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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Introduction to the special issue on International Finance pp. 393-395: Franz Palm, Ingrid M. Werner and Christian Wolff
Geographic versus industry diversification: Constraints matter pp. 396-416: Paul Ehling and Sofia Ramos
Sources of gains from international portfolio diversification pp. 417-443: Jose Campa and Nuno Fernandes
Local risk factors in emerging markets: Are they separately priced? pp. 444-461: Francesca Carrieri, Vihang Errunza and Basma Majerbi
Non-synchronous trading and testing for market integration in Central European emerging markets pp. 462-494: Peter C. Schotman and Anna Zalewska
Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms pp. 495-518: Aline Muller and Willem Verschoor
The impact of the introduction of the Euro on foreign exchange rate risk exposures pp. 519-549: Söhnke Bartram and G. Karolyi
Measuring the economic importance of exchange rate exposure pp. 550-576: Craig Doidge, John Griffin and Rohan Williamson

Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory pp. 249-273: Larry J. Prather and Karen L. Middleton
Instability of return prediction models pp. 274-315: Bradley S. Paye and Allan Timmermann
Stock market development and internationalization: Do economic fundamentals spur both similarly? pp. 316-350: Stijn Claessens, Daniela Klingebiel and Sergio Schmukler
Propensity score matching and abnormal performance after seasoned equity offerings pp. 351-370: Xianghong Li and Xinlei Zhao
House prices and rents: An equilibrium asset pricing approach pp. 371-388: Juan Ayuso and Fernando Restoy
Note from the Editor, Wayne E. Ferson on Shanken, Jay and Mark I. Weinstein, Economic Forces and the Stock Market Revisited, Journal of Empirical Finance 13, Issue 2, 2006, 129-144 pp. 389-391: Wayne E. Ferson

Economic forces and the stock market revisited pp. 129-144: Jay Shanken and Mark I. Weinstein
Manager education and mutual fund performance pp. 145-182: Aron A. Gottesman and Matthew R. Morey
Interpreting the predictive power of the consumption-wealth ratio pp. 183-202: Jaehoon Hahn and Hangyong Lee
Volatility estimation via hidden Markov models pp. 203-230: Alessandro Rossi and Giampiero Gallo
In-sample vs. out-of-sample tests of stock return predictability in the context of data mining pp. 231-247: David E. Rapach and Mark Wohar

Are investors moonstruck? Lunar phases and stock returns pp. 1-23: Kathy Yuan, Lu Zheng and Qiaoqiao Zhu
Momentum and mean reversion across national equity markets pp. 24-48: Ronald Balvers and Yangru Wu
The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories pp. 49-78: Duane B. Kennedy, Ranjini Sivakumar and Kenneth R. Vetzal
Information content and other characteristics of the daily cross-sectional dispersion in stock returns pp. 79-112: Robert Connolly and Chris Stivers
A re-examination of the asymmetric power ARCH model pp. 113-128: Menelaos Karanasos and Jinki Kim

Testing forward rate unbiasedness allowing for persistent regressors pp. 613-628: Wei Liu and Alex Maynard
Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team pp. 629-649: Ryan Garvey and Anthony Murphy
The relationship between stock returns and volatility in international stock markets pp. 650-665: Qi Li, Jian Yang, Cheng Hsiao and Young-Jae Chang
Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness pp. 666-685: C. Hueng and James McDonald

Ownership concentration and executive compensation in closely held firms: Evidence from Hong Kong pp. 511-532: Yan-Leung Cheung, Aris Stouraitis and Anita W.S. Wong
Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks pp. 533-555: Mingsheng Li, Timothy McCormick and Xin Zhao
Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach pp. 556-575: Hossein Asgharian and Björn Hansson
Pricing American options when the underlying asset follows GARCH processes pp. 576-611: Lars Stentoft

Index futures arbitrage before and after the introduction of sixteenths on the NYSE pp. 353-373: Thomas Henker and Martin Martens
Equilibrium analysis of volatility clustering pp. 374-417: Joel M. Vanden
Regime shifts in interest rate volatility pp. 418-434: Licheng Sun
The relationship between stock returns and inflation: new evidence from wavelet analysis pp. 435-444: Sangbae Kim and Francis In
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements pp. 445-475: Siem Jan Koopman, Borus Jungbacker and Eugenie Hol
Testing for contagion: a conditional correlation analysis pp. 476-489: Guglielmo Maria Caporale, Andrea Cipollini and Nicola Spagnolo
STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index pp. 490-509: Jorge Pérez-Rodríguez, Salvador Torra and Julian Andrada-Felix

Index futures and positive feedback trading: evidence from major stock exchanges pp. 219-238: Antonios Antoniou, Gregory Koutmos and Andreas Pericli
The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq pp. 239-268: Claudio Loderer and Lukas Roth
Price limit performance: evidence from transactions data and the limit order book pp. 269-290: Soon Huat Chan, Kenneth Kim and S. Ghon Rhee
Winter blues and time variation in the price of risk pp. 291-316: Ian Garrett, Mark Kamstra and Lisa Kramer
Trading volume and contract rollover in futures contracts pp. 317-338: Phil Holmes and Jonathan Rougier
A comparison of extreme value theory approaches for determining value at risk pp. 339-352: Chris Brooks, A.D. Clare, J.W. Dalle Molle and G. Persand

The econometrics of efficient portfolios pp. 1-41: Christian Gourieroux and Alain Monfort
Chasing trends: recursive moving average trading rules and internet stocks pp. 43-76: Wai Mun Fong and Lawrence H. M. Yong
Testing dividend signaling models pp. 77-98: Dan Bernhardt, Alan Douglas and Fiona Robertson
Foreign acquisitions by UK limited companies: short- and long-run performance pp. 99-125: Alan Gregory and Steve McCorriston
Yet another look at mutual fund tournaments pp. 127-137: Alexei Goriaev, Theo Nijman and Bas Werker
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects pp. 139-164: Joachim Grammig, Michael Melvin and Christian Schlag
Measuring tail thickness under GARCH and an application to extreme exchange rate changes pp. 165-185: Niklas Wagner and Terry A. Marsh
European exchange rate volatility dynamics: an empirical investigation pp. 187-215: Ali Khalil Malik
Corrigendum to "Mean reversion of industry stock returns in the U.S., 1926-1998" [J. Empir. Finance 11 (2004) 537-551] pp. 217-217: Jeffrey Gropp