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Journal of Empirical Finance

1993 - 2019

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 Dana Niculescu ().

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Volume 22, issue C, 2013

Advertising investments, information asymmetry, and insider gains pp. 1-15 Downloads
Kissan Joseph and M. Babajide Wintoki
Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach pp. 16-29 Downloads
Akay, Ozgur (Ozzy), Zeynep Senyuz and Emre Yoldas
Understanding industry betas pp. 30-51 Downloads
Lieven Baele and Juan M. Londono
Equilibrium exchange rate determination and multiple structural changes pp. 52-66 Downloads
Mario Cerrato, Hyunsok Kim and Ronald MacDonald
Does mortality improvement increase equity risk premiums? A risk perception perspective pp. 67-77 Downloads
Rachel Huang, Jerry C.Y. Miao and Larry Y. Tzeng
Term structure dynamics with macro-factors using high frequency data pp. 78-93 Downloads
Hwagyun Kim and Hail Park
Long memory and tail dependence in trading volume and volatility pp. 94-112 Downloads
Eduardo Rossi and Paolo Santucci de Magistris
What do the Fama–French factors add to C-CAPM? pp. 113-127 Downloads
Pongrapeeporn Abhakorn, Peter Smith and Michael Wickens
An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil pp. 128-139 Downloads
Minqiang Li
On detection of volatility spillovers in overlapping stock markets pp. 140-158 Downloads
Anssi Kohonen
Stakeholder relations and stock returns: On errors in investors' expectations and learning pp. 159-175 Downloads
Arian Borgers, Jeroen Derwall, Kees Koedijk and Jenke ter Horst

Volume 21, issue C, 2013

The issuance of callable bonds under information asymmetry pp. 1-14 Downloads
Seungmook Choi, Mel Jameson and Mookwon Jung
Sovereign default risk premia: Evidence from the default swap market pp. 15-35 Downloads
Gabriele Zinna
No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options pp. 36-53 Downloads
Namhyoung Kim and Jaewook Lee
Does monetary policy determine stock market liquidity? New evidence from the euro zone pp. 54-68 Downloads
Octavio Fernández-Amador, Martin Gächter, Martin Larch and Georg Peter
A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter? pp. 69-85 Downloads
Niklas Wagner and Elisabeth Winter
Performance, stock selection and market timing of the German equity mutual fund industry pp. 86-101 Downloads
Keith Cuthbertson and Dirk Nitzsche
Credit risk in covered bonds pp. 102-120 Downloads
Marcel Prokopczuk, Jan B. Siewert and Volker Vonhoff
The discretionary effect of CEOs and board chairs on corporate governance structures pp. 121-131 Downloads
Matteo P. Arena and Braga-Alves, Marcus V.
On the risk return relationship pp. 132-141 Downloads
Jianxin Wang and Minxian Yang
Are short sellers incrementally informed prior to earnings announcements? pp. 142-155 Downloads
Benjamin Blau and J. Michael Pinegar
What style-timing skills do mutual fund “stars” possess? pp. 156-173 Downloads
Li-Wen Chen, Andrew Adams and Richard Taffler
Stressing correlations and volatilities — A consistent modeling approach pp. 174-194 Downloads
Christoph Becker and Wolfgang M. Schmidt
An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions pp. 195-213 Downloads
Teng Yuan Cheng, Chun I Lee and Chao Hsien Lin
Multi-period credit default prediction with time-varying covariates pp. 214-222 Downloads
Walter Orth
Corporate boards' political ideology diversity and firm performance pp. 223-240 Downloads
Incheol Kim, Christos Pantzalis and Jung Chul Park
Ranking of finance journals: Some Google Scholar citation perspectives pp. 241-250 Downloads
Kam C. Chan, Chih-Hsiang Chang and Yuanchen Chang

