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Ranking finance conferences: An update 金融会议排名：最新进展
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-17 DOI: 10.1016/j.jempfin.2025.101652
Wei Hou, Esad Smajlbegovic, Daniel Urban
{"title":"Ranking finance conferences: An update","authors":"Wei Hou,&nbsp;Esad Smajlbegovic,&nbsp;Daniel Urban","doi":"10.1016/j.jempfin.2025.101652","DOIUrl":"10.1016/j.jempfin.2025.101652","url":null,"abstract":"<div><div>Researchers need to decide on which academic conferences to attend. To inform this decision, we track the publication status of 6805 research articles presented at 87 finance conferences between 2011 and 2015. We rank these conferences based on publication rates in top finance and economics journals. To complement these rankings, we also examine publication rates within specific research fields and citation scores. The rankings show considerable heterogeneity in conference quality and uncover three major conference clusters. We further examine the role and timing of conferences in the publication process, analyze important time trends, explore the relationship between conference size and publication success, and highlight the relatively low overlap in accepted papers across conferences.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101652"},"PeriodicalIF":2.4,"publicationDate":"2025-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145155649","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
Momentum is still there conditional on volatility-amplified pessimism 动能仍在，但前提是波动性放大的悲观情绪
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-17 DOI: 10.1016/j.jempfin.2025.101653
Soroush Ghazi , Mark Schneider , Jack Strauss
{"title":"Momentum is still there conditional on volatility-amplified pessimism","authors":"Soroush Ghazi ,&nbsp;Mark Schneider ,&nbsp;Jack Strauss","doi":"10.1016/j.jempfin.2025.101653","DOIUrl":"10.1016/j.jempfin.2025.101653","url":null,"abstract":"<div><div>We present a representative agent model with probability weighting that predicts expected momentum returns decrease in market volatility and pessimism, and predicts the opposite for the equity premium. Hence, the model predicts that the expected market and momentum returns move in opposite directions and can be used to form a dynamic hedging strategy that conditions on market volatility and market pessimism. Our asset pricing model motivates an index of volatility-amplified pessimism (VAP) that predicts both momentum and market returns as well as a real-time trading strategy that uses the index to switch between the market and momentum portfolios. In high VAP states, the market generates high returns and Sharpe ratios, while momentum generates high returns and Sharpe ratios in low VAP states. Although most momentum strategies have recently disappeared we find that momentum is still there, conditional on the interaction between market pessimism and market volatility.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101653"},"PeriodicalIF":2.4,"publicationDate":"2025-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097593","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
The stock return predictability of treasury bond yield in China 中国国债收益率的股票收益可预测性
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-16 DOI: 10.1016/j.jempfin.2025.101654
Han Zhang , Xiong Xiong , Bin Guo
{"title":"The stock return predictability of treasury bond yield in China","authors":"Han Zhang ,&nbsp;Xiong Xiong ,&nbsp;Bin Guo","doi":"10.1016/j.jempfin.2025.101654","DOIUrl":"10.1016/j.jempfin.2025.101654","url":null,"abstract":"<div><div>We provide empirical evidence that the average treasury bond yield across one- to ten-year maturities can negatively predict stock returns in the Chinese stock market. The substantial predictive power of bond yield underscores that the flight-to-safety effect associated with treasury bonds plays a predominant role in driving this predictive relationship. However, we find that bond yield does not operate as a systematic risk factor that explains cross-sectional variations in average stock returns, suggesting that it does not qualify as a state variable within the intertemporal capital asset pricing model framework proposed by Merton (1973). Using an affine market price of risk model, we demonstrate that the average bond yield serves as a pivotal determinant of the time-varying pattern of market prices for the market excess return factor, thereby establishing the theoretical foundation for its predictive power regarding stock returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101654"},"PeriodicalIF":2.4,"publicationDate":"2025-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097592","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
A unified duration-based explanation of the value, profitability, and investment anomalies 对价值、盈利能力和投资异常进行统一的基于持续时间的解释
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-13 DOI: 10.1016/j.jempfin.2025.101645
Shan Chen , Tao Li
