The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

From Taylor & Francis Journals
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Volume 25, issue 18, 2019

Three regime bivariate normal distribution: a new estimation method for co-value-at-risk, CoVaR pp. 1817-1833

Ji-Eun Choi and Dong Wan Shin

Optimal mortgage contracts with time-inconsistent preferences pp. 1834-1855

Wenqiong Liu, Wenli Huang, Bo Liu and Congming Mu

Crowdfunding tax incentives in Europe: a comparative analysis pp. 1856-1882

Antonella Francesca Cicchiello, Francesca Battaglia and Stefano Monferrà

Executive compensation in less regulated markets: the impact of debt monitoring pp. 1883-1918

Andrew Marshall, Helena Pinto and Leilei Tang

The double entry structural constraint on the econometric estimation of accounting variables pp. 1919-1935

Demetris Christodoulou and Stuart McLeay

Volume 25, issue 17, 2019

Financial data science: the birth of a new financial research paradigm complementing econometrics? pp. 1627-1636

Chris Brooks, Andreas G. F. Hoepner, David McMillan, Andrew Vivian and Chardin Wese Simen

Corporate social responsibility reports: topic analysis and big data approach pp. 1637-1654

Irina Goloshchapova, Ser-Huang Poon, Matthew Pritchard and Phil Reed

Do VC-backed IPOs manage tone? pp. 1655-1682

Tiffany Thng

Can alert models for fraud protect the elderly clients of a financial institution? pp. 1683-1707

Gaurav Kumar, Cal B. Muckley, Linh Pham and Darragh Ryan

Cash holdings of listed and unlisted firms: new evidence from the euro area pp. 1708-1729

Panagiotis Asimakopoulos, Stylianos Asimakopoulos and Filipa Da Silva Fernandes

Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics pp. 1730-1745

Richard H. G. Jackson

Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications pp. 1746-1764

Esther B. Del Brio, Andrés Mora-Valencia and Javier Perote

Spillovers in risk of financial institutions pp. 1765-1792

John Cotter and Anita Suurlaht

Performance of technical trading rules: evidence from the crude oil market pp. 1793-1815

Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis

Volume 25, issue 16, 2019

Corporate investment and earnings surprises pp. 1485-1509

Garen Markarian and Sebastien Michenaud

A development bank’s choice of private equity partner: a behavioural game-theoretic approach pp. 1510-1526

Richard Fairchild, Ian Crawford and Adil El-Fakir

Implications of bank regulation for loan supply and bank stability: a dynamic perspective pp. 1527-1550

Monika Bucher, Diemo Dietrich and Achim Hauck

Linear beta pricing with inefficient benchmarks in a given factor structure pp. 1551-1571

George Diacogiannis and Christos Ioannidis

The effect of the interest coverage covenants on classification shifting of revenues pp. 1572-1590

Kamran Malikov, Jerry Coakley and Stuart Manson

The industry effect and the decision to integrate vertically in a crisis context pp. 1591-1605

Alfredo Grau and Araceli Reig

Financial literacy and voluntary savings for retirement: novel causal evidence pp. 1606-1625

Andrej Cupak, Gueorgui I. Kolev and Zuzana Brokesova

Volume 25, issue 15, 2019

Individual investors’ information use, subjective expectations, and portfolio risk and return pp. 1351-1376

Oscar Stålnacke

The propagation of liquidity imbalances in manufacturing supply chains: evidence from a spatial auto-regressive approach pp. 1377-1401

Marco Lamieri and Ilaria Sangalli

Further insights on the relationship between SP500, VIX and volume: a new asymmetric causality test pp. 1402-1419

Catherine Kyrtsou, Dimitris Kugiumtzis and Angeliki Papana

Net equity issuance effect in the UK pp. 1420-1439

Hang Zhou, Seth Armitage and Maria Michou

The impact of possible-offer announcements on the wealth effect of target firms pp. 1440-1461

Hang Li and Dan Zhou

Pricing temperature derivatives with a filtered historical simulation approach pp. 1462-1484

Rui Zhou, Johnny Siu-Hang Li and Jeffrey Pai

Volume 25, issue 14, 2019

Anticipating critical transitions of the housing market: new evidence from China pp. 1251-1276

Qun Zhang, Didier Sornette and Hao Zhang

The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies pp. 1277-1288

Alireza Zarei, Mohamed Ariff and Muhammad Bhatti

Vertical merger, R&D collaboration and innovation pp. 1289-1308

Kaiguo Zhou, Runyu Yan and Yanchu Liu

Contagion from the crises in the Euro-zone: where, when and why? pp. 1309-1327

Eric Pentecost, Wenti Du, Graham Bird and Thomas Willett

Credit default swaps and the UK 2008–09 short sales ban pp. 1328-1349

Jerry Coakley, Boonlert Jitmaneeroj and Andrew Wood

Volume 25, issue 13, 2019

Pricing of time-varying liquidity risk in Finnish stock market: new evidence pp. 1147-1165

