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Journal of Empirical Finance

1993 - 2019

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 Dana Niculescu ().

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Volume 43, issue C, 2017

Multiple risk measures for multivariate dynamic heavy–tailed models pp. 1-32 Downloads
Mauro Bernardi, Antonello Maruotti and Lea Petrella
The profitability of low-volatility pp. 33-42 Downloads
David Blitz and Milan Vidojevic
Systematic cojumps, market component portfolios and scheduled macroeconomic announcements pp. 43-58 Downloads
Kam Fong Chan, Robert G. Bowman and Christopher Neely
Determinants of price discovery in the VIX futures market pp. 59-73 Downloads
Yu-Lun Chen and Wei-Che Tsai
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation pp. 74-90 Downloads
Bidisha Chakrabarty, Pamela C. Moulton and Roberto Pascual
The fundamental law of active management: Redux pp. 91-114 Downloads
Zhuanxin Ding and R. Douglas Martin
International stock market comovement in time and scale outlined with a thick pen pp. 115-129 Downloads
Agnieszka Jach
Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model pp. 130-142 Downloads
Zhiyuan Pan, Yudong Wang, Chongfeng Wu and Libo Yin
Funding liquidity, market liquidity and TED spread: A two-regime model pp. 143-158 Downloads
Kris Boudt, Ellen C.S. Paulus and Dale Rosenthal
Predicting international stock returns with conditional price-to-fundamental ratios pp. 159-184 Downloads
Jochen Lawrenz and Josef Zorn
Governance mechanisms and effective activism: Evidence from shareholder proposals on poison pills pp. 185-202 Downloads
Mireia Gine, Rabih Moussawi and John Sedunov

Volume 42, issue C, 2017

Overreaction and the cross-section of returns: International evidence pp. 1-14 Downloads
Douglas W. Blackburn and Nusret Cakici
Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors pp. 15-39 Downloads
Byoung Uk Kang, Francis In and Tong Suk Kim
Informed trading in S&P index options? Evidence from the 2008 financial crisis pp. 40-65 Downloads
Wei-Xuan Li, Joseph French and Clara Chia-Sheng Chen
Heterogeneous effect of the global financial crisis and the Great East Japan Earthquake on costs of Japanese banks pp. 66-89 Downloads
Galina Besstremyannaya
Earnings management before IPOs: Are institutional investors misled? pp. 90-108 Downloads
Shenghao Gao, Qingbin Meng, Kam C. Chan and Weixing Wu
Systemic risk and cross-sectional hedge fund returns pp. 109-130 Downloads
Inchang Hwang, Simon Xu, Francis In and Tong Suk Kim
Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why? pp. 131-154 Downloads
Nima Nonejad
Finance conference quality and publication success: A conference ranking pp. 155-174 Downloads
Sebastian J. Reinartz and Daniel Urban
Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates pp. 175-198 Downloads
Christian P. Fries, Tobias Nigbur and Norman Seeger
Foreign exchange predictability and the carry trade: A decomposition approach pp. 199-211 Downloads
Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali and Xiaochun Liu
Can investor sentiment be a momentum time-series predictor? Evidence from China pp. 212-239 Downloads
Xing Han and Youwei Li
Informed or speculative trading? Evidence from short selling before star and non-star analysts’ downgrade announcements in an emerging market pp. 240-255 Downloads
Qingbin Meng, Ying Li, Xuanyu Jiang and Kam C. Chan
The cross-section of consumer lending risk pp. 256-282 Downloads
Chintal Ajitbhai Desai

Volume 41, issue C, 2017

Institutional investment in IPOs and post-IPO M&A activity pp. 1-18 Downloads
Christopher W. Anderson and Jian Huang
Peer networks in venture capital pp. 19-30 Downloads
Hoan Soo Lee
A comparison of alternative cash flow and discount rate news proxies pp. 31-52 Downloads
Natalya Khimich
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution pp. 53-75 Downloads
Yang Zu and H. Peter Boswijk
Do progressive social norms affect economic outcomes? Evidence from corporate takeovers pp. 76-95 Downloads
Yangyang Chen, Edward Podolski, S. Ghon Rhee and Madhu Veeraraghavan
Family ownership, country governance, and foreign portfolio investment pp. 96-115 Downloads
Andriy Bodnaruk, Massimo Massa and Vijay Yadav
Do short sellers exploit industry information? pp. 118-139 Downloads
Zsuzsa R. Huszár, Ruth S.K. Tan and Weina Zhang
The impact of fragmentation, exchange fees and liquidity provision on market quality pp. 140-160 Downloads
Michael Aitken, Haoming Chen and Sean Foley
Portfolio selection with mental accounts and estimation risk pp. 161-186 Downloads
Gordon Alexander, Alexandre Baptista and Shu Yan
When no news is good news – The decrease in investor fear after the FOMC announcement pp. 187-199 Downloads
Fernandez-Perez, Adrian, Bart Frijns and Tourani-Rad, Alireza

