Journal of Empirical Finance

Article	Citations
Running a mutual fund: Performance and trading behavior of runner managers	75
New evidence on Bayesian tests of global factor pricing models	70
Reinsurance demand and liquidity creation: A search for bicausality	63
Do leveraged warrants prompt individuals to speculate on stock price reversals?	36
Uncovered interest rate parity redux: Non-uniform effects	35
Investment, idiosyncratic risk, and growth options	34
The effects of economic uncertainty on financial volatility: A comprehensive investigation	32
Bond issuance and the funding choices of European banks: The consequences of public debt	30
Intraday VaR: A copula-based approach	29
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	28
Corporate social responsibility and excess perks	27
Information in unexpected bonus cuts: Firm performance and CEO firings	26
Introducing article numbering to Journal of Empirical Finance	26
Editorial Board	25
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	24
The role of bad-news coverage and media environments in crash risk around the world	22
Can we forecast better in periods of low uncertainty? The role of technical indicators	22
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	21
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	19
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	18
Does subsidiary bank failure affect parents’ capital decisions? Evidence from US bank holding companies	18
From watchdog to watchman: Do independent directors monitor a CEO of their own age?	17
Why Do U.S. Firms Invest Less over Time?	17
The non-linear trade-off between return and risk and its determinants	17
Dynamic risk management and asset comovement	16

Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	16
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	15
Estimation and inference in low frequency factor model regressions with overlapping observations	15
Shadow capital in venture financing: Selection, valuation, and exit dynamic	15
Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?	14
Forecasting realized volatility: Does anything beat linear models?	14
A portfolio-level, sum-of-the-parts approach to return predictability	14
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	13
The effect of venture capital backing on innovation in newly public firms	13
House price bubbles under the COVID-19 pandemic	12
Forecasting tail risk measures for financial time series: An extreme value approach with covariates	12
Oil price shocks and the US stock market: A nonlinear approach	12
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	12
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	12
Tracking performance of VIX futures ETPs	12
Peer influence and the value of cash holdings	11
What drives the TIPS–Treasury bond mispricing?	11
Isolating momentum crashes	11
Deciphering big data in consumer credit evaluation	10
Investor sentiment and stock returns: Global evidence	10
Time-varying Z-score measures for bank insolvency risk: Best practice	10
Timing is money: The factor timing ability of hedge fund managers	10
Gold, platinum, and mutual fund flows	9
Option valuation via nonaffine dynamics with realized volatility	9
Persistent and transient variance components in option pricing models with variance-dependent Kernel	9
Banker directors on board and corporate tax avoidance	9
Time series momentum and reversal: Intraday information from realized semivariance	9
Limit order revisions across investor sophistication	8
The effect of investor attention on stock price crash risk	8
To be or not to be all-equity for firms that eliminate long-term debt	8
Macroeconomic news and price synchronicity	8
Maximum likelihood estimation of the Hull–White model	8
Is convexity efficiently priced? Evidence from international swap markets	7
Executive compensation and aspirational peer benchmarking	7
Economic evaluation of asset pricing models under predictability	7
Spillover effects in managerial compensation	7
Expensive anomalies	7
Mortgage credit growth for lower-income borrowers during the 2000s housing boom: Evidence and implications	7
Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty	7
Bank stocks, risk factors, and tail behavior	7
The stock market tips	7
Stock price movements: Evidence from global equity markets	7
Do financial variables help predict the conditional distribution of the market portfolio?	7
Predictive regression with p-lags and order-7
Editorial Board	7
Portfolio allocation over the life cycle with multiple late-in-life saving motives	7
In search of retail investors: The effect of retail investor attention on odd lot trades	6
Price convergence between credit default swap and put option: New evidence	6
Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations	6
The diversification benefits and policy risks of accessing China’s stock market	6

Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables	6
Overlapping momentum portfolios	6
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	6
Tariff uncertainty and firm innovation: Evidence from the U.S.–China Permanent Normal Trade Relation	6
Mutual fund (sub)advisor connections and crowds	6
Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings	6
The effects of banking market structure on corporate cash holdings and the value of cash	6
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	6
Can interest rate factors explain exchange rate fluctuations?	6
How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs?	6
Financial risk-taking, religiosity and denomination heterogeneity	6
Certainty of uncertainty for asset pricing	5
Multiple testing of the forward rate unbiasedness hypothesis across currencies	5
Climate change concerns and mortgage lending	5
A revisit to bias-adjusted predictive regression	5
Exploring risk premium factors for country equity returns	5
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	5
Do share repurchases facilitate movement toward target capital structure? International evidence	5
Customer–supplier relationships and non-linear financial policy response	5
Natural disasters and the role of regional lenders in economic recovery	5
Policy uncertainty, bad news disclosure, and stock price crash risk	5
Forecasting realized volatility with wavelet decomposition	5
Corporate hedging fragility in the over-the-counter market	5
Social capital and the pricing of initial public offerings	5
CEO personality traits and corporate value implication of acquisitions	5
Policy risk and insider trading	5
The risk–return tradeoff among equity factors	4
Editorial Board	4
Media coverage and investment efficiency	4
Tournament incentives, age diversity and firm performance	4
Global political risk and international stock returns	4
Individual investors’ trading behavior and gender difference in tolerance of sex crimes: Evidence from a natural experiment	4
Household portfolio allocation, uncertainty, and risk	4
The 2008 short-selling ban’s impact on tail risk	4
How does bank opacity affect credit growth and return predictability?	4
The money-inflation nexus revisited	4
Risk optimizations on basis portfolios: The role of sorting	4
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns	4
Implied local volatility models	4
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	4
Big portfolio selection by graph-based conditional moments method	4
Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio	4
Forecasting volatility using double shrinkage methods	4
Out-of-sample equity premium prediction: The role of option-implied constraints	4
Automated stock picking using random forests	4
Investment restrictions and fund performance	3
Editorial Board	3
Income, trading, and performance: Evidence from retail investors	3
Reserve holding and bank lending	3
Editorial Board	3
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	3
Editorial Board	3
Non-standard errors in asset pricing: Mind your sorts	3
Managerial commitment and heterogeneity in target-date funds	3
The informativeness of regional GDP announcements: Evidence from China	3
Editorial Board	3
Editorial Board	3
Editorial Board	3
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	3
Term premia and short rate expectations in the euro area	3
Monitoring institutional ownership and corporate innovation	3
Time-dependent lottery preference and the cross-section of stock returns	3
Improved inference for fund alphas using high-dimensional cross-sectional tests	3
Editorial Board	3
Instantaneous volatility of the yield curve, variance risk premium and bond return predictability	3
Editorial Board	3
Tail risks and private equity performance	3
Industry regulation and the comovement of stock returns	3
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile	3
Testing predictability of stock returns under possible bubbles	3
A toolkit for exploiting contemporaneous stock correlations	2
Long-horizon stock valuation and return forecasts based on demographic projections	2
Partial moments and indexation investment strategies	2
Financial statement disaggregation and bank loan pricing	2
Housing returns, precautionary savings and consumption: Micro evidence from China	2
Geographic diversification and corporate cash holdings	2
Housing market spillovers through the lens of transaction volume: A new spillover index approach	2
Inverted vs maker-taker routing choice and trader information	2
Drivers of economic and financial integration: A machine learning approach	2
Does carbon risk exposure make funds more vulnerable?	2

Time-varying variance decomposition of macro-finance term structure models	2
Is firm-level political risk priced in the corporate bond market?	2
An adaptive long memory conditional correlation model	2
The correlated trading and investment performance of individual investors	2
The role of intermediaries in derivatives markets: Evidence from VIX options	2
Do negative interest rates affect bank risk-taking?	2
Non-marketability and one-day selling lockup	2
Non-parametric momentum based on ranks and signs	2
Technology spillover, corporate investment, and stock returns	2
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	2
Forecasting stock returns with large dimensional factor models	2
Using the Bayesian sampling method to estimate corporate loss given default distribution	2
Forecasting earnings with combination of analyst forecasts	2
CEO networks and the labor market for directors	2
Local labor market and corporate investment	2
Time-varying relative risk aversion: Theoretical mechanism and empirical evidence	2
Stock price synchronicity and stock liquidity: International evidence	2
When “time varying” volatility meets “transaction cost” in portfolio selection	2
Share pledging, payout policy, and the value of cash holdings	2
Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data	2
What does a term structure model imply about very long-term interest rates?	2
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	2
Why do firms with no leverage still have leverage and volatility feedback effects?	2
Diversity and inclusion: Evidence from corporate inventors	2
Does the executive labor market discipline? Labor market incentives and earnings management	2
A comparison of factor models in China	2
Global equity market leadership positions through implied volatility measures	2
Burned by leverage? Flows and fragility in bond mutual funds	2
Editorial Board	2