Journal of Empirical Finance
2009, Volume 16, Issue 4
2009, Volume 16, Issue 3
- 353-367 Correlation risk
by Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter
- 368-387 Time-varying Integration and International diversification strategies
by Baele, Lieven & Inghelbrecht, Koen
- 388-393 Herding and information based trading
by Zhou, Rhea Tingyu & Lai, Rose Neng
- 394-408 Investor sentiment and stock returns: Some international evidence
by Schmeling, Maik
- 409-429 The cross section of cashflow volatility and expected stock returns
by Huang, Alan Guoming
- 430-445 Empirical evidence on jumps in the term structure of the US Treasury Market
by Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa
- 446-456 Optimal futures hedging under jump switching dynamics
by Lee, Hsiang-Tai
- 457-465 Estimation of default probabilities using incomplete contracts data
by Santos Silva, J.M.C. & Murteira, J.M.R.
- 466-482 Sample selection and event study estimation
by Ahern, Kenneth R.
- 483-506 Improvement in finite sample properties of the Hansen-Jagannathan distance test
by Ren, Yu & Shimotsu, Katsumi
- 507-523 A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
by Lejeune, Bernard
2009, Volume 16, Issue 2
- 175-187 Dividend policy of German firms: A panel data analysis of partial adjustment models
by Andres, Christian & Betzer, André & Goergen, Marc & Renneboog, Luc
- 188-200 Forecasting financial crises and contagion in Asia using dynamic factor analysis
by Cipollini, A. & Kapetanios, G.
- 201-215 Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
by Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J.
- 216-234 The credit rating process and estimation of transition probabilities: A Bayesian approach
by Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart
- 235-253 Modelling the distribution of credit losses with observable and latent factors
by Jiménez, Gabriel & Mencía, Javier
- 254-263 Modelling the distribution of the extreme share returns in Singapore
by Tolikas, Konstantinos & Gettinby, Gareth D.
- 264-279 Quantile regression analysis of hedge fund strategies
by Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D.
- 280-305 Model averaging in risk management with an application to futures markets
by Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo
- 306-317 On the explanatory power of firm-specific variables in cross-sections of expected returns
by Zhang, Chu
- 318-329 Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application
by de Goeij, Peter & Marquering, Wessel
- 330-336 Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
by Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin
- 337-351 A censored stochastic volatility approach to the estimation of price limit moves
by Hsieh, Ping-Hung & Yang, J. Jimmy
2009, Volume 16, Issue 1
- 2-17 The transmission of emerging market shocks to global equity markets
by Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian
- 18-41 Market liberalization within a country
by Sun, Qian & Tong, Wilson H.S. & Yan, Yuxing
- 42-54 Credit cycles and macro fundamentals
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B.
- 55-69 Timing the investment grade securities market: Evidence from high quality bond funds
by Boney, Vaneesha & Comer, George & Kelly, Lynne
- 70-86 Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing
by Barnhart, Scott W. & Giannetti, Antoine
- 87-100 Investor flows and stock market returns
by Boyer, Brian & Zheng, Lu
- 101-111 Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests
by Jegadeesh, Narasimhan & Karceski, Jason
- 112-125 Risk and performance estimation in hedge funds revisited: Evidence from errors in variables
by Coën, Alain & Hübner, Georges
- 126-135 Costly trade, managerial myopia, and long-term investment
by Holden, Craig W. & Lundstrum, Leonard L.
- 136-150 Understanding the relationship between founder-CEOs and firm performance
by Adams, Renée & Almeida, Heitor & Ferreira, Daniel
- 151-163 Co-movements of index options and futures quotes
by Fahlenbrach, Rüdiger & Sandås, Patrik
- 164-173 Default estimation for low-default portfolios
by Kiefer, Nicholas M.
2008, Volume 15, Issue 5
- 801-815 An inquiry into the economic fundamentals of the Fama and French equity factors
by Simpson, Marc W. & Ramchander, Sanjay
- 816-838 Specification tests of asset pricing models using excess returns
by Kan, Raymond & Robotti, Cesare
- 839-849 A comparison of trading and non-trading mechanisms for price discovery
by Barclay, Michael J. & Hendershott, Terrence
- 850-859 Robust performance hypothesis testing with the Sharpe ratio
by Ledoit, Oliver & Wolf, Michael
- 860-867 Regression analysis of proportions in finance with self selection
by Cook, Douglas O. & Kieschnick, Robert & McCullough, B.D.
