Journal of Empirical Finance

Article	Citations
Bear factor and hedge fund performance	48
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	47
Persistent and transient variance components in option pricing models with variance-dependent Kernel	47
The effect of venture capital backing on innovation in newly public firms	46
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance	46
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	46
Public data openness and trade credit: Evidence from China	43
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	43
House price bubbles under the COVID-19 pandemic	42
Estimation and inference in low frequency factor model regressions with overlapping observations	42
The stock return predictability of treasury bond yield in China	39
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	35
A revisit to bias-adjusted predictive regression	34
High frequency online inflation and term structure of interest rates: Evidence from China	30
Editorial Board	28
Customer–supplier relationships and non-linear financial policy response	28
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	24
Back to the future: Revival of behavioral explanations for long-term return reversals	24
Stock price movements: Evidence from global equity markets	24
The real effects of AI: Evidence from corporate investment efficiency	23
Identifying excessive spread dispersion in the euro area: When do sovereign spreads go beyond fundamentals?	23
Climate change risk and green bond pricing	23
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	22
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	22
The correlated trading and investment performance of individual investors	21

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

Factor pricing across asset classes	9
Editorial Board	8
Tail risks and private equity performance	8
Financial statement disaggregation and bank loan pricing	8
Household debt overhang and bankruptcy abuse prevention	8
Managerial commitment and heterogeneity in target-date funds	8
Don’t draw the downs apart: How to best simulate asset price drawdowns	8
Technology spillover, corporate investment, and stock returns	8
Market neutrality and beta crashes	8
Editorial Board	8
Unveiling the villain: Credit supply and the debt trap	8
Spotlight on the neighborhood: The spillover effect of IPOs on retail investor attention	8
Risk-based peer networks and return predictability: Evidence from textual analysis on 10-K filings	8
Director optimism and CEO equity compensation	7
The value of risk-taking in mergers: Role of ownership and country legal institutions	7
It is not just What you say, but How you say it: Why tonality matters in central bank communication	7
An adaptive long memory conditional correlation model	7
Option gamma and stock returns	7
Coskewness and reversal of momentum returns: The US and international evidence	7
Option-implied variance asymmetry and stock market returns	7
Editorial Board	7
The battle between activist hedge funds and labor unions	6
Organization capital and analyst coverage	6
Effects of customer unionization on supplier relationships and supplier value	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
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	6
The aftermath of covenant violations: Evidence from China's corporate debt securities	6
Strategic implications of corporate disclosure via Twitter	6
Mispricing chasing and hedge fund returns	6
Skilled active liquidity management: Evidence from shocks to fund flows	6
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	5
Trust and momentum: International evidence	5
The role of bad-news coverage and media environments in crash risk around the world	5
The economic value of equity implied volatility forecasting with machine learning	5
Credit distortions in Japanese momentum	5
Bank dividends, interest expenses, and leverage	5
Salience theory and cross-sectional corporate bond returns	5
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	5
Forecasting realized volatility: Does anything beat linear models?	5
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	5
Behavioral biases, information frictions and interest rate expectations	5
Sparse heterogeneous auto-regressive model for volatility forecasting	5
Stock return predictability and cyclical movements in valuation ratios	5
The effects of economic uncertainty on financial volatility: A comprehensive investigation	5
The effects of banking market structure on corporate cash holdings and the value of cash	5
Can we forecast better in periods of low uncertainty? The role of technical indicators	5
The risk–return tradeoff among equity factors	4
Positivity and long-lasting momentum	4
Industry regulation and the comovement of stock returns	4
Are the stylized features of stock returns the same in market downturns and upturns?	4
(In)Attention: distracted shareholders and corporate innovation	4
Implied local volatility models	4
Big portfolio selection by graph-based conditional moments method	4
Media, inventors, and corporate innovation	4
Testing predictability of stock returns under possible bubbles	4
Automated stock picking using random forests	4
Why do firms with no leverage still have leverage and volatility feedback effects?	4
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	4
Policy risk and insider trading	4
Option valuation via nonaffine dynamics with realized volatility	4
Macroeconomic news and price synchronicity	4
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	4
Investors awaken: Fragility in China’s wealth management product market	4
How does bank opacity affect credit growth and return predictability?	4
Limit order revisions across investor sophistication	4
Time series momentum and reversal: Intraday information from realized semivariance	4
Global political risk and international stock returns	3
Enhancing betting against beta with stochastic dominance	3
Editorial Board	3
Machine learning for realised volatility forecasting	3
Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks	3
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	3
Tick size and firm financing decisions: Evidence from a natural experiment	3
The veracity of insider trading signals in financially distressed firms	3
Co-illiquidity management	3
What drives retail investors’ overconfidence? The role of information acquisition costs	3
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	3
When “time varying” volatility meets “transaction cost” in portfolio selection	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
The free dividend fallacy in the Chinese stock market: Evidence from stock pricing behavior around ex-dividend day	3
Income inequality, inflation and financial development	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
The rise of venture capital and IPO quality	3
Monitoring institutional ownership and corporate innovation	3
Unlocking stability: Corporate site visits and information disclosure	3
Herding behavior and systemic risk in global stock markets	3
Default-probability-implied credit ratings for Chinese firms	3
Disagreement, speculation, and the idiosyncratic volatility	3
Geographical proximity, cultural familiarity and financial information production	3
Expected returns and risk in the stock market	3
Momentum is still there conditional on volatility-amplified pessimism	3
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	3
Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence	2
Economic conditions and portfolio tail risk: A probability-weighted simulation approach	2
Horizontal mergers and heterogeneous firm investments: evidence from the United States	2
Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic	2
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	2
Economic aggregation of return signals in global markets	2
The impact of series investment companies on mutual fund attributes	2
Do investors reach for yield? Evidence from corporate bond mutual fund flows	2
Capital mobility and the long-run return–risk trade-offs of industry portfolios	2
Prospect theory and stock price behavior in retail trading booms	2
Jump tail risk exposure and the cross-section of stock returns	2
Running a mutual fund: Performance and trading behavior of runner managers	2
Corporate social responsibility and excess perks	2
Overlapping momentum portfolios	2
Carbon dioxide and asset pricing: Evidence from international stock markets	2
The PhD origins of finance faculty	2
What drives robo-advice?	2
Religiosity and sovereign credit quality	2
Product competition, political connections, and the costs of high leverage	2
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	2