Journal of Empirical Finance

Article	Citations
Persistent and transient variance components in option pricing models with variance-dependent Kernel	113
Uncovered interest rate parity redux: Non-uniform effects	45
House price bubbles under the COVID-19 pandemic	40
Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition	40
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices	38
The effect of venture capital backing on innovation in newly public firms	38
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA	36
Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach	35
Public data openness and trade credit: Evidence from China	35
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance	35
Bear factor and hedge fund performance	34
Estimation and inference in low frequency factor model regressions with overlapping observations	32
Are cryptocurrencies a safe haven for stock investors? A regime-switching approach	31
A revisit to bias-adjusted predictive regression	30
High frequency online inflation and term structure of interest rates: Evidence from China	27
Climate change risk and green bond pricing	24
The stock market tips	22
Changes in the electorate and firm values: Evidence from the introduction of female suffrage in Switzerland	20
Stock price movements: Evidence from global equity markets	19
Partial moments and indexation investment strategies	17
Customer–supplier relationships and non-linear financial policy response	17
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes	17
The correlated trading and investment performance of individual investors	16
Decision-based trades: An analysis of institutional investors’ information advantages	16
Tone or term: Machine-learning text analysis, featured vocabulary extraction, and evidence from bond pricing in China	16

Is machine learning a necessity? A regression-based approach for stock return prediction	16
Regulatory fragmentation and corporate innovation	15
Smart beta, “smarter” flows	14
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices	14
Caught in the crossfire: How the threat of hedge fund activism affects creditors	14
Are stablecoins the money market mutual funds of the future?	14
The commodity risk premium and neural networks	13
Is idiosyncratic risk priced? The international evidence	13
A robust latent factor model for high-dimensional portfolio selection	13
Firm-level political risk and corporate R&D investment	12
The anatomy of a fee change — evidence from cryptocurrency markets	12
Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations	12
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments	12
The impact of liquidity risk in the Chinese banking system on the global commodity markets	12
Estimation with mixed data frequencies: A bias-correction approach	12
Easy money and competitive industries’ booms and busts	12
Portfolio homogeneity and systemic risk of financial networks	12
Technological shocks and stock market volatility over a century	11
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity	11
Depositor responses to a banking crisis: Are finance professionals special?	11
Short-term institutional investors and the diffusion of supply chain information	11
Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China	11
City goes dark: Dark trading and adverse selection in aggregate markets	11
Managerial ability and financial statement disaggregation decisions	11
Do fees matter? Investor’s sensitivity to active management fees	11
Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model	11
Machine learning loss given default for corporate debt	11
Improving information leadership share for measuring price discovery	11
International comovement of r	10
The AH premium: A tale of “siamese twin” stocks	10
Why Do U.S. Firms Invest Less over Time?	10
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?	10
Social connectedness and cross-border mergers and acquisitions	10
Information in unexpected bonus cuts: Firm performance and CEO firings	10
Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market	10
The influence of long-term managerial orientation on pay inequality	10
Unlocking predictive potential: The frequency-domain approach to equity premium forecasting	10
Editorial Board	9
Do firms use credit lines to support investment opportunities?: Evidence from success in R&D	9
Multiple testing of the forward rate unbiasedness hypothesis across currencies	9
Peer influence and the value of cash holdings	9
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding	9
Editorial Board	9
What drives the TIPS–Treasury bond mispricing?	9
CEO personality traits and corporate value implication of acquisitions	8
Financial statement disaggregation and bank loan pricing	8
Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City	8
Coskewness and reversal of momentum returns: The US and international evidence	8
Technology spillover, corporate investment, and stock returns	8
Managerial commitment and heterogeneity in target-date funds	8

