Journal of Empirical Finance

Article	Citations
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	101
House price bubbles under the COVID-19 pandemic	98
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	81
Persistent and transient variance components in option pricing models with variance-dependent Kernel	43
Estimation and inference in low frequency factor model regressions with overlapping observations	41
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	39
Uncovered interest rate parity redux: Non-uniform effects	36
The effect of venture capital backing on innovation in newly public firms	33
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	33
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	32
Timing is money: The factor timing ability of hedge fund managers	31
Executive compensation and aspirational peer benchmarking	30
The stock market tips	29
Stock price movements: Evidence from global equity markets	29
In search of retail investors: The effect of retail investor attention on odd lot trades	29
Exploring risk premium factors for country equity returns	27
Climate Change Risk and Green Bond Pricing	25
A revisit to bias-adjusted predictive regression	25
Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty	24
Customer–supplier relationships and non-linear financial policy response	23
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	22
Tariff uncertainty and firm innovation: Evidence from the U.S.–China Permanent Normal Trade Relation	22
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	20
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	19
Forecasting stock returns with large dimensional factor models	19

Partial moments and indexation investment strategies	18
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices	18
Caught in the crossfire: How the threat of hedge fund activism affects creditors	18
Decision-based trades: An analysis of institutional investors’ information advantages	18
Is machine learning a necessity? A regression-based approach for stock return prediction	16
The correlated trading and investment performance of individual investors	16
Portfolio homogeneity and systemic risk of financial networks	15
The commodity risk premium and neural networks	15
Easy money and competitive industries’ booms and busts	15
The transformed Gram Charlier distribution: Parametric properties and financial risk applications	15
Estimation with mixed data frequencies: A bias-correction approach	15
Diversification in lottery-like features and portfolio pricing discount: Evidence from closed-end funds	15
The impact of liquidity risk in the Chinese banking system on the global commodity markets	14
The anatomy of a fee change — evidence from cryptocurrency markets	14
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments	13
Are stablecoins the money market mutual funds of the future?	12
Firm-level political risk and corporate R&D investment	12
Smart beta, “smarter” flows	11
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations	11
Is idiosyncratic risk priced? The international evidence	11
Short-term institutional investors and the diffusion of supply chain information	10
Technological shocks and stock market volatility over a century	10
Machine learning loss given default for corporate debt	10
Do fees matter? Investor’s sensitivity to active management fees	10
Social connectedness and cross-border mergers and acquisitions	10
Depositor responses to a banking crisis: Are finance professionals special?	10
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	9
Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market	9
International comovement of r	9
Trading activity and price discovery in Bitcoin futures markets	9
City goes dark: Dark trading and adverse selection in aggregate markets	9
Managerial ability and financial statement disaggregation decisions	9
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?	9
What drives the TIPS–Treasury bond mispricing?	8
Why Do U.S. Firms Invest Less over Time?	8
Certainty of uncertainty for asset pricing	8
Peer influence and the value of cash holdings	8
Information in unexpected bonus cuts: Firm performance and CEO firings	8
Editorial Board	8
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	8
The AH premium: A tale of “siamese twin” stocks	8
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	8
Editorial Board	8
Deciphering big data in consumer credit evaluation	8
Small is beautiful? How the introduction of mini futures contracts affects the regular contracts	7
Option gamma and stock returns	7
Managerial commitment and heterogeneity in target-date funds	7
Financial statement disaggregation and bank loan pricing	7
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	7
Coskewness and reversal of momentum returns: The US and international evidence	7

