Journal of Empirical Finance

Article	Citations
Bear factor and hedge fund performance	46
Estimation and inference in low frequency factor model regressions with overlapping observations	45
Uncovered interest rate parity redux: Non-uniform effects	45
Persistent and transient variance components in option pricing models with variance-dependent Kernel	45
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	43
The stock return predictability of treasury bond yield in China	42
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	42
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance	40
Public data openness and trade credit: Evidence from China	40
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	39
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	38
House price bubbles under the COVID-19 pandemic	35
The effect of venture capital backing on innovation in newly public firms	32
A revisit to bias-adjusted predictive regression	27
Customer–supplier relationships and non-linear financial policy response	25
High frequency online inflation and term structure of interest rates: Evidence from China	25
Climate change risk and green bond pricing	25
Editorial Board	23
The stock market tips	22
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	22
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	21
Stock price movements: Evidence from global equity markets	21
Partial moments and indexation investment strategies	20
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	20
The correlated trading and investment performance of individual investors	20

Information salience, investor attention, and stock price crash risk	19
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices	18
Decision-based trades: An analysis of institutional investors’ information advantages	18
Deep learning, predictability, and optimal portfolio returns	17
Peer effects in financial expectations	17
Realized, expected and unexpected returns in asset pricing tests	17
Is this time different? Reconsidering inflation hedged portfolios through community detection and fuzzy network	17
Portfolio homogeneity and systemic risk of financial networks	16
Regulatory fragmentation and corporate innovation	16
Easy money and competitive industries’ booms and busts	16
Is machine learning a necessity? A regression-based approach for stock return prediction	16
A robust latent factor model for high-dimensional portfolio selection	15
Estimation with mixed data frequencies: A bias-correction approach	15
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments	15
Smart beta, “smarter” flows	15
The commodity risk premium and neural networks	15
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations	15
Are stablecoins the money market mutual funds of the future?	14
Firm-level political risk and corporate R&D investment	13
Do fees matter? Investor’s sensitivity to active management fees	13
The anatomy of a fee change — evidence from cryptocurrency markets	13
Depositor responses to a banking crisis: Are finance professionals special?	12
Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market	12
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?	12
Social connectedness and cross-border mergers and acquisitions	12
International comovement of r	12
Improving information leadership share for measuring price discovery	11
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	11
Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model	11
Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China	11
Managerial ability and financial statement disaggregation decisions	11
The AH premium: A tale of “siamese twin” stocks	11
Why does the Cochrane–Piazzesi model predict treasury returns?	11
Technological shocks and stock market volatility over a century	11
Short-term institutional investors and the diffusion of supply chain information	11
Peer influence and the value of cash holdings	10
Information in unexpected bonus cuts: Firm performance and CEO firings	10
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	10
The influence of long-term managerial orientation on pay inequality	10
Unlocking predictive potential: The frequency-domain approach to equity premium forecasting	10
Insider trading and anomalies	10
What drives the TIPS–Treasury bond mispricing?	10
Editorial Board	9
CEO personality traits and corporate value implication of acquisitions	9
Certainty of uncertainty for asset pricing	9
Multiple testing of the forward rate unbiasedness hypothesis across currencies	9
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	9
Mutual fund performance and flow-performance relationship under ambiguity	9
Why Do U.S. Firms Invest Less over Time?	9
Editorial Board	9

