Journal of Empirical Finance

1993 - 2025

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

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Volume 43, issue C, 2017

Multiple risk measures for multivariate dynamic heavy–tailed models pp. 1-32

Mauro Bernardi, Antonello Maruotti and Lea Petrella

The profitability of low-volatility pp. 33-42

David Blitz and Milan Vidojevic

Systematic cojumps, market component portfolios and scheduled macroeconomic announcements pp. 43-58

Kam Fong Chan, Robert G. Bowman and Christopher Neely

Determinants of price discovery in the VIX futures market pp. 59-73

Yu-Lun Chen and Wei-Che Tsai

Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation pp. 74-90

Bidisha Chakrabarty, Pamela C. Moulton and Roberto Pascual

The fundamental law of active management: Redux pp. 91-114

Zhuanxin Ding and R. Douglas Martin

International stock market comovement in time and scale outlined with a thick pen pp. 115-129

Agnieszka Jach

Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model pp. 130-142

Zhiyuan Pan, Yudong Wang, Chongfeng Wu and Libo Yin

Funding liquidity, market liquidity and TED spread: A two-regime model pp. 143-158

Kris Boudt, Ellen C.S. Paulus and Dale Rosenthal

Predicting international stock returns with conditional price-to-fundamental ratios pp. 159-184

Jochen Lawrenz and Josef Zorn

Governance mechanisms and effective activism: Evidence from shareholder proposals on poison pills pp. 185-202

Mireia Gine, Rabih Moussawi and John Sedunov

Volume 42, issue C, 2017

Overreaction and the cross-section of returns: International evidence pp. 1-14

Douglas W. Blackburn and Nusret Cakici

Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors pp. 15-39

Byoung Uk Kang, Francis In and Tong Suk Kim

Informed trading in S&P index options? Evidence from the 2008 financial crisis pp. 40-65

Wei-Xuan Li, Joseph French and Clara Chia-Sheng Chen

Heterogeneous effect of the global financial crisis and the Great East Japan Earthquake on costs of Japanese banks pp. 66-89

Galina Besstremyannaya

Earnings management before IPOs: Are institutional investors misled? pp. 90-108

Shenghao Gao, Qingbin Meng, Kam C. Chan and Weixing Wu

Systemic risk and cross-sectional hedge fund returns pp. 109-130

Inchang Hwang, Simon Xu, Francis In and Tong Suk Kim

Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why? pp. 131-154

Nima Nonejad

Finance conference quality and publication success: A conference ranking pp. 155-174

Sebastian J. Reinartz and Daniel Urban

Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates pp. 175-198

Christian Fries, Tobias Nigbur and Norman Seeger

Foreign exchange predictability and the carry trade: A decomposition approach pp. 199-211

Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali and Xiaochun Liu

Can investor sentiment be a momentum time-series predictor? Evidence from China pp. 212-239

Xing Han and Youwei Li

Informed or speculative trading? Evidence from short selling before star and non-star analysts’ downgrade announcements in an emerging market pp. 240-255

Qingbin Meng, Ying Li, Xuanyu Jiang and Kam C. Chan

The cross-section of consumer lending risk pp. 256-282

Chintal Ajitbhai Desai

Volume 41, issue C, 2017

Institutional investment in IPOs and post-IPO M&A activity pp. 1-18

Christopher W. Anderson and Jian Huang

Peer networks in venture capital pp. 19-30

Hoan Soo Lee

A comparison of alternative cash flow and discount rate news proxies pp. 31-52

Natalya Khimich

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution pp. 53-75

Yang Zu and H. Peter Boswijk

Do progressive social norms affect economic outcomes? Evidence from corporate takeovers pp. 76-95

Yangyang Chen, Edward Podolski, S. Ghon Rhee and Madhu Veeraraghavan

Family ownership, country governance, and foreign portfolio investment pp. 96-115

Andriy Bodnaruk, Massimo Massa and Vijay Yadav

Do short sellers exploit industry information? pp. 118-139

Zsuzsa R. Huszár, Ruth S.K. Tan and Weina Zhang

The impact of fragmentation, exchange fees and liquidity provision on market quality pp. 140-160

