Journal of Empirical Finance

Article	Citations
Persistent and transient variance components in option pricing models with variance-dependent Kernel	110
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	104
Uncovered interest rate parity redux: Non-uniform effects	93
Estimation and inference in low frequency factor model regressions with overlapping observations	41
The effect of venture capital backing on innovation in newly public firms	38
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	35
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	35
Bear factor and hedge fund performance	33
House price bubbles under the COVID-19 pandemic	33
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
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	30
Stock price movements: Evidence from global equity markets	29
The stock market tips	29
Climate change risk and green bond pricing	28
A revisit to bias-adjusted predictive regression	25
Customer–supplier relationships and non-linear financial policy response	24
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
Partial moments and indexation investment strategies	23
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	22
Forecasting stock returns with large dimensional factor models	20
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
Caught in the crossfire: How the threat of hedge fund activism affects creditors	18

Regulatory fragmentation and corporate innovation	16
Decision-based trades: An analysis of institutional investors’ information advantages	16
Estimation with mixed data frequencies: A bias-correction approach	15
Is machine learning a necessity? A regression-based approach for stock return prediction	15
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices	15
The impact of liquidity risk in the Chinese banking system on the global commodity markets	14
The transformed Gram Charlier distribution: Parametric properties and financial risk applications	14
Smart beta, “smarter” flows	13
The anatomy of a fee change — evidence from cryptocurrency markets	13
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?	13
Is idiosyncratic risk priced? The international evidence	12
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations	12
Firm-level political risk and corporate R&D investment	12
Easy money and competitive industries’ booms and busts	12
Short-term institutional investors and the diffusion of supply chain information	11
Portfolio homogeneity and systemic risk of financial networks	11
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?	11
Do fees matter? Investor’s sensitivity to active management fees	11
The commodity risk premium and neural networks	11
Technological shocks and stock market volatility over a century	11
Social connectedness and cross-border mergers and acquisitions	11
Managerial ability and financial statement disaggregation decisions	10
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	10
City goes dark: Dark trading and adverse selection in aggregate markets	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
Machine learning loss given default for corporate debt	10
Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model	10
Peer influence and the value of cash holdings	10
International comovement of r	10
Information in unexpected bonus cuts: Firm performance and CEO firings	9
Editorial Board	9
The AH premium: A tale of “siamese twin” stocks	9
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	9
Editorial Board	9
What drives the TIPS–Treasury bond mispricing?	9
Why Do U.S. Firms Invest Less over Time?	9
The influence of long-term managerial orientation on pay inequality	9
CEO personality traits and corporate value implication of acquisitions	8
Unveiling the villain: Credit supply and the debt trap	8
Managerial commitment and heterogeneity in target-date funds	8
Technology spillover, corporate investment, and stock returns	8
Certainty of uncertainty for asset pricing	8
Multiple testing of the forward rate unbiasedness hypothesis across currencies	8
Financial statement disaggregation and bank loan pricing	8
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	8
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	8
Reserve holding and bank lending	8
Tail risks and private equity performance	8

