Journal of Empirical Finance

Article	Citations
On the stability of stablecoins	75
Investor sentiment and stock returns: Global evidence	64
Media coverage and investment efficiency	59
Retail investor attention and herding behavior	49
Government Affiliation and Peer-To-Peer Lending Platforms in China	36
Trading activity and price discovery in Bitcoin futures markets	35
Housing market spillovers through the lens of transaction volume: A new spillover index approach	34
Stock return predictability and cyclical movements in valuation ratios	32
Individual investors’ trading behavior and gender difference in tolerance of sex crimes: Evidence from a natural experiment	30
Drivers of economic and financial integration: A machine learning approach	29
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	27
Oil price shocks and the US stock market: A nonlinear approach	27
Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies	26
Cross-sectional uncertainty and expected stock returns	26
Artificial Intelligence Alter Egos: Who might benefit from robo-investing?	25
COVID-19, bank deposits, and lending	25
Does vega-neutral options trading contain information?	22
Entrepreneurship and household portfolio choice: Evidence from the China Household Finance Survey	22
Cash-flow or return predictability at long horizons? The case of earnings yield	21
Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations	21
Innovate or die: Corporate innovation and bankruptcy forecasts	20
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	19
Industry equi-correlation: A powerful predictor of stock returns	18
Herding behaviour in P2P lending markets	18
Volatility cascades in cryptocurrency trading	18

Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	17
Do negative interest rates affect bank risk-taking?	17
Dissecting the idiosyncratic volatility anomaly	17
Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty	16
Salience theory in price and trading volume: Evidence from China	16
Share pledging, payout policy, and the value of cash holdings	16
Forecasting stock returns with large dimensional factor models	15
The contributions of betas versus characteristics to the ESG premium	15
What does a term structure model imply about very long-term interest rates?	14
Deciphering big data in consumer credit evaluation	14
Does financial reporting regulation influence the value of cash holdings?	13
Household portfolio allocation, uncertainty, and risk	13
Investment, idiosyncratic risk, and growth options	13
Stock return prediction: Stacking a variety of models	12
Income inequality, inflation and financial development	12
It is not just What you say, but How you say it: Why tonality matters in central bank communication	12
Forecasting volatility using double shrinkage methods	12
Technology shocks and stock returns: A long-term perspective	12
The valuation effect of stock dividends or splits: Evidence from a catering perspective	12
Tariff uncertainty and firm innovation: Evidence from the U.S.–China Permanent Normal Trade Relation	12
Housing returns, precautionary savings and consumption: Micro evidence from China	11
Timing is money: The factor timing ability of hedge fund managers	11
In search of retail investors: The effect of retail investor attention on odd lot trades	11
Volatility forecasts, proxies and loss functions	11
Forecasting realized volatility with machine learning: Panel data perspective	11
Isolating momentum crashes	11
Trader positions in VIX futures	10
Global political risk and international stock returns	10
Gender and herding	9
Climate change concerns and mortgage lending	9
Natural disasters and the role of regional lenders in economic recovery	9
On the stability of portfolio selection models	9
CEO personality traits and corporate value implication of acquisitions	9
Liquidity provider incentives in fragmented securities markets	8
Non-parametric momentum based on ranks and signs	8
Foreign bank entry deregulation and stock market stability: Evidence from staggered regulatory changes	8
Burned by leverage? Flows and fragility in bond mutual funds	8
The diversification benefits and policy risks of accessing China’s stock market	8
Is corporate tax avoidance related to employee treatment?	8
Investment income taxes and private equity acquisition activity	8
Does product market competition affect corporate governance? Evidence from corporate takeovers	8
The transformed Gram Charlier distribution: Parametric properties and financial risk applications	7
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices	7
Time series momentum and reversal: Intraday information from realized semivariance	7
Does program trading contribute to excess comovement of stock returns?	7
From watchdog to watchman: Do independent directors monitor a CEO of their own age?	7
The impact of liquidity risk in the Chinese banking system on the global commodity markets	7
Tournament incentives, age diversity and firm performance	7
The effect of investor attention on stock price crash risk	7
Economic evaluation of asset pricing models under predictability	7

