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Journal of Empirical Finance / Elsevier

Citation Profile [Updated: 2026-07-12 11:58:33]
5 Years H Index
87
Impact Factor (IF)
0.22
5 Years IF
0.29
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1993 0 0.13 1.33 0 6 6 2224 3 9 0 0 0 3 0.5 0.06
1994 0.5 0.14 0.5 0.5 10 16 457 6 17 6 3 6 3 0 3 0.3 0.07
1995 1.19 0.22 0.8 1.19 14 30 334 23 41 16 19 16 19 2 8.7 2 0.14 0.1
1996 1 0.25 1.33 1.43 18 48 1457 55 105 24 24 30 43 7 12.7 6 0.33 0.11
1997 0.47 0.24 0.95 0.92 13 61 1671 53 163 32 15 48 44 7 13.2 6 0.46 0.11
1998 1.45 0.28 1.19 1.25 17 78 814 88 256 31 45 61 76 2 2.3 2 0.12 0.13
1999 1.47 0.3 1.6 1.36 23 101 825 155 418 30 44 72 98 6 3.9 5 0.22 0.14
2000 0.93 0.34 1.82 1.42 19 120 1405 212 636 40 37 85 121 18 8.5 4 0.21 0.16
2001 1.12 0.38 1.89 1.68 25 145 771 265 910 42 47 90 151 6 2.3 7 0.28 0.17
2002 0.89 0.39 1.92 1.36 26 171 878 320 1239 44 39 97 132 16 5 12 0.46 0.21
2003 1.04 0.43 2.35 1.42 26 197 2340 454 1701 51 53 110 156 18 4 34 1.31 0.21
2004 1.73 0.47 2.44 1.65 32 229 2257 534 2260 52 90 119 196 25 4.7 20 0.63 0.21
2005 1.83 0.51 2.39 1.59 30 259 1409 608 2878 58 106 128 204 18 3 20 0.67 0.23
2006 1.71 0.5 2.88 2 24 283 1253 798 3692 62 106 139 278 16 2 21 0.88 0.22
2007 1.39 0.44 2.5 1.93 35 318 1594 787 4486 54 75 138 267 21 2.7 20 0.57 0.2
2008 1.73 0.47 2.49 2.22 49 367 1836 896 5400 59 102 147 326 32 3.6 18 0.37 0.22
2009 1.73 0.46 2.34 1.93 60 427 2324 993 6400 84 145 170 328 35 3.5 18 0.3 0.23
2010 1.27 0.46 2.1 1.61 62 489 1717 1022 7429 109 138 198 319 52 5.1 11 0.18 0.2
2011 1.02 0.5 2.04 1.34 62 551 1813 1121 8553 122 125 230 308 32 2.9 24 0.39 0.23
2012 1.04 0.5 2.22 1.51 50 601 1038 1333 9889 124 129 268 404 53 4 19 0.38 0.21
2013 1.38 0.53 2.54 1.74 63 664 919 1684 11576 112 155 283 493 36 2.1 7 0.11 0.23
2014 1.01 0.52 2.62 1.63 67 731 1161 1913 13494 113 114 297 485 60 3.1 14 0.21 0.22
2015 1.07 0.52 2.36 1.53 64 795 1086 1877 15373 130 139 304 464 75 4 19 0.3 0.22
2016 1.27 0.49 2.23 1.47 102 897 1651 2002 17377 131 166 306 451 72 3.6 49 0.48 0.2
2017 1.17 0.51 2.15 1.24 64 961 992 2066 19443 166 195 346 430 47 2.3 23 0.36 0.2
2018 1.22 0.52 1.93 1.2 79 1040 1171 2006 21453 166 203 360 431 79 3.9 33 0.42 0.22
2019 1.21 0.53 1.86 1.23 61 1101 1064 2042 23496 143 173 376 461 43 2.1 26 0.43 0.21
2020 1.63 0.63 2.14 1.72 60 1161 593 2485 25981 140 228 370 636 65 2.6 22 0.37 0.3
2021 1.78 0.72 2.13 1.87 75 1236 581 2630 28611 121 215 366 685 86 3.3 24 0.32 0.26
2022 1.53 0.71 2.05 1.87 62 1298 209 2656 31267 135 206 339 633 44 1.7 9 0.15 0.21
2023 1.17 0.66 1.75 1.71 102 1400 387 2449 33717 137 160 337 575 105 4.3 29 0.28 0.19
2024 1.31 0.71 1.71 1.83 80 1480 126 2531 36249 164 215 360 658 67 2.6 29 0.36 0.21
2025 1.24 0.94 1.42 1.31 67 1547 21 2200 38449 182 226 379 495 72 3.3 13 0.19 0.27
2026 0.22 0.37 0.29 35 1582 0 579 39028 147 33 386 111 18 3.1 1 0.03
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
11993A long memory property of stock market returns and a new model. (1993). Engle, Robert ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

