Journal of Empirical Finance

1993 - 2025

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

From Elsevier
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Volume 23, issue C, 2013

Illiquidity shocks and the comovement between stocks: New evidence using smooth transition pp. 1-15

Patricia Chelley-Steeley, Neophytos Lambertides and Christos Savva

Variance risk premiums in foreign exchange markets pp. 16-32

Manuel Ammann and Ralf Buesser

Value at risk forecasts by extreme value models in a conditional duration framework pp. 33-47

Rodrigo Herrera and Bernhard Schipp

Implied liquidity: Model sensitivity pp. 48-67

Hansjoerg Albrecher, Florence Guillaume and Wim Schoutens

What do price discovery metrics really measure? pp. 68-83

Talis Putnins

Informational role of market makers: The case of exchange traded CFDs pp. 84-92

Andrew Lepone and Jin Young Yang

Testing for monotonicity in expected asset returns pp. 93-116

Joseph P. Romano and Michael Wolf

The disciplinary effect of subordinated debt on bank risk taking pp. 117-141

Tu Nguyen

The information content of risk-neutral skewness for volatility forecasting pp. 142-161

Suk Joon Byun and Jun Sik Kim

Misclassification of the dependent variable in a debt–repayment behavior context pp. 162-172

Carlos Aller and Jorge González Chapela

The forward premium in electricity futures pp. 173-186

Derek W. Bunn and Dipeng Chen

Aggregate investor preferences and beliefs: A comment pp. 187-190

Thierry Post and Miloš Kopa

Comoment risk and stock returns pp. 191-205

Marie Lambert and Georges Hübner

Volume 22, issue C, 2013

Advertising investments, information asymmetry, and insider gains pp. 1-15

Kissan Joseph and M. Babajide Wintoki

Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach pp. 16-29

Akay, Ozgur (Ozzy), Zeynep Senyuz and Emre Yoldas

Understanding industry betas pp. 30-51

Lieven Baele and Juan M. Londono

Equilibrium exchange rate determination and multiple structural changes pp. 52-66

Mario Cerrato, Hyunsok Kim and Ronald MacDonald

Does mortality improvement increase equity risk premiums? A risk perception perspective pp. 67-77

Rachel Huang, Jerry C.Y. Miao and Larry Y. Tzeng

Term structure dynamics with macro-factors using high frequency data pp. 78-93

Hwagyun Kim and Hail Park

Long memory and tail dependence in trading volume and volatility pp. 94-112

Eduardo Rossi and Paolo Santucci de Magistris

What do the Fama–French factors add to C-CAPM? pp. 113-127

Pongrapeeporn Abhakorn, Peter Smith and Michael Wickens

An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil pp. 128-139

Minqiang Li

On detection of volatility spillovers in overlapping stock markets pp. 140-158

Anssi Kohonen

Stakeholder relations and stock returns: On errors in investors' expectations and learning pp. 159-175

Arian Borgers, Jeroen Derwall, Kees Koedijk and Jenke ter Horst

Volume 21, issue C, 2013

The issuance of callable bonds under information asymmetry pp. 1-14

Seungmook Choi, Mel Jameson and Mookwon Jung

Sovereign default risk premia: Evidence from the default swap market pp. 15-35

Gabriele Zinna

No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options pp. 36-53

Namhyoung Kim and Jaewook Lee

Does monetary policy determine stock market liquidity? New evidence from the euro zone pp. 54-68

Octavio Fernández-Amador, Martin Gächter, Martin Larch and Georg Peter

A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter? pp. 69-85

Niklas Wagner and Elisabeth Winter

Performance, stock selection and market timing of the German equity mutual fund industry pp. 86-101

Keith Cuthbertson and Dirk Nitzsche

Credit risk in covered bonds pp. 102-120

Marcel Prokopczuk, Jan B. Siewert and Volker Vonhoff

The discretionary effect of CEOs and board chairs on corporate governance structures pp. 121-131

Matteo P. Arena and Marcus V. Braga-Alves

On the risk return relationship pp. 132-141

Jianxin Wang and Minxian Yang

Are short sellers incrementally informed prior to earnings announcements? pp. 142-155

Benjamin Blau and J. Michael Pinegar

What style-timing skills do mutual fund “stars” possess? pp. 156-173

Li-Wen Chen, Andrew Adams and Richard Taffler

Stressing correlations and volatilities — A consistent modeling approach pp. 174-194

Christoph Becker and Wolfgang M. Schmidt

An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions pp. 195-213

Teng Yuan Cheng, Chun I Lee and Chao Hsien Lin

Multi-period credit default prediction with time-varying covariates pp. 214-222

Walter Orth

Corporate boards' political ideology diversity and firm performance pp. 223-240

Incheol Kim, Christos Pantzalis and Jung Chul Park

Ranking of finance journals: Some Google Scholar citation perspectives pp. 241-250

Kam C. Chan, Chih-Hsiang Chang and Yuanchen Chang

Volume 20, issue C, 2013

Two-pass estimation of risk premiums with multicollinear and near-invariant betas pp. 1-17

Seung Ahn, M. Fabricio Perez and Christopher Gadarowski

Liquidity and firm investment: Evidence for Latin America pp. 18-29

Francisco Muñoz

Do strategic alliances in a developing country create firm value? Evidence from Korean firms pp. 30-41

Hyunchul Lee, Euije Cho, Chongcheul Cheong and Jinsu Kim

Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices pp. 42-62

Pierre Perron, Sungju Chun and Cosme Vodounou

The international evidence on discouraged small businesses pp. 63-82

Sugato Chakravarty and Meifang Xiang

The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts pp. 83-95

Rasmus Varneskov and Valeri Voev

A global approach to mutual funds market timing ability pp. 96-101

Laurent Bodson, Laurent Cavenaile and Danielle Sougné

Aggregational Gaussianity and barely infinite variance in financial returns pp. 102-108

Antonios Antypas, Phoebe Koundouri and Nikolaos Kourogenis

What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests? pp. 109-129

Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

Another look at the cross-section and time-series of stock returns: 1951 to 2011 pp. 130-146

Ding Du