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
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 17, issue 5, 2010

Board composition after mergers, does it matter to target shareholders? pp. 837-851

Hongxia Wang, Sameh Sakr, Yixi Ning and Wallace N. Davidson

Justifying top management pay in a transitional economy pp. 852-866

Michael Firth, Tak Yan Leung and Oliver Rui

Stock and bond returns with Moody Investors pp. 867-894

Geert Bekaert, Eric Engstrom and Steven R. Grenadier

Market makers as information providers: The natural experiment of STAR pp. 895-917

Pietro Perotti and Barbara Rindi

Retrieving risk neutral densities from European option prices based on the principle of maximum entropy pp. 918-937

Leonidas Rompolis

Explaining asymmetric volatility around the world pp. 938-956

Tõnn Talpsepp and Marc Oliver Rieger

Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis pp. 957-966

Georgios Sakoulis, Eric Zivot and Kyongwook Choi

Volatility and trading activity following changes in the size of futures contracts pp. 967-980

Johan Bjursell, Alex Frino, Yiuman Tse and George H.K. Wang

Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets pp. 981-990

Dennis Jansen and Chun-Li Tsai

Predicting systematic risk: Implications from growth options pp. 991-1005

Eric Jacquier, Sheridan Titman and Atakan YalçIn

Corrigendum to "GMM estimation of the number of latent factors: With application to international stock markets" [J Empir Financ. 17 (2010) 783-802] pp. 1006-1006

Seung Ahn and M. Fabricio Perez

Volume 17, issue 4, 2010

Predicting the equity premium with dividend ratios: Reconciling the evidence pp. 539-551

Neil Kellard, John C. Nankervis and Fotios I. Papadimitriou

Expected returns on value, growth, and HML pp. 552-565

Oleg Rytchkov

Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks pp. 566-584

Piotr Korczak and Kate Phylaktis

The dividend-price ratio does predict dividend growth: International evidence pp. 585-605

Tom Engsted and Thomas Pedersen

Consumption, (dis)aggregate wealth, and asset returns pp. 606-622

Ricardo Sousa

The plausibility of risk estimates and implied costs to international equity investments pp. 623-644

Lieven De Moor, Piet Sercu and Rosanne Vanpée

Do investors trade uniformly through time? pp. 645-658

Woodrow Johnson

A network perspective of the stock market pp. 659-667

Chi Tse, Jing Liu and Francis C.M. Lau

Market efficiency and learning in an artificial stock market: A perspective from Neo-Austrian economics pp. 668-688

Harald A. Benink, José Luis Gordillo, Juan Pablo Pardo and Christopher R. Stephens

Human development and cross-border acquisitions pp. 689-701

Sian Owen and Alfred Yawson

Pricing the term structure of inflation risk premia: Theory and evidence from TIPS pp. 702-721

Ren-Raw Chen, Bo Liu and Xiaolin Cheng

Assessing the compensation for volatility risk implicit in interest rate derivatives pp. 722-743

Fabio Fornari

The effect of CEO power on bond ratings and yields pp. 744-762

Yixin Liu and Pornsit Jiraporn

Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions pp. 763-782

Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf

GMM estimation of the number of latent factors: With application to international stock markets pp. 783-802

Seung Ahn and M. Fabricio Perez

Improving the statistical power of financial event studies: The inverse variance weighted average-based test pp. 803-817

Tarcisio B. da Graça

A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach pp. 818-833

Ming-Yuan Leon Li and Peter Miu

Volume 17, issue 3, 2010

Implicit incentives and reputational herding by hedge fund managers pp. 283-299

Nicole M. Boyson

The effects of financial distress and capital structure on the work effort of outside directors pp. 300-312

Hsin-I Chou, Hui Li and Xiangkang Yin

A century of equity premium predictability and the consumption-wealth ratio: An international perspective pp. 313-331

Pasquale Della Corte, Lucio Sarno and Giorgio Valente

Does group affiliation increase firm value for diversified groups?: New evidence from Indian companies pp. 332-344

Robert Lensink and Remco Van der Molen

Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? pp. 345-361

Keith Anderson, Chris Brooks and Apostolos Katsaris

Local bias in venture capital investments pp. 362-380

Douglas Cumming and Na Dai

Takeover risk and the correlation between stocks and bonds pp. 381-393

Karan Bhanot, Sattar A. Mansi and John K. Wald

Market pricing of executive stock options and implied risk preferences pp. 394-412

Antti Pirjetä, Seppo Ikäheimo and Vesa Puttonen

An empirical investigation of stock market behavior in the Middle East and North Africa pp. 413-427

Ai-Ru Cheng, Mohammad Jahan-Parvar and Philip Rothman

Do the prices of stock index futures in Asia overreact to U.S. market returns? pp. 428-440

Alexander Kwok-Wah Fung, Kin Lam and Ka-Ming Lam

Loss-aversion and household portfolio choice pp. 441-459

Stephen Dimmock and Roy Kouwenberg

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model pp. 460-470

Bent Jesper Christensen, Morten Nielsen and Jie Zhu

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias pp. 471-484

Po-Hsuan Hsu, Yu-Chin Hsu and Chung-Ming Kuan

Tracking a changing copula pp. 485-500

Andrew Harvey

Variable reduction, sample selection bias and bank retail credit scoring pp. 501-512

Andrew Marshall, Leilei Tang and Alistair Milne

Predictive regression with order-p autoregressive predictors pp. 513-525

Yakov Amihud, Clifford Hurvich and Yi Wang

Backtesting value-at-risk based on tail losses pp. 526-538

Woon K. Wong

Volume 17, issue 2, 2010

Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot pp. 177-179

Jean-Marie Dufour, Jeong-Ryeol Kurz-Kim and Franz Palm

Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions pp. 180-194

Jean-Marie Dufour and Jeong-Ryeol Kurz-Kim

Risk management and dynamic portfolio selection with stable Paretian distributions pp. 195-211

Sergio Ortobelli, Svetlozar T. Rachev and Frank Fabozzi

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets pp. 212-240

Alain P. Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Mico Loretan

Heavy tails and currency crises pp. 241-254

Philipp Hartmann, Stefan Straetmans and Casper de Vries

GHICA -- Risk analysis with GH distributions and independent components pp. 255-269

Ying Chen, Wolfgang Härdle and Vladimir Spokoiny

Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence pp. 270-282

Ramazan Gencay and Nikola Gradojevic

Volume 17, issue 1, 2010

Strategic trading in the wrong direction by a large institutional insider pp. 1-22

Erasmo Giambona and Joseph Golec

Is there a symmetric nonlinear causal relationship between large and small firms? pp. 23-38

Bill B. Francis, Mbodja Mougoue and Valentyn Panchenko

Technology prospects and the cross-section of stock returns pp. 39-53

Po-Hsuan Hsu and Dayong Huang

Asset pricing models and economic risk premia: A decomposition pp. 54-80

Pierluigi Balduzzi and Cesare Robotti

When does the dividend-price ratio predict stock returns? pp. 81-101

Cheolbeom Park

'Optimal' probabilistic and directional predictions of financial returns pp. 102-119

Dimitrios Thomakos and Tao Wang

Predicting issuer credit ratings using a semiparametric method pp. 120-137

Ruey-Ching Hwang, Huimin Chung and C.K. Chu

Modeling and forecasting stock return volatility using a random level shift model pp. 138-156

Yang K. Lu and Pierre Perron

Modeling the dynamics of inflation compensation pp. 157-167

Markus Jochmann, Gary Koop and Simon Potter

Trading activity, realized volatility and jumps pp. 168-175

Pierre Giot, Sébastien Laurent and Mikael Petitjean