Journal of Empirical Finance

1993 - 2025

Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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Volume 55, issue C, 2020

Factor state–space models for high-dimensional realized covariance matrices of asset returns pp. 1-20

Bastian Gribisch, Jan Patrick Hartkopf and Roman Liesenfeld

Does political connection distort competition and encourage corporate risk taking? International evidence pp. 21-42

Isaac Otchere, Lemma W. Senbet and Pengcheng Zhu

General managerial skills and corporate social responsibility pp. 43-59

Jie Chen, Xicheng Liu, Wei Song and Si Zhou

Do structural breaks in volatility cause spurious volatility transmission? pp. 60-82

Massimiliano Caporin and Farooq Malik

The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market pp. 104-118

Xiaoyuan Wan

Do mega-mergers create value? The acquisition experience and mega-deal outcomes pp. 119-142

Nan Hu, Lu Li, Hui Li and Xing Wang

Global investigation on the country-level idiosyncratic volatility and its determinants pp. 143-160

Mustafa Onur Caglayan, Wenjun Xue and Liwen Zhang

Are female top executives more risk-averse or more ethical? Evidence from corporate cash holdings policy pp. 161-176

Trang Doan and Mai Iskandar-Datta

The long-run reversal in the long run: Insights from two centuries of international equity returns pp. 177-199

Adam Zaremba, Renatas Kizys and Muhammad Wajid Raza

Forecasting stock returns: A predictor-constrained approach pp. 200-217

Zhiyuan Pan, Davide Pettenuzzo and Yudong Wang

Mutual fund selection for realistically short samples pp. 218-240

Charlotte Christiansen, Niels S. Grønborg and Ole L. Nielsen

Volume 54, issue C, 2019

Estimation and model-based combination of causality networks among large US banks and insurance companies pp. 1-21

Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica

Perceived information, short interest, and institutional demand pp. 22-38

Chune Young Chung, Luke DeVault and Kainan Wang

Investor target prices pp. 39-57

Shiyang Huang, Xin Liu and Chengxi Yin

Range-based DCC models for covariance and value-at-risk forecasting pp. 58-76

Piotr Fiszeder, Marcin Faldzinski and Peter Molnár

Information uncertainty and the pricing of liquidity pp. 77-96

Wenjin Kang, Nan Li and Huiping Zhang

Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? pp. 97-117

Yaojie Zhang, Feng Ma and Yudong Wang

Balanced predictive regressions pp. 118-142

Yu Ren, Yundong Tu and Yanping Yi

Asset pricing with extreme liquidity risk pp. 143-165

Ying Wu

Asset pricing model uncertainty pp. 166-189

Daniel Borup

What causes the asymmetric correlation in stock returns? pp. 190-212

Y. Peter Chung, Hyun A. Hong and S. Thomas Kim

Limits to arbitrage and CDS–bond dynamics around the financial crisis pp. 213-235

George Chalamandaris and Spyros Pagratis

Daily expectations of returns index pp. 236-252

Vahid Gholampour

Volume 53, issue C, 2019

Using extracted forward rate term structure information to forecast foreign exchange rates pp. 1-14

Fearghal Kearney, Mark Cummins and Finbarr Murphy

U.S. municipal yields and unfunded state pension liabilities pp. 15-32

Zina Lekniūtė, Roel Beetsma and Eduard Ponds

Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment pp. 33-52

Maite De Sola Perea, Peter Dunne, Martin Puhl and Thomas Reininger

Stock returns and real growth: A Bayesian nonparametric approach pp. 53-69

Qiao Yang

Why female board representation matters: The role of female directors in reducing male CEO overconfidence pp. 70-90

Jie Chen, Woon Sau Leung, Wei Song and Marc Goergen

Cross-sectional return dispersion and currency momentum pp. 91-108

Jonas Nygaard Eriksen

Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices? pp. 109-125

Samarpan Nawn and Ashok Banerjee

Fat-finger event and risk-taking behavior pp. 126-143

Miao Jin, Yu-Jane Liu and Juanjuan Meng

Alpha momentum and alpha reversal in country and industry equity indexes pp. 144-161

Adam Zaremba, Mehmet Umutlu and Andreas Karathanasopoulos

A multiple regime extension to the Heston–Nandi GARCH(1,1) model pp. 162-180

Adán Díaz-Hernández and Nick Constantinou

The bank-sovereign nexus: Evidence from a non-bailout episode pp. 181-196

Massimiliano Caporin, Gisle Natvik, Francesco Ravazzolo and Paolo Santucci de Magistris

The role of technical indicators in exchange rate forecasting pp. 197-221

Ekaterini Panopoulou and Ioannis Souropanis

Exponential smoothing of realized portfolio weights pp. 222-237

Vasyl Golosnoy, Bastian Gribisch and Miriam Isabel Seifert

How do disposition effect and anchoring bias interact to impact momentum in stock returns? pp. 238-256

Jungshik Hur and Vivek Singh

Debt specialization and performance of European firms pp. 257-271

Caterina Giannetti

Bond and option prices with permanent shocks pp. 272-290

Haitham A. Al-Zoubi

Overconfidence, position size, and the link to performance pp. 291-309

John Forman and Joanne Horton

Horizontal industry relationships and return predictability pp. 310-330

Christian Schlag and Kailin Zeng

Volume 52, issue C, 2019

Jump risk premia across major international equity markets pp. 1-21

Mohamed Arouri, M’saddek, Oussama and Kuntara Pukthuanthong

Fundamental strength and short-term return reversal pp. 22-39

Zhaobo Zhu, Licheng Sun and Min Chen

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks pp. 40-55

Feng Ma, Yin Liao, Yaojie Zhang and Yang Cao

Behavioral biases of informed traders: Evidence from insider trading on the 52-week high pp. 56-75

Eunju Lee and Natalia Piqueira

Decomposing mutual fund alpha into security selection and security weighting pp. 76-91

Jeffrey R. Stark

Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings pp. 92-111

Juha Joenväärä and Bernd Scherer

Dividend growth and return predictability: A long-run re-examination of conventional wisdom pp. 112-127

Gertjan Verdickt, Jan Annaert and Marc Deloof

The Fisher puzzle, real rate anomaly, and Wicksell effect pp. 128-148

Ali Anari and James Kolari

Order price clustering, size clustering, and stock price movements: Evidence from the Taiwan Stock Exchange pp. 149-177

Donald Lien, Pi-Hsia Hung and I-Chun Hung

Risk changes and external financing activities: Tests of the dynamic trade-off theory of capital structure pp. 178-200

Martin Dierker, Inmoo Lee and Sung Won Seo

On the robustness of the principal volatility components pp. 201-219

Carlos Trucíos, Luiz Hotta and Pedro Valls Pereira

Expected and realized returns in conditional asset pricing models: A new testing approach pp. 220-236

Jan Antell and Mika Vaihekoski

The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market pp. 237-254

Ming Gu, George J. Jiang and Bu Xu

Are capital requirements on small business loans flawed? pp. 255-274

Dennis Bams, Magdalena Pisa and Christian Wolff