Journal of Empirical Finance

Article	Citations
Reinsurance demand and liquidity creation: A search for bicausality	100
Uncovered interest rate parity redux: Non-uniform effects	95
The effects of economic uncertainty on financial volatility: A comprehensive investigation	80
Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities	42
Corporate social responsibility and excess perks	36
Introducing article numbering to Journal of Empirical Finance	35
Information in unexpected bonus cuts: Firm performance and CEO firings	35
Editorial Board	32
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	31
The role of bad-news coverage and media environments in crash risk around the world	31
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	30
Dynamic risk management and asset comovement	29
Why Do U.S. Firms Invest Less over Time?	29
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	27
Estimation and inference in low frequency factor model regressions with overlapping observations	27
A portfolio-level, sum-of-the-parts approach to return predictability	26
What drives the TIPS–Treasury bond mispricing?	24
House price bubbles under the COVID-19 pandemic	23
Shadow capital in venture financing: Selection, valuation, and exit dynamic	22
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	20
Forecasting realized volatility: Does anything beat linear models?	19
Banker directors on board and corporate tax avoidance	18
Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?	18
Isolating momentum crashes	18
The non-linear trade-off between return and risk and its determinants	17

Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	16
Do leveraged warrants prompt individuals to speculate on stock price reversals?	15
Peer influence and the value of cash holdings	15
Does subsidiary bank failure affect parents’ capital decisions? Evidence from US bank holding companies	15
New evidence on Bayesian tests of global factor pricing models	15
Running a mutual fund: Performance and trading behavior of runner managers	15
Timing is money: The factor timing ability of hedge fund managers	14
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	14
Intraday VaR: A copula-based approach	14
Gold, platinum, and mutual fund flows	13
The AH premium: A tale of “siamese twin” stocks	12
Persistent and transient variance components in option pricing models with variance-dependent Kernel	12
Can we forecast better in periods of low uncertainty? The role of technical indicators	11
Forecasting tail risk measures for financial time series: An extreme value approach with covariates	11
The effect of venture capital backing on innovation in newly public firms	11
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	10
Time-varying Z-score measures for bank insolvency risk: Best practice	10
The Influence of Long-term Managerial Orientation on Pay Inequality	10
Investor sentiment and stock returns: Global evidence	10
Oil price shocks and the US stock market: A nonlinear approach	10
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	10
How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs?	9
Bond issuance and the funding choices of European banks: The consequences of public debt	9
Editorial Board	9
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	9
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables	9
Deciphering big data in consumer credit evaluation	9
Spillover effects in managerial compensation	8
Is convexity efficiently priced? Evidence from international swap markets	8
Expensive anomalies	8
Economic evaluation of asset pricing models under predictability	8
Limit order revisions across investor sophistication	8
Mortgage credit growth for lower-income borrowers during the 2000s housing boom: Evidence and implications	8
Stock price movements: Evidence from global equity markets	8
Editorial Board	8
Executive compensation and aspirational peer benchmarking	8
Option valuation via nonaffine dynamics with realized volatility	8
Exploring risk premium factors for country equity returns	7
Policy risk and insider trading	7
Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio	7
Editorial Board	7
Price convergence between credit default swap and put option: New evidence	7
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models	7
The stock market tips	7
Implied local volatility models	7
Forecasting realized volatility with wavelet decomposition	7
Social capital and the pricing of initial public offerings	7
Whose money is smart? Individual and institutional investors’ trades based on analyst recommendations	7
In search of retail investors: The effect of retail investor attention on odd lot trades	7
A revisit to bias-adjusted predictive regression	7

