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 47, issue C, 2018

A robust and powerful test of abnormal stock returns in long-horizon event studies pp. 1-24

Anupam Dutta, Johan Knif, James W. Kolari and Seppo Pynnonen

Prospect theory and corporate bond returns: An empirical study pp. 25-48

Xiaoling Zhong and Junbo Wang

Cash savings and capital markets pp. 49-64

R. David McLean and Mengxin Zhao

On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects pp. 65-77

Oliver Blümke

Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia pp. 78-89

Abdullah Almansour and Steven Ongena

Oil and the short-term predictability of stock return volatility pp. 90-104

Yudong Wang, Yu Wei, Chongfeng Wu and Libo Yin

Risk-based loan pricing consequences for credit unions pp. 105-119

Adam G. Walke, Thomas Fullerton and Robert J. Tokle

Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule pp. 120-138

Jying-Nan Wang, Jiangze Du and Yuan-Teng Hsu

Investor types and stock return volatility pp. 139-161

Limei Che

Crash risk and risk neutral densities pp. 162-189

Ren-Raw Chen, Pei-lin Hsieh and Jeffrey Huang

Portfolio construction and crowding pp. 190-206

Salvatore Bruno, Ludwig B. Chincarini and Frank Ohara

The decomposition of jump risks in individual stock returns pp. 207-228

Xiao Xiao and Chen Zhou

The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle” pp. 229-245

Jared Egginton and Jungshik Hur

A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses pp. 246-262

Steffen Krüger, Toni Oehme, Daniel Rösch and Harald Scheule

Volume 46, issue C, 2018

Investment and profitability versus value and momentum: The price of residual risk pp. 1-10

Yuming Li

On the (Ab)use of Omega? pp. 11-33

Massimiliano Caporin, Michele Costola, Gregory Jannin and Bertrand Maillet

Behavioral biases in the corporate bond market pp. 34-55

Jason Wei

The disciplinary effects of short sales on controlling shareholders pp. 56-76

Shenglan Chen, Bingxuan Lin, Rui Lu and Hui Ma

Market integration and financial linkages among stock markets in Pacific Basin countries pp. 77-92

Julien Chevallier, Duc Khuong Nguyen, Jonathan Siverskog and Gazi Uddin

Opting out of good governance pp. 93-110

C. Fritz Foley, Paul Goldsmith-Pinkham, Jonathan Greenstein and Eric Zwick

Forecasting global stock market implied volatility indices pp. 111-129

Stavros Degiannakis, George Filis and Hossein Hassani

Market timing over the business cycle pp. 130-145

Magnus Sander

Default prediction models: The role of forward-looking measures of returns and volatility pp. 146-162

Hong Miao, Sanjay Ramchander, Patricia Ryan and Tianyang Wang

Empirical analysis of the international public covered bond market pp. 163-181

Marc Gürtler and Philipp Neelmeier

The “Cubic Law of the Stock Returns” in emerging markets pp. 182-190

Zhiye Gu and Rustam Ibragimov

The number of bank relationships and borrowing costs: The role of information asymmetries pp. 191-209

Diana Bonfim, Qinglei Dai and Francesco Franco

Volume 45, issue C, 2018

Friendly boards and innovation pp. 1-25

Jun-Koo Kang, Wei-Lin Liu, Angie Low and Le Zhang

Macroeconomic determinants of stock market betas pp. 26-44

Mariano Gonzalez Sanchez, Juan Nave and Gonzalo Rubio

Industry specific defaults pp. 45-58

Tae Yeon Kwon and Yoonjung Lee

Asymmetric attention and volatility asymmetry pp. 59-67

Michał Dzieliński, Marc Oliver Rieger and Tõnn Talpsepp

Volatility in equity markets and monetary policy rate uncertainty pp. 68-83

Iryna Kaminska and Matt Roberts-Sklar

Information uncertainty and target valuation in mergers and acquisitions pp. 84-107

Lin Li and Wilson H.S. Tong

The valuation effects of investor attention in stock-financed acquisitions pp. 108-125

Samer Adra and Leonidas G. Barbopoulos

Equity premium predictions with many predictors: A risk-based explanation of the size and value factors pp. 126-140

Adam Stivers

Momentum of return predictability pp. 141-156

Yudong Wang, Li Liu, Feng Ma and Xundi Diao

Operations in offshore financial centers and loan syndicate structure pp. 157-180

Wenxia Ge, Jeong-Bon Kim, Tiemei Li and Yutao Li

Hindsight effect: What are the actual cash flow timing skills of mutual fund investors? pp. 181-193

Fernando Muñoz and Ruth Vicente

CEO dividend protection pp. 194-211

Dan Zhang

New evidence on asymmetric return–volume dependence and extreme movements pp. 212-227

Yi-Chiuan Wang, Jyh-Lin Wu and Yi-Hao Lai

Forecasting stock market returns by summing the frequency-decomposed parts pp. 228-242

Gonçalo Faria and Fabio Verona

A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors pp. 243-268

Anthony H. Tu and Cathy Yi-Hsuan Chen

Maximal predictability under long-term mean reversion pp. 269-282

Erik Hjalmarsson

Residual momentum in Japan pp. 283-299

Rosita P. Chang, Kuan-Cheng Ko, Shinji Nakano and S. Ghon Rhee

Global macro risks in currency excess returns pp. 300-315

Kimberly Berg and Nelson Mark

Volume 44, issue C, 2017

Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors pp. 1-18

Xindan Li, Ziyang Geng, Avanidhar Subrahmanyam and Honghai Yu

Nonparametric estimates of pricing functionals pp. 19-35

Carlo Marinelli and d’Addona, Stefano

Readability of financial advisor disclosures pp. 36-42

Kyre Dane Lahtinen and Stephan Shipe

Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks pp. 43-65

Georgios Xyngis

Profitability of insider trading in Europe: A performance evaluation approach pp. 66-90

Bartosz Gebka, Adriana Korczak, Piotr Korczak and Jędrzej Traczykowski

Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds pp. 91-107

David Rakowski, Sara E. Shirley and Jeffrey R. Stark

Level, structure, and volatility of financial development and inflation targeting pp. 108-124

Huang, Ho-Chuan (River) and Chih-Chuan Yeh

Idiosyncratic returns and relative value in the US Treasury market pp. 125-144

Youngju Nielsen and Raunaq S. Pungaliya

Systemic risk with endogenous loss given default pp. 145-157

Pieter IJtsma and Laura Spierdijk

Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market pp. 158-176

Marian Risse and Ludwig Ohl

Rethinking cointegration and the expectation hypothesis of the term structure pp. 177-189

Jing Li and George Davis

A causal link between bond liquidity and stock returns pp. 190-208

Mike Anderson

Forecasting the term structure of government bond yields in unstable environments pp. 209-225

Joseph Byrne, Shuo Cao and Dimitris Korobilis

The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods pp. 237-249

Mats van Marle and Patrick Verwijmeren

Diversification benefits of commodities: A stochastic dominance efficiency approach pp. 250-269

Charoula Daskalaki, George Skiadopoulos and Nikolas Topaloglou

Does oil and gold price uncertainty matter for the stock market? pp. 270-285

Dennis Bams, Gildas Blanchard, Iman Honarvar and Thorsten Lehnert

The evolving beta-liquidity relationship of hedge funds pp. 286-303

Arjen Siegmann and Denitsa Stefanova

How some bankers made a million by trading just two securities? pp. 304-315

Kalle Rinne and Matti Suominen