Baillie, Richard T.

Palm, Franz C.

Pfann, Gerard A.

Vermaelen, Theo J.

Wolff, Christian C.P.

English

Research Papers in Economics

Journal  of  Empirical  Finance  1 (1993)  1-2.  North-Holland 
Statement  by  the  Editors 
The  field  of finance  has  been  rapidly  developing  in the  past  few decades  with 
a large volume  of research  being published  by both  academics  and practitioners. 
Many  major  theoretical  advances  have  been made;  the importance  of which  has 
been  recognized  by the award  of the Nobel  prize  in Economics  in 1990 to Harry 
Markowitz,  Merton  Miller  and  William  Sharpe. 
Finance  theory  has  had  substantial  impact  on  the  practice  of  financial 
economics  and  has  also  led  to  the  development  of a greater  range  of financial 
instruments  and  the  growth  .,f  mutual  funds  for  the  diversification  of  risk. 
Econometric  work  in  finance  I;  important  for  testing  theories  and  obtaining 
precise  estimates  of parameters  of interest  to financial  economists.  For  example, 
while  many  financial  economists  believe  that  a  high  volume  of  transactions 
reduces  volatility,  some  policy  makers  have  advocated  taxing  the  transfer  of 
securities  in order  to  reduce  volatility.  This  type  of disagreement  indicates  the 
need for  careful  empirical  analysis  of financial  markets  and  the  rigorous  testing 
of theories. 
While  the  theoretical  foundations  of financial  economics  have  been  develop- 
ing,  there  has  simultaneously  been  an  increasing  amount  of  high  quality  em- 
pirical  work.  This  has  been  partly  due  to  the  advent  of  more  sophisticated 
econometric  techniques;  some  of which  have  been  directly  motivated  by  prob- 
lems in finance.  Secondly,  particularly  high quality  data  exist in areas  of interest 
of financial  economists.  The  ability  to  analyze  such  data  sets  has  been  greatly 
enhanced  by  the  rapid  improvement  of computer  facilities. 
The  consequent  growth  of  the  volume  of  research  in  the  area  of  empirical 
finance  has  increased  the  need  for  a new  journal  to  meet  the  specific  require- 
ments  of professional  working  at the interface  of finance  and econometrics.  This 
awareness  has  already  been  expressed  by  John  Campbell  and  Angelo  Melino, 
Journal  of  Econometrics,  45,  1-5,  1990, who  note  that: 
‘Financial  economists  take  justifiable  pride  in the  standards  for  theory,  econometric  technique, 
and  data,  which  are  expected  of  applied  empirical  research.  We  consider  the  skill  with  which 
these  three  ingredients  are  blended  to  be  the  most  outstanding  features  of  empirical  finance.’ 
This  increased  interest  is also ilIustrated  by a comparison  of programs  of the 
fifth and  sixth world  conferences  of the Econometric  Society  held in Boston  and 
Barcelona,  respectively.  The  consecutive  programs  show  a  growth  in  finance 
related  sessions  and  symposia  from  4 percent  in  1985 to 9 percent  in  1990. It is 
likely  that  the  upward  trend  in  academic  interest  in  empirical  finance  will 
0927-5398/93/$06.00  I$$  1993-Elsevier  Science  Publishers  B.V.  All  rights  reserved 2  Statemenr  by  the  Editors 
continue  over  the  next  decade.  Hence,  the  Journal  of Empirical  Finance  aims  at 
providing  a  forum  for  empirical  researchers  at  the  interface  of  finance  and 
econometrics. 
Editorial  policy  of  the  Journal  of  Empirical  Finance 
The  Journal  of Empirical  Finance  intends  to  seek  high  quality  contributions 
and  will  endeavor  to  publish  articles  in  accord  with  high  methodological 
standards  involving  the  sophisticated  use  of economic  theory  and  use  of appro- 
priate  econometric  techniques.  The  journal  will  publish  studies  in  corporate 
finance  and  articles  concerned  with  the  analysis  of financial  markets,  that  meet 
the  prevailing  standards  of  empirical  econometrics.  The  journal  also  wishes  to 
encourage  submissions  of  new  econometric  methodology  that  are  potentially 
useful  in  the  general  area  of finance.  Each  submitted  manuscript  will  be  reviewed 
by  one  associate  editor  and  generally  by  two  referees. 
The  Journal  of  Empirical  Finance  wishes  to  encourage  high  standards  of 
reporting  results  and  the  use  of  high  quality  data.  Authors  of  accepted  manu- 
scripts  are  expected  to  make  their  data  available  on  a  floppy  disk  when 
requested  by  colleagues  in  the  profession.  All  computer  programs  used  in  the 
analyses  must  be  adequately  described  and  sufficient  information  must  be  given 
for  interested  readers  to  be  able  to  reproduce  the  results. 
We  look  forward  to  serving  the  academic  community  on  the  interface  of 
finance  and  econometrics. 
Richard  T.  Baillie  (Michigan  State  University,  USA) 
Franz  C.  Palm  (University  of  Limburg,  The  Netherlands) 
Gerard  A.  Pfann  (University  of  Limburg,  The  Netherlands) 
Theo  J.  Vermaelen  (INSEAD,  France) 
Christian  C.P.  Wolff  (University  of  Limburg,  The  Netherlands) 

Statement by the editors.

http://arno.unimaas.nl/show.cgi?fid=10628

Statement by the editors.

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