Factor pricing across asset classes	9
Editorial Board	8
Unveiling the villain: Credit supply and the debt trap	8
Tail risks and private equity performance	8
Financial statement disaggregation and bank loan pricing	8
Technology spillover, corporate investment, and stock returns	8
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	8
Don’t draw the downs apart – How to best simulate asset price drawdowns	8
Reserve holding and bank lending	8
Managerial commitment and heterogeneity in target-date funds	8
Household debt overhang and bankruptcy abuse prevention	7
Editorial Board	7
It is not just What you say, but How you say it: Why tonality matters in central bank communication	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
Director optimism and CEO equity compensation	7
The value of risk-taking in mergers: Role of ownership and country legal institutions	7
An adaptive long memory conditional correlation model	7
Market neutrality and beta crashes	7
Option gamma and stock returns	7
Coskewness and reversal of momentum returns: The US and international evidence	7
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	6
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	6
Editorial Board	6
Skilled active liquidity management: Evidence from shocks to fund flows	6
Organization capital and analyst coverage	6
Mispricing chasing and hedge fund returns	6
Effects of customer unionization on supplier relationships and supplier value	6
Strategic implications of corporate disclosure via Twitter	6
Local predictability of stock returns and cash flows	6
The aftermath of covenant violations: Evidence from China's corporate debt securities	6
Behavioral biases, information frictions and interest rate expectations	5
Trust and momentum: International evidence	5
The effects of economic uncertainty on financial volatility: A comprehensive investigation	5
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	5
The battle between activist hedge funds and labor unions	5
Bank dividends, interest expenses, and leverage	5
Stock return predictability and cyclical movements in valuation ratios	5
Forecasting realized volatility: Does anything beat linear models?	5
The role of bad-news coverage and media environments in crash risk around the world	5
Salience theory and cross-sectional corporate bond returns	5
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	5
Sparse heterogeneous auto-regressive model for volatility forecasting	5
The economic value of equity implied volatility forecasting with machine learning	5
Dynamic risk management and asset comovement	5
Big portfolio selection by graph-based conditional moments method	4
Option valuation via nonaffine dynamics with realized volatility	4
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	4
The risk–return tradeoff among equity factors	4
Media, inventors, and corporate innovation	4
The effects of banking market structure on corporate cash holdings and the value of cash	4
Limit order revisions across investor sophistication	4
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	4
Can we forecast better in periods of low uncertainty? The role of technical indicators	4
Investors awaken: Fragility in China’s wealth management product market	4
Testing predictability of stock returns under possible bubbles	4
The informativeness of regional GDP announcements: Evidence from China	4
Are the stylized features of stock returns the same in market downturns and upturns?	4
Policy risk and insider trading	4
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	4
Credit distortions in Japanese momentum	4
(In)Attention: distracted shareholders and corporate innovation	4
Positivity and long-lasting momentum	4
Global political risk and international stock returns	4
Monitoring institutional ownership and corporate innovation	4
Macroeconomic news and price synchronicity	4
Implied local volatility models	4
Time series momentum and reversal: Intraday information from realized semivariance	4
How does bank opacity affect credit growth and return predictability?	4
Automated stock picking using random forests	3
US risk premia under emerging markets constraints	3
The contributions of betas versus characteristics to the ESG premium	3
Measuring daily systemic risk with intraday data: Evidence from foreign exchange market	3
Disagreement, speculation, and the idiosyncratic volatility	3
Geographical proximity, cultural familiarity and financial information production	3
Income inequality, inflation and financial development	3
What drives retail investors’ overconfidence? The role of information acquisition costs	3
Herding behavior and systemic risk in global stock markets	3
Co-illiquidity management	3
Why do firms with no leverage still have leverage and volatility feedback effects?	3

Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	3
Enhancing betting against beta with stochastic dominance	3
Default-probability-implied credit ratings for Chinese firms	3
The free dividend fallacy in the Chinese stock market: Evidence from stock pricing behavior around ex-dividend day	3
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
The rise of venture capital and IPO quality	3
Expected returns and risk in the stock market	3
The veracity of insider trading signals in financially distressed firms	3
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	3
Industry regulation and the comovement of stock returns	3
Momentum is still there conditional on volatility-amplified pessimism	3
Unlocking stability: Corporate site visits and information disclosure	3
When “time varying” volatility meets “transaction cost” in portfolio selection	3
Tick size and firm financing decisions: Evidence from a natural experiment	3
Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks	3
What drives robo-advice?	3
Machine learning for realised volatility forecasting	3
A financial modeling approach to industry exchange-traded funds selection	3
The contribution of jump signs and activity to forecasting stock price volatility	3
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	3
Editorial Board	3
Carbon dioxide and asset pricing: Evidence from international stock markets	2
Prospect theory and stock price behavior in retail trading booms	2
The PhD origins of finance faculty	2
Horizontal mergers and heterogeneous firm investments: evidence from the United States	2
Economic aggregation of return signals in global markets	2
The 2008 short-selling ban’s impact on tail risk	2
Forecasting realized volatility with wavelet decomposition	2
Religiosity and sovereign credit quality	2
Capital mobility and the long-run return–risk trade-offs of industry portfolios	2
Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence	2
Running a mutual fund: Performance and trading behavior of runner managers	2
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	2
Product competition, political connections, and the costs of high leverage	2
Do investors reach for yield? Evidence from corporate bond mutual fund flows	2
Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic	2
Economic conditions and portfolio tail risk: A probability-weighted simulation approach	2
Jump tail risk exposure and the cross-section of stock returns	2
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	2
Corporate social responsibility and excess perks	2
The money-inflation nexus revisited	2