Michael Aitken, Haoming Chen and Sean Foley

Portfolio selection with mental accounts and estimation risk pp. 161-186

Gordon Alexander, Alexandre Baptista and Shu Yan

When no news is good news – The decrease in investor fear after the FOMC announcement pp. 187-199

Adrian Fernandez-Perez, Bart Frijns and Alireza Tourani-Rad

Volume 40, issue C, 2017

Time-varying continuous and jump betas: The role of firm characteristics and periods of stress pp. 1-19

Vitali Alexeev, Mardi Dungey and Wenying Yao

Institutional ownership and aggregate volatility risk pp. 20-38

Alexander Barinov

What drives the “Smart-Money” effect? Evidence from investors’ money flow to mutual fund classes pp. 39-58

George J. Jiang and H. Zafer Yuksel

Informed retail investors: Evidence from retail short sales pp. 59-72

Keith Jacks Gamble and Wei Xu

Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain pp. 73-100

Atanas Mihov and Andy Naranjo

Relation between higher order comoments and dependence structure of equity portfolio pp. 101-120

Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao

Improving the accuracy of asset price bubble start and end date estimators pp. 121-138

David Harvey, Stephen Leybourne and Robert Sollis

The success of option listings pp. 139-161

Alejandro Bernales

Dynamic cross-autocorrelation in stock returns pp. 162-173

Jyri Kinnunen

Marked Hawkes process modeling of price dynamics and volatility estimation pp. 174-200

Kyungsub Lee and Byoung Ki Seo

Return expectations and risk aversion heterogeneity in household portfolios pp. 201-219

Alessandro Bucciol, Raffaele Miniaci and Sergio Pastorello

Earnings announcements and option returns pp. 220-235

Sung Gon Chung and Henock Louis

Volume 39, issue PB, 2016

The legacy of the Eurozone crisis and how to overcome it pp. 147-155

Paul De Grauwe

Is there an alternative way to avoid another eurozone crisis to the Five Presidents' Report? pp. 156-165

Michael Wickens

A comment on De Grauwe's, “The legacy of the Eurozone crisis and how to overcome it” pp. 166-168

Mark Jensen

Government finances and bank bailouts: Evidence from European stock markets pp. 169-179

Matias Cabrera, Gerald Dwyer and Margarita Samartín-Saénz

Basel II and regulatory arbitrage. Evidence from financial crises pp. 180-196

Andrea Beltratti and Giovanna Paladino

Assessing Euro crises from a time varying international CAPM approach pp. 197-208

Richard T. Baillie and Dooyeon Cho

The effect of political communication on European financial markets during the sovereign debt crisis pp. 209-214

Christian Conrad and Klaus Ulrich Zumbach

Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters pp. 215-228

Alexander Glas and Matthias Hartmann

On the significance of labour reallocation for European unemployment: Evidence from a panel of 15 countries pp. 229-240

Dimitrios Bakas, Theodore Panagiotidis and Gianluigi Pelloni

Inflation convergence in the EMU pp. 241-253

M. Karanasos, P. Koutroumpis, Yiannis Karavias, A. Kartsaklas and V. Arakelian

In search of the Euro area fiscal stance pp. 254-264

Alice Albonico, Alessia Paccagnini and Patrizio Tirelli

The financial Kuznets curve: Evidence for the euro area pp. 265-269

Donatella Baiardi and Claudio Morana

Volume 39, issue PA, 2016

Birds of a feather or celebrating differences? The formation and impacts of venture capital syndication pp. 1-14

Qianqian Du

Business cycle and credit risk modeling with jump risks pp. 15-36

Bong-Gyu Jang, Yuna Rhee and Ji Hee Yoon

The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns pp. 37-53

Dongcheol Kim and Haejung Na

Monitoring multivariate variance changes pp. 54-68

Katharina Pape, Dominik Wied and Pedro Galeano

Target signaling with material adverse change clauses in merger agreements pp. 69-92

Antonio J. Macias and Thomas Moeller

Credit ratings and the premiums paid in mergers and acquisitions pp. 93-104

Surendranath R. Jory, Thanh N. Ngo and Daphne Wang

A compound duration model for high-frequency asset returns pp. 105-128

Eric Aldrich, Indra Heckenbach and Gregory Laughlin

Dynamics of interest and inflation rates pp. 129-144

Ali Anari and James Kolari