- 868-877 Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
by Jalal, Amine & Rockinger, Michael
- 878-896 A model-independent measure of aggregate idiosyncratic risk
by Bali, Turan G. & Cakici, Nusret & Levy, Haim
2008, Volume 15, Issue 4
- 583-612 Firm heterogeneity and credit risk diversification
by Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til
- 613-634 UK mutual fund performance: Skill or luck?
by Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall
- 635-655 Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market
by Mahani, Reza S. & Poteshman, Allen M.
- 656-678 Determinants of bid and ask quotes and implications for the cost of trading
by Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S.
- 679-699 Liquidity and conditional portfolio choice: A nonparametric investigation
by Ghysels, Eric & Pereira, João Pedro
- 700-713 Identifying multiple outliers in heavy-tailed distributions with an application to market crashes
by Schluter, Christian & Trede, Mark
- 714-728 Can exchange rate volatility explain persistence in the forward premium?
by Kellard, Neil & Sarantis, Nicholas
- 729-750 Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
by Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H.
- 751-777 Structural models of corporate bond pricing with maximum likelihood estimation
by Li, Ka Leung & Wong, Hoi Ying
- 778-788 Asset pricing models with errors-in-variables
by Carmichael, Benoît & Coën, Alain
- 789-798 Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
by Chen, Carl R. & Su, Yuli & Huang, Ying
2008, Volume 15, Issue 3
- 363-386 Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses
by Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W.
- 387-417 Corruption and valuation of multinational corporations
by Pantzalis, Christos & Park, Jung Chul & Sutton, Ninon
- 418-435 Multiple directorships and corporate diversification
by Jiraporn, Pornsit & Kim, Young Sang & Davidson III, Wallace N.
- 436-454 Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks
by Zheng, Steven Xiaofan & Li, Mingsheng
- 455-467 Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP
by Menkhoff, Lukas & Rebitzky, Rafael R.
- 468-480 Economic and financial crises and the predictability of U.S. stock returns
by Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian
- 481-502 Time-series and cross-sectional excess comovement in stock indexes
by Kallberg, Jarl & Pasquariello, Paolo
- 503-517 A Bayesian view of temporary components in asset prices
by Eraker, Bjørn
- 518-532 Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
by Kim, Jae H. & Shamsuddin, Abul
- 533-548 Excess demand and price formation during a Walrasian auction
by Eaves, James & Melvin, Michael & Mohapatra, Sandeep
- 549-566 Box-Cox stochastic volatility models with heavy-tails and correlated errors
by Zhang, Xibin & King, Maxwell L.
- 567-581 Is long memory necessary? An empirical investigation of nonnegative interest rate processes
by Duan, Jin-Chuan & Jacobs, Kris
2008, Volume 15, Issue 2
- 145-166 Assessing the role of option grants to CEOs: How important is heterogeneity?
by Baranchuk, Nina & Chib, Siddhartha
- 167-184 Does risk aversion drive financial crises? Testing the predictive power of empirical indicators
by Coudert, Virginie & Gex, Mathieu
- 185-198 How does owners' exposure to idiosyncratic risk influence the capital structure of private companies?
by Mueller, Elisabeth
- 199-210 Does intraday technical analysis in the U.S. equity market have value?
by Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M.
- 211-231 Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004
by Morel, Christophe & Teïletche, Jérôme
- 232-250 Noise trading and the price formation process
by Berkman, Henk & Koch, Paul D.
- 251-264 The factor structure of time-varying conditional volume
by Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael
- 265-286 Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
by Nielsen, Morten Ørregaard & Frederiksen, Per
- 287-309 Increasing correlations or just fat tails?
by Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul
- 310-331 Simulation-based pricing of convertible bonds
by Ammann, Manuel & Kind, Axel & Wilde, Christian
- 332-341 Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
by Asai, Manabu
- 342-362 Estimation of an adaptive stock market model with heterogeneous agents
by Amilon, Henrik
2008, Volume 15, Issue 1
- 1-16 A functional approach to the price impact of stock trades and the implied true price
by Huang, Roger D. & Ting, Christopher
- 17-40 Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s
by Benston, George J. & Wood, Robert A.
- 41-63 Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution
by Choi, Pilsun & Nam, Kiseok
- 64-79 Volatility of stock price as predicted by patent data: An MGARCH perspective
by Chow, William W. & Fung, Michael K.
