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 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 M. 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

Volume 72, issue C, 2023

Overlapping momentum portfolios pp. 1-22

Ivan Blanco, Miguel De Jesus and Alvaro Remesal

Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices pp. 23-35

Gianluca De Nard and Zhao Zhao

Stock return predictability and cyclical movements in valuation ratios pp. 36-53

Deshui Yu, Difang Huang and Li Chen

Time series momentum and reversal: Intraday information from realized semivariance pp. 54-77

Zhenya Liu, Shanglin Lu, Bo Li and Shixuan Wang

Global political risk and international stock returns pp. 78-102

Vito D. Gala, Giovanni Pagliardi and Stavros Zenios

An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models pp. 103-121

Ha Nguyen

Empirical performance of component GARCH models in pricing VIX term structure and VIX futures pp. 122-142

Hung-Wen Cheng, Li-Han Chang, Chien-Ling Lo and Jeffrey Tzuhao Tsai

Director optimism and CEO equity compensation pp. 143-162

Douglas O. Cook, Jaideep Chowdhury and Weiwei Zhang

Real-estate agent commission structure and sales performance pp. 163-187

Pieter Gautier, Arjen Siegmann and Aico van Vuuren

Price convergence between credit default swap and put option: New evidence pp. 188-213

Ka Kei Chan, Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon

Legal enforcement and fintech credit: International evidence pp. 214-231

Hongfeng Peng, Jiao Ji, Hanwen Sun and Haofeng Xu

Disagreement, speculation, and the idiosyncratic volatility pp. 232-250

Jianqiu Wang, Ke Wu, Jiening Pan and Ying Jiang

Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium pp. 251-275

Adrian Fuhrer and Thorsten Hock

Expected returns and risk in the stock market pp. 276-300

M.J. Brennan and Alex P. Taylor

US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks pp. 301-320

Olga Dodd, Bart Frijns, Ivan Indriawan and Roberto Pascual

Cross-sectional uncertainty and expected stock returns pp. 321-340

Deshui Yu and Difang Huang

Policy risk and insider trading pp. 341-353

Mehmet E. Akbulut and Erdem Ucar

Burned by leverage? Flows and fragility in bond mutual funds pp. 354-380

Luis Molestina Vivar, Michael Wedow and Christian Weistroffer

Geographic diversification and corporate cash holdings pp. 381-409

Liu Hong and Shiang Liu

Do as they say or do as they do? — Uncovering the effects of inappropriate methods and unreliable data in boardroom diversity research pp. 410-420

Franziska M. Renz, Julian U.N. Vogel and Feixue Xie

Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence pp. 421-444

Kuan-Hui Lee and Shu-Feng Wang

Estimating and testing skewness in a stochastic volatility model pp. 445-467

Cheol Woo Lee and Kyu Ho Kang

Income inequality, inflation and financial development pp. 468-487

Dong-Hyeon Kim and Shu-Chin Lin

The role of bad-news coverage and media environments in crash risk around the world pp. 488-509

Qigui Liu, Jinghua Tang, Donghui Li and Lu Xing

Disseminating information across connected firms — Analyst site visits can help pp. 510-531

Zhengyu Cao, Rundong Wang, Xinrong Xiao and Chengxi Yin

Automated stock picking using random forests pp. 532-556

Christian Breitung

Volume 71, issue C, 2023

Can we forecast better in periods of low uncertainty? The role of technical indicators pp. 1-12

María Ferrer Fernández, Ólan Henry, Sam Pybis and Michalis P. Stamatogiannis

Option price implied information and REIT returns pp. 13-28

Jie Cao, Bing Han, Linjia Song and Xintong Zhan

Forecasting tail risk measures for financial time series: An extreme value approach with covariates pp. 29-50

Robert James, Henry Leung, Jessica Wai Yin Leung and Artem Prokhorov

Coreversal: The booms and busts of arbitrage activities in China pp. 51-65

Xin Liu, Zhigang Qiu, Luyao Shen and Weinan Zheng

New kids on the block: The effect of Generation X directors on corporate performance pp. 66-87

Zhaozhao He, Mihail K. Miletkov and Viktoriya Staneva

The PhD origins of finance faculty pp. 88-103

Todd Jones and Haoyang Xiong

The contributions of betas versus characteristics to the ESG premium pp. 104-124

Rocco Ciciretti, Ambrogio Dalò and Lammertjan Dam