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1821
21996The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

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748
32000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). Frey, Rudiger ; McNeil, Alexander J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

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744
41997Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

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671
52003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

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601
62004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Hyung, Namwon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

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516
72004Investor sentiment and the near-term stock market. (2004). Cliff, Michael T. ; Brown, Gregory W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

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498
82008Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859.

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468
92009International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

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437
102007Measuring financial contagion: A Copula approach. (2007). Rodríguez, Juan ; Rodriguez, Juan Carlos. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

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427
112009Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

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386
121997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V. ; von Weizsacker, Jacob E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

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380
131996The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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373
142003Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

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371
152005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Hol, Eugenie ; Jungbacker, Borus. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475.

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356
161998Volatility and cross correlation across major stock markets. (1998). Susmel, Raul ; Ramchand, Latha. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.

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288
172004Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616.

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263
182009Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Ferreira, Daniel ; Almeida, Heitor. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150.

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249
191993Common stock offerings across the business cycle : Theory and evidence. (1993). nanda, vikram ; masulis, ronald ; Choe, Hyuk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31.

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248
202006Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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236
212004Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

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232
222007Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167.

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196
232003A simple measure of the intensity of capital controls. (2003). Warnock, Francis ; Edison, Hali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103.

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193
242014Political uncertainty and bank loan contracting. (2014). HASAN, IFTEKHAR ; Zhu, Yun ; Francis, Bill B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:281-286.

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191
252019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

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186
261997The incremental volatility information in one million foreign exchange quotations. (1997). xu, xinzhong ; Taylor, Stephen J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340.

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186
272019Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?. (2019). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:97-117.

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184
282010Local bias in venture capital investments. (2010). Dai, Na ; Cumming, Douglas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:362-380.

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183
292002Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, Mohammad. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

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181
301999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477.

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179
311994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. (1994). Phillips, Peter ; Loretan, Mico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248.

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179
322003Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

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167
332005Testing for contagion: a conditional correlation analysis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489.

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167
341997High frequency data in financial markets: Issues and applications. (1997). O'Hara, Maureen ; Goodhart, Charles A. E., . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

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164
352011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Shamsuddin, Abul ; Lim, Kian-Ping ; Kim, Jae. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:868-879.

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164
362007Predictable behavior, profits, and attention. (2007). Wu, Guojun ; Seasholes, Mark S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:590-610.

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162
372001The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

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159
382000Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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148
392010A network perspective of the stock market. (2010). Tse, Chi ; Lau, Francis C. M., ; Liu, Jing. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:4:p:659-667.

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147
402017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wang, Yudong ; Pan, Zhiyuan ; Wu, Chongfeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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145
412008Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Shamsuddin, Abul ; Kim, Jae. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532.

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143
422003Predicting emerging market currency crashes. (2003). Perraudin, William ; Moorthy, Uma ; Kumar, Mohan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454.

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138
432019Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks. (2019). Zhang, Yaojie ; Liao, Yin ; Cao, Yang ; Ma, Feng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:52:y:2019:i:c:p:40-55.

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138
44CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40.

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133
451999Economic determinants of evolution in international stock market integration. (1999). Koch, Paul D. ; Bracker, Kevin ; Docking, Diane Scott . In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27.

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132
462004The rise in comovement across national stock markets: market integration or IT bubble?. (2004). Del Negro, Marco ; Brooks, Robin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:659-680.

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132
472006In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247.

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131
482014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. (2014). Conrad, Christian ; Loch, Karin ; Rittler, Daniel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:26-40.

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130
49When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.

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130
501998International evidence on the stock market and aggregate economic activity. (1998). Cheung, Yin-Wong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296.

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130
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11993A long memory property of stock market returns and a new model. (1993). Engle, Robert ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

61
22008Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859.

