Journal of Empirical Finance最新文献

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

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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

The free dividend fallacy in the Chinese stock market: Evidence from stock pricing behavior around ex-dividend day 中国股市的自由分红谬误：来自除息日前后股票定价行为的证据

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-04-27 DOI: 10.1016/j.jempfin.2026.101727

Jeffery Jinfan Chang , Huancheng Du , Xiaoran Ni , Yuheng Wang

引用次数: 0

Do shortages forecast aggregate and sectoral U.S. stock market realized variance? Evidence from a century of data 短缺是否预示了美国股票市场总体和行业的实现差异？证据来自一个世纪的数据

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-04-21 DOI: 10.1016/j.jempfin.2026.101726

Matteo Bonato , Rangan Gupta , Christian Pierdzioch

{"title":"Do shortages forecast aggregate and sectoral U.S. stock market realized variance? Evidence from a century of data","authors":"Matteo Bonato , Rangan Gupta , Christian Pierdzioch","doi":"10.1016/j.jempfin.2026.101726","DOIUrl":"10.1016/j.jempfin.2026.101726","url":null,"abstract":"<div><div>Recent global economic and political events have made clear that shortages are a key factor driving macroeconomic and financial market developments. Against this backdrop, we studied the forecasting value of shortages for monthly U.S. stock market realized variance (RV) at the aggregate and sectoral level using data spanning the period 1900<span><math><mo>−</mo></math></span>2024 and 1926<span><math><mo>−</mo></math></span>2023 (for most sectors), respectively. To this end, we considered linear and non-linear statistical learning estimators. When we used linear estimators (OLS and shrinkage estimators), we did not find evidence that aggregate and disaggregate shortage indexes have predictive value for subsequent market or sectoral RVs. In contrast, when we used random forests, a nonlinear nonparametric estimator, we detected that aggregate and disaggregate shortage indexes improve forecast accuracy of market and sectoral RVs after controlling for realized moments (realized leverage, realized skewness, realized kurtosis, realized tail risks). We then decomposed RV into a high, medium, and low frequency component and found that the shortages indexes are correlated mainly with the medium and low frequencies of RV. Finally, we found that the predictive value of shortages for RV was larger in the 1980s and 1990s than in later parts of our sample period.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"86 ","pages":"Article 101726"},"PeriodicalIF":2.4,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147732541","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

Bankruptcy prediction of privately held SMEs using feature selection methods 基于特征选择方法的民营中小企业破产预测

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-04-19 DOI: 10.1016/j.jempfin.2026.101725

Florentina Paraschiv , Markus Schmid , Ranik Raaen Wahlstrøm

{"title":"Bankruptcy prediction of privately held SMEs using feature selection methods","authors":"Florentina Paraschiv , Markus Schmid , Ranik Raaen Wahlstrøm","doi":"10.1016/j.jempfin.2026.101725","DOIUrl":"10.1016/j.jempfin.2026.101725","url":null,"abstract":"<div><div>We test alternative feature selection methods for bankruptcy prediction and illustrate their superiority versus popular models used in the literature. We apply these methods to a comprehensive dataset of more than 1.8 million financial statements covering the entire universe of privately held Norwegian SMEs in 2006–2020. We find that input variables chosen by an embedded least absolute shrinkage and selection operator (LASSO) method yield the best in-sample fit, out-of-sample performance, and stability, robust across different time periods and estimation techniques. In a real-world simulation of a competitive credit market, even small differences in model performance translate into large differences in bank profitability, with LASSO outperforming all alternatives. Finally, contrasting bankruptcy predictors for SMEs with those for larger firms reveals economically meaningful differences consistent with theory: leverage and liquidity dominate for SMEs while profitability matters more for larger firms, reflecting SMEs’ higher refinancing risk and limited access to external financing. Predictors tailored specifically to SMEs yield superior prediction performance and higher bank profitability than those derived from larger firms.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"86 ","pages":"Article 101725"},"PeriodicalIF":2.4,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147743512","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

Can mutual fund “stars” really pick stocks? New evidence from a wild bootstrap analysis 共同基金“明星”真的能选股吗？新的证据来自一个疯狂的自举分析

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-11-25 DOI: 10.1016/j.jempfin.2025.101673

Ulrich Hounyo , Jiahao Lin

引用次数: 0

Information salience, investor attention, and stock price crash risk 信息显著性、投资者关注和股价崩盘风险

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-11-20 DOI: 10.1016/j.jempfin.2025.101670

Zhenshan Chen , Zhibing Li , Jie Liu , Xiaoyu Liu

引用次数: 0