Volume 40, issue C, 2017

Time-varying continuous and jump betas: The role of firm characteristics and periods of stress pp. 1-19 Downloads
Vitali Alexeev, Mardi Dungey and Wenying Yao
Institutional ownership and aggregate volatility risk pp. 20-38 Downloads
Alexander Barinov
What drives the “Smart-Money” effect? Evidence from investors’ money flow to mutual fund classes pp. 39-58 Downloads
George J. Jiang and H. Zafer Yuksel
Informed retail investors: Evidence from retail short sales pp. 59-72 Downloads
Keith Jacks Gamble and Wei Xu
Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain pp. 73-100 Downloads
Atanas Mihov and Andy Naranjo
Relation between higher order comoments and dependence structure of equity portfolio pp. 101-120 Downloads
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
Improving the accuracy of asset price bubble start and end date estimators pp. 121-138 Downloads
David Harvey, Stephen Leybourne and Robert Sollis
The success of option listings pp. 139-161 Downloads
Alejandro Bernales
Dynamic cross-autocorrelation in stock returns pp. 162-173 Downloads
Jyri Kinnunen
Marked Hawkes process modeling of price dynamics and volatility estimation pp. 174-200 Downloads
Kyungsub Lee and Byoung Ki Seo
Return expectations and risk aversion heterogeneity in household portfolios pp. 201-219 Downloads
Alessandro Bucciol, Raffaele Miniaci and Sergio Pastorello
Earnings announcements and option returns pp. 220-235 Downloads
Sung Gon Chung and Henock Louis

Volume 39, issue PB, 2016

The legacy of the Eurozone crisis and how to overcome it pp. 147-155 Downloads
Paul De Grauwe
Is there an alternative way to avoid another eurozone crisis to the Five Presidents' Report? pp. 156-165 Downloads
Michael Wickens
A comment on De Grauwe's, “The legacy of the Eurozone crisis and how to overcome it” pp. 166-168 Downloads
Mark Jensen
Government finances and bank bailouts: Evidence from European stock markets pp. 169-179 Downloads
Matias Cabrera, Gerald Dwyer and Samartín-Saénz, Margarita
Basel II and regulatory arbitrage. Evidence from financial crises pp. 180-196 Downloads
Andrea Beltratti and Giovanna Paladino
Assessing Euro crises from a time varying international CAPM approach pp. 197-208 Downloads
Richard T. Baillie and Dooyeon Cho
The effect of political communication on European financial markets during the sovereign debt crisis pp. 209-214 Downloads
Christian Conrad and Klaus Ulrich Zumbach
Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters pp. 215-228 Downloads
Alexander Glas and Matthias Hartmann
On the significance of labour reallocation for European unemployment: Evidence from a panel of 15 countries pp. 229-240 Downloads
Dimitrios Bakas, Theodore Panagiotidis and Gianluigi Pelloni
Inflation convergence in the EMU pp. 241-253 Downloads
M. Karanasos, P. Koutroumpis, Yiannis Karavias, A. Kartsaklas and V. Arakelian
In search of the Euro area fiscal stance pp. 254-264 Downloads
Alice Albonico, Alessia Paccagnini and Patrizio Tirelli
The financial Kuznets curve: Evidence for the euro area pp. 265-269 Downloads
Donatella Baiardi and Claudio Morana

Volume 39, issue PA, 2016

Birds of a feather or celebrating differences? The formation and impacts of venture capital syndication pp. 1-14 Downloads
Qianqian Du
Business cycle and credit risk modeling with jump risks pp. 15-36 Downloads
Bong-Gyu Jang, Yuna Rhee and Ji Hee Yoon
The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns pp. 37-53 Downloads
Dongcheol Kim and Haejung Na
Monitoring multivariate variance changes pp. 54-68 Downloads
Katharina Pape, Dominik Wied and Pedro Galeano
Target signaling with material adverse change clauses in merger agreements pp. 69-92 Downloads
Antonio J. Macias and Thomas Moeller
Credit ratings and the premiums paid in mergers and acquisitions pp. 93-104 Downloads
Surendranath R. Jory, Thanh N. Ngo and Daphne Wang
A compound duration model for high-frequency asset returns pp. 105-128 Downloads
Eric Aldrich, Indra Heckenbach and Gregory Laughlin
Dynamics of interest and inflation rates pp. 129-144 Downloads
Ali Anari and James Kolari
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