Journal of Empirical Finance

1993 - 2025

Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

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Volume 15, issue 5, 2008

An inquiry into the economic fundamentals of the Fama and French equity factors pp. 801-815

Marc W. Simpson and Sanjay Ramchander

Specification tests of asset pricing models using excess returns pp. 816-838

Raymond Kan and Cesare Robotti

A comparison of trading and non-trading mechanisms for price discovery pp. 839-849

Michael J. Barclay and Terrence Hendershott

Robust performance hypothesis testing with the Sharpe ratio pp. 850-859

Olivier Ledoit and Michael Wolf

Regression analysis of proportions in finance with self selection pp. 860-867

Douglas O. Cook, Robert Kieschnick and B McCullough

Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data pp. 868-877

Amine Jalal and Michael Rockinger

A model-independent measure of aggregate idiosyncratic risk pp. 878-896

Turan G. Bali, Nusret Cakici and Haim Levy

Volume 15, issue 4, 2008

Firm heterogeneity and credit risk diversification pp. 583-612

Samuel Hanson, Mohammad Pesaran and Til Schuermann

UK mutual fund performance: Skill or luck? pp. 613-634

Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan

Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market pp. 635-655

Reza S. Mahani and Allen M. Poteshman

Determinants of bid and ask quotes and implications for the cost of trading pp. 656-678

Michael Yuanjie Zhang, Jeffrey R. Russell and Ruey S. Tsay

Liquidity and conditional portfolio choice: A nonparametric investigation pp. 679-699

Eric Ghysels and João Pedro Pereira

Identifying multiple outliers in heavy-tailed distributions with an application to market crashes pp. 700-713

Christian Schluter and Mark Trede

Can exchange rate volatility explain persistence in the forward premium? pp. 714-728

Neil Kellard and Nicholas Sarantis

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility pp. 729-750

Michael Clements, Ana Galvão and Jae Kim

Structural models of corporate bond pricing with maximum likelihood estimation pp. 751-777

Ka Leung Li and Hoi Ying Wong

Asset pricing models with errors-in-variables pp. 778-788

Benoît Carmichael and Alain Coën

Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution pp. 789-798

Carl R. Chen, Yuli Su and Ying Huang

Volume 15, issue 3, 2008

Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses pp. 363-386

Mary M. Bange, Kenneth Khang and Thomas W. Miller

Corruption and valuation of multinational corporations pp. 387-417

Christos Pantzalis, Jung Chul Park and Ninon Sutton

Multiple directorships and corporate diversification pp. 418-435

Pornsit Jiraporn, Young Kim and Wallace N. Davidson

Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks pp. 436-454

Steven Xiaofan Zheng and Mingsheng Li

Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP pp. 455-467

Lukas Menkhoff and Rafael R. Rebitzky

Economic and financial crises and the predictability of U.S. stock returns pp. 468-480

Daniel Hartmann, Bernd Kempa and Christian Pierdzioch

Time-series and cross-sectional excess comovement in stock indexes pp. 481-502

Jarl Kallberg and Paolo Pasquariello

A Bayesian view of temporary components in asset prices pp. 503-517

Bjørn Eraker

Are Asian stock markets efficient? Evidence from new multiple variance ratio tests pp. 518-532

Jae Kim and Abul Shamsuddin

Excess demand and price formation during a Walrasian auction pp. 533-548

James Eaves, Michael Melvin and Sandeep Mohapatra

Box-Cox stochastic volatility models with heavy-tails and correlated errors pp. 549-566

Xibin Zhang and Maxwell King

Is long memory necessary? An empirical investigation of nonnegative interest rate processes pp. 567-581

Jin-Chuan Duan and Kris Jacobs

Volume 15, issue 2, 2008

Assessing the role of option grants to CEOs: How important is heterogeneity? pp. 145-166

Nina Baranchuk and Siddhartha Chib

Does risk aversion drive financial crises? Testing the predictive power of empirical indicators pp. 167-184

Virginie Coudert and Mathieu Gex

How does owners' exposure to idiosyncratic risk influence the capital structure of private companies? pp. 185-198

Elisabeth Mueller

Does intraday technical analysis in the U.S. equity market have value? pp. 199-210

Ben Marshall, Rochester H. Cahan and Jared M. Cahan

Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004 pp. 211-231

Christophe Morel and Jérôme Teïletche

Noise trading and the price formation process pp. 232-250

Henk Berkman and Paul D. Koch

The factor structure of time-varying conditional volume pp. 251-264

Eric C. Chang, Joseph W. Cheng and J. Michael Pinegar

Finite sample accuracy and choice of sampling frequency in integrated volatility estimation pp. 265-286

