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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
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Volume 18, issue 5, 2011

The characteristics of informed trading: Implications for asset pricing pp. 782-801 Downloads
Hadiye Aslan, David Easley, Soeren Hvidkjaer and Maureen O'Hara
Small-cap equity mutual fund managers as liquidity providers pp. 802-814 Downloads
Hany A. Shawky and Jianbo Tian
The risk appetite of private equity sponsors pp. 815-832 Downloads
Reiner Braun, Nico Engel, Peter Hieber and Rudi Zagst
The role of time-varying jump risk premia in pricing stock index options pp. 833-846 Downloads
Jaeho Yun
Firm level return–volatility analysis using dynamic panels pp. 847-867 Downloads
L. Vanessa Smith and Takashi Yamagata
Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data pp. 868-879 Downloads
Jae Kim, Abul Shamsuddin and Kian-Ping Lim
American option pricing with discrete and continuous time models: An empirical comparison pp. 880-902 Downloads
Lars Stentoft
Understanding liquidity and credit risks in the financial crisis pp. 903-914 Downloads
Deborah Gefang, Gary Koop and Simon Potter
Words that shake traders pp. 915-934 Downloads
Carlo Rosa
The fed and the term structure: Addressing simultaneity within a structural VAR model pp. 935-952 Downloads
Mira Farka and Amadeu DaSilva
Nonparametric rank tests for event studies pp. 953-971 Downloads
James W. Kolari and Seppo Pynnonen
Testing conditional factor models: A nonparametric approach pp. 972-992 Downloads
Yan Li and Liyan Yang

Volume 18, issue 4, 2011

The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds pp. 547-569 Downloads
William Fung and David A. Hsieh
Stock market trading activity and returns around milestones pp. 570-584 Downloads
George O. Aragon and Stephan Dieckmann
Working for the enemy? The impact of investment banker job changes on deal flow pp. 585-596 Downloads
Daniel Bradley, Hyung-Suk Choi and Jonathan Clarke
The persistent effects of a false news shock pp. 597-615 Downloads
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Are investment and financing anomalies two sides of the same coin? pp. 616-633 Downloads
Michael Sullivan and Zhang, Andrew (Jianzhong)
Is unlevered firm volatility asymmetric? pp. 634-651 Downloads
Hazem Daouk and David Ng
A note on the returns from minimum variance investing pp. 652-660 Downloads
Bernd Scherer
Testing weak form efficiency on the Toronto Stock Exchange pp. 661-691 Downloads
Vitali Alexeev and Francis Tapon
Modelling and forecasting short-term interest rate volatility: A semiparametric approach pp. 692-710 Downloads
Ai Jun Hou and Sandy Suardi
The economic value of range-based covariance between stock and bond returns with dynamic copulas pp. 711-727 Downloads
Chih-Chiang Wu and Shin-Shun Liang
Checking for asymmetric default dependence in a credit card portfolio: A copula approach pp. 728-742 Downloads
Jonathan Crook and Fernando Moreira
In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008 pp. 743-764 Downloads
Lili Cai and Norman Swanson
Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions pp. 765-778 Downloads
Dongming Zhu and John Galbraith

Volume 18, issue 3, 2011

Fixed-income fund performance: Role of luck and ability in tail membership pp. 379-392 Downloads
Mohamed A. Ayadi and Lawrence Kryzanowski
How arbitrage-free is the Nelson-Siegel model? pp. 393-407 Downloads
Laura Coroneo, Ken Nyholm and Vidova-Koleva, Rositsa
Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets pp. 408-422 Downloads
Ryan Garvey and Fei Wu
Markets change every day: Evidence from the memory of trade direction pp. 423-446 Downloads
Christos Axioglou and Spyros Skouras
The Monday effect revisited: An alternative testing approach pp. 447-460 Downloads
Raimund Alt, Ines Fortin and Simon Weinberger
The cross-section of dynamics in idiosyncratic risk pp. 461-473 Downloads
Nadia Vozlyublennaia
Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand pp. 474-487 Downloads
Nuttawat Visaltanachoti, Charlie Charoenwong and David Ding
Stock market momentum, business conditions, and GARCH option pricing models pp. 488-505 Downloads
Min-Hsien Chiang and Hsin-Yi Huang
Residual momentum pp. 506-521 Downloads
David Blitz, Joop Huij and Martin Martens
Modeling structural changes in the volatility process pp. 522-532 Downloads
Bart Frijns, Thorsten Lehnert and Remco Zwinkels
Maximum likelihood estimation of non-affine volatility processes pp. 533-545 Downloads
Kyriakos Chourdakis and George Dotsis

