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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Structural change and long-range dependence in volatility of exchange rates: either, neither or both? pp. 629-658: Claudio Morana and Andrea Beltratti
The rise in comovement across national stock markets: market integration or IT bubble? pp. 659-680: Robin Brooks and Marco Del Negro
Analysis of intraday herding behavior among the sector ETFs pp. 681-694: Kimberly C. Gleason, Ike Mathur and Mark A. Peterson
The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach pp. 695-708: Khelifa Mazouz
The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market pp. 709-731: Chaoshin Chiao, Ken Hung and Cheng F. Lee

Introduction to the special issue on behavioral finance pp. 423-427: Werner De Bondt, Franz Palm and Christian Wolff
Return momentum and global portfolio allocations pp. 429-459: Mary M. Bange and Thomas Miller
Do countries or industries explain momentum in Europe? pp. 461-481: Theo Nijman, Laurens Swinkels and Marno Verbeek
Style momentum within the S&P-500 index pp. 483-507: Hsiu-Lang Chen and Werner De Bondt
Momentum strategies: some bootstrap tests pp. 509-536: G. Karolyi and Bong-Chan Kho
Mean reversion of industry stock returns in the U.S., 1926-1998 pp. 537-551: Jeffrey Gropp
Predictability of short-horizon returns in international equity markets pp. 553-584: Dilip K. Patro and Yangru Wu
Market stress and herding pp. 585-616: Soosung Hwang and Mark Salmon
Are forecasts of corporate profits rational? A note and further evidence pp. 617-626: Ahmed M. El-Galfy and William P. Forbes
Corrigendum to "Investor sentiment and the near-term stock market" [J. Empirical Finance 11 (2004) 1-27] pp. 627-628: Gregory W. Brown and Michael T. Cliff

Regime-switching stochastic volatility and short-term interest rates pp. 309-329: Madhu Kalimipalli and Raul Susmel
Overreaction of index futures in Hong Kong pp. 331-351: Alexander Kwok-Wah Fung and Kin Lam
Ranking mutual funds using unconventional utility theory and stochastic dominance pp. 353-377: Hrishikesh Vinod
Modelling daily Value-at-Risk using realized volatility and ARCH type models pp. 379-398: Pierre Giot and Sébastien Laurent
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns pp. 399-421: Clive Granger and Namwon Hyung

An empirical analysis of the role of the trading intensity in information dissemination on the NYSE pp. 163-184: Laura Spierdijk
Industry momentum strategies and autocorrelations in stock returns pp. 185-202: Ming-Shiun Pan, Kartono Liano and Gow-Cheng Huang
Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework pp. 203-230: Pierre Perron and Cosme Vodounou
Pre-holiday effect, large trades and small investor behaviour pp. 231-246: Vicente Meneu and Angel Pardo
Small levels of predictability and large economic gains pp. 247-275: Yexiao Xu
Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure pp. 277-308: Giuliano De Rossi

Investor sentiment and the near-term stock market pp. 1-27: Gregory W. Brown and Michael T. Cliff
Evaluating style analysis pp. 29-53: Jenke ter Horst, Theo Nijman and Frans A. de Roon
Analysis of hedge fund performance pp. 55-89: Daniel Capocci and Georges Hübner
Are scientific indicators of patent quality useful to investors? pp. 91-107: Mark Hirschey and Vernon J. Richardson
Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance pp. 109-132: Seung Ahn and Christopher Gadarowski
Option pricing with discrete rebalancing pp. 133-161: Jean-Luc Prigent, Olivier Renault and Olivier Scaillet

Measuring and modeling systematic risk in factor pricing models using high-frequency data pp. 533-558: Tim Bollerslev and Benjamin Y. B. Zhang
Testing for differences in the tails of stock-market returns pp. 559-581: Eric Jondeau and Michael Rockinger
A Bayesian analysis of a variance decomposition for stock returns pp. 583-601: Burton Hollifield, Gary Koop and Kai Li
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection pp. 603-621: Olivier Ledoit and Michael Wolf
Nonlinear prediction of exchange rates with monetary fundamentals pp. 623-640: Min Qi and Yangru Wu
Central bank interventions and jumps in double long memory models of daily exchange rates pp. 641-660: Michel Beine and Sébastien Laurent
Preference hierarchies for internal finance, bank loans, bond, and share issues: evidence for Dutch firms pp. 661-681: Leo de Haan and Jeroen Hinloopen

A nonparametric test of market timing pp. 399-425: Wei Jiang
Predicting emerging market currency crashes pp. 427-454: Mohan Kumar, Uma Moorthy and William Perraudin
Disturbing extremal behavior of spot rate dynamics pp. 455-477: Turan G. Bali and Salih Neftci
Volatility clustering in monthly stock returns pp. 479-503: Ben Jacobsen and Dennis Dannenburg
Univariate and multivariate stochastic volatility models: estimation and diagnostics pp. 505-531: Roman Liesenfeld and Jean-Francois Richard

Trading activity and stock price volatility: evidence from the London Stock Exchange pp. 249-269: Roger D. Huang and Ronald Masulis
Stock splits: implications for investor trading costs pp. 271-303: Stephen F. Gray, Tom Smith and Robert E. Whaley
How much do locals contribute to the price discovery process? pp. 305-320: Kingsley Fong and Ralf Zurbruegg
Realized volatility in the futures markets pp. 321-353: Dimitrios Thomakos and Tao Wang
A Bayesian analysis of dual trader informativeness in futures markets pp. 355-371: Sugato Chakravarty and Kai Li
Robust GMM analysis of models for the short rate process pp. 373-397: Rosario Dell'Aquila, Elvezio Ronchetti and Fabio Trojani

Emerging markets finance pp. 3-56: Geert Bekaert and Campbell Harvey
Diversification benefits of emerging markets subject to portfolio constraints pp. 57-80: Kai Li, Asani Sarkar and Zhenyu Wang
A simple measure of the intensity of capital controls pp. 81-103: Hali Edison and Francis Warnock
Stock selection strategies in emerging markets pp. 105-132: Jaap van der Hart, Erica Slagter and Dick van Dijk
The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange pp. 133-168: David D. Cho, Jeffrey Russell, George C. Tiao and Ruey Tsay
Emerging markets and trading costs: lessons from Casablanca pp. 169-198: Eric Ghysels and Mouna Cherkaoui
Resolution of corporate distress in East Asia pp. 199-216: Stijn Claessens, Simeon Djankov and Leora Klapper
Income inequality: the aftermath of stock market liberalization in emerging markets pp. 217-248: Mitali Das and Sanket Mohapatra