Morten Nielsen and Per Frederiksen

Increasing correlations or just fat tails? pp. 287-309

Rachel A.J. Campbell, Catherine Forbes, Kees G. Koedijk and Paul Kofman

Simulation-based pricing of convertible bonds pp. 310-331

Manuel Ammann, Axel Kind and Christian Wilde

Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models pp. 332-341

Manabu Asai

Estimation of an adaptive stock market model with heterogeneous agents pp. 342-362

Henrik Amilon

Volume 15, issue 1, 2008

A functional approach to the price impact of stock trades and the implied true price pp. 1-16

Roger D. Huang and Christopher Ting

Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s pp. 17-40

George J. Benston and Robert A. Wood

Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution pp. 41-63

Pilsun Choi and Kiseok Nam

Volatility of stock price as predicted by patent data: An MGARCH perspective pp. 64-79

William W. Chow and Michael K. Fung

It takes a model to beat a model: Volatility bounds pp. 80-110

Ludan Liu

The ordered qualitative model for credit rating transitions pp. 111-130

D. Feng, Christian Gourieroux and Joann Jasiak

Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence pp. 131-144

G. Geoffrey Booth and Umit Gurun

Volume 14, issue 5, 2007

Predictable behavior, profits, and attention pp. 590-610

Mark S. Seasholes and Guojun Wu

Is CEO certification of earnings numbers value-relevant? pp. 611-635

Utpal Bhattacharya, Peter Groznik and Bruce Haslem

Order dynamics: Recent evidence from the NYSE pp. 636-661

Andrew Ellul, Craig W. Holden, Pankaj Jain and Robert Jennings

Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds pp. 662-693

Ken L. Bechmann and Jesper Rangvid

Semiparametric estimation of a characteristic-based factor model of common stock returns pp. 694-717

Gregory Connor and Oliver Linton

Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size pp. 718-735

Keith Jakob and Tongshu Ma

Are there Monday effects in stock returns: A stochastic dominance approach pp. 736-755

Young-Hyun Cho, Oliver Linton and Yoon-Jae Whang

Modeling the Euro overnight rate pp. 756-782

Francis Benito, Angel Leon and Juan Nave

Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables pp. 783-817

Ilias Lekkos

A simulation estimator for testing the time homogeneity of credit rating transitions pp. 818-835

Nicholas Kiefer and C. Erik Larson

Volume 14, issue 4, 2007

International conditional asset allocation under specification uncertainty pp. 443-464

Laurent Barras

International capital asset pricing: Evidence from options pp. 465-498

Henry Mo and Liuren Wu

Official interventions and the forward premium anomaly pp. 499-522

Nelson Mark and Young-Kyu Moh

Does the response of competitors to privatization announcements reflect competitive or industry-wide information effects? International evidence pp. 523-545

Isaac Otchere

Indirect robust estimation of the short-term interest rate process pp. 546-563

Veronika Czellar, G. Karolyi and Elvezio Ronchetti

Multivariate autoregressive modeling of time series count data using copulas pp. 564-583

Andréas Heinen and Erick Rengifo

Volume 14, issue 3, 2007

Sources of contrarian profits in the Japanese stock market pp. 261-286

Pin-Huang Chou, K.C. John Wei and Huimin Chung

Are IPOs really overpriced? pp. 287-309

Steven X. Zheng

When is inter-transaction time informative? pp. 310-332

Craig Furfine

The implied volatility term structure of stock index options pp. 333-354

Scott Mixon

The ex ante real rate and inflation premium under a habit consumption model pp. 355-382

Leonardo Madureira

Portfolio selection with heavy tails pp. 383-400

Namwon Hyung and Casper de Vries

Measuring financial contagion: A Copula approach pp. 401-423

Juan Rodríguez

Specification and estimation of discrete time quadratic stochastic volatility models pp. 424-442

Hiroyuki Kawakatsu

Volume 14, issue 2, 2007

Bayesian inference for generalized linear mixed models of portfolio credit risk pp. 131-149

Alexander J. McNeil and Jonathan P. Wendin

Firm-level implications of early stage venture capital investment -- An empirical investigation pp. 150-167

Dirk Engel and Max Keilbach

On the premiums of iShares pp. 168-195

Natalya Delcoure and Maosen Zhong

The role of trades in price convergence: A study of dual-listed Canadian stocks pp. 196-219

Aditya Kaul and Vikas Mehrotra

Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds pp. 220-247

John T. Scruggs

Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations pp. 248-259

Ping-Tsung Wu and Shwu-Jane Shieh

Volume 14, issue 1, 2007

CAPM over the long run: 1926-2001 pp. 1-40

Andrew Ang and Joseph Chen

Why are stock returns and volatility negatively correlated? pp. 41-58

Jinho Bae, Chang-Jin Kim and Charles Nelson

The growth in equity market size and trading activity: An international study pp. 59-90

Kai Li

Conditional coskewness and asset pricing pp. 91-119

Daniel Smith

Asymmetric temporary and permanent stock-price innovations pp. 120-130

Philip A. Shively