Coskewness and reversal of momentum returns: The US and international evidence	7
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	7
The aftermath of covenant violations: Evidence from China's corporate debt securities	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
Stock return prediction: Stacking a variety of models	7
Skilled active liquidity management: Evidence from shocks to fund flows	7
The value of risk-taking in mergers: Role of ownership and country legal institutions	7
Option gamma and stock returns	7
Director optimism and CEO equity compensation	7
Small is beautiful? How the introduction of mini futures contracts affects the regular contracts	7
Editorial Board	7
Effects of customer unionization on supplier relationships and supplier value	7
Market neutrality and beta crashes	7
An adaptive long memory conditional correlation model	7
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	6
Mispricing chasing and hedge fund returns	6
Local predictability of stock returns and cash flows	6
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	6
Implied local volatility models	6
The effects of economic uncertainty on financial volatility: A comprehensive investigation	6
The role of bad-news coverage and media environments in crash risk around the world	6
Follow the leader: Index tracking with factor models	6
Organization capital and analyst coverage	6
The battle between activist hedge funds and labor unions	6
Dynamic risk management and asset comovement	6
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	6
Option valuation via nonaffine dynamics with realized volatility	6
Forecasting realized volatility: Does anything beat linear models?	6
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	6
Trading the foreign exchange market with technical analysis and Bayesian Statistics	6
The economic value of equity implied volatility forecasting with machine learning	6
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data	6
How does bank opacity affect credit growth and return predictability?	6
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	6
Can we forecast better in periods of low uncertainty? The role of technical indicators	6
Stock return predictability and cyclical movements in valuation ratios	6
Policy risk and insider trading	5
Big portfolio selection by graph-based conditional moments method	5
The effects of banking market structure on corporate cash holdings and the value of cash	5
Risk optimizations on basis portfolios: The role of sorting	5
Why do firms with no leverage still have leverage and volatility feedback effects?	5
Bank stocks, risk factors, and tail behavior	5
The risk–return tradeoff among equity factors	5
Credit distortions in Japanese momentum	5
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	5
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	5
Limit order revisions across investor sophistication	5
Is convexity efficiently priced? Evidence from international swap markets	5
Macroeconomic news and price synchronicity	5
Time series momentum and reversal: Intraday information from realized semivariance	5
Editorial Board	5
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	5
Income, trading, and performance: Evidence from retail investors	4
Automated stock picking using random forests	4
Expected returns and risk in the stock market	4
When “time varying” volatility meets “transaction cost” in portfolio selection	4
The contribution of jump signs and activity to forecasting stock price volatility	4
Monitoring institutional ownership and corporate innovation	4
Industry regulation and the comovement of stock returns	4
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	4
US risk premia under emerging markets constraints	4
Enhancing betting against beta with stochastic dominance	4
Global political risk and international stock returns	4
The informativeness of regional GDP announcements: Evidence from China	4
Testing predictability of stock returns under possible bubbles	4
The rise of venture capital and IPO quality	4
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	4
Editorial Board	4
Diversity and inclusion: Evidence from corporate inventors	4
Development banks and the syndicate structure: Evidence from a world sample	3
Disagreement, speculation, and the idiosyncratic volatility	3
Herding behavior and systemic risk in global stock markets	3
The contributions of betas versus characteristics to the ESG premium	3
Jump tail risk exposure and the cross-section of stock returns	3
Cross-border M&As and credit risk: Evidence from the CDS market	3
Reinforcement learning and risk preference in equity linked notes markets	3
Stock price fragility and the cost of bank loans	3
The PhD origins of finance faculty	3
Smoking hot portfolios? Trading behavior, investment biases, and self-control failure	3

A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
Income inequality, inflation and financial development	3
Geographical proximity, cultural familiarity and financial information production	3
Horizontal mergers and heterogeneous firm investments: evidence from the United States	3
Carbon dioxide and asset pricing: Evidence from international stock markets	3
The price discovery role of day traders in futures market: Evidence from different types of day traders	3
Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence	3
Predicting corporate policies using downside risk: A machine learning approach	3
Cross-market volatility forecasting with attention-based spatial-temporal graph convolutional networks	3
A financial modeling approach to industry exchange-traded funds selection	3
Co-illiquidity management	3
What drives robo-advice?	3
Running a mutual fund: Performance and trading behavior of runner managers	3
Religiosity and sovereign credit quality	3
Product competition, political connections, and the costs of high leverage	3
Capital mobility and the long-run return–risk trade-offs of industry portfolios	3
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	2
To be or not to be all-equity for firms that eliminate long-term debt	2
Forecasting realized volatility with wavelet decomposition	2
Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies	2
Forecasting earnings with combination of analyst forecasts	2
Maximum likelihood estimation of the Hull–White model	2
The money-inflation nexus revisited	2
Maxing out short-term reversals in weekly stock returns	2
Expensive anomalies	2
Editorial Board	2
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables	2
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns	2
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	2
Coreversal: The booms and busts of arbitrage activities in China	2
CEO networks and the labor market for directors	2
Household portfolio allocation, uncertainty, and risk	2
Overlapping momentum portfolios	2
Corporate social responsibility and excess perks	2
The effect of investor attention on stock price crash risk	2
Do share repurchases facilitate movement toward target capital structure? International evidence	2
Financial risk-taking, religiosity and denomination heterogeneity	2
Geographic diversification and corporate cash holdings	2
Portfolio optimization with estimation errors—A robust linear regression approach	2
The 2008 short-selling ban’s impact on tail risk	2
Natural disasters and the role of regional lenders in economic recovery	2
Do leveraged warrants prompt individuals to speculate on stock price reversals?	2
Inverted vs maker-taker routing choice and trader information	2