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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 ().

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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
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