- 80-110 It takes a model to beat a model: Volatility bounds
by Liu, Ludan
- 111-130 The ordered qualitative model for credit rating transitions
by Feng, D. & Gourieroux, C. & Jasiak, J.
- 131-144 Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence
by Booth, G. Geoffrey & Gurun, Umit G.
2007, Volume 14, Issue 5
- 590-610 Predictable behavior, profits, and attention
by Seasholes, Mark S. & Wu, Guojun
- 611-635 Is CEO certification of earnings numbers value-relevant?
by Bhattacharya, Utpal & Groznik, Peter & Haslem, Bruce
- 636-661 Order dynamics: Recent evidence from the NYSE
by Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert
- 662-693 Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds
by Bechmann, Ken L. & Rangvid, Jesper
- 694-717 Semiparametric estimation of a characteristic-based factor model of common stock returns
by Connor, Gregory & Linton, Oliver
- 718-735 Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size
by Jakob, Keith J. & Ma, Tongshu
- 736-755 Are there Monday effects in stock returns: A stochastic dominance approach
by Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae
- 756-782 Modeling the Euro overnight rate
by Benito, Francis & Leon, Angel & Nave, Juan
- 783-817 Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables
by Lekkos, Ilias
- 818-835 A simulation estimator for testing the time homogeneity of credit rating transitions
by Kiefer, Nicholas M. & Larson, C. Erik
2007, Volume 14, Issue 4
- 443-464 International conditional asset allocation under specification uncertainty
by Barras, Laurent
- 465-498 International capital asset pricing: Evidence from options
by Mo, Henry & Wu, Liuren
- 499-522 Official interventions and the forward premium anomaly
by Mark, Nelson C. & Moh, Young-Kyu
- 523-545 Does the response of competitors to privatization announcements reflect competitive or industry-wide information effects? International evidence
by Otchere, Isaac
- 546-563 Indirect robust estimation of the short-term interest rate process
by Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio
- 564-583 Multivariate autoregressive modeling of time series count data using copulas
by Heinen, Andreas & Rengifo, Erick
2007, Volume 14, Issue 3
- 261-286 Sources of contrarian profits in the Japanese stock market
by Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin
- 287-309 Are IPOs really overpriced?
by Zheng, Steven X.
- 310-332 When is inter-transaction time informative?
by Furfine, Craig
- 333-354 The implied volatility term structure of stock index options
by Mixon, Scott
- 355-382 The ex ante real rate and inflation premium under a habit consumption model
by Madureira, Leonardo
- 383-400 Portfolio selection with heavy tails
by Hyung, Namwon & de Vries, Casper G.
- 401-423 Measuring financial contagion: A Copula approach
by Rodriguez, Juan Carlos
- 424-442 Specification and estimation of discrete time quadratic stochastic volatility models
by Kawakatsu, Hiroyuki
2007, Volume 14, Issue 2
- 131-149 Bayesian inference for generalized linear mixed models of portfolio credit risk
by McNeil, Alexander J. & Wendin, Jonathan P.
- 150-167 Firm-level implications of early stage venture capital investment -- An empirical investigation
by Engel, Dirk & Keilbach, Max
- 168-195 On the premiums of iShares
by Delcoure, Natalya & Zhong, Maosen
- 196-219 The role of trades in price convergence: A study of dual-listed Canadian stocks
by Kaul, Aditya & Mehrotra, Vikas
- 220-247 Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds
by Scruggs, John T.
- 248-259 Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations
by Wu, Ping-Tsung & Shieh, Shwu-Jane
2007, Volume 14, Issue 1
- 1-40 CAPM over the long run: 1926-2001
by Ang, Andrew & Chen, Joseph
- 41-58 Why are stock returns and volatility negatively correlated?
by Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R.
- 59-90 The growth in equity market size and trading activity: An international study
by Li, Kai
- 91-119 Conditional coskewness and asset pricing
by Smith, Daniel R.
- 120-130 Asymmetric temporary and permanent stock-price innovations
by Shively, Philip A.
2006, Volume 13, Issue 4-5
- 393-395 Introduction to the special issue on International Finance
by Palm, Franz C. & Werner, Ingrid M. & Wolff, Christian C.P.
- 396-416 Geographic versus industry diversification: Constraints matter
by Ehling, Paul & Ramos, Sofia B.