Big portfolio selection by graph-based conditional moments method	6
Do share repurchases facilitate movement toward target capital structure? International evidence	6
Bank stocks, risk factors, and tail behavior	6
The diversification benefits and policy risks of accessing China’s stock market	6
Predictive regression with p-lags and order-6
How does bank opacity affect credit growth and return predictability?	6
Tariff uncertainty and firm innovation: Evidence from the U.S.–China Permanent Normal Trade Relation	6
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	6
Household portfolio allocation, uncertainty, and risk	6
Corporate hedging fragility in the over-the-counter market	6
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	6
Portfolio allocation over the life cycle with multiple late-in-life saving motives	6
Do financial variables help predict the conditional distribution of the market portfolio?	6
Mutual fund (sub)advisor connections and crowds	6
Natural disasters and the role of regional lenders in economic recovery	6
The effect of investor attention on stock price crash risk	5
Customer–supplier relationships and non-linear financial policy response	5
Maximum likelihood estimation of the Hull–White model	5
The 2008 short-selling ban’s impact on tail risk	5
Time series momentum and reversal: Intraday information from realized semivariance	5
The money-inflation nexus revisited	5
CEO personality traits and corporate value implication of acquisitions	5
Climate change concerns and mortgage lending	5
To be or not to be all-equity for firms that eliminate long-term debt	5
Multiple testing of the forward rate unbiasedness hypothesis across currencies	5
Macroeconomic news and price synchronicity	5
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	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
Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty	5
Financial risk-taking, religiosity and denomination heterogeneity	5
Overlapping momentum portfolios	5
Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings	5
Certainty of uncertainty for asset pricing	5
Risk optimizations on basis portfolios: The role of sorting	4
Global political risk and international stock returns	4
Automated stock picking using random forests	4
Editorial Board	4
Monitoring institutional ownership and corporate innovation	4
Editorial Board	4
Editorial Board	4
Out-of-sample equity premium prediction: The role of option-implied constraints	4
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns	4
Editorial Board	4
Industry regulation and the comovement of stock returns	4
Editorial Board	4
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	4
Policy uncertainty, bad news disclosure, and stock price crash risk	4
Media coverage and investment efficiency	4
Non-marketability and one-day selling lockup	4
Testing predictability of stock returns under possible bubbles	4
Editorial Board	4
Editorial Board	4
Using the Bayesian sampling method to estimate corporate loss given default distribution	3
Investment restrictions and fund performance	3
Income, trading, and performance: Evidence from retail investors	3
What does a term structure model imply about very long-term interest rates?	3
Instantaneous volatility of the yield curve, variance risk premium and bond return predictability	3
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile	3
Time-varying variance decomposition of macro-finance term structure models	3
Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data	3
Housing market spillovers through the lens of transaction volume: A new spillover index approach	3
Inverted vs maker-taker routing choice and trader information	3
Tail risks and private equity performance	3
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	3
Partial moments and indexation investment strategies	3
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	3
Time-dependent lottery preference and the cross-section of stock returns	3
Managerial commitment and heterogeneity in target-date funds	3
Forecasting volatility using double shrinkage methods	3
Why do firms with no leverage still have leverage and volatility feedback effects?	3
Technology spillover, corporate investment, and stock returns	3
A comparison of factor models in China	3
CEO networks and the labor market for directors	3
Forecasting earnings with combination of analyst forecasts	3
Long-horizon stock valuation and return forecasts based on demographic projections	2
Options trading imbalance, cash-flow news, and discount-rate news	2
Individual investors’ trading behavior and gender difference in tolerance of sex crimes: Evidence from a natural experiment	2
US risk premia under emerging markets constraints	2
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	2

An adaptive long memory conditional correlation model	2
Does carbon risk exposure make funds more vulnerable?	2
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	2
Geographic diversification and corporate cash holdings	2
Income inequality, inflation and financial development	2
Editorial Board	2
Financial statement disaggregation and bank loan pricing	2
Asymmetric effects of the limit order book on price dynamics	2
Do negative interest rates affect bank risk-taking?	2
Director optimism and CEO equity compensation	2
Reserve holding and bank lending	2
Is firm-level political risk priced in the corporate bond market?	2
Forecasting stock returns with large dimensional factor models	2
Editorial Board	2
Caught in the crossfire: How the threat of hedge fund activism affects creditors	2
Unveiling the villain: Credit supply and the debt trap	2
The role of intermediaries in derivatives markets: Evidence from VIX options	2
The correlated trading and investment performance of individual investors	2
Small is beautiful? How the introduction of mini futures contracts affects the regular contracts	2
When “time varying” volatility meets “transaction cost” in portfolio selection	2
The contribution of jump signs and activity to forecasting stock price volatility	2
Diversity and inclusion: Evidence from corporate inventors	2
Herding behavior and systemic risk in global stock markets	2
Non-standard errors in asset pricing: Mind your sorts	2
Burned by leverage? Flows and fragility in bond mutual funds	2
Term premia and short rate expectations in the euro area	2
Gender and herding	2
Tail risk dynamics of banks with score-driven extreme value models	2
The informativeness of regional GDP announcements: Evidence from China	2
Does the executive labor market discipline? Labor market incentives and earnings management	2
A toolkit for exploiting contemporaneous stock correlations	2
The protective role of saving: Bayesian analysis of British panel data	2