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 76, issue C, 2024

Enhancing betting against beta with stochastic dominance

Olga Kolokolova and Xia Xu

Information in unexpected bonus cuts: Firm performance and CEO firings

William M. Cready, Zhonglan Dai, Guang Ma and Vikram Nanda

Does media affect the rival response to acquisition targets?

Xin Gao, Zhe An, Donghui Li and Weidong Xu

Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?

Xiaoyuan Wan

Volume 75, issue C, 2024

Expensive anomalies

Deniz Anginer, Sugata Ray, H. Nejat Seyhun and Luqi Xu

Technological disparity and its impact on market quality

Kiseo Chung and Seoyoung Kim

Climate change concerns and mortgage lending

Tinghua Duan and Frank Weikai Li

The effect of investor attention on stock price crash risk

Ting-Hsuan Chen and Kai-Sheng Chen

Tail risks and private equity performance

Hrvoje Kurtović and Garen Markarian

Factor momentum in the Chinese stock market

Tian Ma, Cunfei Liao and Fuwei Jiang

International asset pricing with heterogeneous agents: Estimation and inference

Roméo Tédongap and Jules Tinang

The effects of banking market structure on corporate cash holdings and the value of cash

Shengfeng Li, Liang Han and Biao Mi

Carbon dioxide and asset pricing: Evidence from international stock markets

Zhuo Chen, Jinyu Liu, Andrea Lu and Libin Tao

House price bubbles under the COVID-19 pandemic

Jacob H. Hansen, Stig V. Møller, Thomas Q. Pedersen and Christian M. Schütte

An adaptive long memory conditional correlation model

Jonathan Dark

Horizontal mergers and heterogeneous firm investments: evidence from the United States

Dongxu Li

Volume 74, issue C, 2023

Estimation with mixed data frequencies: A bias-correction approach

Anisha Ghosh and Oliver Linton

Bond issuance and the funding choices of European banks: The consequences of public debt

Michela Rancan, Jessica Cariboni, Kevin Keasey and Francesco Vallascas

Social capital and the pricing of initial public offerings

Yangyang Chen, Huu Nhan Duong, Abhinav Goyal and Madhu Veeraraghavan

Intraday VaR: A copula-based approach

Keli Wang, Xiaoquan Liu and Wuyi Ye

The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns

Minhao Leong and Simon Kwok

Portfolio allocation over the life cycle with multiple late-in-life saving motives

Minjoon Lee

Futures contract collateralization and its implications

Robert Jarrow and Simon S. Kwok

On the driving forces of real exchange rates: Is the Japanese Yen different?

Paulo Maio and Ming Zeng

Term premia and short rate expectations in the euro area

Andrea Berardi

International comovement of r∗: A case study of the G7 countries

Eiji Goto

Leasing and the allocation efficiency of finance

Weiwei Hu, Kai Li and Yiming Xu

Managerial ability and financial statement disaggregation decisions

Dien Giau Bui, Yehning Chen, Yan-Shing Chen and Chih-Yung Lin

A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies

Yuecheng Jia, Yangru Wu, Shu Yan and Yuzheng Liu

Co-illiquidity management

Søren Hvidkjær, Massimo Massa and Aleksandra Rzeźnik

Product competition, political connections, and the costs of high leverage

Qian Li, Shihao Wang and Victor Song

Counteroffers and Price Discrimination in Mortgage Lending

Steven Ongena, Florentina Paraschiv and Endre J. Reite

Forecasting realized volatility with wavelet decomposition

Ioannis Souropanis and Andrew Vivian

The commodity risk premium and neural networks

Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert Faff

Goodhart’s law in China: Bank branching regulation and window dressing

Di Gong, Harry Huizinga, Tianshi Li and Jigao Zhu

The role of human capital: Evidence from corporate innovation

Tong Liu, Yifei Mao and Xuan Tian

The effect of venture capital backing on innovation in newly public firms

Serdar Aldatmaz and Ugur Celikyurt

Stock returns in global value chains: The role of upstreamness and downstreamness

Nicole Branger, René Marian Flacke, Paul Meyerhof and Steffen Windmüller

What drives the TIPS–Treasury bond mispricing?

Jungkyu Ahn and Yongkil Ahn

Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments

Lei Ming, Ping Yang and Qianqiu Liu

A financial modeling approach to industry exchange-traded funds selection

Thomas Conlon, John Cotter, Illia Kovalenko and Thierry Post

Option gamma and stock returns

Amar Soebhag

Corporate social responsibility and excess perks

Dan Xi, Yuze Wu, Xue Wang and Zhe Fu

Volume 73, issue C, 2023

Advisory firm paths to side-by-side management and mutual fund performance pp. 1-21

Jongwan Bae, Timothy Haight, Xin Kuang and Chengdong Yin

How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment pp. 22-39

Haiqiang Chen, Ming Gu and Bo Ni

Foreign institutions, local investors and momentum trading pp. 40-64

Reza Bradrania and Winston Wu

Easy money and competitive industries’ booms and busts pp. 65-85

Longfei Shang, Ji-Chai Lin and Nan Yang

CEO personality traits and corporate value implication of acquisitions pp. 86-106

Tom Aabo, Jan Hanousek, Christos Pantzalis and Jung Chul Park

Herding behavior and systemic risk in global stock markets pp. 107-133

Iftekhar Hasan, Radu Tunaru and Davide Vioto

Investor sentiment and global economic conditions pp. 134-152

Miguel C. Herculano and Eva Lütkebohmert

Competition and risk taking in local bank markets: Evidence from the business loans segment pp. 153-169

Chiara Canta, Øivind Nilsen and Simen Ulsaker

Time-varying Z-score measures for bank insolvency risk: Best practice pp. 170-179

Vincent Bouvatier, Laetitia Lepetit, Pierre-Nicolas Rehault and Frank Strobel

Customer–supplier relationships and non-linear financial policy response pp. 180-205

Kacheng Wong and Longkai Zhao

Industry regulation and the comovement of stock returns pp. 206-219

Benjamin Blau, Todd G. Griffith and Ryan J. Whitby

When “time varying” volatility meets “transaction cost” in portfolio selection pp. 220-237

W. Qiao, D. Bu, A. Gibberd, Y. Liao, T. Wen and E. Li

Technology spillover, corporate investment, and stock returns pp. 238-250

Yen-Ju Hsu and Yanzhi Wang

Forecasting realized volatility with machine learning: Panel data perspective pp. 251-271

Haibin Zhu, Lu Bai, Lidan He and Zhi Liu

Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach pp. 272-292

Hoang Nguyen and Farrukh Javed

The money-inflation nexus revisited pp. 293-333

Leopold Ringwald and Thomas O. Zörner

Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market pp. 334-348

Sris Chatterjee, Xian Gu, Iftekhar Hasan and Haitian Lu

Individual investors’ trading behavior and gender difference in tolerance of sex crimes: Evidence from a natural experiment pp. 349-368

Huasheng Gao, Zhengkai Liu and Chloe Chunliu Yang

The effects of economic uncertainty on financial volatility: A comprehensive investigation pp. 369-389

Chen Tong, Zhuo Huang, Tianyi Wang and Cong Zhang

Macroeconomic news and price synchronicity pp. 390-412

Arbab K. Cheema, Arman Eshraghi and Qingwei Wang