- 417-443 Sources of gains from international portfolio diversification
by Campa, Jose Manuel & Fernandes, Nuno
- 444-461 Local risk factors in emerging markets: Are they separately priced?
by Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma
- 462-494 Non-synchronous trading and testing for market integration in Central European emerging markets
by Schotman, Peter C. & Zalewska, Anna
- 495-518 Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms
by Muller, Aline & Verschoor, Willem F.C.
- 519-549 The impact of the introduction of the Euro on foreign exchange rate risk exposures
by Bartram, Sohnke M. & Karolyi, G. Andrew
- 550-576 Measuring the economic importance of exchange rate exposure
by Doidge, Craig & Griffin, John & Williamson, Rohan
2006, Volume 13, Issue 3
- 249-273 Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory
by Prather, Larry J. & Middleton, Karen L.
- 274-315 Instability of return prediction models
by Paye, Bradley S. & Timmermann, Allan
- 316-350 Stock market development and internationalization: Do economic fundamentals spur both similarly?
by Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L.
- 351-370 Propensity score matching and abnormal performance after seasoned equity offerings
by Li, Xianghong & Zhao, Xinlei
- 371-388 House prices and rents: An equilibrium asset pricing approach
by Ayuso, Juan & Restoy, Fernando
- 389-391 Note from the Editor, Wayne E. Ferson on Shanken, Jay and Mark I. Weinstein, Economic Forces and the Stock Market Revisited, Journal of Empirical Finance 13, Issue 2, 2006, 129-144
by Ferson, Wayne E.
2006, Volume 13, Issue 2
- 129-144 Economic forces and the stock market revisited
by Shanken, Jay & Weinstein, Mark I.
- 145-182 Manager education and mutual fund performance
by Gottesman, Aron A. & Morey, Matthew R.
- 183-202 Interpreting the predictive power of the consumption-wealth ratio
by Hahn, Jaehoon & Lee, Hangyong
- 203-230 Volatility estimation via hidden Markov models
by Rossi, Alessandro & Gallo, Giampiero M.
- 231-247 In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
by Rapach, David E. & Wohar, Mark E.
2006, Volume 13, Issue 1
- 1-23 Are investors moonstruck? Lunar phases and stock returns
by Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao
- 24-48 Momentum and mean reversion across national equity markets
by Balvers, Ronald J. & Wu, Yangru
- 49-78 The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories
by Kennedy, Duane B. & Sivakumar, Ranjini & Vetzal, Kenneth R.
- 79-112 Information content and other characteristics of the daily cross-sectional dispersion in stock returns
by Connolly, Robert & Stivers, Chris
- 113-128 A re-examination of the asymmetric power ARCH model
by Karanasos, Menelaos & Kim, Jinki
2005, Volume 12, Issue 5
- 613-628 Testing forward rate unbiasedness allowing for persistent regressors
by Liu, Wei & Maynard, Alex
- 629-649 Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team
by Garvey, Ryan & Murphy, Anthony
- 650-665 The relationship between stock returns and volatility in international stock markets
by Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae
- 666-685 Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness
by Hueng, C. James & McDonald, James B.
2005, Volume 12, Issue 4
- 511-532 Ownership concentration and executive compensation in closely held firms: Evidence from Hong Kong
by Cheung, Yan-Leung & Stouraitis, Aris & Wong, Anita W.S.
- 533-555 Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks
by Li, Mingsheng & McCormick, Timothy & Zhao, Xin
- 556-575 Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach
by Asgharian, Hossein & Hansson, Bjorn
- 576-611 Pricing American options when the underlying asset follows GARCH processes
by Stentoft, Lars
2005, Volume 12, Issue 3
- 353-373 Index futures arbitrage before and after the introduction of sixteenths on the NYSE
by Henker, Thomas & Martens, Martin
- 374-417 Equilibrium analysis of volatility clustering
by Vanden, Joel M.
- 418-434 Regime shifts in interest rate volatility
by Sun, Licheng
- 435-444 The relationship between stock returns and inflation: new evidence from wavelet analysis
by Kim, Sangbae & In, Francis
- 445-475 Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
by Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie
- 476-489 Testing for contagion: a conditional correlation analysis
by Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola
- 490-509 STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index
by Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian
2005, Volume 12, Issue 2
- 219-238 Index futures and positive feedback trading: evidence from major stock exchanges
by Antoniou, Antonios & Koutmos, Gregory & Pericli, Andreas
- 239-268 The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq
by Loderer, Claudio & Roth, Lukas
- 269-290 Price limit performance: evidence from transactions data and the limit order book
by Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon
- 291-316 Winter blues and time variation in the price of risk
by Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A.
