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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
Bibliographic data for series maintained by Catherine Liu ().

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Volume 72, issue C, 2023

Overlapping momentum portfolios pp. 1-22 Downloads
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 Downloads
Gianluca De Nard and Zhao Zhao
Stock return predictability and cyclical movements in valuation ratios pp. 36-53 Downloads
Deshui Yu, Difang Huang and Li Chen
Time series momentum and reversal: Intraday information from realized semivariance pp. 54-77 Downloads
Zhenya Liu, Shanglin Lu, Bo Li and Shixuan Wang
Global political risk and international stock returns pp. 78-102 Downloads
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 Downloads
Ha Nguyen
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures pp. 122-142 Downloads
Hung-Wen Cheng, Li-Han Chang, Chien-Ling Lo and Jeffrey Tzuhao Tsai
Director optimism and CEO equity compensation pp. 143-162 Downloads
Douglas O. Cook, Jaideep Chowdhury and Weiwei Zhang
Real-estate agent commission structure and sales performance pp. 163-187 Downloads
Pieter Gautier, Arjen Siegmann and Aico van Vuuren
Price convergence between credit default swap and put option: New evidence pp. 188-213 Downloads
Ka Kei Chan, Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon
Legal enforcement and fintech credit: International evidence pp. 214-231 Downloads
Hongfeng Peng, Jiao Ji, Hanwen Sun and Haofeng Xu
Disagreement, speculation, and the idiosyncratic volatility pp. 232-250 Downloads
Jianqiu Wang, Ke Wu, Jiening Pan and Ying Jiang
Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium pp. 251-275 Downloads
Adrian Fuhrer and Thorsten Hock
Expected returns and risk in the stock market pp. 276-300 Downloads
M.J. Brennan and Alex P. Taylor
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks pp. 301-320 Downloads
Olga Dodd, Bart Frijns, Ivan Indriawan and Roberto Pascual
Cross-sectional uncertainty and expected stock returns pp. 321-340 Downloads
Deshui Yu and Difang Huang
Policy risk and insider trading pp. 341-353 Downloads
Mehmet E. Akbulut and Erdem Ucar
Burned by leverage? Flows and fragility in bond mutual funds pp. 354-380 Downloads
Luis Molestina Vivar, Michael Wedow and Christian Weistroffer
Geographic diversification and corporate cash holdings pp. 381-409 Downloads
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 Downloads
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 Downloads
Kuan-Hui Lee and Shu-Feng Wang
Estimating and testing skewness in a stochastic volatility model pp. 445-467 Downloads
Cheol Woo Lee and Kyu Ho Kang
Income inequality, inflation and financial development pp. 468-487 Downloads
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 Downloads
Qigui Liu, Jinghua Tang, Donghui Li and Lu Xing
Disseminating information across connected firms — Analyst site visits can help pp. 510-531 Downloads
Zhengyu Cao, Rundong Wang, Xinrong Xiao and Chengxi Yin
Automated stock picking using random forests pp. 532-556 Downloads
Christian Breitung

Volume 71, issue C, 2023

Can we forecast better in periods of low uncertainty? The role of technical indicators pp. 1-12 Downloads
María Ferrer Fernández, Ólan Henry, Sam Pybis and Michalis P. Stamatogiannis
Option price implied information and REIT returns pp. 13-28 Downloads
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 Downloads
Robert James, Henry Leung, Jessica Wai Yin Leung and Artem Prokhorov
Coreversal: The booms and busts of arbitrage activities in China pp. 51-65 Downloads
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 Downloads
Zhaozhao He, Mihail K. Miletkov and Viktoriya Staneva
The PhD origins of finance faculty pp. 88-103 Downloads
Todd Jones and Haoyang Xiong
The contributions of betas versus characteristics to the ESG premium pp. 104-124 Downloads
Rocco Ciciretti, Ambrogio Dalò and Lammertjan Dam

Volume 70, issue C, 2023

CEO networks and the labor market for directors pp. 1-21 Downloads
Hyemin Kim, Ruediger Fahlenbrach and Angie Low
A robust Glasso approach to portfolio selection in high dimensions pp. 22-37 Downloads
Wenliang Ding, Lianjie Shu and Xinhua Gu
Salience theory in price and trading volume: Evidence from China pp. 38-61 Downloads
Kaisi Sun, Hui Wang and Yifeng Zhu
Spillover effects in managerial compensation pp. 62-73 Downloads
Robert Kieschnick and Wenyun Shi
Limit order revisions across investor sophistication pp. 74-90 Downloads
Junmao Chiu and Chin-Ho Chen
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables pp. 91-122 Downloads
Nima Nonejad
Capital mobility and the long-run return–risk trade-offs of industry portfolios pp. 123-143 Downloads
Jia Chen, Xin Xu and Tong Yao
The contribution of jump signs and activity to forecasting stock price volatility pp. 144-164 Downloads
Ruijun Bu, Rodrigo Hizmeri, Marwan Izzeldin, Anthony Murphy and Mike Tsionas
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City pp. 165-181 Downloads
Gabriele M. Lepori
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals pp. 182-198 Downloads
Tom Stindl
Out-of-sample equity premium prediction: The role of option-implied constraints pp. 199-226 Downloads
Yunqi Wang and Ti Zhou
Maximum likelihood estimation of the Hull–White model pp. 227-247 Downloads
Kamil Kladívko and Tomáš Rusý
Portfolio homogeneity and systemic risk of financial networks pp. 248-275 Downloads
Yajing Huang, Taoxiong Liu and Donald Lien
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities pp. 276-307 Downloads
Seung-Oh Han, Sahn-Wook Huh and Jeayoung Park
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices pp. 308-321 Downloads
Piotr Fiszeder, Marcin Fałdziński and Peter Molnár
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks pp. 322-341 Downloads
Alessandro Pollastri, Paulo Rodrigues, Christian Schlag and Norman J. Seeger
Using covariates to improve the efficacy of univariate bubble detection methods pp. 342-366 Downloads
Sam Astill, Robert Taylor, Neil Kellard and Ioannis Korkos
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach pp. 367-385 Downloads
Leon Li and Peter Miu
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland pp. 386-402 Downloads
Jörg R. Stahl
Say more to return less? Disclosure subsequent to successful technological innovation pp. 403-426 Downloads
Jing He and Dongyoung Lee
The value of risk-taking in mergers: Role of ownership and country legal institutions pp. 427-444 Downloads
Narjess Boubakri, Jean-Claude Cosset, Dev Mishra and Hyacinthe Y. Somé
A global monetary policy factor in sovereign bond yields pp. 445-465 Downloads
Dimitrios Malliaropulos and Petros Migiakis
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