{"title":"A unified duration-based explanation of the value, profitability, and investment anomalies","authors":"Shan Chen ,&nbsp;Tao Li","doi":"10.1016/j.jempfin.2025.101645","DOIUrl":"10.1016/j.jempfin.2025.101645","url":null,"abstract":"<div><div>Two duration factors that arise from the downward-sloping term structure of equity returns explain the value, profitability, and investment premiums. One factor captures the spread of returns between short and long durations, and the other measures the difference in risk premiums associated with duration transitions. These duration effects jointly subsume the explanatory power of the value, profitability, and investment in the cross-section of equity returns. Our study shows that these three and other related anomalies can be unified in a risk-based framework. These anomalies may arise from the dynamic relations between firms’ durations and their fundamentals.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101645"},"PeriodicalIF":2.4,"publicationDate":"2025-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145061350","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
Why does the Cochrane–Piazzesi model predict treasury returns? 为什么Cochrane-Piazzesi模型可以预测国债收益率？
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-10 DOI: 10.1016/j.jempfin.2025.101650
Riccardo Rebonato , Ken Nyholm
{"title":"Why does the Cochrane–Piazzesi model predict treasury returns?","authors":"Riccardo Rebonato ,&nbsp;Ken Nyholm","doi":"10.1016/j.jempfin.2025.101650","DOIUrl":"10.1016/j.jempfin.2025.101650","url":null,"abstract":"<div><div>We explain why the Cochrane–Piazzesi (CP) model, which uses a single tent-shaped linear combination of forward rates, is so effective at predicting bond excess returns. By using a novel statistical test coupled with a popular resampling technique, first we rule out the possibility that the high predictability may be an artefact of in-sample overfitting. Then we find that, contrary to explanations proposed in the original CP paper, neither the specific tent shape of the factor loadings nor the four-to-five-year yield spread are essential for the model’s predictive power. Instead, our analysis suggests that the predictive power of the CP model lies in its ability to identify the cointegration relationship among the quasi-unit-root forward rate regressors needed to produce the stationary process of excess returns. To support this interpretation we show that cointegration relationships among forward rates directly provide strong predictors of excess returns, and we propose that the cointegration modes of attraction generate at least part of the excess returns. Our findings shed new light on the source of bond return predictability captured by the CP factor and highlight the link between cointegration properties and the dynamics of yields.<span><span><sup>1</sup></span></span></div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101650"},"PeriodicalIF":2.4,"publicationDate":"2025-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097580","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
Mutual fund performance and flow-performance relationship under ambiguity 歧义下的共同基金绩效与流量绩效关系
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-04 DOI: 10.1016/j.jempfin.2025.101655
Ariel Gu , Hong Il Yoo
{"title":"Mutual fund performance and flow-performance relationship under ambiguity","authors":"Ariel Gu ,&nbsp;Hong Il Yoo","doi":"10.1016/j.jempfin.2025.101655","DOIUrl":"10.1016/j.jempfin.2025.101655","url":null,"abstract":"<div><div>Since the exact probability distribution of asset returns is often unknown, the type of uncertainty affecting financial assets may be better characterized as ambiguity rather than risk. Using data from the U.S. mutual fund market, we examine the relationships between mutual funds’ ambiguity exposure, risk-adjusted performance, and investment flows. We introduce a novel measure of ambiguity exposure based on the smooth ambiguity model, which provides insight into how funds are priced in the presence of ambiguity. We find that risk-adjusted fund returns include a positive premium that compensates for greater ambiguity exposure in the fund’s asset holdings. The flow analysis, however, suggests that fund investors pursue positive risk-adjusted returns overall, regardless of whether seemingly superior returns are driven by the ambiguity premium. This behavior indicates that fund investors are primarily attracted to performance outcomes and less concerned with whether these reflect managerial expertise or increased ambiguity exposure.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101655"},"PeriodicalIF":2.4,"publicationDate":"2025-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145027782","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
Managerial job security and firm diversification 管理工作保障与企业多元化
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-02 DOI: 10.1016/j.jempfin.2025.101646
Ziwen Bu , Suyang Li , Rongbing Xiao
{"title":"Managerial job security and firm diversification","authors":"Ziwen Bu ,&nbsp;Suyang Li ,&nbsp;Rongbing Xiao","doi":"10.1016/j.jempfin.2025.101646","DOIUrl":"10.1016/j.jempfin.2025.101646","url":null,"abstract":"<div><div>We analyze the effects of managerial job security on firm diversification. Our results indicate that enacting legal protection for managers’ employment is conducive to less corporate diversification. Our findings suggest that, in relation to managerial entrenchment and empire-building theories, hedging against employment risk is more likely to be the primary factor for managers when deciding to conduct firm diversification. Consistent with the explanation of agency theory in relation to firm diversification, we also document that refocusing firms increase firm value after enacting the implied-contract exception. The incremental firm value likely reflects the improved efficiency of capital allocation across divisions, as we find that firms increase the efficiency of their capital allocation after the adoption of the law.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101646"},"PeriodicalIF":2.4,"publicationDate":"2025-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097581","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
