Journal of Empirical Finance

Article	Citations
Persistent and transient variance components in option pricing models with variance-dependent Kernel	105
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	102
Uncovered interest rate parity redux: Non-uniform effects	86
Estimation and inference in low frequency factor model regressions with overlapping observations	46
The effect of venture capital backing on innovation in newly public firms	41
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	40
House price bubbles under the COVID-19 pandemic	37
Timing is money: The factor timing ability of hedge fund managers	35
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	34
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	33
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	31
Bear factor and hedge fund performance	31
Stock price movements: Evidence from global equity markets	31
The stock market tips	30
In search of retail investors: The effect of retail investor attention on odd lot trades	30
A revisit to bias-adjusted predictive regression	29
Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty	27
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	26
Exploring risk premium factors for country equity returns	25
Executive compensation and aspirational peer benchmarking	25
Climate change risk and green bond pricing	23
Tariff uncertainty and firm innovation: Evidence from the U.S.–China Permanent Normal Trade Relation	23
Customer–supplier relationships and non-linear financial policy response	22
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	21
Forecasting stock returns with large dimensional factor models	20

Partial moments and indexation investment strategies	20
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	19
The correlated trading and investment performance of individual investors	19
Is machine learning a necessity? A regression-based approach for stock return prediction	19
Caught in the crossfire: How the threat of hedge fund activism affects creditors	18
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
Regulatory fragmentation and corporate innovation	17
The transformed Gram Charlier distribution: Parametric properties and financial risk applications	16
Estimation with mixed data frequencies: A bias-correction approach	16
Diversification in lottery-like features and portfolio pricing discount: Evidence from closed-end funds	16
The anatomy of a fee change — evidence from cryptocurrency markets	15
The impact of liquidity risk in the Chinese banking system on the global commodity markets	15
Are stablecoins the money market mutual funds of the future?	15
Smart beta, “smarter” flows	14
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations	14
Is idiosyncratic risk priced? The international evidence	14
Easy money and competitive industries’ booms and busts	13
The commodity risk premium and neural networks	12
Firm-level political risk and corporate R&D investment	12
Portfolio homogeneity and systemic risk of financial networks	11
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments	11
Machine learning loss given default for corporate debt	11
City goes dark: Dark trading and adverse selection in aggregate markets	10
Technological shocks and stock market volatility over a century	10
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?	10
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	10
Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market	10
Do fees matter? Investor’s sensitivity to active management fees	10
Social connectedness and cross-border mergers and acquisitions	10
Depositor responses to a banking crisis: Are finance professionals special?	10
International comovement of r	10
Short-term institutional investors and the diffusion of supply chain information	10
Managerial ability and financial statement disaggregation decisions	10
Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model	10
Trading activity and price discovery in Bitcoin futures markets	10
Why Do U.S. Firms Invest Less over Time?	9
What drives the TIPS–Treasury bond mispricing?	9
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	9
The AH premium: A tale of “siamese twin” stocks	9
Information in unexpected bonus cuts: Firm performance and CEO firings	9
Peer influence and the value of cash holdings	9
Editorial Board	8
Multiple testing of the forward rate unbiasedness hypothesis across currencies	8
The influence of long-term managerial orientation on pay inequality	8
Certainty of uncertainty for asset pricing	8
CEO personality traits and corporate value implication of acquisitions	8
Deciphering big data in consumer credit evaluation	8
Editorial Board	8
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	8

