The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

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Volume 28, issue 18, 2022

Home bias and the need to build a bond market track record pp. 1803-1818

Arthur Krebbers, Andrew Marshall, Patrick McColgan and Biwesh Neupane

Varieties of funds and performance: the case of private equity pp. 1819-1866

Radu-Dragomir Manac, Jens Martin and Geoffrey Wood

New insights on the asset growth anomaly: evidence from Europe* pp. 1867-1891

Panagiotis G. Artikis, Lydia Diamantopoulou and Georgios A. Papanastasopoulos

Hedge fund return predictability in the presence of model risk* pp. 1892-1916

Christos Argyropoulos, Ekaterini Panopoulou, Nikolaos Voukelatos and Teng Zheng

Capturing the ‘true’ information content of supervisory announcements in Europe pp. 1917-1939

Laivi Laidroo

Volume 28, issue 17, 2022

The quantity theory of stock prices pp. 1685-1707

Xiaojing Song, Thu Phuong Truong, Mark Tippett and John van der Burg

Commitment, agency costs and dynamic capital structure pp. 1708-1727

Yuan Li, Jinqiang Yang and Siqi Zhao

Long term equity risk premiums in the UK and US: A cautionary tale of weak mean reversion pp. 1728-1744

Allan Hodgson and John Okunev

Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending pp. 1745-1769

Zhongfei Chen, Ming Jin, Athanasios Andrikopoulos and Youwei Li

Corporate disclosure, compliance and consequences: evidence from Russia pp. 1770-1802

Suman Banerjee, Saul Estrin and Sarmistha Pal

Volume 28, issue 16, 2022

Country uncertainty, power distance, and payment methods in acquisitions pp. 1541-1570

Man Dang, Viet Anh Hoang, Edward Jones, Darren Henry, Phuong Uyen Le and Premkanth Puwanenthiren

Performance persistence and optimal asset allocation strategies pp. 1571-1598

Prajakta Desai and Massimo Guidolin

A view to a deal: the effect of upcoming investment banking transactions on financial analysts’ target price estimates pp. 1599-1620

Benno Kammann and Jörg Prokop

Large-caps liquidity provision, market liquidity and high-frequency market makers’ trading behaviour pp. 1621-1641

Mingfa Ding, Sandy Suardi, Caihong Xu and Dong Zhang

Downside risk optimization with random targets and portfolio amplitude pp. 1642-1663

Zinoviy Landsman, Udi Makov, Jing Yao and Ming Zhou

Testing the accruals anomaly based on the speed of price adjustment pp. 1664-1684

Siu Kai Choy, Gerald J. Lobo and Yongxian Tan

Volume 28, issue 13-15, 2022

New measures for a new normal in finance and risk management pp. 1257-1262

Giampaolo Gabbi and Giulia Iori

Heterogeneous speculators and stock market dynamics: a simple agent-based computational model pp. 1263-1282

Noemi Schmitt, Ivonne Schwartz and Frank Westerhoff

Noise trading and market stability pp. 1283-1301

Xing Gao and Daniel Ladley

Ripples on financial networks pp. 1302-1323

Sudarshan Kumar, Avijit Bansal and Anindya S. Chakrabarti

Multivariate GARCH with dynamic beta pp. 1324-1343

Matthias Raddant and F. Wagner

Reactive global minimum variance portfolios with k-BAHC covariance cleaning pp. 1344-1360

Christian Bongiorno and Damien Challet

On the statistics of scaling exponents and the multiscaling value at risk pp. 1361-1382

Giuseppe Brandi and T. Di Matteo

Banking regulation, procyclicality, and asset correlations in the real economic environment pp. 1383-1398

Pietro Vozzella and Giampaolo Gabbi

Macroprudential capital buffers in heterogeneous banking networks: insights from an ABM with liquidity crises pp. 1399-1445

Andrea Gurgone and Giulia Iori

Breaking bad: supply chain disruptions in a streamlined agent-based model pp. 1446-1473

Domenico Delli Gatti and Elisa Grugni

Do markets encourage risk-seeking behaviour? pp. 1474-1480

Friederike Mengel and Ronald Peeters

Interest rate structured products: can they improve the risk–return profile? pp. 1481-1512

Gianluca Fusai, Giovanni Longo and Giovanna Zanotti

Single vs. multiple disclosures in an experimental asset market with information acquisition pp. 1513-1539

