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 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

Volume 70, issue C, 2023

CEO networks and the labor market for directors pp. 1-21

Hyemin Kim, Ruediger Fahlenbrach and Angie Low

A robust Glasso approach to portfolio selection in high dimensions pp. 22-37

Wenliang Ding, Lianjie Shu and Xinhua Gu

Salience theory in price and trading volume: Evidence from China pp. 38-61

Kaisi Sun, Hui Wang and Yifeng Zhu

Spillover effects in managerial compensation pp. 62-73

Robert Kieschnick and Wenyun Shi

Limit order revisions across investor sophistication pp. 74-90

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

Nima Nonejad

Capital mobility and the long-run return–risk trade-offs of industry portfolios pp. 123-143

Jia Chen, Xin Xu and Tong Yao

The contribution of jump signs and activity to forecasting stock price volatility pp. 144-164

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

Gabriele M. Lepori

Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals pp. 182-198

Tom Stindl

Out-of-sample equity premium prediction: The role of option-implied constraints pp. 199-226

Yunqi Wang and Ti Zhou

Maximum likelihood estimation of the Hull–White model pp. 227-247

Kamil Kladívko and Tomáš Rusý

Portfolio homogeneity and systemic risk of financial networks pp. 248-275

Yajing Huang, Taoxiong Liu and Donald Lien

Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities pp. 276-307

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

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

Alessandro Pollastri, Paulo Rodrigues, Christian Schlag and Norman J. Seeger

Using covariates to improve the efficacy of univariate bubble detection methods pp. 342-366

Sam Astill, Robert Taylor, Neil Kellard and Ioannis Korkos

Are cryptocurrencies a safe haven for stock investors? A regime-switching approach pp. 367-385

Leon Li and Peter Miu

Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland pp. 386-402

Jörg R. Stahl

Say more to return less? Disclosure subsequent to successful technological innovation pp. 403-426

Jing He and Dongyoung Lee

The value of risk-taking in mergers: Role of ownership and country legal institutions pp. 427-444

Narjess Boubakri, Jean-Claude Cosset, Dev Mishra and Hyacinthe Y. Somé

A global monetary policy factor in sovereign bond yields pp. 445-465

Dimitrios Malliaropulos and Petros Migiakis