Small is beautiful? How the introduction of mini futures contracts affects the regular contracts	7
Option gamma and stock returns	7
Coskewness and reversal of momentum returns: The US and international evidence	7
Tail risks and private equity performance	7
Managerial commitment and heterogeneity in target-date funds	7
Reserve holding and bank lending	7
An adaptive long memory conditional correlation model	7
Director optimism and CEO equity compensation	7
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	7
Financial statement disaggregation and bank loan pricing	7
The protective role of saving: Bayesian analysis of British panel data	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
Unveiling the villain: Credit supply and the debt trap	7
Technology spillover, corporate investment, and stock returns	7
Market neutrality and beta crashes	7
Stock return prediction: Stacking a variety of models	7
Does vega-neutral options trading contain information?	6
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	6
Skilled active liquidity management: Evidence from shocks to fund flows	6
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	6
Stock return predictability and cyclical movements in valuation ratios	6
Follow the leader: Index tracking with factor models	6
Can we forecast better in periods of low uncertainty? The role of technical indicators	6
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	6
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	6
Trading the foreign exchange market with technical analysis and Bayesian Statistics	6
Organization capital and analyst coverage	6
Effects of customer unionization on supplier relationships and supplier value	6
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data	6
Local predictability of stock returns and cash flows	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
Forecasting realized volatility: Does anything beat linear models?	6
Dynamic risk management and asset comovement	6
The battle between activist hedge funds and labor unions	6
Mispricing chasing and hedge fund returns	6
Editorial Board	6
The aftermath of covenant violations: Evidence from China's corporate debt securities	6
Volatility cascades in cryptocurrency trading	6
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	6
The economic value of equity implied volatility forecasting with machine learning	6
Bank stocks, risk factors, and tail behavior	5
The effects of banking market structure on corporate cash holdings and the value of cash	5
The risk–return tradeoff among equity factors	5
Limit order revisions across investor sophistication	5
Implied local volatility models	5
Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations	5
Policy risk and insider trading	5
Macroeconomic news and price synchronicity	5
Credit distortions in Japanese momentum	5
Editorial Board	5
How does bank opacity affect credit growth and return predictability?	5
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	5
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	5
Big portfolio selection by graph-based conditional moments method	5
(In)Attention: Distracted Shareholders and Corporate Innovation	5
Editorial Board	5
Option valuation via nonaffine dynamics with realized volatility	5
Time series momentum and reversal: Intraday information from realized semivariance	5
Is convexity efficiently priced? Evidence from international swap markets	5
Income, trading, and performance: Evidence from retail investors	4
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	4
Testing predictability of stock returns under possible bubbles	4
Diversity and inclusion: Evidence from corporate inventors	4
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	4
Risk optimizations on basis portfolios: The role of sorting	4
Industry regulation and the comovement of stock returns	4
Herding behavior and systemic risk in global stock markets	4
The informativeness of regional GDP announcements: Evidence from China	4
Monitoring institutional ownership and corporate innovation	4
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	4
Why do firms with no leverage still have leverage and volatility feedback effects?	4
Automated stock picking using random forests	4
Global political risk and international stock returns	4
Predicting corporate policies using downside risk: A machine learning approach	3
Jump tail risk exposure and the cross-section of stock returns	3
The contributions of betas versus characteristics to the ESG premium	3
A financial modeling approach to industry exchange-traded funds selection	3
Enhancing betting against beta with stochastic dominance	3

Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	3
The contribution of jump signs and activity to forecasting stock price volatility	3
Disagreement, speculation, and the idiosyncratic volatility	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
Stock price fragility and the cost of bank loans	3
Smoking hot portfolios? Trading behavior, investment biases, and self-control failure	3
Editorial Board	3
The rise of venture capital and IPO quality	3
US risk premia under emerging markets constraints	3
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
Development banks and the syndicate structure: Evidence from a world sample	3
The PhD origins of finance faculty	3
Capital mobility and the long-run return–risk trade-offs of industry portfolios	3
Cross-border M&As and credit risk: Evidence from the CDS market	3
Horizontal mergers and heterogeneous firm investments: evidence from the United States	3
Geographical proximity, cultural familiarity and financial information production	3
Income inequality, inflation and financial development	3
Co-illiquidity management	3
Expected returns and risk in the stock market	3
When “time varying” volatility meets “transaction cost” in portfolio selection	3
What drives robo-advice?	3
Forecasting realized volatility with wavelet decomposition	2
To be or not to be all-equity for firms that eliminate long-term debt	2
Editorial Board	2
Natural disasters and the role of regional lenders in economic recovery	2
The effect of investor attention on stock price crash risk	2
Maximum likelihood estimation of the Hull–White model	2
Corporate social responsibility and excess perks	2
Do leveraged warrants prompt individuals to speculate on stock price reversals?	2
Reinforcement learning and risk preference in equity linked notes markets	2
The 2008 short-selling ban’s impact on tail risk	2
Geographic diversification and corporate cash holdings	2
Does the executive labor market discipline? Labor market incentives and earnings management	2
Forecasting earnings with combination of analyst forecasts	2
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables	2
Household portfolio allocation, uncertainty, and risk	2
Overlapping momentum portfolios	2
Expensive anomalies	2
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	2
Government Affiliation and Peer-To-Peer Lending Platforms in China	2
The money-inflation nexus revisited	2
Carbon dioxide and asset pricing: Evidence from international stock markets	2
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns	2
Inverted vs maker-taker routing choice and trader information	2
Maxing out short-term reversals in weekly stock returns	2
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
Religiosity and sovereign credit quality	2
Product competition, political connections, and the costs of high leverage	2
Running a mutual fund: Performance and trading behavior of runner managers	2