

Volume 82, issue C, 2025

Exploring the non-linear dynamics between Commercial Real Estate and systemic risk

George Kladakis, Nicole Lux and Alexandros Skouralis

Maxing out short-term reversals in weekly stock returns

Chen Chen, Andrew Cohen, Qiqi Liang and Licheng Sun

Bear factor and hedge fund performance

Thang Ho, Anastasios Kagkadis and George Wang

The influence of long-term managerial orientation on pay inequality

Chen-Chieh Liao and Yin-Hua Yeh

The rise of venture capital and IPO quality

Amrita Nain, Jie Ying and Joseph Arthur

Regulatory fragmentation and corporate innovation

Hongkang Xu

Credit distortions in Japanese momentum

Sharon Y. Ross

Climate change risk and green bond pricing

Alfonso Del Giudice, Silvia Rigamonti and Andrea Signori

Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model

Zhi De Khoo, Kok Haur Ng, You Beng Koh and Kooi Huat Ng

The economic value of equity implied volatility forecasting with machine learning

Paul Borochin and Yanhui Zhao

Portfolio optimization with estimation errors—A robust linear regression approach

Yilin Du, Wenfeng He and Xiaoling Mei

The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model

John Maheu and Azam Shamsi Zamenjani

Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms

Yunhe Li, Yu Liu, Mihail Miletkov and Tina Yang

A system of time-varying models for predictive regressions

Deshui Yu and Yayi Yan

Unlocking efficiency: How capital market liberalization shapes firm productivity

Lu Jolly Zhou, Nan Deng and Chenchen Li