Volume 20, issue C, 2013

Two-pass estimation of risk premiums with multicollinear and near-invariant betas pp. 1-17 Downloads
Seung Ahn, M. Fabricio Perez and Christopher Gadarowski
Liquidity and firm investment: Evidence for Latin America pp. 18-29 Downloads
Francisco Muñoz
Do strategic alliances in a developing country create firm value? Evidence from Korean firms pp. 30-41 Downloads
Hyunchul Lee, Euije Cho, Chongcheul Cheong and Jinsu Kim
Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices pp. 42-62 Downloads
Pierre Perron, Sungju Chun and Cosme Vodounou
The international evidence on discouraged small businesses pp. 63-82 Downloads
Sugato Chakravarty and Meifang Xiang
The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts pp. 83-95 Downloads
Rasmus Varneskov and Valeri Voev
A global approach to mutual funds market timing ability pp. 96-101 Downloads
Laurent Bodson, Laurent Cavenaile and Danielle Sougné
Aggregational Gaussianity and barely infinite variance in financial returns pp. 102-108 Downloads
Antonios Antypas, Phoebe Koundouri and Nikolaos Kourogenis
What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests? pp. 109-129 Downloads
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Another look at the cross-section and time-series of stock returns: 1951 to 2011 pp. 130-146 Downloads
Ding Du

Volume 19, issue 5, 2012

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts pp. 627-639 Downloads
Guillermo Benavides and Carlos Capistrán
Drug approval decisions: A note on stock liquidity effects pp. 640-652 Downloads
Achim Himmelmann and Dirk Schiereck
Product market relationships and cost of bank loans: Evidence from strategic alliances pp. 653-674 Downloads
Yiwei Fang, Bill Francis, Iftekhar Hasan and Haizhi Wang
Short-term predictability of equity returns along two style dimensions pp. 675-685 Downloads
Andrei Shynkevich
Fractal market time pp. 686-701 Downloads
James McCulloch
Speed of convergence to market efficiency: The role of ECNs pp. 702-720 Downloads
Dennis Y. Chung and Karel Hrazdil
Optimal portfolio choice in real terms: Measuring the benefits of TIPS pp. 721-740 Downloads
Álvaro Cartea, Jonatan Saúl and Juan Toro
A new country risk index for emerging markets: A stochastic dominance approach pp. 741-761 Downloads
Elettra Agliardi, Rossella Agliardi, Mehmet Pinar, Thanasis Stengos and Nikolas Topaloglou
Relationship lending and firm innovativeness pp. 762-781 Downloads
Caterina Giannetti
Nonlinearity and smoothing in venture capital performance data pp. 782-795 Downloads
Michael McKenzie, Stephen Satchell and Warapong Wongwachara
The cross-section of stock returns in frontier emerging markets pp. 796-818 Downloads
Wilma de Groot, Juan Pang and Laurens Swinkels
A meta-analysis of the equity premium pp. 819-830 Downloads
Casper Ewijk, Henri de Groot and Santing, A.J. (Coos)

Volume 19, issue 4, 2012

The impact of capital market competition on relationship banking: Evidence from the Japanese experience pp. 411-426 Downloads
Donald R. Fraser, S. Ghon Rhee and G. Hwan Shin
A simple approach to standardized-residuals-based higher-moment tests pp. 427-453 Downloads
Yi-Ting Chen
Smooth transition patterns in the realized stock–bond correlation pp. 454-464 Downloads
Nektarios Aslanidis and Charlotte Christiansen
Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models pp. 465-482 Downloads
Viet Dang, Minjoo Kim and Yongcheol Shin
Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors pp. 483-496 Downloads
Xinyi Liu, Dimitris Margaritis and Peiming Wang
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium pp. 497-510 Downloads
Nikolay Gospodinov and Ibrahim Jamali
Sampling error and double shrinkage estimation of minimum variance portfolios pp. 511-527 Downloads
Bertrand Candelon, Christophe Hurlin and Sessi Tokpavi
Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis pp. 528-547 Downloads
Yi Fang
Euro money market spreads during the 2007–? financial crisis pp. 548-557 Downloads
Nuno Cassola and Claudio Morana
Taking stock or cashing in? Shareholder style preferences, premiums and the method of payment pp. 558-582 Downloads
Timothy R. Burch, Vikram Nanda and Sabatino Silveri
Time-varying correlation between stock market returns and real estate returns pp. 583-594 Downloads
Richard Heaney and Sivagowry Sriananthakumar
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels pp. 595-609 Downloads
Nikolay Gospodinov and Masayuki Hirukawa
Modelling and forecasting liquidity supply using semiparametric factor dynamics pp. 610-625 Downloads
Wolfgang Härdle, Nikolaus Hautsch and Andrija Mihoci

