EconPapers    
Economics at your fingertips  
 

Journal of Empirical Finance

1993 - 2019

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 Dana Niculescu ().

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 47, issue C, 2018

A robust and powerful test of abnormal stock returns in long-horizon event studies pp. 1-24 Downloads
Anupam Dutta, Johan Knif, James W. Kolari and Seppo Pynnonen
Prospect theory and corporate bond returns: An empirical study pp. 25-48 Downloads
Xiaoling Zhong and Junbo Wang
Cash savings and capital markets pp. 49-64 Downloads
R. David McLean and Mengxin Zhao
On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects pp. 65-77 Downloads
Oliver Blümke
Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia pp. 78-89 Downloads
Abdullah Almansour and Steven Ongena
Oil and the short-term predictability of stock return volatility pp. 90-104 Downloads
Yudong Wang, Yu Wei, Chongfeng Wu and Libo Yin
Risk-based loan pricing consequences for credit unions pp. 105-119 Downloads
Adam G. Walke, Thomas Fullerton and Robert J. Tokle
Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule pp. 120-138 Downloads
Jying-Nan Wang, Jiangze Du and Yuan-Teng Hsu
Investor types and stock return volatility pp. 139-161 Downloads
Limei Che
Crash risk and risk neutral densities pp. 162-189 Downloads
Ren-Raw Chen, Pei-lin Hsieh and Jeffrey Huang
Portfolio construction and crowding pp. 190-206 Downloads
Salvatore Bruno, Ludwig B. Chincarini and Frank Ohara
The decomposition of jump risks in individual stock returns pp. 207-228 Downloads
Xiao Xiao and Chen Zhou
The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle” pp. 229-245 Downloads
Jared Egginton and Jungshik Hur
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses pp. 246-262 Downloads
Steffen Krüger, Toni Oehme, Daniel Rösch and Harald Scheule

Volume 46, issue C, 2018

Investment and profitability versus value and momentum: The price of residual risk pp. 1-10 Downloads
Yuming Li
On the (Ab)use of Omega? pp. 11-33 Downloads
Massimiliano Caporin, Michele Costola, Gregory Jannin and Bertrand Maillet
Behavioral biases in the corporate bond market pp. 34-55 Downloads
Jason Wei
The disciplinary effects of short sales on controlling shareholders pp. 56-76 Downloads
Shenglan Chen, Bingxuan Lin, Rui Lu and Hui Ma
Market integration and financial linkages among stock markets in Pacific Basin countries pp. 77-92 Downloads
Julien Chevallier, Duc Khuong Nguyen, Jonathan Siverskog and Gazi Uddin
Opting out of good governance pp. 93-110 Downloads
C. Fritz Foley, Paul Goldsmith-Pinkham, Jonathan Greenstein and Eric Zwick
Forecasting global stock market implied volatility indices pp. 111-129 Downloads
Stavros Degiannakis, George Filis and Hossein Hassani
Market timing over the business cycle pp. 130-145 Downloads
Magnus Sander
Default prediction models: The role of forward-looking measures of returns and volatility pp. 146-162 Downloads
Hong Miao, Sanjay Ramchander, Patricia Ryan and Tianyang Wang
Empirical analysis of the international public covered bond market pp. 163-181 Downloads
Marc Gürtler and Philipp Neelmeier
The “Cubic Law of the Stock Returns” in emerging markets pp. 182-190 Downloads
Zhiye Gu and Rustam Ibragimov
The number of bank relationships and borrowing costs: The role of information asymmetries pp. 191-209 Downloads
Diana Bonfim, Qinglei Dai and Francesco Franco

