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 16, issue 5, 2009

Multinationals do it better: Evidence on the efficiency of corporations' capital budgeting pp. 703-720

William Greene, Abigail Hornstein and Lawrence White

Testing the CAPM revisited pp. 721-733

Surajit Ray, N.E. Savin and Ashish Tiwari

On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis pp. 734-744

Hyeongwoo Kim

Markov-switching in target stocks during takeover bids pp. 745-758

Sergey Gelman and Bernd Wilfling

Price discovery in tick time pp. 759-776

Bart Frijns and Peter Schotman

Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange pp. 777-792

Georges Dionne, Pierre Duchesne and Maria Pacurar

Jackknifing stock return predictions pp. 793-803

Benjamin Chiquoine and Erik Hjalmarsson

Applying the method of simulated moments to estimate a small agent-based asset pricing model pp. 804-815

Reiner Franke

Exact distribution-free tests of mean-variance efficiency pp. 816-829

Sermin Gungor and Richard Luger

The magnet effect of price limits: A logit approach pp. 830-837

Ping-Hung Hsieh, Yong H. Kim and J. Jimmy Yang

Dual long-memory, structural breaks and the link between turnover and the range-based volatility pp. 838-851

M. Karanasos and A. Kartsaklas

Evaluating stochastic discount factors from term structure models pp. 852-861

Heber K. Farnsworth

Central bank interventions and implied exchange rate correlations pp. 862-873

Jussi Nikkinen and Sami Vähämaa

Volume 16, issue 4, 2009

Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns pp. 525-536

Stig Vinther Møller

Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM pp. 537-556

Tobias Adrian and Francesco Franzoni

The information content of stock splits pp. 557-567

Gow-Cheng Huang, Kartono Liano and Ming-Shiun Pan

Stock price and systematic risk effects of discontinuation of corporate R&D programs pp. 568-581

Mohsen Saad and Zaher Zantout

Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway pp. 582-596

Qinglei Dai and Kristian Rydqvist

Institutional ownership and credit spreads: An information asymmetry perspective pp. 597-612

Ashley W. Wang and Gaiyan Zhang

Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries pp. 613-631

Asani Sarkar and Lingjia Zhang

International comovement of stock market returns: A wavelet analysis pp. 632-639

António Rua and Luis Nunes

Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices pp. 640-654

Kate Phylaktis and Long Chen

A semiparametric model for the systematic factors of portfolio credit risk premia pp. 655-670

Flavia Giammarino and Pauline Barrieu

L-performance with an application to hedge funds pp. 671-685

Serge Darolles, Christian Gourieroux and Joann Jasiak

Which power variation predicts volatility well? pp. 686-700

Eric Ghysels and Bumjean Sohn

Volume 16, issue 3, 2009

Correlation risk pp. 353-367

C.N.V. Krishnan, Ralitsa Petkova and Peter Ritchken

Time-varying Integration and International diversification strategies pp. 368-387

Lieven Baele and Koen Inghelbrecht

Herding and information based trading pp. 388-393

Rhea Tingyu Zhou and Rose Neng Lai

Investor sentiment and stock returns: Some international evidence pp. 394-408

Maik Schmeling

The cross section of cashflow volatility and expected stock returns pp. 409-429

Alan Guoming Huang

Empirical evidence on jumps in the term structure of the US Treasury Market pp. 430-445

Mardi Dungey, Michael McKenzie and L. Vanessa Smith

Optimal futures hedging under jump switching dynamics pp. 446-456

Hsiang-Tai Lee

Estimation of default probabilities using incomplete contracts data pp. 457-465

João Santos Silva and J.M.R. Murteira

Sample selection and event study estimation pp. 466-482

Kenneth Ahern

Improvement in finite sample properties of the Hansen-Jagannathan distance test pp. 483-506

Yu Ren and Katsumi Shimotsu

A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data pp. 507-523

Bernard Lejeune

Volume 16, issue 2, 2009

Dividend policy of German firms: A panel data analysis of partial adjustment models pp. 175-187

Christian Andres, André Betzer, Marc Goergen and Luc Renneboog

Forecasting financial crises and contagion in Asia using dynamic factor analysis pp. 188-200

Andrea Cipollini and George Kapetanios

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models pp. 201-215

Dezhong Wang, Svetlozar T. Rachev and Frank Fabozzi

The credit rating process and estimation of transition probabilities: A Bayesian approach pp. 216-234

Catalina Stefanescu, Radu Tunaru and Stuart Turnbull

Modelling the distribution of credit losses with observable and latent factors pp. 235-253

Gabriel Jimenez and Javier Mencia

Modelling the distribution of the extreme share returns in Singapore pp. 254-263

Konstantinos Tolikas and Gareth D. Gettinby

Quantile regression analysis of hedge fund strategies pp. 264-279

Loukia Meligkotsidou, Ioannis D. Vrontos and Spyridon D. Vrontos

Model averaging in risk management with an application to futures markets pp. 280-305

Mohammad Pesaran, Christoph Schleicher and Paolo Zaffaroni

On the explanatory power of firm-specific variables in cross-sections of expected returns pp. 306-317

Chu Zhang

Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application pp. 318-329

Peter de Goeij and Wessel Marquering

Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management pp. 330-336

Jaroslava Hlouskova, Kurt Schmidheiny and Martin Wagner

A censored stochastic volatility approach to the estimation of price limit moves pp. 337-351

Ping-Hung Hsieh and J. Jimmy Yang

Volume 16, issue 1, 2009

The transmission of emerging market shocks to global equity markets pp. 2-17

Lucía Cuadro-Sáez, Marcel Fratzscher and Christian Thimann

Market liberalization within a country pp. 18-41

Qian Sun, Wilson H.S. Tong and Yuxing Yan

Credit cycles and macro fundamentals pp. 42-54

Siem Jan Koopman, Roman Kräussl, Andre Lucas and Andre Monteiro

Timing the investment grade securities market: Evidence from high quality bond funds pp. 55-69

Vaneesha Boney, George Comer and Lynne Kelly

Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing pp. 70-86

Scott W. Barnhart and Antoine Giannetti

Investor flows and stock market returns pp. 87-100

Brian Boyer and Lu Zheng

Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests pp. 101-111

Narasimhan Jegadeesh and Jason Karceski

Risk and performance estimation in hedge funds revisited: Evidence from errors in variables pp. 112-125

Alain Coën and Georges Hübner

Costly trade, managerial myopia, and long-term investment pp. 126-135

Craig W. Holden and Leonard L. Lundstrum

Understanding the relationship between founder-CEOs and firm performance pp. 136-150

Renee Adams, Heitor Almeida and Daniel Ferreira

Co-movements of index options and futures quotes pp. 151-163

Ruediger Fahlenbrach and Patrik Sandås

Default estimation for low-default portfolios pp. 164-173

Nicholas Kiefer