Trading the foreign exchange market with technical analysis and Bayesian Statistics	7
The anatomy of a fee change — evidence from cryptocurrency markets	7
Geographic diversification and corporate cash holdings	7
Can interest rate factors explain exchange rate fluctuations?	7
Reinsurance demand and liquidity creation: A search for bicausality	7
Non-marketability and one-day selling lockup	6
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	6
The predictive power of Nelson–Siegel factor loadings for the real economy	6
Executive risk-taking and the agency cost of debt	6
Caught in the crossfire: How the threat of hedge fund activism affects creditors	6
Investment restrictions and fund performance	6
Forecasting tail risk measures for financial time series: An extreme value approach with covariates	6
Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model	6
Machine learning loss given default for corporate debt	6
Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill	6
Does the executive labor market discipline? Labor market incentives and earnings management	6
Testing predictability of stock returns under possible bubbles	6
Using covariates to improve the efficacy of univariate bubble detection methods	6
The price discovery role of day traders in futures market: Evidence from different types of day traders	6
Disseminating information across connected firms — Analyst site visits can help	6
Herding behavior and systemic risk in global stock markets	6
Uncertainty, prospectus content, and the pricing of initial public offerings	5
Is idiosyncratic risk priced? The international evidence	5
Development banks and the syndicate structure: Evidence from a world sample	5
Beta dispersion and market timing	5
Policy risk and insider trading	5
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	5
Stock price fragility and the cost of bank loans	5
The role of human capital: Evidence from corporate innovation	5
Asymmetric effects of the limit order book on price dynamics	5
Out-of-sample equity premium prediction: The role of option-implied constraints	5
Time-varying Z-score measures for bank insolvency risk: Best practice	5
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments	5
A corporate credit rating model with autoregressive errors	5
The contribution of jump signs and activity to forecasting stock price volatility	5
Financial risk-taking, religiosity and denomination heterogeneity	5
The effects of economic uncertainty on financial volatility: A comprehensive investigation	5
Do leveraged warrants prompt individuals to speculate on stock price reversals?	4
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	4
I only fear when I hear: How media affects insider trading in takeover targets	4
Diversity and inclusion: Evidence from corporate inventors	4
Automated stock picking using random forests	4
To be or not to be all-equity for firms that eliminate long-term debt	4
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	4
On the role of foreign directors: Evidence from cross-listed firms	4
Portfolio homogeneity and systemic risk of financial networks	4
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures	4
Monitoring institutional ownership and corporate innovation	4
Risk optimizations on basis portfolios: The role of sorting	4
Exploring risk premium factors for country equity returns	4
Peer influence and the value of cash holdings	4
Smoking hot portfolios? Trading behavior, investment biases, and self-control failure	4
The value of risk-taking in mergers: Role of ownership and country legal institutions	4
CEO networks and the labor market for directors	4
Income, trading, and performance: Evidence from retail investors	4
Customer–supplier relationships and non-linear financial policy response	4
Organization capital and analyst coverage	3
Predicting corporate policies using downside risk: A machine learning approach	3
Competition and risk taking in local bank markets: Evidence from the business loans segment	3
Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings	3
Bank stocks, risk factors, and tail behavior	3
Tracking performance of VIX futures ETPs	3
New kids on the block: The effect of Generation X directors on corporate performance	3
Follow the leader: Index tracking with factor models	3
Say more to return less? Disclosure subsequent to successful technological innovation	3
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data	3
Advisory firm paths to side-by-side management and mutual fund performance	3
Partial moments and indexation investment strategies	3
Social capital and the pricing of initial public offerings	3
The effect of venture capital backing on innovation in newly public firms	3
Managerial ability and financial statement disaggregation decisions	3
Hedge funds and their prime broker analysts	3
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	3
The time-varying bond risk premia in China	3
Enhancing the profitability of lottery strategies	3
Improved inference for fund alphas using high-dimensional cross-sectional tests	3
Mortgage credit growth for lower-income borrowers during the 2000s housing boom: Evidence and implications	3
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	3
Do connections pay off in the bitcoin market?	3
Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market	3

Foreign institutions, local investors and momentum trading	3
Stock returns in global value chains: The role of upstreamness and downstreamness	2
Technology spillover, corporate investment, and stock returns	2
Legal enforcement and fintech credit: International evidence	2
Religiosity and sovereign credit quality	2
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns	2
The commodity risk premium and neural networks	2
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	2
When “time varying” volatility meets “transaction cost” in portfolio selection	2
Expensive anomalies	2
Coskewness and reversal of momentum returns: The US and international evidence	2
Maximum likelihood estimation of the Hull–White model	2
Option gamma and stock returns	2
Uncovered interest rate parity redux: Non-uniform effects	2
Dynamic risk management and asset comovement	2
Factor momentum in the Chinese stock market	2
Non-standard errors in asset pricing: Mind your sorts	2
Cross-border M&As and credit risk: Evidence from the CDS market	2
Do as they say or do as they do? — Uncovering the effects of inappropriate methods and unreliable data in boardroom diversity research	2
Macroeconomic news and price synchronicity	2
A global monetary policy factor in sovereign bond yields	2
Do financial variables help predict the conditional distribution of the market portfolio?	2
Coreversal: The booms and busts of arbitrage activities in China	2
Limit order revisions across investor sophistication	2
Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium	2
How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs?	2
A toolkit for exploiting contemporaneous stock correlations	2
Running a mutual fund: Performance and trading behavior of runner managers	2
New evidence on Bayesian tests of global factor pricing models	2
Depositor responses to a banking crisis: Are finance professionals special?	2
Product competition, political connections, and the costs of high leverage	2
The informativeness of regional GDP announcements: Evidence from China	2
City goes dark: Dark trading and adverse selection in aggregate markets	2
Forecasting realized volatility with wavelet decomposition	2
A robust Glasso approach to portfolio selection in high dimensions	2
Is convexity efficiently priced? Evidence from international swap markets	2
Global equity market leadership positions through implied volatility measures	2
Stock price movements: Evidence from global equity markets	2
Long-horizon stock valuation and return forecasts based on demographic projections	2
What drives the TIPS–Treasury bond mispricing?	2
Forecasting earnings with combination of analyst forecasts	2
The role of bad-news coverage and media environments in crash risk around the world	2