Alba Ruiz-Buforn, Simone Alfarano, Eva Camacho-Cuena and Andrea Morone

Volume 28, issue 12, 2022

Do ESG strategies enhance bank stability during financial turmoil? Evidence from Europe pp. 1173-1211

Laura Chiaramonte, Alberto Dreassi, Claudia Girardone and Stefano Piserà

Do SMEs benefit from the corporate sector purchase program? evidence from the eurozone pp. 1212-1236

Alex Sclip

The disposition effect among mutual fund participants: a re-examination pp. 1237-1256

Paulo Pereira da Silva, Victor Mendes and Margarida Abreu

Volume 28, issue 11, 2022

Measuring the systemic risk in indirect financial networks pp. 1053-1098

Jie Cao, Fenghua Wen and H. Eugene Stanley

Credit composition and housing price dynamics: a disaggregation approach pp. 1099-1129

Kun Duan, Mamata Parhi and Simon Wolfe

State-dependent asset allocation using neural networks pp. 1130-1156

Reza Bradrania and Davood Pirayesh Neghab

Multiple owners and productivity: evidence from family firms pp. 1157-1171

Bonnie G. Buchanan, Eva Liljeblom, Minna Martikainen and Jussi Nikkinnen

Volume 28, issue 10, 2022

Bank funding costs and solvency pp. 931-963

Guillaume Arnould, Giuseppe Avignone, Cosimo Pancaro and Dawid Żochowski

The effects of macroprudential policies on credit growth pp. 964-996

Alin Marius Andrieş, Florentina Melnic and Nicu Sprincean

Exchange rate forecasting using economic models and technical trading rules pp. 997-1018

Nima Zarrabi, Stuart Snaith and Jerry Coakley

Analysing emerging market returns with high-frequency data during the global financial crisis of 2007–2009 pp. 1019-1051

Abdullah Yalaman and Viktor Manahov

Volume 28, issue 9, 2022

Liquidity-adjusted value-at-risk: a comprehensive extension with microstructural liquidity components pp. 871-888

Doojin Ryu, Robert I. Webb and Jinyoung Yu

Historical geopolitical risk and the behaviour of stock returns in advanced economies pp. 889-906

Afees Salisu, Lukman Lasisi and Jean Paul Tchankam

Polynomial adjusted Student-t densities for modeling asset returns pp. 907-929

Ángel León and Trino Ñíguez Grau

Volume 28, issue 8, 2022

Leverage and capital utilization pp. 801-824

Diogo Duarte, Hamilton Galindo and Alexis Montecinos

International financial integration in the presence of an international duopoly pp. 825-847

Panagiotis Karavitis and Michael Michael

Things often get worse before they get better: using contest theory to explain the effect of informational risk around inclusion in S&P 500 on cost of capital pp. 848-869

Malika Chaudhuri, Ranadeb Chaudhuri, Jay Janney and Mohinder Parkash

Volume 28, issue 7, 2022

Hawkes processes in finance: market structure and impact pp. 621-626

Jing Chen, Nick Taylor, Steve Yang and Qian Han

Hawkes jump-diffusions and finance: a brief history and review pp. 627-641

Alan G. Hawkes

Hawkes model specification for limit order books pp. 642-662

Matthias Kirchner and Silvan Vetter

Non-parametric estimation of quadratic Hawkes processes for order book events pp. 663-678

Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen

Hawkes processes with hidden marks pp. 679-704

Yuzhi Cai

Shunned stocks and market states pp. 705-717

Xing Han, Youwei Li and Olena Onishchenko

The dynamics of price jumps in the stock market: an empirical study on Europe and U.S pp. 718-742

Fabrizio Ferriani and Patrick Zoi

Shock waves and golden shores: the asymmetric interaction between gold prices and the stock market pp. 743-760

Alice Buccioli and Thomas Kokholm

Energy ETF return jump contagion: a multivariate Hawkes process approach pp. 761-783

Steve Y. Yang, Yunfeng Liu, Yangyang Yu and Sheung Yin Kevin Mo

Quantifying endogeneity of cryptocurrency markets pp. 784-799

Michael Mark, Jan Sila and Thomas Weber

Volume 28, issue 6, 2022

Risk management and the cost of equity: evidence from the United Kingdom’s non-life insurance market pp. 551-570

