Journal of Empirical Finance最新文献

Risk-based peer networks and return predictability: Evidence from textual analysis on 10-K filings 基于风险的对等网络和回报可预测性：来自10-K文件文本分析的证据

IF 2.5 2区经济学

Journal of Empirical Finance Pub Date : 2026-08-01 Epub Date: 2026-07-30 DOI: 10.1016/j.jempfin.2026.101754

Jian Yuan, Yiming Zhang

引用次数: 0

Identifying excessive spread dispersion in the euro area: When do sovereign spreads go beyond fundamentals? 识别欧元区过度息差：主权债券息差何时会超出基本面？

IF 2.5 2区经济学

Journal of Empirical Finance Pub Date : 2026-08-01 Epub Date: 2026-07-20 DOI: 10.1016/j.jempfin.2026.101750

Jan Kakes, Jan Willem van den End

引用次数: 0

Spotlight on the neighborhood: The spillover effect of IPOs on retail investor attention 聚焦邻里：ipo对散户投资者关注度的溢出效应

IF 2.5 2区经济学

Journal of Empirical Finance Pub Date : 2026-08-01 Epub Date: 2026-07-27 DOI: 10.1016/j.jempfin.2026.101752

Stefano Mengoli, Pierpaolo Pattitoni

{"title":"Spotlight on the neighborhood: The spillover effect of IPOs on retail investor attention","authors":"Stefano Mengoli, Pierpaolo Pattitoni","doi":"10.1016/j.jempfin.2026.101752","DOIUrl":"10.1016/j.jempfin.2026.101752","url":null,"abstract":"<div><div>We investigate the reallocation of retail investor attention during firm-specific disruptive events, such as IPOs. While IPOs increase investor attention across listed firms, those geographically and industrially close to the IPO attract the most significant interest. Attention builds up prior to the IPO, peaks during the event, and remains elevated afterward, particularly for geographically proximate firms. Notably, geographic proximity plays a dominant and persistent role, even under firm-specific and market-wide uncertainty. Attention also responds systematically to information, increasing with negative and uncertain tone in IPO prospectuses, consistent with the negativity bias. Conversely, high levels of aggregate market attention divert attention away from IPO events, although this effect is attenuated for geographically proximate firms. We further show that heightened attention is associated with a positive contemporaneous return effect followed by a reversal over longer horizons, consistent with temporary price pressure. Our findings indicate that retail investor attention is allocated in a systematic and economically meaningful way, reflecting the role of local information advantages, social and geographic proximity</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"88 ","pages":"Article 101752"},"PeriodicalIF":2.5,"publicationDate":"2026-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148634266","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The impact of series investment companies on mutual fund attributes 系列投资公司对共同基金属性的影响

IF 2.5 2区经济学

Journal of Empirical Finance Pub Date : 2026-08-01 Epub Date: 2026-07-25 DOI: 10.1016/j.jempfin.2026.101753

Timothy D. Haight, Chengdong Yin

引用次数: 0

Corrigendum to “Positivity and Long-Lasting Momentum” [Journal of Empirical Finance, volume 87 (2026)/101694] “积极性和持久动力”的勘误表[Journal of Empirical Finance， vol . 87 (2026)/101694]

IF 2.5 2区经济学

Journal of Empirical Finance Pub Date : 2026-08-01 Epub Date: 2026-05-29 DOI: 10.1016/j.jempfin.2026.101744

Jingjing Chen, George J. Jiang, Chenye Liu, Dongming Zhu

引用次数: 0

Are the stylized features of stock returns the same in market downturns and upturns? 股票收益的风格化特征在市场下跌和上涨时是相同的吗？

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-06-01 Epub Date: 2026-02-02 DOI: 10.1016/j.jempfin.2026.101695

Bowen Cheng , Wanling Huang , Cathy Ning , Dinghai Xu

{"title":"Are the stylized features of stock returns the same in market downturns and upturns?","authors":"Bowen Cheng , Wanling Huang , Cathy Ning , Dinghai Xu","doi":"10.1016/j.jempfin.2026.101695","DOIUrl":"10.1016/j.jempfin.2026.101695","url":null,"abstract":"<div><div>This study investigates key features of stock returns – including the leverage effect, contemporaneous leverage effect, volatility clustering, and feedback effect – using a vine copula framework. Unlike traditional copula models, our approach enables the joint examination of these features simultaneously, particularly under extreme market conditions when they are most critical for risk management. Based on high-frequency data from major global stock markets and large-cap U.S. firms, we find strong evidence of volatility clustering, characterized by nonlinearity and marked asymmetry: the clusters of high volatility occur more frequently than those of low volatility, with the effect more pronounced for indices than for individual firms. We also identify significant asymmetric leverage and contemporaneous leverage effects, both of which occur only at market downturn. At extremes, the contemporaneous leverage effect is slightly stronger than the leverage effect, suggesting both immediate and persistent volatility responses to adverse news. Moreover, these stylized features intensified during the 2008 financial crisis and the COVID-19 pandemic. Our Value at Risk (VaR) analysis and backtesting further demonstrate the superior performance of the vine copula model relative to linear dependence models and pair copula alternatives. These findings provide important insights for enhancing risk management practices and improving option pricing.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"87 ","pages":"Article 101695"},"PeriodicalIF":2.4,"publicationDate":"2026-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146192397","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Firm location and the value-growth premium 公司位置和价值增长溢价

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-06-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jempfin.2026.101690

Brent W. Ambrose , Yifan Chen , Timothy T. Simin

引用次数: 0

Positivity and long-lasting momentum 积极和持久的动力

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-06-01 Epub Date: 2026-01-29 DOI: 10.1016/j.jempfin.2026.101694

Jingjing Chen , George J. Jiang , Chenye Liu , Dongming Zhu

引用次数: 0

Measuring daily systemic risk with intraday data: Evidence from foreign exchange market 用日内数据衡量每日系统性风险：来自外汇市场的证据

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-06-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jempfin.2026.101693

Yi Zhou , Wenjing Xia , Wuyi Ye

引用次数: 0

The veracity of insider trading signals in financially distressed firms 财务困境公司内幕交易信号的真实性

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-03-23 DOI: 10.1016/j.jempfin.2026.101713

Paula Hill , Adriana Korczak , Shuo Wang

{"title":"The veracity of insider trading signals in financially distressed firms","authors":"Paula Hill , Adriana Korczak , Shuo Wang","doi":"10.1016/j.jempfin.2026.101713","DOIUrl":"10.1016/j.jempfin.2026.101713","url":null,"abstract":"<div><div>We show that insider trading behaviour provides a credible signal of future share return performance within a sample of firms undergoing financial distress. We argue that when firms are in distress the incentive for insiders to employ their trading to send a false positive signal is high, however we find that distressed firms with insider buying have significantly better future share returns than firms with no insider trading or insider selling. We employ credit rating downgrades as confirmation of the distressed state, and we investigate the reasons why the positive signal associated with insider buying deviates from the negative downgrade signal of the rating agencies. Our analysis shows that this is not due to a lack of rating agency information; there are very few rating downgrade reversals. We conclude that insider purchases are partly driven by an over-reaction to bad news in the period of distress, which subsequently reverses; such mispricing would not be expected to be related to informed credit rating actions. We also find that the share return recovery is partial, and this leaves open the possibility that it is inadequate to reach the rating upgrade hurdle. While on average outside investors would benefit from retaining their shares in distressed firms with insider buying, we highlight a subset of firms where this is not the case.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"86 ","pages":"Article 101713"},"PeriodicalIF":2.4,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147800778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0