Reserve holding and bank lending	8
Tail risks and private equity performance	8
Unveiling the villain: Credit supply and the debt trap	8
Certainty of uncertainty for asset pricing	8
Market neutrality and beta crashes	8
The value of risk-taking in mergers: Role of ownership and country legal institutions	8
Strategic implications of corporate disclosure via Twitter	7
Option gamma and stock returns	7
Stock return prediction: Stacking a variety of models	7
Effects of customer unionization on supplier relationships and supplier value	7
Mispricing chasing and hedge fund returns	7
Small is beautiful? How the introduction of mini futures contracts affects the regular contracts	7
Editorial Board	7
Director optimism and CEO equity compensation	7
It is not just What you say, but How you say it: Why tonality matters in central bank communication	7
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects	7
The battle between activist hedge funds and labor unions	7
An adaptive long memory conditional correlation model	7
Household Debt Overhang and Bankruptcy Abuse Prevention	7
Local predictability of stock returns and cash flows	7
The aftermath of covenant violations: Evidence from China's corporate debt securities	7
The economic value of equity implied volatility forecasting with machine learning	6
Organization capital and analyst coverage	6
Stock return predictability and cyclical movements in valuation ratios	6
Bank dividends, interest expenses, and leverage	6
Dynamic risk management and asset comovement	6
The role of bad-news coverage and media environments in crash risk around the world	6
Skilled active liquidity management: Evidence from shocks to fund flows	6
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets	6
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data	6
Forecasting realized volatility: Does anything beat linear models?	6
The effects of economic uncertainty on financial volatility: A comprehensive investigation	6
How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment	6
Behavioral biases, information frictions and interest rate expectations	6
Follow the leader: Index tracking with factor models	6
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns	6
Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution	6
How does bank opacity affect credit growth and return predictability?	5
Implied local volatility models	5
Credit distortions in Japanese momentum	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
(In)Attention: distracted shareholders and corporate innovation	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
Option valuation via nonaffine dynamics with realized volatility	5
The risk–return tradeoff among equity factors	5
Limit order revisions across investor sophistication	5
Income, trading, and performance: Evidence from retail investors	4
Editorial Board	4
Macroeconomic news and price synchronicity	4
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?	4
Industry regulation and the comovement of stock returns	4
Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals	4
Global political risk and international stock returns	4
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns	4
Automated stock picking using random forests	4
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models	4
Why do firms with no leverage still have leverage and volatility feedback effects?	4
The informativeness of regional GDP announcements: Evidence from China	4
Diversity and inclusion: Evidence from corporate inventors	4
The rise of venture capital and IPO quality	4
Testing predictability of stock returns under possible bubbles	4
Policy risk and insider trading	4
Time series momentum and reversal: Intraday information from realized semivariance	4
Editorial Board	4
Monitoring institutional ownership and corporate innovation	4
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks	3
Carbon dioxide and asset pricing: Evidence from international stock markets	3
Reinforcement learning and risk preference in equity linked notes markets	3
Cross-border M&As and credit risk: Evidence from the CDS market	3
Product competition, political connections, and the costs of high leverage	3
Do investors reach for yield? Evidence from corporate bond mutual fund flows	3
Religiosity and sovereign credit quality	3
Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks	3
Income inequality, inflation and financial development	3
Enhancing betting against beta with stochastic dominance	3
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks	3
The contribution of jump signs and activity to forecasting stock price volatility	3
What drives robo-advice?	3

A financial modeling approach to industry exchange-traded funds selection	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
Jump tail risk exposure and the cross-section of stock returns	3
Herding behavior and systemic risk in global stock markets	3
Default-probability-implied credit ratings for Chinese firms	3
Co-illiquidity management	3
US risk premia under emerging markets constraints	3
Tick size and firm financing decisions: Evidence from a natural experiment	3
Development banks and the syndicate structure: Evidence from a world sample	3
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach	3
The PhD origins of finance faculty	3
Horizontal mergers and heterogeneous firm investments: evidence from the United States	3
Capital mobility and the long-run return–risk trade-offs of industry portfolios	3
The contributions of betas versus characteristics to the ESG premium	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
When “time varying” volatility meets “transaction cost” in portfolio selection	3