Journal of Empirical Finance
1993 - 2024
Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff From Elsevier
Bibliographic data for series maintained by Catherine Liu (). Access Statistics for this journal.
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Volume 79, issue C, 2024
- Persistent and transient variance components in option pricing models with variance-dependent Kernel
- Hamed Ghanbari
- Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data
- Erik Mekelburg and Jack Strauss
- Using the Bayesian sampling method to estimate corporate loss given default distribution
- Xiaofei Zhang and Xinlei Zhao
- Stock price synchronicity and stock liquidity: International evidence
- Paul Brockman, Tung Lam Dang and Thu Phuong Pham
- A comparison of factor models in China
- Jinzhe Wang and Yifeng Zhu
- Banker directors on board and corporate tax avoidance
- Qian Song, Wenjie Ding, Iftekhar Hasan and Qingwei Wang
- Gold, platinum, and mutual fund flows
- Ali K. Malik, Gonul Colak and Anders Löflund
- How does bank opacity affect credit growth and return predictability?
- Arpit Kumar Parija and Malvika Chhatwani
- Local labor market and corporate investment
- Yao Ge, Wei Huang, Zheng Qiao and Hao Zheng
- Financial statement disaggregation and bank loan pricing
- Chien-Lin Lu, Chih-Yung Lin, Tse-Chun Lin and Bin Miao
- Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio
- Chen Chen, Chris Stivers and Licheng Sun
- Are stablecoins the money market mutual funds of the future?
- Nico Oefele, Dirk G. Baur and Lee A. Smales
- Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?
- Marie Dutordoir, Joshua Shemesh, Chris Veld and Qing Wang
- High-frequency realized stochastic volatility model
- Toshiaki Watanabe and Jouchi Nakajima
- Technological shocks and stock market volatility over a century
- Afees Salisu, Riza Demirer and Rangan Gupta
- Is firm-level political risk priced in the corporate bond market?
- Luis Ceballos, Vanja Piljak and Laurens Swinkels
- Time-varying variance decomposition of macro-finance term structure models
- Anne Lundgaard Hansen
- Trading volume shares and market quality: Pre- and post- zero commissions
- Pankaj K. Jain, Suchismita Mishra, Shawn M. O'Donoghue and Le Zhao
- Jump tail risk exposure and the cross-section of stock returns
- Lykourgos Alexiou and Leonidas S. Rompolis
Volume 78, issue C, 2024
- Assessing proxies for market prices of thinly traded assets with scheduled cash flows
- Walter I. Boudry, Crocker H. Liu, Tobias Mühlhofer and Walter N. Torous
- Certainty of uncertainty for asset pricing
- Fuwei Jiang, Jie Kang and Lingchao Meng
- The battle between activist hedge funds and labor unions
- Xu Niu
- Policy uncertainty, bad news disclosure, and stock price crash risk
- Jeong-Bon Kim, Kevin Tseng, Wang, Jundong (Jeff) and Yaoyi Xi
- Firm-level political risk and corporate R&D investment
- Emmanuel Boah and Nacasius U. Ujah
- Shadow capital in venture financing: Selection, valuation, and exit dynamic
- Douglas Cumming and Na Dai
- Effects of customer unionization on supplier relationships and supplier value
- Hyemin Kim
- Why do firms with no leverage still have leverage and volatility feedback effects?
- Geoffrey Peter Smith
- Non-standard errors in asset pricing: Mind your sorts
- Amar Soebhag, Bart Van Vliet and Patrick Verwijmeren
- The risk–return tradeoff among equity factors
- Pedro Barroso and Paulo Maio
- Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
- Katja Ignatieva and Patrick Wong
- Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?
- Efe Cotelioglu
- Betting on success: Unveiling the role of local gambling culture in equity crowdfunding
- Hui-Ching Hsieh, Dat Thanh Nguyen and Thien Le-Hoang Nguyen
- The correlated trading and investment performance of individual investors
- Wei-Yu Kuo, Tse-Chun Lin and Jing Zhao
- Does carbon risk exposure make funds more vulnerable?
- Hu Wang
- Forecasting realized volatility: Does anything beat linear models?
- Rafael R. Branco, Alexandre Rubesam and Mauricio Zevallos
- A portfolio-level, sum-of-the-parts approach to return predictability
- Hongyi Xu, Dean Katselas and Jo Drienko
- The value of information in China’s connected market
- Keqi Chen, Yuehan Wang and Xiaoquan Zhu
- In the mood for creativity: Sunshine-induced mood, inventor performance, and firm value
- Yangyang Chen, Po-Hsuan Hsu, Edward J. Podolski and Madhu Veeraraghavan
- The aftermath of covenant violations: Evidence from China's corporate debt securities
- Guang Xu and Xiaoyan Zhang
- Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain
- Simon Trimborn, Hanqiu Peng and Ying Chen
- Inverted vs maker-taker routing choice and trader information
- Ryan Garvey and Yaohua Qin
- The 2008 short-selling ban’s impact on tail risk
- Jonas Bartl, Denefa Bostandzic, Felix Irresberger, Gregor Weiß and Ruomei Yang
- Big portfolio selection by graph-based conditional moments method
- Zhoufan Zhu, Ningning Zhang and Ke Zhu
- Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China
- Yueqian Peng, Li Shi, Xiaojun Shi and Songtao Tan
- Time-varying relative risk aversion: Theoretical mechanism and empirical evidence
- Xuan Liu, Haiyong Liu and Zongwu Cai
- Estimation and inference in low frequency factor model regressions with overlapping observations
- Asad Dossani
- Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA
- Yufeng Han, Lu, Yueliang (Jacques), Weike Xu and Guofu Zhou
Volume 77, issue C, 2024
- CEO narcissism and the agency cost of debt
- J.H. John Kim and Ronald Anderson
- Reserve holding and bank lending
- Chun Kuang, Jiawen Yang and Wenyu Zhu
- Local predictability of stock returns and cash flows
- Deshui Yu and Li Chen
- Option valuation via nonaffine dynamics with realized volatility
- Yuanyuan Zhang, Qian Zhang, Zerong Wang and Qi Wang
- Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns
- Xiaojun Zhao, Na Zhang, Yali Zhang, Chao Xu and Pengjian Shang
- An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
- Claudio Candia and Rodrigo Herrera
- Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns
- Simon Hediger and Jeffrey Näf
- Instantaneous volatility of the yield curve, variance risk premium and bond return predictability
- Ximing Yin and Ge Yang
- Options trading imbalance, cash-flow news, and discount-rate news
- Doina Chichernea, Kershen Huang, Alex Petkevich and Pavel Teterin
- The role of intermediaries in derivatives markets: Evidence from VIX options
- Kris Jacobs and Anh Thu Mai
- The ripple effect of all-star females: Knowledge spillover and improved analyst performance
- Sima Jannati
- Aggregate portfolio choice
- Joachim Inkmann
- Information acquisition and processing skills of institutions and retail investors around information shocks
- Scott Fung, Khaled Obaid and Shih-Chuan Tsai
- Modern banking development during natural disasters: Evidence from the early 20th century China
- Yang Cai and Dongxu Li
- Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach
- Chuanping Sun
- Do share repurchases facilitate movement toward target capital structure? International evidence
- Zigan Wang, Qie Ellie Yin and Luping Yu
- Global and local information efficiency: An examination of samuelson's dictum
- Yaqing Xiao, Hongjun Yan and Jinfan Zhang
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