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 38, issue PB, 2016

Special issue of the Journal of Empirical Finance Guest Editors' introduction pp. 513-515

Neil Kellard and Robert Taylor

Bubbling over! The behaviour of oil futures along the yield curve pp. 516-533

Daniel Tsvetanov, Jerry Coakley and Neil Kellard

Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes pp. 534-547

James Davidson and Xiaoyu Li

Tests for explosive financial bubbles in the presence of non-stationary volatility pp. 548-574

David Harvey, Stephen Leybourne, Robert Sollis and Robert Taylor

Testing against changing correlation pp. 575-589

Andrew Harvey and Stephen Thiele

Asset pricing with financial bubble risk pp. 590-622

Ji Hyung Lee and Peter Phillips

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets pp. 623-639

Sepideh Dolatabadi, Morten Nielsen and Ke Xu

Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) pp. 640-663

Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek

Testing the martingale hypothesis for gross returns pp. 664-689

Oliver Linton and Ekaterina Smetanina

A time varying DSGE model with financial frictions pp. 690-716

Ana Galvão, Liudas Giraitis, George Kapetanios and Katerina Petrova

The shine of precious metals around the global financial crisis pp. 717-738

Isabel Figuerola-Ferretti and J. Roderick McCrorie

The exact discretisation of CARMA models with applications in finance pp. 739-761

Michael Thornton and Marcus Chambers

Duality in mean-variance frontiers with conditioning information pp. 762-785

Francisco Peñaranda and Enrique Sentana

Volume 38, issue PA, 2016

Leverage and asymmetric volatility: The firm-level evidence pp. 1-21

Jan Ericsson, Xiao Huang and Stefano Mazzotta

Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets pp. 22-36

Pavel Teterin, Robert Brooks and Walter Enders

News sentiment and bank credit risk pp. 37-61

Lee Smales

The short trading day anomaly pp. 62-80

Mahmoud Qadan and Doron Kliger

Informed short selling, fails-to-deliver, and abnormal returns pp. 81-102

Thomas Stratmann and John W. Welborn

Immigrant-native differences in stockholding – The role of cognitive and non-cognitive skills pp. 103-119

Marc-André Luik and Max Steinhardt

Effects of financial turmoil on financial integration and risk premia in emerging markets pp. 120-138

Salem Boubakri, Cécile Couharde and Helene Raymond

Optimal conditional hedge ratio: A simple shrinkage estimation approach pp. 139-156

Myeong Jun Kim and Sung Y. Park

A network approach to portfolio selection pp. 157-180

Gustavo Peralta and Abalfazl Zareei

The effect of overvaluation on investment and accruals: The role of information pp. 181-201

Shing-yang Hu, Yueh-Hsiang Lin and Christine W. Lai

An infinite hidden Markov model for short-term interest rates pp. 202-220

John Maheu and Qiao Yang

Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation pp. 221-235

Ivan Paya and Peng Wang

Free float and market liquidity around the world pp. 236-257

Ding, Xiaoya (Sara), Yang Ni and Ligang Zhong

Religious beliefs and local government financing, investment, and cash holding decisions pp. 258-271

Yangyang Chen, Zoltan Murgulov, S. Ghon Rhee and Madhu Veeraraghavan

Halo, horn, or dark horse biases: Corporate reputation and the earnings announcement puzzle pp. 272-289

Woan-Yuh Jang, Jie-Haun Lee and Hsueh-Chin Hu

How regular are directional movements in commodity and asset prices? A Wald test pp. 290-306

Atle Oglend and Tore Kleppe

CDS-bond basis and bond return predictability pp. 307-337

Gi H. Kim, Haitao Li and Weina Zhang

Local bias in investor attention: Evidence from China's Internet stock message boards pp. 338-354

Yuqin Huang, Huiyan Qiu and Zhiguo Wu

Commodity price volatility under regulatory changes and disaster pp. 355-361

Akbar Marvasti and Antonio Lamberte

The European sovereign debt crisis: What have we learned? pp. 363-373

Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova

Financial sector linkages and the dynamics of bank and sovereign credit spreads pp. 374-393

René Kallestrup, David Lando and Agatha Murgoci

Bank fragility and contagion: Evidence from the bank CDS market pp. 394-416

Laura Ballester, Barbara Casu and Ana González-Urteaga

Euro crash risk pp. 417-428

Roman Kräussl, Thorsten Lehnert and Sigita Senulytė

Time-varying importance of country and industry factors in European corporate bonds pp. 429-448

Mary Pieterse-Bloem, Zhaowen Qian, Willem Verschoor and Remco Zwinkels

The geography of the great rebalancing in euro area bond markets during the sovereign debt crisis pp. 449-460

Roland Beck, Georgios Georgiadis and Johannes Gräb

The information in systemic risk rankings pp. 461-475

Federico Calogero Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas

Decision-making during the credit crisis: Did the Treasury let commercial banks fail? pp. 476-497

Ettore Croci, Gerard Hertig and Eric Nowak

Political risk and expected government bond returns pp. 498-512

Johan Duyvesteyn, Martin Martens and Patrick Verwijmeren

Volume 37, issue C, 2016

Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility pp. 1-19

Jaba Ghonghadze and Thomas Lux

Are idiosyncratic volatility and MAX priced in the Canadian market? pp. 20-36

Anas Aboulamer and Lawrence Kryzanowski

Leverage changes and growth options in mergers and acquisitions pp. 37-58

Elettra Agliardi, Amir Amel-Zadeh and Nicos Koussis

Stochastic correlation and risk premia in term structure models pp. 59-78

Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong Tô

Anticipatory effects in the FTSE 100 index revisions pp. 79-90

Marcelo Fernandes and João Mergulhão

Dynamic asymmetries in house price cycles: A generalized smooth transition model pp. 91-103

Alessandra Canepa and Emilio Zanetti Chini

Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? pp. 104-116

Giovanni Caggiano, Pietro Calice, Leone Leonida and George Kapetanios

Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models pp. 117-127

Jared Levant and Jun Ma

Bond portfolio optimization using dynamic factor models pp. 128-158

João F. Caldeira, Guilherme Moura and Andre Santos

Public news arrival and the idiosyncratic volatility puzzle pp. 159-172

Yanlin Shi, Wai-Man Liu and Kin-Yip Ho

Credit market freedom and cost efficiency in US state banking pp. 173-185

Georgios Chortareas, George Kapetanios and Alexia Ventouri

Private information and limitations of Heckman's estimator in banking and corporate finance research pp. 186-195

Randall C. Campbell and Gregory L. Nagel

On the relationship between conditional jump intensity and diffusive volatility pp. 196-213

Gang Li and Chu Zhang

Macro-economic determinants of European stock and government bond correlations: A tale of two regions pp. 214-232

Erica Perego and Wessel Vermeulen

The benefits of improved covariance estimation pp. 233-246

H.J. Turtle and Kainan Wang

The economic value of predicting bond risk premia pp. 247-267

Lucio Sarno, Paul Schneider and Christian Wagner

Capital asset pricing model: A time-varying volatility approach pp. 268-281

Kun Ho Kim and Taejin Kim

Limits to mutual funds' ability to rely on mean/variance optimization pp. 282-292

Iordanis Karagiannidis and Nadia Vozlyublennaia

Location and excess comovement pp. 293-308

Aditya Kaul, Vikas Mehrotra and Carmen Stefanescu