Stock return prediction: Stacking a variety of models	7
Reserve holding and bank lending	7
Multiple testing of the forward rate unbiasedness hypothesis across currencies	7
Unveiling the villain: Credit supply and the debt trap	7
Market neutrality and beta crashes	7
The protective role of saving: Bayesian analysis of British panel data	7
It is not just What you say, but How you say it: Why tonality matters in central bank communication	7
Technology spillover, corporate investment, and stock returns	7
CEO personality traits and corporate value implication of acquisitions	7
Tail risks and private equity performance	7
Director optimism and CEO equity compensation	7
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	6
The value of risk-taking in mergers: Role of ownership and country legal institutions	6
Effects of customer unionization on supplier relationships and supplier value	6
Organization capital and analyst coverage	6
Volatility cascades in cryptocurrency trading	6
The aftermath of covenant violations: Evidence from China's corporate debt securities	6
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data	6
Trading the foreign exchange market with technical analysis and Bayesian Statistics	6
Local predictability of stock returns and cash flows	6
The battle between activist hedge funds and labor unions	6
Follow the leader: Index tracking with factor models	6
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	6
Skilled active liquidity management: Evidence from shocks to fund flows	6
An adaptive long memory conditional correlation model	6
Editorial Board	6
Mispricing chasing and hedge fund returns	6
Stock return predictability and cyclical movements in valuation ratios	6
Does vega-neutral options trading contain information?	6
Forecasting realized volatility: Does anything beat linear models?	6
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	6
Dynamic risk management and asset comovement	5
The role of bad-news coverage and media environments in crash risk around the world	5
Is convexity efficiently priced? Evidence from international swap markets	5
Time series momentum and reversal: Intraday information from realized semivariance	5
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	5
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	5
Can we forecast better in periods of low uncertainty? The role of technical indicators	5
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	5
Implied local volatility models	5
The effects of banking market structure on corporate cash holdings and the value of cash	5
Policy risk and insider trading	5
Limit order revisions across investor sophistication	5
The effects of economic uncertainty on financial volatility: A comprehensive investigation	5
Option valuation via nonaffine dynamics with realized volatility	5
How does bank opacity affect credit growth and return predictability?	5
Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations	5
The risk–return tradeoff among equity factors	4
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	4
Automated stock picking using random forests	4
The informativeness of regional GDP announcements: Evidence from China	4
Risk optimizations on basis portfolios: The role of sorting	4
Testing predictability of stock returns under possible bubbles	4
Why do firms with no leverage still have leverage and volatility feedback effects?	4
Bank stocks, risk factors, and tail behavior	4
Income, trading, and performance: Evidence from retail investors	4
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	4
Global political risk and international stock returns	4
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	4
Editorial Board	4
Big portfolio selection by graph-based conditional moments method	4
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	4
Diversity and inclusion: Evidence from corporate inventors	4
US risk premia under emerging markets constraints	4
Enhancing betting against beta with stochastic dominance	4
Monitoring institutional ownership and corporate innovation	4
Editorial Board	4
Industry regulation and the comovement of stock returns	4
Macroeconomic news and price synchronicity	4
Expected returns and risk in the stock market	3
Herding behavior and systemic risk in global stock markets	3
What drives robo-advice?	3
The contributions of betas versus characteristics to the ESG premium	3
Predicting corporate policies using downside risk: A machine learning approach	3
Horizontal mergers and heterogeneous firm investments: evidence from the United States	3
A financial modeling approach to industry exchange-traded funds selection	3
When “time varying” volatility meets “transaction cost” in portfolio selection	3
Income inequality, inflation and financial development	3
Geographical proximity, cultural familiarity and financial information production	3
Smoking hot portfolios? Trading behavior, investment biases, and self-control failure	3

Cross-border M&As and credit risk: Evidence from the CDS market	3
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
Co-illiquidity management	3
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	3
The contribution of jump signs and activity to forecasting stock price volatility	3
Disagreement, speculation, and the idiosyncratic volatility	3
Development banks and the syndicate structure: Evidence from a world sample	3
Reinforcement learning and risk preference in equity linked notes markets	3
Household portfolio allocation, uncertainty, and risk	2
Stock price fragility and the cost of bank loans	2
Overlapping momentum portfolios	2
Capital mobility and the long-run return–risk trade-offs of industry portfolios	2
The price discovery role of day traders in futures market: Evidence from different types of day traders	2
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables	2
Editorial Board	2
Carbon dioxide and asset pricing: Evidence from international stock markets	2
Natural disasters and the role of regional lenders in economic recovery	2
Running a mutual fund: Performance and trading behavior of runner managers	2
Financial risk-taking, religiosity and denomination heterogeneity	2
Government Affiliation and Peer-To-Peer Lending Platforms in China	2
Do share repurchases facilitate movement toward target capital structure? International evidence	2
Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence	2
Religiosity and sovereign credit quality	2
The 2008 short-selling ban’s impact on tail risk	2
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns	2
Forecasting realized volatility with wavelet decomposition	2
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	2
To be or not to be all-equity for firms that eliminate long-term debt	2
Do leveraged warrants prompt individuals to speculate on stock price reversals?	2
The money-inflation nexus revisited	2
Jump tail risk exposure and the cross-section of stock returns	2
Maximum likelihood estimation of the Hull–White model	2
The PhD origins of finance faculty	2
Expensive anomalies	2
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	2
Forecasting earnings with combination of analyst forecasts	2
The effect of investor attention on stock price crash risk	2
Corporate social responsibility and excess perks	2
Inverted vs maker-taker routing choice and trader information	2
Product competition, political connections, and the costs of high leverage	2