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 78, issue C, 2024

Assessing proxies for market prices of thinly traded assets with scheduled cash flows

Walter I. Boudry, Crocker H. Liu, Tobias Mühlhofer and Walter N. Torous

Certainty of uncertainty for asset pricing

Fuwei Jiang, Jie Kang and Lingchao Meng

The battle between activist hedge funds and labor unions

Xu Niu

Policy uncertainty, bad news disclosure, and stock price crash risk

Jeong-Bon Kim, Kevin Tseng, Wang, Jundong (Jeff) and Yaoyi Xi

Firm-level political risk and corporate R&D investment

Emmanuel Boah and Nacasius U. Ujah

Shadow capital in venture financing: Selection, valuation, and exit dynamic

Douglas Cumming and Na Dai

Effects of customer unionization on supplier relationships and supplier value

Hyemin Kim

Why do firms with no leverage still have leverage and volatility feedback effects?

Geoffrey Peter Smith

Non-standard errors in asset pricing: Mind your sorts

Amar Soebhag, Bart Van Vliet and Patrick Verwijmeren

The risk–return tradeoff among equity factors

Pedro Barroso and Paulo Maio

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Katja Ignatieva and Patrick Wong

Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?

Efe Cotelioglu

Betting on success: Unveiling the role of local gambling culture in equity crowdfunding

Hui-Ching Hsieh, Dat Thanh Nguyen and Thien Le-Hoang Nguyen

The correlated trading and investment performance of individual investors

Wei-Yu Kuo, Tse-Chun Lin and Jing Zhao

Does carbon risk exposure make funds more vulnerable?

Hu Wang

Forecasting realized volatility: Does anything beat linear models?

Rafael R. Branco, Alexandre Rubesam and Mauricio Zevallos

A portfolio-level, sum-of-the-parts approach to return predictability

Hongyi Xu, Dean Katselas and Jo Drienko

The value of information in China’s connected market

Keqi Chen, Yuehan Wang and Xiaoquan Zhu

In the mood for creativity: Sunshine-induced mood, inventor performance, and firm value

Yangyang Chen, Po-Hsuan Hsu, Edward J. Podolski and Madhu Veeraraghavan

The aftermath of covenant violations: Evidence from China's corporate debt securities

Guang Xu and Xiaoyan Zhang

Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain

Simon Trimborn, Hanqiu Peng and Ying Chen

Inverted vs maker-taker routing choice and trader information

Ryan Garvey and Yaohua Qin

The 2008 short-selling ban’s impact on tail risk

Jonas Bartl, Denefa Bostandzic, Felix Irresberger, Gregor Weiß and Ruomei Yang

Big portfolio selection by graph-based conditional moments method

Zhoufan Zhu, Ningning Zhang and Ke Zhu

Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China

Yueqian Peng, Li Shi, Xiaojun Shi and Songtao Tan

Time-varying relative risk aversion: Theoretical mechanism and empirical evidence

Xuan Liu, Haiyong Liu and Zongwu Cai

Estimation and inference in low frequency factor model regressions with overlapping observations

Asad Dossani

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Yufeng Han, Lu, Yueliang (Jacques), Weike Xu and Guofu Zhou

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