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 60, issue C, 2021

Entrepreneurship and household portfolio choice: Evidence from the China Household Finance Survey pp. 1-15

Rui Li, Tianyu Wang and Mingshan Zhou

Liquidity provider incentives in fragmented securities markets pp. 16-38

Benjamin Clapham, Peter Gomber, Jens Lausen and Sven Panz

Housing returns, precautionary savings and consumption: Micro evidence from China pp. 39-55

Xuefeng Pan and Weixing Wu

Modeling the cross-section of stock returns using sensible models in a model pool pp. 56-73

I-Hsuan Ethan Chiang, Yin Liao and Qing Zhou

Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill pp. 74-93

Alessandro Beber, Michael W. Brandt, Jason Cen and Kenneth A. Kavajecz

Non-parametric momentum based on ranks and signs pp. 94-109

Tsung-Yu Chen, Pin-Huang Chou, Kuan-Cheng Ko and S. Ghon Rhee

Volume 59, issue C, 2020

Industry equi-correlation: A powerful predictor of stock returns pp. 1-24

Yudong Wang, Zhiyuan Pan, Chongfeng Wu and Wenfeng Wu

Investment income taxes and private equity acquisition activity pp. 25-51

Alex Holcomb, Paul Mason and Harold H. Zhang

Does financial reporting regulation influence the value of cash holdings? pp. 52-67

Ahmet Karpuz, Kirak Kim and Neslihan Ozkan

Does product market competition affect corporate governance? Evidence from corporate takeovers pp. 68-87

Frederick Dongchuhl Oh and Sean Seunghun Shin

Innovate or die: Corporate innovation and bankruptcy forecasts pp. 88-108

Qing Bai and Shaonan Tian

Retail investor attention and herding behavior pp. 109-132

Shu-Fan Hsieh, Chia-Ying Chan and Ming-Chun Wang

Volatility forecasts, proxies and loss functions pp. 133-153

Erhard Reschenhofer, Manveer Kaur Mangat and Thomas Stark

Short trading and short investing pp. 154-171

Jesse Blocher, Peter Haslag and Chi Zhang

Cash-flow or return predictability at long horizons? The case of earnings yield pp. 172-192

Paulo Maio and Danielle Xu

Dissecting the idiosyncratic volatility anomaly pp. 193-209

Linda H. Chen, George J. Jiang, Danielle D. Xu and Tong Yao

On the stability of portfolio selection models pp. 210-234

Francesco Cesarone, Fabiomassimo Mango, Carlo Domenico Mottura, Jacopo Maria Ricci and Fabio Tardella

Beta dispersion and market timing pp. 235-256

Laura-Chloé Kuntz

Does program trading contribute to excess comovement of stock returns? pp. 257-277

Mingyi Li, Xiangkang Yin and Jing Zhao

Artificial Intelligence Alter Egos: Who might benefit from robo-investing? pp. 278-299

D’Hondt, Catherine, Rudy De Winne, Eric Ghysels and Steve Raymond

Volume 58, issue C, 2020

Disaggregation and the equity premium puzzle pp. 1-18

Matthew Wilson

Information shares in a two-tier FX market pp. 19-35

Louis R. Piccotti and Ben Schreiber

Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection pp. 36-49

Tong Fang, Tae Hwy Lee and Zhi Su

Beta and firm age pp. 50-74

Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta

Equity premium prediction and the state of the economy pp. 75-95

Ilias Tsiakas, Jiahan Li and Haibin Zhang

Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions pp. 96-120

Roel Beetsma, Massimo Giuliodori, Jesper Hanson and Frank de Jong

The economic value of VIX ETPs pp. 121-138

Kim Christensen, Charlotte Christiansen and Anders M. Posselt

Mispricing firm-level productivity pp. 139-163

Ang, Tze Chuan ‘Chewie’, F.Y. Eric C. Lam and K.C. John Wei

Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios? pp. 164-180

Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert Faff

Stock market illiquidity, bargaining power and the cost of borrowing pp. 181-206

Jiayuan Chen, Di Gong and Cal Muckley

Testing for explosive bubbles in the presence of autocorrelated innovations pp. 207-225

Thomas Quistgaard Pedersen and Erik Christian Schütte

Date-stamping multiple bubble regimes pp. 226-246

David Harvey, Stephen J. Leybourne and Emily Whitehouse

The information content of the term structure of risk-neutral skewness pp. 247-274

Paul Borochin, Hao Chang and Yangru Wu

The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model pp. 275-292

Martin Iseringhausen

Forced retirement risk and portfolio choice pp. 293-315

Guodong Chen, Minjoon Lee and Tong-yob Nam

The beauty contest between systemic and systematic risk measures: Assessing the empirical performance pp. 316-332

Fabrizio Cipollini, Alessandro Giannozzi, Fiammetta Menchetti and Oliviero Roggi

Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach pp. 333-355

Linh Hoang Nguyen, Thanaset Chevapatrakul and Kai Yao

A comparison of non-Gaussian VaR estimation and portfolio construction techniques pp. 356-368

David Allen, Colin Lizieri and Stephen Satchell

Time varying integration of European stock markets and monetary drivers pp. 369-385

Hyunchul Lee and Heeho Kim

Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy pp. 386-411

Bill B. Francis, Delroy M. Hunter and Patrick Kelly

Conditional extreme risk, black swan hedging, and asset prices pp. 412-435

S. Ghon Rhee and Wu, Feng (Harry)

Turning local: Home-bias dynamics of relocating foreigners pp. 436-452

Bjarne Florentsen, Ulf Nielsson, Peter Raahauge and Jesper Rangvid

Volume 57, issue C, 2020

Communication and financial supervision: How does disclosure affect market stability? pp. 1-15

Fausto Pacicco, Luigi Vena and Andrea Venegoni

Testing moving average trading strategies on ETFs pp. 16-32

Jing-Zhi Huang and Huang, Zhijian (James)

When is a MAX not the MAX? How news resolves information uncertainty pp. 33-51

Ran Tao, Chris Brooks and Adrian Bell

Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits pp. 52-70

Jingru Ji, Donghua Wang, Dinghai Xu and Chi Xu

Board independence and firm value: A quasi-natural experiment using Taiwanese data pp. 71-88

Yaoyao Fan, Yuxiang Jiang, Mao-Feng Kao and Frank Hong Liu

Biased information weight processing in stock markets pp. 89-106

Hannes Mohrschladt and Thomas Langer

Modeling CDS spreads: A comparison of some hybrid approaches pp. 107-124

Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi

Volume 56, issue C, 2020

Value at risk, cross-sectional returns and the role of investor sentiment pp. 1-18

Jia Bi and Yifeng Zhu

National culture and housing credit pp. 19-41

Chrysovalantis Gaganis, Iftekhar Hasan and Fotios Pasiouras

Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro pp. 42-73

Sebastian Lindman, Tom Tuvhag, Ranadeva Jayasekera, Gazi Uddin and Victor Troster

High-frequency trading and institutional trading costs pp. 74-93

Marie Chen and Corey Garriott

Is the presidential premium spurious? pp. 94-104

Oumar Sy and Ashraf Al Zaman

Issuer IPO underpricing and Directed Share Program (DSP) pp. 105-125

Beng Chong and Zhenbin Liu