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 63, issue C, 2021

Predicting corporate policies using downside risk: A machine learning approach pp. 1-26

Doron Avramov, Minwen Li and Hao Wang

Herding behaviour in P2P lending markets pp. 27-41

Mustafa Caglayan, Oleksandr Talavera and Wei Zhang

Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies pp. 42-56

Wenjie Ding, Khelifa Mazouz and Qingwei Wang

The protective role of saving: Bayesian analysis of British panel data pp. 57-72

Sarah Brown, Pulak Ghosh, Bhuvanesh Pareek and Karl Taylor

Smoking hot portfolios? Trading behavior, investment biases, and self-control failure pp. 73-95

Charline Uhr, Steffen Meyer and Andreas Hackethal

Household portfolio allocation, uncertainty, and risk pp. 96-117

Sarah Brown, Daniel Gray, Mark Harris and Christopher Spencer

Stock price fragility and the cost of bank loans pp. 118-135

Bill Francis, Iftekhar Hasan, Shen, Yinjie (Victor) and Pengfei Ye

Risk optimizations on basis portfolios: The role of sorting pp. 136-163

Boris Fays, Nicolas Papageorgiou and Marie Lambert

Do leveraged warrants prompt individuals to speculate on stock price reversals? pp. 164-176

Miklos Farkas and Kata Váradi

On the role of foreign directors: Evidence from cross-listed firms pp. 177-202

Chinmoy Ghosh, Fan He and Haoyong Zhou

Bank stocks, risk factors, and tail behavior pp. 203-229

Huan Yang, Jun Cai, Lin Huang and Alan J. Marcus

Trading the foreign exchange market with technical analysis and Bayesian Statistics pp. 230-251

Arman Hassanniakalager, Georgios Sermpinis and Charalampos Stasinakis

Forecasting stock returns with large dimensional factor models pp. 252-269

Alessandro Giovannelli, Daniele Massacci and Stefano Soccorsi

Media coverage and investment efficiency pp. 270-293

Xin Gao, Weidong Xu, Donghui Li and Lu Xing

Exploring risk premium factors for country equity returns pp. 294-322

Giovanni Calice and Ming-Tsung Lin

The transformed Gram Charlier distribution: Parametric properties and financial risk applications pp. 323-349

Ángel León and Trino Ñíguez Grau

Do negative interest rates affect bank risk-taking? pp. 350-364

Alessio Bongiovanni, Alessio Reghezza, Riccardo Santamaria and Jonathan Williams

Investor sentiment and stock returns: Global evidence pp. 365-391

Wenzhao Wang, Chen Su and Darren Duxbury

Is convexity efficiently priced? Evidence from international swap markets pp. 392-413

Riccardo Rebonato and Riccardo Ronzani

Volume 62, issue C, 2021

Diversification in lottery-like features and portfolio pricing discount: Evidence from closed-end funds pp. 1-11

Xin Liu

Tariff uncertainty and firm innovation: Evidence from the U.S.–China Permanent Normal Trade Relation pp. 12-27

Tao Chen, Huasheng Gao and Yuxi Wang

Deciphering big data in consumer credit evaluation pp. 28-45

Jinglin Jiang, Li Liao, Xi Lu, Zhengwei Wang and Hongyu Xiang

Forecasting volatility using double shrinkage methods pp. 46-61

Mingmian Cheng, Norman Swanson and Xiye Yang

Does the executive labor market discipline? Labor market incentives and earnings management pp. 62-86

Qiyuan Peng and Sirui Yin

Government Affiliation and Peer-To-Peer Lending Platforms in China pp. 87-106

Jinglin Jiang, Li Liao, Zhengwei Wang and Xiaoyan Zhang

Trading activity and price discovery in Bitcoin futures markets pp. 107-120

Jui-Cheng Hung, Hung-Chun Liu and J. Jimmy Yang

Executive compensation and aspirational peer benchmarking pp. 121-140

Thomas Ian Schneider

Hedge funds and their prime broker analysts pp. 141-158

Sung Gon Chung, Manoj Kulchania and Melvyn Teo

Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings pp. 159-178

Christoph Merkle and Christoph J. Sextroh

Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty pp. 179-201

Yue Qiu, Zongrun Wang, Tian Xie and Xinyu Zhang

What does a term structure model imply about very long-term interest rates? pp. 202-219

Anne G. Balter, Antoon Pelsser and Peter C. Schotman

Mortgage credit growth for lower-income borrowers during the 2000s housing boom: Evidence and implications pp. 220-233

Alejandro Rojas

Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations pp. 234-251

Dongmin Kong, Chen Lin, Shasha Liu and Weiqiang Tan

Volatility cascades in cryptocurrency trading pp. 252-265

Nikola Gradojevic and Ilias Tsiakas

Timing is money: The factor timing ability of hedge fund managers pp. 266-281

Albert Jakob Osinga, Marc B.J. Schauten and Remco C.J. Zwinkels

Predictive regression with p-lags and order-q autoregressive predictors pp. 282-293

Harshanie L. Jayetileke, You-Gan Wang and Min Zhu

Does vega-neutral options trading contain information? pp. 294-314

Jaeram Lee, Doojin Ryu and Heejin Yang

In search of retail investors: The effect of retail investor attention on odd lot trades pp. 315-326

Alexander Kupfer and Markus G. Schmidt

Do financial variables help predict the conditional distribution of the market portfolio? pp. 327-345

Azam Shamsi Zamenjani

Volume 61, issue C, 2021

Trader positions in VIX futures pp. 1-17

Yu-Lun Chen and J. Jimmy Yang

Share pledging, payout policy, and the value of cash holdings pp. 18-33

Robin K. Chou, Yu-Chun Wang and J. Jimmy Yang

Can interest rate factors explain exchange rate fluctuations? pp. 34-56

Julieta Yung

Improved inference for fund alphas using high-dimensional cross-sectional tests pp. 57-81

Tingting Cheng, Cheng Yan and Yayi Yan

Drivers of economic and financial integration: A machine learning approach pp. 82-102

Amir Akbari, Lilian Ng and Bruno Solnik

Tracking performance of VIX futures ETPs pp. 103-117

Sebastian A. Gehricke and Jin E. Zhang

Investment, idiosyncratic risk, and growth options pp. 118-138

Clark Liu and Shujing Wang

Tournament incentives, age diversity and firm performance pp. 139-162

Oleksandr Talavera, Shuxing Yin and Mao Zhang

The valuation effect of stock dividends or splits: Evidence from a catering perspective pp. 163-179

Conghui Hu, Yu-Jane Liu and Xin Xu

Global equity market leadership positions through implied volatility measures pp. 180-205

A.M. Parhizgari and Chaiyuth Padungsaksawasdi

From watchdog to watchman: Do independent directors monitor a CEO of their own age? pp. 206-229

Yaoyao Fan, Yuxiang Jiang, Kose John and Frank Hong Liu