Full description at Econpapers || Download paper

54
32003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

Full description at Econpapers || Download paper

44
42009Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

Full description at Econpapers || Download paper

43
51997Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

Full description at Econpapers || Download paper

41
62000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). Frey, Rudiger ; McNeil, Alexander J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

Full description at Econpapers || Download paper

40
72014Political uncertainty and bank loan contracting. (2014). HASAN, IFTEKHAR ; Zhu, Yun ; Francis, Bill B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:281-286.

Full description at Econpapers || Download paper

38
82004Investor sentiment and the near-term stock market. (2004). Cliff, Michael T. ; Brown, Gregory W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

Full description at Econpapers || Download paper

33
92010Local bias in venture capital investments. (2010). Dai, Na ; Cumming, Douglas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:362-380.

Full description at Econpapers || Download paper

27
102009International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

Full description at Econpapers || Download paper

26
111997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V. ; von Weizsacker, Jacob E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

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23
122009Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Ferreira, Daniel ; Almeida, Heitor. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150.

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23
132019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

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23
142019Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?. (2019). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:97-117.

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22
152021Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Wang, Wenzhao ; Su, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391.

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22
162017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wang, Yudong ; Pan, Zhiyuan ; Wu, Chongfeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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21
172018Female board representation, corporate innovation and firm performance. (2018). Leung, Woon Sau ; Evans, Kevin P ; Chen, Jie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:236-254.

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21
182003Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

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20
192019Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. (2019). Brandt, Michael W ; Gao, Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:64-94.

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19
202016A network approach to portfolio selection. (2016). Peralta, Gustavo ; Zareei, Abalfazl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

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18
212021Media coverage and investment efficiency. (2021). Gao, Xin ; Xu, Weidong ; Xing, LU ; Li, Donghui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:270-293.

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17
222021On the stability of stablecoins. (2021). Junttila, Juha ; Sapkota, Niranjan ; Grobys, Klaus ; Kolari, James W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:207-223.

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17
232007Predictable behavior, profits, and attention. (2007). Wu, Guojun ; Seasholes, Mark S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:590-610.

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16
242004Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616.

Full description at Econpapers || Download paper

16
252019Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks. (2019). Zhang, Yaojie ; Liao, Yin ; Cao, Yang ; Ma, Feng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:52:y:2019:i:c:p:40-55.

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15
262012When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.

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15
272014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. (2014). Conrad, Christian ; Loch, Karin ; Rittler, Daniel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:26-40.

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15
282018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wei, YU ; Wu, Chongfeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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15
292010A network perspective of the stock market. (2010). Tse, Chi ; Lau, Francis C. M., ; Liu, Jing. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:4:p:659-667.

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15
302015Does managerial ability facilitate corporate innovative success?. (2015). Podolski, Edward ; Chen, Yangyang ; Veeraraghavan, Madhu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:313-326.

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15
312020Retail investor attention and herding behavior. (2020). Hsieh, Shu-Fan ; Wang, Ming-Chun ; Chan, Chia-Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:109-132.

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14
322000Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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14
332019Why female board representation matters: The role of female directors in reducing male CEO overconfidence. (2019). Goergen, Marc ; Leung, Woon Sau ; Song, Wei ; Chen, Jie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:70-90.

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13
342011Robust estimation of intraweek periodicity in volatility and jump detection. (2011). Laurent, Sébastien ; Boudt, Kris ; Croux, Christophe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367.

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13
352016Local bias in investor attention: Evidence from Chinas Internet stock message boards. (2016). huang, yuqin ; Wu, Zhiguo ; Qiu, Huiyan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:338-354.

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13
362016Tests for explosive financial bubbles in the presence of non-stationary volatility. (2016). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Sollis, Robert ; Robert, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:548-574.

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13
372006Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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13
382004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Hyung, Namwon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

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13
392011Corporate governance and firm value: International evidence. (2011). Schmid, Markus ; Ammann, Manuel ; Oesch, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:36-55.

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13
402012Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models. (2012). shin, yongcheol ; Kim, Minjoo ; Dang, Viet. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:4:p:465-482.

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12
412017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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12
422013What do price discovery metrics really measure?. (2013). Putnins, Talis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:23:y:2013:i:c:p:68-83.

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11
432011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Shamsuddin, Abul ; Lim, Kian-Ping ; Kim, Jae. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:868-879.

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11
442011Regulatory underpricing: Determinants of Chinese extreme IPO returns. (2011). Tian, Lihui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:78-90.

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11
452010The effect of CEO power on bond ratings and yields. (2010). Jiraporn, Pornsit ; Liu, Yixin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:4:p:744-762.