- 317-338 Trading volume and contract rollover in futures contracts
by Holmes, Phil & Rougier, Jonathan
- 339-352 A comparison of extreme value theory approaches for determining value at risk
by Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G.
2005, Volume 12, Issue 1
- 1-41 The econometrics of efficient portfolios
by Gourieroux, C. & Monfort, A.
- 43-76 Chasing trends: recursive moving average trading rules and internet stocks
by Fong, Wai Mun & Yong, Lawrence H. M.
- 77-98 Testing dividend signaling models
by Bernhardt, Dan & Douglas, Alan & Robertson, Fiona
- 99-125 Foreign acquisitions by UK limited companies: short- and long-run performance
by Gregory, Alan & McCorriston, Steve
- 127-137 Yet another look at mutual fund tournaments
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.
- 139-164 Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
by Grammig, Joachim & Melvin, Michael & Schlag, Christian
- 165-185 Measuring tail thickness under GARCH and an application to extreme exchange rate changes
by Wagner, Niklas & Marsh, Terry A.
- 187-215 European exchange rate volatility dynamics: an empirical investigation
by Malik, Ali Khalil
- 217-217 Corrigendum to "Mean reversion of industry stock returns in the U.S., 1926-1998" [J. Empir. Finance 11 (2004) 537-551]
by Gropp, Jeffrey
2004, Volume 11, Issue 5
- 629-658 Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
by Morana, Claudio & Beltratti, Andrea
- 659-680 The rise in comovement across national stock markets: market integration or IT bubble?
by Brooks, Robin & Del Negro, Marco
- 681-694 Analysis of intraday herding behavior among the sector ETFs
by Gleason, Kimberly C. & Mathur, Ike & Peterson, Mark A.
- 695-708 The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach
by Mazouz, Khelifa
- 709-731 The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market
by Chiao, Chaoshin & Hung, Ken & Lee, Cheng F.
2004, Volume 11, Issue 4
- 423-427 Introduction to the special issue on behavioral finance
by De Bondt, Werner & Palm, Franz & Wolff, Christian
- 429-459 Return momentum and global portfolio allocations
by Bange, Mary M. & Miller, Thomas Jr.
- 461-481 Do countries or industries explain momentum in Europe?
by Nijman, Theo & Swinkels, Laurens & Verbeek, Marno
- 483-507 Style momentum within the S&P-500 index
by Chen, Hsiu-Lang & De Bondt, Werner
- 509-536 Momentum strategies: some bootstrap tests
by Karolyi, G. Andrew & Kho, Bong-Chan
- 537-551 Mean reversion of industry stock returns in the U.S., 1926-1998
by Gropp, Jeffrey
- 553-584 Predictability of short-horizon returns in international equity markets
by Patro, Dilip K. & Wu, Yangru
- 585-616 Market stress and herding
by Hwang, Soosung & Salmon, Mark
- 617-626 Are forecasts of corporate profits rational? A note and further evidence
by El-Galfy, Ahmed M. & Forbes, William P.
- 627-628 Corrigendum to "Investor sentiment and the near-term stock market" [J. Empirical Finance 11 (2004) 1-27]
by Brown, Gregory W. & Cliff, Michael T.
2004, Volume 11, Issue 3
- 309-329 Regime-switching stochastic volatility and short-term interest rates
by Kalimipalli, Madhu & Susmel, Raul
- 331-351 Overreaction of index futures in Hong Kong
by Kwok-Wah Fung, Alexander & Lam, Kin
- 353-377 Ranking mutual funds using unconventional utility theory and stochastic dominance
by Vinod, H. D.
- 379-398 Modelling daily Value-at-Risk using realized volatility and ARCH type models
by Giot, Pierre & Laurent, Sebastien
- 399-421 Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
by Granger, Clive W. J. & Hyung, Namwon
2004, Volume 11, Issue 2
- 163-184 An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
by Spierdijk, Laura
- 185-202 Industry momentum strategies and autocorrelations in stock returns
by Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng
- 203-230 Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
by Perron, Pierre & Vodounou, Cosme
- 231-246 Pre-holiday effect, large trades and small investor behaviour
by Meneu, Vicente & Pardo, Angel
- 247-275 Small levels of predictability and large economic gains
by Xu, Yexiao