Volume 19, issue 3, 2012

Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis pp. 309-318 Downloads
Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou and Yueh-Hsiang Lin
Global style momentum pp. 319-333 Downloads
Hsiao-Ying Chao, Charles Collver and Natcha Limthanakom
Time-varying performance of international mutual funds pp. 334-348 Downloads
H.J. Turtle and Chengping Zhang
Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing pp. 349-358 Downloads
Anders G. Ekholm
Equity order flow and exchange rate dynamics pp. 359-381 Downloads
Sara Ferreira Filipe
Common influences, spillover and integration in Chinese stock markets pp. 382-394 Downloads
Enzo Weber and Yanqun Zhang
On the determinants of the implied default barrier pp. 395-408 Downloads
Georges Dionne and Sadok Laajimi

Volume 19, issue 2, 2012

Does information vault Niagara Falls? Cross-listed trading in New York and Toronto pp. 175-199 Downloads
Haiqiang Chen and Paul Moon Sub Choi
Cross-listing and subsequent delisting in foreign markets pp. 200-216 Downloads
Leyuan You, Ali M. Parhizgari and Suresh Srivastava
When does investor sentiment predict stock returns? pp. 217-240 Downloads
San-Lin Chung, Chi-Hsiou Hung and Chung-Ying Yeh
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model pp. 241-253 Downloads
Tom Engsted and Thomas Pedersen
Stock return autocorrelations revisited: A quantile regression approach pp. 254-265 Downloads
Dirk Baur, Thomas Dimpfl and Robert C. Jung
Credit ratings and excess value of diversification pp. 266-281 Downloads
Ting-Kai Chou and Jia-Chi Cheng
On the intraday periodicity duration adjustment of high-frequency data pp. 282-291 Downloads
Zhengxiao Wu
Moments of multivariate regime switching with application to risk-return trade-off pp. 292-308 Downloads
Abderrahim Taamouti

Volume 19, issue 1, 2012

Financial development and the allocation of external finance pp. 1-25 Downloads
Jan Bena and Peter Ondko
Economic freedom and cross-border venture capital performance pp. 26-50 Downloads
Lanfang Wang and Susheng Wang
Where are the smart investors? New evidence of the smart money effect pp. 51-64 Downloads
Hsin-Yi Yu
Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims pp. 65-78 Downloads
Zhenyu Wang and Xiaoyan Zhang
Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China pp. 79-93 Downloads
Jing Lu and Robin K. Chou
The investment value of the frequency of analyst recommendation changes for the ordinary investor pp. 94-108 Downloads
Jeffrey Hobbs, Tunde Kovacs and Vivek Sharma
Geographic diversification and firm value in the financial services industry pp. 109-122 Downloads
Markus Schmid and Ingo Walter
Real estate prices: An international study of seasonality's sentiment effect pp. 123-146 Downloads
Guy Kaplanski and Haim Levy
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models pp. 147-161 Downloads
Roland Langrock, Iain L. MacDonald and Walter Zucchini
Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach pp. 162-174 Downloads
Chia-Ying Chan, Christian de Peretti, Zhuo Qiao and Wing-Keung Wong
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