Search Results - "Journal of Empirical Finance"

International comovement of stock market returns: A wavelet analysis by Rua, António, Nunes, Luís C.

“…The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature…”
Get full text

Robust performance hypothesis testing with the Sharpe ratio by Ledoit, Oliver, Wolf, Michael

“…Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and…”
Get full text

Investor sentiment and stock returns: Some international evidence by Schmeling, Maik

“…We examine whether consumer confidence – as a proxy for individual investor sentiment – affects expected stock returns internationally in 18 industrialized…”
Get full text

Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data by Kim, Jae H., Shamsuddin, Abul, Lim, Kian-Ping

“…This paper provides strong evidence of time-varying return predictability of the Dow Jones Industrial Average index from 1900 to 2009. Return predictability is…”
Get full text

A network perspective of the stock market by Tse, Chi K., Liu, Jing, Lau, Francis C.M.

“…Complex networks are constructed to study correlations between the closing prices for all US stocks that were traded over two periods of time (from July 2005…”
Get full text

Understanding the relationship between founder–CEOs and firm performance by Adams, Renée, Almeida, Heitor, Ferreira, Daniel

“…We use instrumental variables methods to disentangle the effect of founder–CEOs on performance from the effect of performance on founder–CEO status. Our…”
Get full text

Corporate governance and firm value: International evidence by Ammann, Manuel, Oesch, David, Schmid, Markus M.

“…In this paper, we investigate the relation between firm-level corporate governance and firm value based on a large and previously unused dataset from…”
Get full text

Measuring financial contagion: A Copula approach by Rodriguez, Juan Carlos

“…This paper models dependence with switching-parameter copulas to study financial contagion. Using daily returns from five East Asian stock indices during the…”
Get full text

Local bias in venture capital investments by Cumming, Douglas, Dai, Na

“…This paper examines local bias in the context of venture capital (VC) investments. Based on a sample of U.S. VC investments between 1980 and June 2009, we find…”
Get full text

When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions by Groß-Klußmann, Axel, Hautsch, Nikolaus

“…We examine high-frequency market reactions to an intraday stock-specific news flow. Using unique pre-processed data from an automated news analytics tool based…”
Get full text

Residual momentum by Blitz, David, Huij, Joop, Martens, Martin

“…Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by…”
Get full text

Nonparametric rank tests for event studies by Kolari, James W., Pynnonen, Seppo

“…Because stock prices are not normally distributed, the power of nonparametric rank tests dominate parametric tests in event study analyses of abnormal returns…”
Get full text

The effect of CEO power on bond ratings and yields by Liu, Yixin, Jiraporn, Pornsit

“…We argue that executives can affect firm outcomes only if they have influence over crucial decisions. This study explores the impact of CEO power or CEO…”
Get full text

Robust estimation of intraweek periodicity in volatility and jump detection by Boudt, Kris, Croux, Christophe, Laurent, Sébastien

“…Opening, lunch and closing of financial markets induce a periodic component in the volatility of high-frequency returns. We show that price jumps cause a large…”
Get full text

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection by Ledoit, Olivier, Wolf, Michael

“…This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators: the sample covariance…”
Get full text

Firm-level implications of early stage venture capital investment — An empirical investigation by Engel, Dirk, Keilbach, Max

“…We analyze the impact of venture capital finance on growth and innovation of young German firms. On the basis of statistical matching procedures we confirm…”
Get full text

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias by Hsu, Po-Hsuan, Hsu, Yu-Chin, Kuan, Chung-Ming

“…In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the…”
Get full text

Regulatory underpricing: Determinants of Chinese extreme IPO returns by Tian, Lihui

“…The Chinese stock market with its unique institutions is rather different from western stock markets. The average underpricing of Chinese IPOs is 247%, the…”
Get full text

Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns by Granger, Clive W.J., Hyung, Namwon

“…This paper shows that occasional breaks generate slowly decaying autocorrelations and other properties of I( d) processes, where d can be a fraction. Some…”
Get full text

Trading activity, realized volatility and jumps by Giot, Pierre, Laurent, Sébastien, Petitjean, Mikael

“…This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two…”
Get full text