Sheraz Ahmed, Jani Hirvonen and Syed Mujahid Hussain

Testing market efficiency with the pricing kernel pp. 1166-1193

Giovanni Barone-Adesi and Carlo Sala

Financial crisis and market efficiency: evidence from European stock markets pp. 1194-1210

Tung Liang Liao, Li-Chueh Tsai, Mei-Chu Ke, Yi-Chein Chiang and Chuan-Hao Hsu

Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets pp. 1211-1233

Vu Tran, Rasha Alsakka and Owain ap Gwilym

How many factors are important in U.K. stock returns? pp. 1234-1249

Jonathan Fletcher

Volume 25, issue 12, 2019

Trapped in diversification – another look at the risk of fund of hedge funds pp. 1055-1076

Wei Cui, Juan Yao and Stephen Satchell

Use of active peer benchmarks in assessing UK mutual fund performance and performance persistence pp. 1077-1098

Irina B. Mateus, Cesario Mateus and Natasa Todorovic

Is conservative reporting attractive to foreign institutional investors? Evidence from an emerging market pp. 1099-1121

Yilmaz Yildiz, Mehmet Baha Karan and Aydin Ozkan

Risk factor and use of proceeds declarations and their effects on IPO subscription, price ‘fixings’, liquidity and after-market returns pp. 1122-1146

Paul B. McGuinness

Volume 25, issue 11, 2019

Market development and market efficiency: evidence based on nonlinear panel unit root tests pp. 979-993

Ceyda Aktan, Perihan Iren and Tolga Omay

The demand for eurozone stocks and bonds in a time-varying asset allocation framework pp. 994-1011

Zaghum Umar, Choudhry Tanveer Shehzad and Aristeidis Samitas

Product-market strategy and underwriting performance in the United Kingdom’s property–casualty insurance market pp. 1012-1031

Mike Adams, Vineet Upreti and Jing Chen

Size and diversity in VC syndicates and their impact on IPO performance pp. 1032-1053

Sonia Falconieri, Igor Filatotchev and Mesut Tastan

Volume 25, issue 10, 2019

Primacy in stock market participation: the effect of initial returns on market re-entry decisions pp. 883-909

Ozlem Arikan, Arie E. Gozluklu, Gi H. Kim and Hiroaki Sakaguchi

Discounting earnings with stochastic discount rates pp. 910-936

Marco Realdon

Predicting the equity market with option-implied variables pp. 937-965

Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen

Modelling gold futures: should the level of speculation inform our choice of variables? pp. 966-977

Christopher Coyle, Fabian Gogolin and Fearghal Kearney

Volume 25, issue 9, 2019

Shareholder voting in mergers and acquisitions: evidence from the UK pp. 815-834

Yerzhan Tokbolat, Steve Thompson and Hang Le

Subtle is the Lord, but malicious He is not: the calculation of abnormal stock returns in applied research pp. 835-855

Adrian Melia, Xiaojing Song and Mark Tippett

How changes in market conditions affect screening activity, credit risk, and the lending behaviour of banks pp. 856-875

Nikolaos Papanikolaou

Referees 2018 pp. 876-880

The Editors

Volume 25, issue 8, 2019

Diversification effect of standard and optimized carry trades pp. 745-761

Jurij-Andrei Reichenecker

Option pricing and hedging in different cyclical structures: a two-dimensional Markov-modulated model pp. 762-779

Son-Nan Chen, Pao-Peng Hsu and Kuo-Yuan Liang

The intertemporal risk-Return relation, investor behavior, and technical trading profits: evidence from the G-7 countries pp. 780-798

Moonsoo Kang, Joshua Krausz and Kiseok Nam

Laddering IPO shares pp. 799-813

Sturla Fjesme

Volume 25, issue 7, 2019

Financial markets, innovation and regulation pp. 595-598

Dimitris Andriosopoulos, Robert Faff and Krishna Paudyal

Market liquidity, closeout procedures and initial margin for CCPs pp. 599-631

Fernando V. Cerezetti, Emmanouil N. Karimalis, Ujwal Shreyas and Anannit Sumawong

Do institutions prevent contagion in financial markets? Evidence from the European debt crisis pp. 632-646

Kyriaki Kosmidou, Dimitrios Kousenidis, Anestis Ladas and Christos Negkakis

The investigation of the dynamic linkages between real estate market and stock market in Greece pp. 647-669

Dimitrios Gounopoulos, Kyriaki Kosmidou, Dimitrios Kousenidis and Victoria Patsika

