Journal of Empirical Finance

1993 - 2025

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

From Elsevier
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Volume 77, issue C, 2024

CEO narcissism and the agency cost of debt

J.H. John Kim and Ronald Anderson

Reserve holding and bank lending

Chun Kuang, Jiawen Yang and Wenyu Zhu

Local predictability of stock returns and cash flows

Deshui Yu and Li Chen

Option valuation via nonaffine dynamics with realized volatility

Yuanyuan Zhang, Qian Zhang, Zerong Wang and Qi Wang

Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns

Xiaojun Zhao, Na Zhang, Yali Zhang, Chao Xu and Pengjian Shang

An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile

Claudio Candia and Rodrigo Herrera

Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns

Simon Hediger and Jeffrey Näf

Instantaneous volatility of the yield curve, variance risk premium and bond return predictability

Ximing Yin and Ge Yang

Options trading imbalance, cash-flow news, and discount-rate news

Doina Chichernea, Kershen Huang, Alex Petkevich and Pavel Teterin

The role of intermediaries in derivatives markets: Evidence from VIX options

Kris Jacobs and Anh Thu Mai

The ripple effect of all-star females: Knowledge spillover and improved analyst performance

Sima Jannati

Aggregate portfolio choice

Joachim Inkmann

Information acquisition and processing skills of institutions and retail investors around information shocks

Scott Fung, Khaled Obaid and Shih-Chuan Tsai

Modern banking development during natural disasters: Evidence from the early 20th century China

Yang Cai and Dongxu Li

Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach

Chuanping Sun

Do share repurchases facilitate movement toward target capital structure? International evidence

Zigan Wang, Qie Ellie Yin and Luping Yu

Global and local information efficiency: An examination of samuelson's dictum

Yaqing Xiao, Hongjun Yan and Jinfan Zhang

Volume 76, issue C, 2024

Enhancing betting against beta with stochastic dominance

Olga Kolokolova and Xia Xu

Information in unexpected bonus cuts: Firm performance and CEO firings

William M. Cready, Zhonglan Dai, Guang Ma and Vikram Nanda

Does media affect the rival response to acquisition targets?

Xin Gao, Zhe An, Donghui Li and Weidong Xu

Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?

Xiaoyuan Wan

Volume 75, issue C, 2024

Expensive anomalies

Deniz Anginer, Sugata Ray, H. Nejat Seyhun and Luqi Xu

Technological disparity and its impact on market quality

Kiseo Chung and Seoyoung Kim

Climate change concerns and mortgage lending

Tinghua Duan and Frank Weikai Li

The effect of investor attention on stock price crash risk

Ting-Hsuan Chen and Kai-Sheng Chen

Tail risks and private equity performance

Hrvoje Kurtović and Garen Markarian

Factor momentum in the Chinese stock market

Tian Ma, Cunfei Liao and Fuwei Jiang

International asset pricing with heterogeneous agents: Estimation and inference

Roméo Tédongap and Jules Tinang

The effects of banking market structure on corporate cash holdings and the value of cash

Shengfeng Li, Liang Han and Biao Mi

Carbon dioxide and asset pricing: Evidence from international stock markets

Zhuo Chen, Jinyu Liu, Andrea Lu and Libin Tao

House price bubbles under the COVID-19 pandemic

Jacob H. Hansen, Stig V. Møller, Thomas Q. Pedersen and Christian M. Schütte

An adaptive long memory conditional correlation model

Jonathan Dark

Horizontal mergers and heterogeneous firm investments: evidence from the United States

Dongxu Li

Volume 74, issue C, 2023

Estimation with mixed data frequencies: A bias-correction approach

Anisha Ghosh and Oliver Linton

Bond issuance and the funding choices of European banks: The consequences of public debt

Michela Rancan, Jessica Cariboni, Kevin Keasey and Francesco Vallascas

Social capital and the pricing of initial public offerings

Yangyang Chen, Huu Nhan Duong, Abhinav Goyal and Madhu Veeraraghavan

Intraday VaR: A copula-based approach

Keli Wang, Xiaoquan Liu and Wuyi Ye

The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns

Minhao Leong and Simon Kwok

Portfolio allocation over the life cycle with multiple late-in-life saving motives

Minjoon Lee

Futures contract collateralization and its implications

Robert Jarrow and Simon S. Kwok

On the driving forces of real exchange rates: Is the Japanese Yen different?

Paulo Maio and Ming Zeng

Term premia and short rate expectations in the euro area

Andrea Berardi

International comovement of r∗: A case study of the G7 countries

Eiji Goto

Leasing and the allocation efficiency of finance

Weiwei Hu, Kai Li and Yiming Xu

Managerial ability and financial statement disaggregation decisions

Dien Giau Bui, Yehning Chen, Yan-Shing Chen and Chih-Yung Lin

A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies

Yuecheng Jia, Yangru Wu, Shu Yan and Yuzheng Liu

Co-illiquidity management

Søren Hvidkjær, Massimo Massa and Aleksandra Rzeźnik

Product competition, political connections, and the costs of high leverage

Qian Li, Shihao Wang and Victor Song

Counteroffers and Price Discrimination in Mortgage Lending

Steven Ongena, Florentina Paraschiv and Endre J. Reite

Forecasting realized volatility with wavelet decomposition

Ioannis Souropanis and Andrew Vivian

The commodity risk premium and neural networks

Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert Faff

Goodhart’s law in China: Bank branching regulation and window dressing

Di Gong, Harry Huizinga, Tianshi Li and Jigao Zhu

The role of human capital: Evidence from corporate innovation

Tong Liu, Yifei Mao and Xuan Tian

The effect of venture capital backing on innovation in newly public firms

Serdar Aldatmaz and Ugur Celikyurt

Stock returns in global value chains: The role of upstreamness and downstreamness

Nicole Branger, René Marian Flacke, Paul Meyerhof and Steffen Windmüller

What drives the TIPS–Treasury bond mispricing?

Jungkyu Ahn and Yongkil Ahn

Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments

Lei Ming, Ping Yang and Qianqiu Liu

A financial modeling approach to industry exchange-traded funds selection

Thomas Conlon, John Cotter, Illia Kovalenko and Thierry Post

Option gamma and stock returns

Amar Soebhag

Corporate social responsibility and excess perks

Dan Xi, Yuze Wu, Xue Wang and Zhe Fu