Journal of Empirical Finance

Article	Citations
Persistent and transient variance components in option pricing models with variance-dependent Kernel	112
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	109
Estimation and inference in low frequency factor model regressions with overlapping observations	93
House price bubbles under the COVID-19 pandemic	43
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	39
Bear factor and hedge fund performance	37
Public data openness and trade credit: Evidence from China	36
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	35
The effect of venture capital backing on innovation in newly public firms	34
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	32
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance	31
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	31
Uncovered interest rate parity redux: Non-uniform effects	31
Stock price movements: Evidence from global equity markets	29
The stock market tips	28
High frequency online inflation and term structure of interest rates: Evidence from China	28
Climate change risk and green bond pricing	26
A revisit to bias-adjusted predictive regression	25
Exploring risk premium factors for country equity returns	24
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	24
Customer–supplier relationships and non-linear financial policy response	23
Partial moments and indexation investment strategies	21
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	19
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	19
The correlated trading and investment performance of individual investors	18

Forecasting stock returns with large dimensional factor models	18
Decision-based trades: An analysis of institutional investors’ information advantages	17
Is machine learning a necessity? A regression-based approach for stock return prediction	16
Regulatory fragmentation and corporate innovation	16
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices	15
The transformed Gram Charlier distribution: Parametric properties and financial risk applications	14
Estimation with mixed data frequencies: A bias-correction approach	14
Caught in the crossfire: How the threat of hedge fund activism affects creditors	14
The anatomy of a fee change — evidence from cryptocurrency markets	13
The impact of liquidity risk in the Chinese banking system on the global commodity markets	13
Smart beta, “smarter” flows	13
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments	13
Easy money and competitive industries’ booms and busts	12
Firm-level political risk and corporate R&D investment	12
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations	12
Are stablecoins the money market mutual funds of the future?	12
Is idiosyncratic risk priced? The international evidence	12
Portfolio homogeneity and systemic risk of financial networks	11
A robust latent factor model for high-dimensional portfolio selection	11
Short-term institutional investors and the diffusion of supply chain information	11
The commodity risk premium and neural networks	11
Technological shocks and stock market volatility over a century	11
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?	11
Social connectedness and cross-border mergers and acquisitions	11
Do fees matter? Investor’s sensitivity to active management fees	11
City goes dark: Dark trading and adverse selection in aggregate markets	11
Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model	10
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	10
Improving information leadership share for measuring price discovery	10
What drives the TIPS–Treasury bond mispricing?	10
International comovement of r	10
Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China	10
Peer influence and the value of cash holdings	10
Machine learning loss given default for corporate debt	10
Depositor responses to a banking crisis: Are finance professionals special?	10
Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market	10
Managerial ability and financial statement disaggregation decisions	10
The AH premium: A tale of “siamese twin” stocks	10
Why Do U.S. Firms Invest Less over Time?	9
Information in unexpected bonus cuts: Firm performance and CEO firings	9
Unlocking predictive potential: The frequency-domain approach to equity premium forecasting	9
The influence of long-term managerial orientation on pay inequality	9
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	9
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	8
Unveiling the villain: Credit supply and the debt trap	8
Reserve holding and bank lending	8
Editorial Board	8
Multiple testing of the forward rate unbiasedness hypothesis across currencies	8
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	8
CEO personality traits and corporate value implication of acquisitions	8

