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 28, issue C, 2014

Direct evidence of dividend tax clienteles pp. 1-12

Magnus Dahlquist, Göran Robertsson and Kristian Rydqvist

Trading activity in the equity market and its contingent claims: An empirical investigation pp. 13-35

Richard Roll, Eduardo Schwartz and Avanidhar Subrahmanyam

Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach pp. 36-59

Danling Jiang, David R. Peterson and James Doran

Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off? pp. 60-77

Enrique Salvador, Christos Floros and Vicent Arago

Hedging the time-varying risk exposures of momentum returns pp. 78-89

Martin Martens and Arco van Oord

Timescale-dependent stock market comovement: BRICs vs. developed markets pp. 90-103

Heikki Lehkonen and Kari Heimonen

On the distribution and estimation of trading costs pp. 104-117

Apostolos Kourtis

Regime switches in the risk–return trade-off pp. 118-138

Eric Ghysels, Pierre Guérin and Massimiliano Marcellino

Market states and the risk-based explanation of the size premium pp. 139-150

Jungshik Hur, Glenn Pettengill and Vivek Singh

Are regime-shift sources of risk priced in the market? pp. 151-170

Kyriakos Chourdakis, Yiannis Dendramis and Elias Tzavalis

The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange pp. 171-184

Annica Rose

Order flow and volatility: An empirical investigation pp. 185-201

Anne Opschoor, Nick Taylor, Michel van der Wel and Dick van Dijk

Stock liquidity and the Taylor rule pp. 202-214

Lei Jiang

Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing pp. 215-229

Michael McKenzie, Stephen Satchell and Warapong Wongwachara

Consumer confidence or the business cycle: What matters more for European expected returns? pp. 230-248

Stig V. Møller, Henrik Nørholm and Jesper Rangvid

Average funds versus average dollars: Implications for mutual fund research pp. 249-260

Christopher P. Clifford, Bradford Jordan and Timothy B. Riley

A frequency-domain alternative to long-horizon regressions with application to return predictability pp. 261-272

Natalia Sizova

Stock returns on option expiration dates: Price impact of liquidity trading pp. 273-290

Chin-Han Chiang

Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types pp. 291-320

Shermineh Haghani

Quantiles of the realized stock–bond correlation and links to the macroeconomy pp. 321-331

Nektarios Aslanidis and Charlotte Christiansen

Price and earnings momentum: An explanation using return decomposition pp. 332-351

Mike Qinghao Mao and K.C. John Wei

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation pp. 352-361

Yiu-Kuen Tse and Yingjie Dong

How did the financial crisis alter the correlations of U.S. yield spreads? pp. 362-385

Silvio Contessi, Pierangelo De Pace and Massimo Guidolin

Volume 27, issue C, 2014

Private equity alliances in mergers pp. 10-20

Tae-Nyun Kim and Darius Palia

Pay inequalities and managerial turnover pp. 21-39

Jayant R. Kale, Ebru Reis and Anand Venkateswaran

Gentlemen do not talk about money: Remuneration dispersion and firm performance relationship on British boards pp. 40-57

Anna Zalewska

Family control, expropriation, and investor protection: A panel data analysis of Western European corporations pp. 58-74

Julio Pindado, Ignacio Requejo and Chabela de la Torre

Excessive financial services CEO pay and financial crisis: Evidence from calibration estimation pp. 75-96

Gang Nathan Dong

CEO compensation and future shareholder returns: Evidence from the London Stock Exchange pp. 97-115

Nikolaos Balafas and Chris Florackis

Managerial shareholding policies and retention of vested equity incentives pp. 116-129

Piotr Korczak and Xicheng Liu

The effect of concentration and regulation on audit fees: An application of panel data techniques pp. 130-144

Lawrance Evans and Jeremy Schwartz

Volume 25, issue C, 2014

Measuring and testing for the systemically important financial institutions pp. 1-14

Carlos Castro Iragorri and Stijn Ferrari

Modelling changes in the unconditional variance of long stock return series pp. 15-35

Cristina Amado and Timo Teräsvirta

International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares pp. 36-51

Yoichi Otsubo

Does the market matter for more than investment? pp. 52-61

Jason Smith

Using local Gaussian correlation in a nonlinear re-examination of financial contagion pp. 62-82

Bård Støve, Dag Tjøstheim and Karl Ove Hufthammer

Firm opacity and financial market information asymmetry pp. 83-94

Rahul Ravi and Youna Hong

Risk-free rate effects on conditional variances and conditional correlations of stock returns pp. 95-111

Alessandro Palandri

Pricing of liquidity risks: Evidence from multiple liquidity measures pp. 112-133

Soon-Ho Kim and Kuan-Hui Lee

Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market pp. 134-148

Ju Xiang and Xiaoneng Zhu

Volume 24, issue C, 2013

Detecting synchronous cycles in financial time series of unequal length pp. 1-9

Erhard Reschenhofer and Michaela Lingler

An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC pp. 10-23

Thomas W. Miller and David E. Rapach

Linear-price term structure models pp. 24-41

Christian Gourieroux and Alain Monfort

Valuation of collateralized debt obligations with hierarchical Archimedean copulae pp. 42-62

Barbara Choros-Tomczyk, Wolfgang Härdle and Ostap Okhrin

The development of emerging stock markets and the demand for cross-listing pp. 63-77

Adriana Korczak and Piotr Korczak

Autocorrelation and partial price adjustment pp. 78-93

Robert M. Anderson, Kyong Shik Eom, Sang Buhm Hahn and Jong-Ho Park

Dividend privileges and the value of voting rights: Evidence from Italy pp. 94-107

Marco Bigelli and Ettore Croci

Volatility timing: How best to forecast portfolio exposures pp. 108-115

Adam Clements and Annastiina Silvennoinen

Estimating PIN for firms with high levels of trading pp. 116-120

David Jackson

Risk spillovers in international equity portfolios pp. 121-137

Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo

Bond vs stock market's Q: Testing for stability across frequencies and over time pp. 138-150

Marco Gallegati and James B. Ramsey

Are there diversification benefits of increasing noninterest income in the Chinese banking industry? pp. 151-165

Li Li and Yu Zhang

Modeling the relationship between European carbon permits and certified emission reductions pp. 166-181

Gary Koop and Lise Tole