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11
462017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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11
472020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

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11
482007Measuring financial contagion: A Copula approach. (2007). Rodríguez, Juan ; Rodriguez, Juan Carlos. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

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11
492011Nonparametric rank tests for event studies. (2011). Pynnonen, Seppo ; Kolari, James W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:953-971.

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10
502016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Galbraith, John ; Dufour, Jean-Marie ; Zhang, Huijun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

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10
Citing documents used to compute impact factor: 33
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2026The impact of eliminating reserve requirements on US banks lending, liquidity, and profitability during COVID‐19. (2026). Islam, Mohammad Saiful ; Koch, Jaschaalexander. In: Review of Financial Economics. RePEc:wly:revfec:v:44:y:2026:i:1:n:e70033.

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2026Global standard and bank liquidity creation: A case study of Basel III liquidity regulation. (2026). Gam, Yong Kyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:85:y:2026:i:c:s0927539825001069.

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2026Climate policy uncertainty and corporate trade credit provision. (2026). Ning, Zihao ; Xu, Zhibo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:83:y:2026:i:c:s0275531926000206.

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2026The Corporate Bond Factor Replication Crisis. (2026). Rossetti, Giulio ; Robotti, Cesare ; Dickerson, Alexander. In: Papers. RePEc:arx:papers:2604.07880.

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2026Understanding non-normality in business, finance, and accounting research. (2026). Blank, Brian ; Templeton, Gary F. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:66:y:2026:i:2:d:10.1007_s11156-025-01412-6.

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2026Informational and cushioning properties of conservative balance sheets: a study of crises resilience. (2026). Khalilov, Akram. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:66:y:2026:i:1:d:10.1007_s11156-025-01395-4.

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2026Private money and public debt. U.S. Stablecoins and the global safe asset channel. (2026). Minesso, Massimo Ferrari ; Siena, Daniele. In: Working Paper Series. RePEc:ecb:ecbwps:20263174.

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2026Stablecoins and monetary policy transmission. (2026). Burlon, Lorenzo ; Altavilla, Carlo ; Maruhn, Franziska ; Fortes, Roberta ; Adalid, Ramn ; Boucinha, Miguel. In: Working Paper Series. RePEc:ecb:ecbwps:20263199.

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2026Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting. (2026). West, Mike ; Woitschig, Patrick. In: Papers. RePEc:arx:papers:2605.12099.

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2026A GARCH model with two volatility components and two driving factors. (2026). Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo ; Tezza, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:85:y:2026:i:c:s0927539825000933.

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2026Luck “duels” among factors in China. (2026). Wang, Jing-Jin ; Shi, Huai-Long. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:106:y:2026:i:c:s1062976926000207.

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2026Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework. (2026). Salisu, Afees ; GUPTA, RANGAN ; Cepni, Oguzhan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:105:y:2026:i:c:s1062976925001280.

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2026AI Revolution and Crash Risks in Technology Stocks. (2026). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Polat, Onur. In: Working Papers. RePEc:pre:wpaper:202617.

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2026Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series. (2026). Beneventano, Pierfrancesco ; Poggio, Tomaso ; Crippa, Giulia ; Iannone, Giuseppe ; Cortesi, Federico Vittorio. In: Papers. RePEc:arx:papers:2603.02620.

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2026Regime-Aware Specialist Routing for Volatility Forecasting. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2604.10402.

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2026Extreme volatility of crude oil futures in the wake of a black swan event. (2026). Jin, YI ; Jiang, Wenting ; Yang, Wanping ; Ren, Xiaohang. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:2:d:10.1057_s41283-026-00198-8.

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2026Advances in forecasting realized volatility: a review of methodologies. (2026). Leushuis, Radmir Mishelevich ; Petkov, Nicolai. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00809-5.

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2026Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly. (2026). Xu, Zhiwei ; Yang, Yinan ; Zhang, Teng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:182:y:2026:i:c:s0378426625001979.

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2026When to be discrete: The importance of time formulation in the modeling of extreme events in finance. (2026). Herrera, Rodrigo ; Bie-Barkowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:1:p:61-84.

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2026A Direct Nonparametric Estimator for EVaR of Dependent Financial Returns. (2026). Hui, Yongchang ; Ma, Yuhan ; Zhang, Feipeng. In: Computational Economics. RePEc:kap:compec:v:67:y:2026:i:2:d:10.1007_s10614-025-10903-6.