Volume 45, issue C, 2018

Friendly boards and innovation pp. 1-25 Downloads
Jun-Koo Kang, Wei-Lin Liu, Angie Low and Le Zhang
Macroeconomic determinants of stock market betas pp. 26-44 Downloads
Mariano González, Juan Nave and Gonzalo Rubio
Industry specific defaults pp. 45-58 Downloads
Tae Yeon Kwon and Yoonjung Lee
Asymmetric attention and volatility asymmetry pp. 59-67 Downloads
Michał Dzieliński, Marc Oliver Rieger and Tõnn Talpsepp
Volatility in equity markets and monetary policy rate uncertainty pp. 68-83 Downloads
Iryna Kaminska and Matt Roberts-Sklar
Information uncertainty and target valuation in mergers and acquisitions pp. 84-107 Downloads
Lin Li and Wilson H.S. Tong
The valuation effects of investor attention in stock-financed acquisitions pp. 108-125 Downloads
Samer Adra and Leonidas G. Barbopoulos
Equity premium predictions with many predictors: A risk-based explanation of the size and value factors pp. 126-140 Downloads
Adam Stivers
Momentum of return predictability pp. 141-156 Downloads
Yudong Wang, Li Liu, Feng Ma and Xundi Diao
Operations in offshore financial centers and loan syndicate structure pp. 157-180 Downloads
Wenxia Ge, Jeong-Bon Kim, Tiemei Li and Yutao Li
Hindsight effect: What are the actual cash flow timing skills of mutual fund investors? pp. 181-193 Downloads
Fernando Muñoz and Ruth Vicente
CEO dividend protection pp. 194-211 Downloads
Dan Zhang
New evidence on asymmetric return–volume dependence and extreme movements pp. 212-227 Downloads
Yi-Chiuan Wang, Jyh-Lin Wu and Yi-Hao Lai
Forecasting stock market returns by summing the frequency-decomposed parts pp. 228-242 Downloads
Gonçalo Faria and Fabio Verona
A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors pp. 243-268 Downloads
Anthony H. Tu and Cathy Yi-Hsuan Chen
Maximal predictability under long-term mean reversion pp. 269-282 Downloads
Erik Hjalmarsson
Residual momentum in Japan pp. 283-299 Downloads
Rosita P. Chang, Kuan-Cheng Ko, Shinji Nakano and S. Ghon Rhee
Global macro risks in currency excess returns pp. 300-315 Downloads
Kimberly Berg and Nelson C. Mark

Volume 44, issue C, 2017

Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors pp. 1-18 Downloads
Xindan Li, Ziyang Geng, Avanidhar Subrahmanyam and Honghai Yu
Nonparametric estimates of pricing functionals pp. 19-35 Downloads
Carlo Marinelli and d’Addona, Stefano
Readability of financial advisor disclosures pp. 36-42 Downloads
Kyre Dane Lahtinen and Stephan Shipe
Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks pp. 43-65 Downloads
Georgios Xyngis
Profitability of insider trading in Europe: A performance evaluation approach pp. 66-90 Downloads
Bartosz Gebka, Adriana Korczak, Piotr Korczak and Jędrzej Traczykowski
Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds pp. 91-107 Downloads
David Rakowski, Sara E. Shirley and Jeffrey R. Stark
Level, structure, and volatility of financial development and inflation targeting pp. 108-124 Downloads
Huang, Ho-Chuan (River) and Chih-Chuan Yeh
Idiosyncratic returns and relative value in the US Treasury market pp. 125-144 Downloads
Youngju Nielsen and Raunaq S. Pungaliya
Systemic risk with endogenous loss given default pp. 145-157 Downloads
Pieter IJtsma and Laura Spierdijk
Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market pp. 158-176 Downloads
Marian Risse and Ludwig Ohl
Rethinking cointegration and the expectation hypothesis of the term structure pp. 177-189 Downloads
Jing Li and George Davis
A causal link between bond liquidity and stock returns pp. 190-208 Downloads
Mike Anderson
Forecasting the term structure of government bond yields in unstable environments pp. 209-225 Downloads
Joseph Byrne, Shuo Cao and Dimitris Korobilis
The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods pp. 237-249 Downloads
Mats van Marle and Patrick Verwijmeren
Diversification benefits of commodities: A stochastic dominance efficiency approach pp. 250-269 Downloads
Charoula Daskalaki, George Skiadopoulos and Nikolas Topaloglou
Does oil and gold price uncertainty matter for the stock market? pp. 270-285 Downloads
Dennis Bams, Gildas Blanchard, Iman Honarvar and Thorsten Lehnert
The evolving beta-liquidity relationship of hedge funds pp. 286-303 Downloads
Arjen Siegmann and Denitsa Stefanova
How some bankers made a million by trading just two securities? pp. 304-315 Downloads
Kalle Rinne and Matti Suominen
Page updated 2019-05-20