Vineet Upreti, Mike Adams and Yihui Jia

Good volatility, bad volatility, and time series return predictability pp. 571-595

Honghai Yu, Xianfeng Hao and Yudong Wang

The impact of efficiency on asset quality in banking pp. 596-620

Oleg Badunenko, Aristeidis Dadoukis, Giulia Fusi and Richard Simper

Volume 28, issue 4-5, 2022

Recent advances and future directions in macro-finance: macroeconomic conditions and corporate decisions pp. 307-313

Yizhe Dong, Wenxuan Hou, Binxuan Lin and Ting Zhang

Financial reporting and macroeconomics pp. 314-325

Marco Trombetta

Short-sale deregulation and corporate tax aggressiveness: evidence from the Chinese market pp. 326-355

Yue Cao, Yizhe Dong, Tianxiao Guo and Diandian Ma

Financial structures, political risk and economic growth pp. 356-376

Pei Liu, Yuchao Peng, Yukun Shi and Junhong Yang

Do managers learn from stock prices in emerging markets? Evidence from China pp. 377-396

Sicen Chen, Shuping Lin, Jinli Xiao and Pengdong Zhang

Industrial policy and non-financial corporations’ financialization: evidence from China pp. 397-415

Wei Cao, Chunhua Chen, Dequan Jiang, Weiping Li and Ying Zhang

Tournament incentives, internal promotion and corporate social responsibility: evidence from China pp. 416-436

Linyi Zhang, Honghui Zhang and Haiyan Jiang

Regional GDP Distortion and Analyst Forecast Accuracy: Evidence from China pp. 437-460

Zhiyang Lin, Danglun Luo and Feida (Frank) Zhang

CEOs’ supply chain experience and firm innovation: evidence from China pp. 461-486

Di Gao, Jihui Guo, Yu Shen and Xian Xu

Is a promise a promise? Analyzing performance commitment in acquisitions and target firm performance pp. 487-513

Qizhi Tao, Ming Liu, Shiman Hu and Yun Zhang

Firm social networks, trust, and security issuances pp. 514-549

Ming Fang, Iftekhar Hasan, Zenu Sharma and An Yan

Volume 28, issue 3, 2022

The influence of a mortgage interest deduction on house prices: evidence across tax systems in Europe pp. 245-260

Wouter Vangeel, Laurens Defau and Lieven De Moor

On the ranking consistency of systemic risk measures: empirical evidence* pp. 261-290

Michael Abendschein and Peter Grundke

Private hedge fund firms' incentives and performance: Evidence from audited filings pp. 291-306

Mark C. Hutchinson, Quang Minh Nhi Nguyen and Mark Mulcahy

Volume 28, issue 2, 2022

Customer risk and the choice between cash and bank credit lines pp. 159-194

Thomas David

Distributed Ledger technology systems in securities post-trading services. Evidence from European global systemic banks pp. 195-218

Marco Cucculelli and Martino Recanatini

The role of hedge funds in the asset pricing: evidence from China pp. 219-243

Jing Zhang, Wei Zhang, Youwei Li and Xu Feng

Volume 28, issue 1, 2022

Financial inclusion and financial technology: finance for everyone? pp. 1-2

Lihui Tian and Gerhard Kling

Financial inclusion, at what cost?: Quantification of economic viability of a supply side roll out pp. 3-29

Sheri Markose, Thankom Arun and Peterson Ozili

Behavioural aspects of China's P2P lending pp. 30-45

Shuai Shao and Hong Bo

What does not kill us makes us stronger: the story of repetitive consumer loan applications pp. 46-65

Mustafa Caglayan, Oleksandr Talavera, Lin Xiong and Jing Zhang

Predictability of bitcoin returns pp. 66-85

Jeremy Eng-Tuck Cheah, Di Luo, Zhuang Zhang and Ming-Chien Sung

Fintech, financial inclusion and income inequality: a quantile regression approach pp. 86-107

Ayse Demir, Vanesa Pesqué-Cela, Yener Altunbas and Victor Murinde

The diffusion of fintech, financial inclusion and income per capita pp. 108-136

Désiré Kanga, Christine Oughton, Laurence Harris and Victor Murinde

A theory of financial inclusion and income inequality pp. 137-157

Gerhard Kling, Vanesa Pesqué-Cela, Lihui Tian and Deming Luo