Volume 18, issue 2, 2011

Risk and return in convertible arbitrage: Evidence from the convertible bond market pp. 175-194 Downloads
Vikas Agarwal, William H. Fung, Yee Cheng Loon and Narayan Y. Naik
Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline? pp. 195-210 Downloads
Manja Völz and Michael Wedow
The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield pp. 211-224 Downloads
Peng Liu and Ke Tang
Lack of consumer confidence and stock returns pp. 225-236 Downloads
Shiu-Sheng Chen
Measuring the effects of geographical distance on stock market correlation pp. 237-247 Downloads
Stefanie Eckel, Gunter Löffler, Alina Maurer and Volker Schmidt
Size, book-to-market ratio and macroeconomic news pp. 248-270 Downloads
Tolga Cenesizoglu
The index premium and its hidden cost for index funds pp. 271-288 Downloads
Antti Petajisto
The critical role of conditioning information in determining if value is really riskier than growth pp. 289-305 Downloads
Michael J. Cooper and Stefano Gubellini
The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis pp. 306-320 Downloads
Gernot Müller, Robert B. Durand and Ross A. Maller
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions pp. 321-340 Downloads
Groß-Klußmann, Axel and Nikolaus Hautsch
"KLICing" there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance pp. 341-352 Downloads
M. Ryan Haley and M Kevin McGee
Robust estimation of intraweek periodicity in volatility and jump detection pp. 353-367 Downloads
Kris Boudt, Christophe Croux and Sébastien Laurent
Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model pp. 368-378 Downloads
Rehim KIlIç

Volume 18, issue 1, 2011

Obituary pp. 1-1 Downloads
Franz Palm
Fund size, limited attention and valuation of venture capital backed firms pp. 2-15 Downloads
Douglas Cumming and Na Dai
Does political economy reduce agency costs? Some evidence from dividend policies around the world pp. 16-35 Downloads
HiuLam Choy, Ferdinand Gul and Jun Yao
Corporate governance and firm value: International evidence pp. 36-55 Downloads
Manuel Ammann, David Oesch and Markus Schmid
Are investors moonstruck? Further international evidence on lunar phases and stock returns pp. 56-63 Downloads
Stephen Keef and Mohammed Khaled
Country versus sector factors in equity returns: The roles of non-unit exposures pp. 64-77 Downloads
Lieven De Moor and Piet Sercu
Regulatory underpricing: Determinants of Chinese extreme IPO returns pp. 78-90 Downloads
Lihui Tian
Transaction duration and asymmetric price impact of trades--Evidence from Australia pp. 91-102 Downloads
Joey Wenling Yang
Do bond rating changes affect the information asymmetry of stock trading? pp. 103-116 Downloads
Yan He, Junbo Wang and K.C. John Wei
The success of bank mergers revisited. An assessment based on a matching strategy pp. 117-135 Downloads
Andreas Behr and Frank Heid
Evaluating alternative methods for testing asset pricing models with historical data pp. 136-146 Downloads
Martin Lozano and Gonzalo Rubio
Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study pp. 147-159 Downloads
Christian Conrad, Menelaos Karanasos and Ning Zeng
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns pp. 160-173 Downloads
Wan-Hsiu Cheng and Jui-Cheng Hung
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