Editorial Board	8
Certainty of uncertainty for asset pricing	8
Technology spillover, corporate investment, and stock returns	8
Managerial commitment and heterogeneity in target-date funds	7
The value of risk-taking in mergers: Role of ownership and country legal institutions	7
Stock return prediction: Stacking a variety of models	7
Small is beautiful? How the introduction of mini futures contracts affects the regular contracts	7
Coskewness and reversal of momentum returns: The US and international evidence	7
Financial statement disaggregation and bank loan pricing	7
Option gamma and stock returns	7
Director optimism and CEO equity compensation	7
Editorial Board	7
Market neutrality and beta crashes	7
Tail risks and private equity performance	7
Skilled active liquidity management: Evidence from shocks to fund flows	7
It is not just What you say, but How you say it: Why tonality matters in central bank communication	7
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	7
The protective role of saving: Bayesian analysis of British panel data	7
An adaptive long memory conditional correlation model	7
Organization capital and analyst coverage	6
Strategic implications of corporate disclosure via Twitter	6
Trading the foreign exchange market with technical analysis and Bayesian Statistics	6
Follow the leader: Index tracking with factor models	6
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	6
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	6
The effects of economic uncertainty on financial volatility: A comprehensive investigation	6
Mispricing chasing and hedge fund returns	6
Effects of customer unionization on supplier relationships and supplier value	6
The aftermath of covenant violations: Evidence from China's corporate debt securities	6
Forecasting realized volatility: Does anything beat linear models?	6
The economic value of equity implied volatility forecasting with machine learning	6
Can we forecast better in periods of low uncertainty? The role of technical indicators	6
Behavioral biases, information frictions and interest rate expectations	6
Local predictability of stock returns and cash flows	6
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	6
The battle between activist hedge funds and labor unions	6
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data	6
Stock return predictability and cyclical movements in valuation ratios	6
Dynamic risk management and asset comovement	6
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	6
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	5
Is convexity efficiently priced? Evidence from international swap markets	5
Option valuation via nonaffine dynamics with realized volatility	5
The role of bad-news coverage and media environments in crash risk around the world	5
Macroeconomic news and price synchronicity	5
The risk–return tradeoff among equity factors	5
Editorial Board	5
(In)Attention: distracted shareholders and corporate innovation	5
Bank stocks, risk factors, and tail behavior	5
Implied local volatility models	5
How does bank opacity affect credit growth and return predictability?	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
Risk optimizations on basis portfolios: The role of sorting	5
Policy risk and insider trading	5
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	5
The effects of banking market structure on corporate cash holdings and the value of cash	5
Credit distortions in Japanese momentum	5
Limit order revisions across investor sophistication	5
Big portfolio selection by graph-based conditional moments method	5
The informativeness of regional GDP announcements: Evidence from China	4
Industry regulation and the comovement of stock returns	4
Why do firms with no leverage still have leverage and volatility feedback effects?	4
Expected returns and risk in the stock market	4
Monitoring institutional ownership and corporate innovation	4
Automated stock picking using random forests	4
Diversity and inclusion: Evidence from corporate inventors	4
Testing predictability of stock returns under possible bubbles	4
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	4
US risk premia under emerging markets constraints	4
When “time varying” volatility meets “transaction cost” in portfolio selection	4
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	4
Income, trading, and performance: Evidence from retail investors	4
Global political risk and international stock returns	4
The contribution of jump signs and activity to forecasting stock price volatility	4
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	4
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
Herding behavior and systemic risk in global stock markets	3
Editorial Board	3
Disagreement, speculation, and the idiosyncratic volatility	3

Development banks and the syndicate structure: Evidence from a world sample	3
Smoking hot portfolios? Trading behavior, investment biases, and self-control failure	3
Horizontal mergers and heterogeneous firm investments: evidence from the United States	3
Predicting corporate policies using downside risk: A machine learning approach	3
Geographical proximity, cultural familiarity and financial information production	3
Tick size and firm financing decisions: Evidence from a natural experiment	3
Enhancing betting against beta with stochastic dominance	3
Income inequality, inflation and financial development	3
Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks	3
Capital mobility and the long-run return–risk trade-offs of industry portfolios	3
Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence	3
Default-probability-implied credit ratings for Chinese firms	3
A financial modeling approach to industry exchange-traded funds selection	3
Co-illiquidity management	3
The rise of venture capital and IPO quality	3
What drives robo-advice?	3
The PhD origins of finance faculty	3
Jump tail risk exposure and the cross-section of stock returns	3
The contributions of betas versus characteristics to the ESG premium	3
Cross-border M&As and credit risk: Evidence from the CDS market	3
Financial risk-taking, religiosity and denomination heterogeneity	2
Do share repurchases facilitate movement toward target capital structure? International evidence	2
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	2
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	2
Religiosity and sovereign credit quality	2
The price discovery role of day traders in futures market: Evidence from different types of day traders	2
The money-inflation nexus revisited	2
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables	2
To be or not to be all-equity for firms that eliminate long-term debt	2
Maxing out short-term reversals in weekly stock returns	2
Forecasting realized volatility with wavelet decomposition	2
Corporate social responsibility and excess perks	2
Running a mutual fund: Performance and trading behavior of runner managers	2
Carbon dioxide and asset pricing: Evidence from international stock markets	2
Expensive anomalies	2
Do investors reach for yield? Evidence from corporate bond mutual fund flows	2
The effect of investor attention on stock price crash risk	2
Natural disasters and the role of regional lenders in economic recovery	2
Overlapping momentum portfolios	2
Household portfolio allocation, uncertainty, and risk	2
Do leveraged warrants prompt individuals to speculate on stock price reversals?	2
Stock price fragility and the cost of bank loans	2
Reinforcement learning and risk preference in equity linked notes markets	2
Product competition, political connections, and the costs of high leverage	2
Maximum likelihood estimation of the Hull–White model	2
The 2008 short-selling ban’s impact on tail risk	2