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 36, issue C, 2016

Uncovered interest parity: The long and the short of it pp. 1-7

James Lothian

A study of analyst-run mutual funds: The abilities and roles of buy-side analysts pp. 8-29

Gjergji Cici and Claire Rosenfeld

Time-varying integration of the sovereign bond markets in European post-transition economies pp. 30-40

Petra Posedel Šimović, Marina Tkalec, Maruška Vizek and Junsoo Lee

Dynamic conditional correlation multiplicative error processes pp. 41-67

Taras Bodnar and Nikolaus Hautsch

A test of asymmetric comovement for state-dependent stock returns pp. 68-85

Kaihua Deng

Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective pp. 86-99

Marco Bee, Debbie J. Dupuis and Luca Trapin

Exchange rates and commodity prices: Measuring causality at multiple horizons pp. 100-120

Hui Jun Zhang, Jean-Marie Dufour and John Galbraith

On the properties of the constrained Hansen–Jagannathan distance pp. 121-150

Nikolay Gospodinov, Raymond Kan and Cesare Robotti

Liquidation discount—a novel application of ARFIMA–GARCH pp. 151-161

Ranjodh B. Singh, John Gould, Felix Chan and Joey Wenling Yang

The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility pp. 162-180

Sung Je Byun

Risk and return of short-duration equity investments pp. 181-198

Georg Cejnek and Otto Randl

Volume 35, issue C, 2016

Corporate payout smoothing: A variance decomposition approach pp. 1-13

Edward C. Hoang and Indrit Hoxha

Inflation illusion and stock returns pp. 14-24

William O. Brown, Dayong Huang and Fang Wang

Air pollution and stock returns: Evidence from a natural experiment pp. 25-42

Gabriele M. Lepori

Using Merton model for default prediction: An empirical assessment of selected alternatives pp. 43-67

Zvika Afik, Ohad Arad and Koresh Galil

A risk-return explanation of the momentum-reversal “anomaly” pp. 68-77

G. Geoffrey Booth, Hung-Gay Fung and Wai Kin Leung

Market uncertainty, expected volatility and the mispricing of S&P 500 index futures pp. 78-98

Anthony H. Tu, Wen-Liang G. Hsieh and Wei-Shao Wu

Is there a bubble in the art market? pp. 99-109

Roman Kräussl, Thorsten Lehnert and Nicolas Martelin

Conditional portfolio allocation: Does aggregate market liquidity matter? pp. 110-135

Tarik Bazgour, Cedric Heuchenne and Danielle Sougné

Political affiliation and dividend tax avoidance: Evidence from the 2013 fiscal cliff pp. 136-149

Urs Peyer and Theo Vermaelen

Are target leverage ratios stable? Investigating the impact of corporate asset restructuring pp. 150-168

Douglas O. Cook, Xudong Fu and Tian Tang

Silverback CEOs: Age, experience, and firm value pp. 169-188

Brandon N. Cline and Adam S. Yore

Volume 34, issue C, 2015

Significance testing in empirical finance: A critical review and assessment pp. 1-14

Jae Kim and Philip Inyeob Ji

Permanent sales increase and investment pp. 15-33

Insun Yang, Peter Koveos and Tom Barkley

Volatility co-movements: A time-scale decomposition analysis pp. 34-44

Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli

The economic value of volatility timing with realized jumps pp. 45-59

Ingmar Nolte and Qi Xu

Analysis of earnings management influence on the investment efficiency of listed Chinese companies pp. 60-78

Chung-Hua Shen, Fuyan Luo and Dengshi Huang

Credit market imperfections and business cycle asymmetries in Turkey pp. 79-98

Hüseyin Günay and Mustafa Kilinc

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions pp. 99-111

Richard T. Baillie and Kun Ho Kim

Predicting exchange rate cycles utilizing risk factors pp. 112-130

Jameel Ahmed and Stefan Straetmans

The information content of R&D reductions pp. 131-155

Konan Chan, Yueh-hsiang Lin and Yanzhi Wang

Beta vs. characteristics: Comparison of risk model performances pp. 156-171

Daehwan Kim

Firm performance when ownership is very concentrated: Evidence from a semiparametric panel pp. 172-194

Malika Hamadi and Andréas Heinen

Do industries lead stock markets? A reexamination pp. 195-203

Yiuman Tse

The effects of non-trading on the illiquidity ratio pp. 204-228

Patricia Chelley-Steeley, Neophytos Lambertides and James Steeley

The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework pp. 229-238

Dooyeon Cho

A tale of feedback trading by hedge funds pp. 239-259

Marc B.J. Schauten, Robin Willemstein and Remco Zwinkels

Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices pp. 260-274

Feng Wu, Robert J. Myers, Zhengfei Guan and Zhiguang Wang

A trade-off in corporate diversification pp. 275-292

Manapol Ekkayokkaya and Krishna Paudyal

Measures of equity home bias puzzle pp. 293-312

Anil Mishra

Does managerial ability facilitate corporate innovative success? pp. 313-326

Yangyang Chen, Edward Podolski and Madhu Veeraraghavan

Volume 33, issue C, 2015

Power transformations of absolute returns and long memory estimation pp. 1-18

Violetta Dalla

Adverse selection and the presence of informed trading pp. 19-33

Sanders Chang and F. Albert Wang

Personality traits and stock market participation pp. 34-50

Andrew Conlin, Petri Kyröläinen, Marika Kaakinen, Marjo-Riitta Järvelin, Jukka Perttunen and Rauli Svento

The predictive density simulation of the yield curve with a zero lower bound pp. 51-66

Kyu Ho Kang

Euro at risk: The impact of member countries' credit risk on the stability of the common currency pp. 67-83

Lamia Bekkour, Xisong Jin, Thorsten Lehnert, Fanou Rasmouki and Christian Wolff

Market sentiment in commodity futures returns pp. 84-103

Lin Gao and Stephan Süss

Long memory in log-range series: Do structural breaks matter? pp. 104-113

Vasiliki Chatzikonstanti and Ioannis Venetis

Modern portfolio management with conditioning information pp. 114-134

I-Hsuan Ethan Chiang

Two-step estimation of the volatility functions in diffusion models with empirical applications pp. 135-159

Xu-Guo Ye, Jin-Guan Lin, Yan-Yong Zhao and Hong-Xia Hao

Liquidity and credit premia in the yields of highly-rated sovereign bonds pp. 160-173

Jacob Ejsing, Magdalena Grothe and Oliver Grothe

Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps pp. 174-189

Giovanni Calice, RongHui Mio, Filip Štěrba and Bořek Vašíček

Modelling household finances: A Bayesian approach to a multivariate two-part model pp. 190-207

Sarah Brown, Pulak Ghosh, Li Su and Karl Taylor

Real term structure forecasts of consumption growth pp. 208-222

Efthymios Argyropoulos and Elias Tzavalis

Measuring bond mutual fund performance with portfolio characteristics pp. 223-242

Fabio Moneta

Detecting abnormal trading activities in option markets pp. 263-275

Marc Chesney, Remo Crameri and Loriano Mancini

Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-customer data pp. 276-286

Anne-Sophie Bergerès, Philippe d'Astous and Georges Dionne

Macro variables and the components of stock returns pp. 287-308

Paulo Maio and Dennis Philip