Monitoring the foreign exchange rate benchmark fix pp. 670-688

Hossein Jahanshahloo and Charlie X. Cai

Rating-based CDS curves pp. 689-723

Olga Kolokolova, Ming-Tsung Lin and Ser-Huang Poon

Liquidity and information asymmetry considerations in corporate takeovers pp. 724-743

Samer Adra and Leonidas G. Barbopoulos

Volume 25, issue 6, 2019

Preface pp. 459-459

Chris Adcock

Chinese capital markets: challenges to the China model pp. 460-464

Doulgas Cumming, Alessandra Guariglia, Wenxuan Hou and Zhenyu Wu

Value creation and value distribution in Chinese listed firms: the role of ownership structure, board characteristics, and control pp. 465-488

Nancy Huyghebaert and Lihong Wang

Does China overinvest? Evidence from a panel of Chinese firms pp. 489-507

Sai Ding, John Knight and Xiao Zhang

Financial distress, political affiliation and earnings management: the case of politically affiliated private firms pp. 508-523

Gady Jacoby, Jialong Li and Mingzhi Liu

Monitoring corporate boards: evidence from China pp. 524-549

Hisham Farag and Chris Mallin

State-ownership and bank loan contracting: evidence from corporate fraud pp. 550-567

Lars Helge Haß, Skrålan Vergauwe and Zhifang Zhang

The real effect of liquidity provision on entrepreneurial financing: evidence from a natural experiment in China pp. 568-593

Bo Liu, Jerry Cao, Sofia Johan and Tiecheng Leng

Corrigendum pp. 594-594

The Editors

Volume 25, issue 5, 2019

The dynamic relationship among the money market mutual funds, the commercial paper market, and the repo market pp. 395-414

Majid Haghani Rizi, N Kishor and Hardik Marfatia

Stochastic portfolio theory and the low beta anomaly pp. 415-434

Anna Agapova, Robert Ferguson and Dean Leistikow

Linear programing models for portfolio optimization using a benchmark pp. 435-457

Seyoung Park, Hyunson Song and Sungchul Lee

Volume 25, issue 4, 2019

Location-specific stock market indices: an exploration pp. 305-337

Surendranath Rakesh Jory, Tapas Mishra and Thanh N. Ngo

Super-Exponential RE bubble model with efficient crashes pp. 338-368

Jerome Kreuser and Didier Sornette

Can Warren Buffett forecast equity market corrections? pp. 369-393

Sebastien Lleo and W. T. Ziemba

Volume 25, issue 3, 2019

Global systemic risk measures and their forecasting power for systemic events pp. 205-233

Peter Grundke and Michael Tuchscherer

The drivers and value of enterprise risk management: evidence from ERM ratings pp. 234-255

Alexander Bohnert, Nadine Gatzert, Robert E. Hoyt and Philipp Lechner

Corporate philanthropy in a politically uncertain environment: does it bring tangible benefits to a firm? Evidence from China pp. 256-278

Kam C. Chan and Xunan Feng

The pricing of sentiment risk in European stock markets pp. 279-302

Karl Ludwig Keiber and Helene Samyschew

Volume 25, issue 2, 2019

A hyperbolic model of optimal cash balances pp. 101-115

John van der Burg, Xiaojing Song and Mark Tippett

The investment decision with technological and market uncertainties pp. 116-138

Yunfeng Fan, Sudipto Sarkar and Chuanqian Zhang

Insider trading and future stock returns in firms with concentrated ownership levels pp. 139-154

Dimitris K. Chronopoulos, David G. McMillan, Fotios I. Papadimitriou and Manouchehr Tavakoli

Securitization and financial solvency: empirical evidence from Portugal pp. 155-166

Carmen Lopez-Andion, A Iglesias-Casal, Maria-Celia Penabad and Jose Manuel Maside-Sanfiz

Multi-tranche securitisation structures: more than just a zero-sum game? pp. 167-189

Miguel Á. Peña-Cerezo, Arturo Rodríguez-Castellanos and Francisco Ibañez

Exchange rate returns and volatility: the role of time-varying rare disaster risks pp. 190-203

Rangan Gupta, Tahir Suleman and Mark Wohar

Volume 25, issue 1, 2019

Exploring the benefits of international government bond portfolio diversification strategies pp. 1-15

Jonathan Fletcher, Krishna Paudyal and Timbul Santoso

Hedge fund seeding with fees-for-guarantee swaps pp. 16-34

Yun Feng, Binghua Huang and Hai Zhang

Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets pp. 35-53

Andrea Eross, Andrew Urquhart and Simon Wolfe

What happened to profitability? Shocks, challenges and perspectives for euro area banks pp. 54-78

Gong Cheng and Dirk Mevis

The commitment value of takeover defenses pp. 79-100

William C. Johnson, Sungwoo Nam and Sangho Yi