Risk diversification and extreme risk mitigation 分散风险和减轻极端风险
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 DOI: 10.1016/j.jempfin.2025.101649
Matteo Bagnara, Benoit Vaucher
{"title":"Risk diversification and extreme risk mitigation","authors":"Matteo Bagnara,&nbsp;Benoit Vaucher","doi":"10.1016/j.jempfin.2025.101649","DOIUrl":"10.1016/j.jempfin.2025.101649","url":null,"abstract":"<div><div>We examine how active risk- and holdings-based diversification of equity portfolios affect performance and vulnerability to large losses. Conducting a comprehensive empirical study of US-based funds, we find that risk-based and sector-based diversification significantly reduce active tail risk and the likelihood of extreme losses, without substantially diminishing portfolio performance. These effects are nonlinear and decreasing, suggesting that investors need not minimizing the concentration of their portfolios. We also examine these relationships on an unprecedented large sample of portfolios using a novel methodology that allows the production of portfolios with similar levels of risk, and find that they are robust to several definitions of extreme risk. Our results highlight the practical value of diversification in managing portfolio risk while maintaining competitive performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101649"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144931833","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
Predicting risk premiums: A constraint-based model 预测风险溢价：一个基于约束的模型
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 DOI: 10.1016/j.jempfin.2025.101647
Ying Yuan , Yong Qu , Tianyang Wang
{"title":"Predicting risk premiums: A constraint-based model","authors":"Ying Yuan ,&nbsp;Yong Qu ,&nbsp;Tianyang Wang","doi":"10.1016/j.jempfin.2025.101647","DOIUrl":"10.1016/j.jempfin.2025.101647","url":null,"abstract":"<div><div>This research introduces a novel constraint-based model framework for predicting risk premiums, thoroughly examining the mechanism and limitations of existing models in the literature and leveraging advanced machine learning techniques. The proposed framework effectively captures the regime-dependent forecasting characteristics. It incorporates the information content of predictive regression, “naive” historical average model, and zero value model, significantly reducing model uncertainty and parameter instability across univariate and multivariate predictions. Empirical analysis demonstrates the superiority of our strategy in terms of out-of-sample forecasting performance over a variety of competing models and under different market conditions, highlighting the robustness of our results. We further substantiate the validity of considering the market regime as an economic state variable and justify the rationality of our constraint-based model in elucidating the source of the improved predictability. Our study holds significant implications for financial and economic research, as well as practical applications in portfolio management and risk assessment.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101647"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144925493","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
Unlocking predictive potential: The frequency-domain approach to equity premium forecasting 解锁预测潜力：股票溢价预测的频域方法
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-29 DOI: 10.1016/j.jempfin.2025.101648
Gonçalo Faria , Fabio Verona
{"title":"Unlocking predictive potential: The frequency-domain approach to equity premium forecasting","authors":"Gonçalo Faria ,&nbsp;Fabio Verona","doi":"10.1016/j.jempfin.2025.101648","DOIUrl":"10.1016/j.jempfin.2025.101648","url":null,"abstract":"<div><div>This paper explores the out-of-sample forecasting performance of 25 equity premium predictors over a sample period from 1973 to 2023. While conventional time-series methods reveal that only one predictor demonstrates significant out-of-sample predictive power, frequency-domain analysis uncovers additional predictive information hidden in the time series. Nearly half of the predictors exhibit statistically and economically meaningful predictive performance when decomposed into frequency components. The findings suggest that frequency-domain techniques can extract valuable insights that are often missed by traditional methods, enhancing the accuracy of equity premium forecasts.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101648"},"PeriodicalIF":2.4,"publicationDate":"2025-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144916855","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
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