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 19, issue 5, 2012

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts pp. 627-639

Guillermo Benavides and Carlos Capistrán

Drug approval decisions: A note on stock liquidity effects pp. 640-652

Achim Himmelmann and Dirk Schiereck

Product market relationships and cost of bank loans: Evidence from strategic alliances pp. 653-674

Yiwei Fang, Bill Francis, Iftekhar Hasan and Haizhi Wang

Short-term predictability of equity returns along two style dimensions pp. 675-685

Andrei Shynkevich

Fractal market time pp. 686-701

James McCulloch

Speed of convergence to market efficiency: The role of ECNs pp. 702-720

Dennis Y. Chung and Karel Hrazdil

Optimal portfolio choice in real terms: Measuring the benefits of TIPS pp. 721-740

Álvaro Cartea, Jonatan Saúl and Juan Toro

A new country risk index for emerging markets: A stochastic dominance approach pp. 741-761

Elettra Agliardi, Rossella Agliardi, Mehmet Pinar, Thanasis Stengos and Nikolas Topaloglou

Relationship lending and firm innovativeness pp. 762-781

Caterina Giannetti

Nonlinearity and smoothing in venture capital performance data pp. 782-795

Michael McKenzie, Stephen Satchell and Warapong Wongwachara

The cross-section of stock returns in frontier emerging markets pp. 796-818

Wilma de Groot, Juan Pang and Laurens Swinkels

A meta-analysis of the equity premium pp. 819-830

Casper Ewijk, Henri de Groot and Santing, A.J. (Coos)

Volume 19, issue 4, 2012

The impact of capital market competition on relationship banking: Evidence from the Japanese experience pp. 411-426

Donald R. Fraser, S. Ghon Rhee and Hwan Shin

A simple approach to standardized-residuals-based higher-moment tests pp. 427-453

Yi-Ting Chen

Smooth transition patterns in the realized stock–bond correlation pp. 454-464

Nektarios Aslanidis and Charlotte Christiansen

Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models pp. 465-482

Viet Dang, Minjoo Kim and Yongcheol Shin

Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors pp. 483-496

Xinyi Liu, Dimitris Margaritis and Peiming Wang

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium pp. 497-510

Nikolay Gospodinov and Ibrahim Jamali

Sampling error and double shrinkage estimation of minimum variance portfolios pp. 511-527

Bertrand Candelon, Christophe Hurlin and Sessi Tokpavi

Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis pp. 528-547

Yi Fang

Euro money market spreads during the 2007–? financial crisis pp. 548-557

Nuno Cassola and Claudio Morana

Taking stock or cashing in? Shareholder style preferences, premiums and the method of payment pp. 558-582

Timothy R. Burch, Vikram Nanda and Sabatino Silveri

Time-varying correlation between stock market returns and real estate returns pp. 583-594

Richard Heaney and Sivagowry Sriananthakumar

Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels pp. 595-609

Nikolay Gospodinov and Masayuki Hirukawa

Modelling and forecasting liquidity supply using semiparametric factor dynamics pp. 610-625

Wolfgang Karl Härdle, Nikolaus Hautsch and Andrija Mihoci

Volume 19, issue 3, 2012

Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis pp. 309-318

Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou and Yueh-Hsiang Lin

Global style momentum pp. 319-333

Hsiao-Ying Chao, Charles Collver and Natcha Limthanakom

Time-varying performance of international mutual funds pp. 334-348

H.J. Turtle and Chengping Zhang

Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing pp. 349-358

Anders G. Ekholm

Equity order flow and exchange rate dynamics pp. 359-381

Sara Ferreira Filipe

Common influences, spillover and integration in Chinese stock markets pp. 382-394

Enzo Weber and Yanqun Zhang

On the determinants of the implied default barrier pp. 395-408

Georges Dionne and Sadok Laajimi

Volume 19, issue 2, 2012

Does information vault Niagara Falls? Cross-listed trading in New York and Toronto pp. 175-199

Haiqiang Chen and Paul Moon Sub Choi

Cross-listing and subsequent delisting in foreign markets pp. 200-216

Leyuan You, Ali M. Parhizgari and Suresh Srivastava

When does investor sentiment predict stock returns? pp. 217-240

San-Lin Chung, Chi-Hsiou Hung and Chung-Ying Yeh

Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model pp. 241-253

Tom Engsted and Thomas Pedersen

Stock return autocorrelations revisited: A quantile regression approach pp. 254-265

Dirk Baur, Thomas Dimpfl and Robert C. Jung

Credit ratings and excess value of diversification pp. 266-281

Ting-Kai Chou and Jia-Chi Cheng

On the intraday periodicity duration adjustment of high-frequency data pp. 282-291

Zhengxiao Wu

Moments of multivariate regime switching with application to risk-return trade-off pp. 292-308

Abderrahim Taamouti

Volume 19, issue 1, 2012

Financial development and the allocation of external finance pp. 1-25

Jan Bena and Peter Ondko

Economic freedom and cross-border venture capital performance pp. 26-50

Lanfang Wang and Susheng Wang

Where are the smart investors? New evidence of the smart money effect pp. 51-64

Hsin-Yi Yu

Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims pp. 65-78

Zhenyu Wang and Xiaoyan Zhang

Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China pp. 79-93

Jing Lu and Robin K. Chou

The investment value of the frequency of analyst recommendation changes for the ordinary investor pp. 94-108

Jeffrey Hobbs, Tunde Kovacs and Vivek Sharma

Geographic diversification and firm value in the financial services industry pp. 109-122

Markus Schmid and Ingo Walter

Real estate prices: An international study of seasonality's sentiment effect pp. 123-146

Guy Kaplanski and Haim Levy

Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models pp. 147-161

Roland Langrock, Iain L. MacDonald and Walter Zucchini

Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach pp. 162-174

Chia-Ying Chan, Christian de Peretti, Zhuo Qiao and Wing-Keung Wong