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2026Improving Marginal Expected Shortfall estimates using credibility methods. (2026). Wen, Limin. In: Finance Research Letters. RePEc:eee:finlet:v:91:y:2026:i:c:s1544612326000218.

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2026Risk, Frictions, and Liquidity: An Integrated Literature Survey on Geopolitical and Climate Risk and Market Design. (2026). Edwards, Geoff. In: MPRA Paper. RePEc:pra:mprapa:128690.

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2026Reducing stock price synchronicity: How government-driven long-term capital cultivation improves market efficiency in China. (2026). Han, Xiao ; Song, Tao ; Zhang, Jinlong ; Gao, Bin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:95:y:2026:i:c:s0927538x25003191.

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2026State-owned capital participation and customer concentration in private firms: Evidence from China. (2026). Li, Wanli ; Wang, Jie. In: Economic Modelling. RePEc:eee:ecmode:v:155:y:2026:i:c:s0264999325003979.

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2026Clustering-augmented reversal strategy improves return performance: Evidence from Chinese stock market. (2026). Zheng, XU ; Jiao, Weilin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:95:y:2026:i:c:s0927538x25003336.

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2026Predicting option prices from their price history via machine learning. (2026). Weiss, Gregor ; Irresberger, Felix ; Fritzsch, Simon. In: Review of Derivatives Research. RePEc:kap:revdev:v:29:y:2026:i:1:d:10.1007_s11147-026-09228-9.

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2026Green Finance Under Climate Risks: A Comparative Analysis of Hedging Effects Between Green Bonds and Green Stocks. (2026). Lobon, Oanaramona ; Chang, Hsuling ; Su, Chi Wei ; Wang, Ting. In: Australian Economic Papers. RePEc:bla:ausecp:v:65:y:2026:i:1:p:83-93.

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2026Trade policy uncertainty and stock returns: A tale of two periods. (2026). Zhou, Mingtao ; Tang, Jiachen ; Yu, Deshui. In: International Review of Financial Analysis. RePEc:eee:finana:v:109:y:2026:i:c:s1057521925008762.

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2026A Bipartite Graph Approach to U.S.-China Cross-Market Return Forecasting. (2026). Cucuringu, Mihai ; Dong, Xiaowen ; Grith, Maria ; Liu, Jing. In: Papers. RePEc:arx:papers:2603.10559.

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2026Information salience, investor attention, and stock price crash risk. (2026). Li, Zhibing ; Chen, Zhenshan ; Liu, Xiaoyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:85:y:2026:i:c:s0927539825000921.

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2026Registration system reform and risk of stock price collapse: the mediating effect based on auditor reputation. (2026). Chen, Xilong ; Zhang, Menghao ; Yang, Junhua ; Gou, Congcong ; Gao, Xinxiang. In: Finance Research Letters. RePEc:eee:finlet:v:90:y:2026:i:c:s154461232502570x.

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2026Systemic risk under the radar: Evidence from building societies and challenger banks. (2026). Skouralis, Alexandros. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:107:y:2026:i:c:s104244312500157x.

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2026With happy we are more productive: Evidence from total factor productivity. (2026). Yan, Jiahao ; Fan, Yixuan ; Su, Kun. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:22:y:2026:i:1:s1815566925000839.

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Recent citations
Recent citations received in 2025
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2025Using Large Language Models for Financial Advice. (2025). Meiler, Maximilian ; Hornuf, Lars ; Fieberg, Christian ; Streich, David J. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11666.

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2025Creditor protection shocks and corporate cash holdings: Insights from online judicial auctions. (2025). Tian, Weilun ; Guo, Junru ; Wang, Jiarui ; Li, Dongyan. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325002032.

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2025Price discovery through wrapped tokens. (2025). Johnson, William C ; Scharnowski, Stefan. In: Economics Letters. RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525005403.

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2025Understanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?. (2025). Romagnoli, Silvia ; Bartolini, Nicola ; Santini, Amia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000945.

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2025On the time-varying relation between monetary policy uncertainty and bond risk premia. (2025). Yin, Ximing ; Li, Luyang ; Yu, Deshui. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925005526.

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2025From asking “would I be ready?” to “would I belong?”: Preparedness perceptions of forest and natural resources university students in the United States to enter the workforce. (2025). Knowles, Shanna ; Larasatie, Pipiet ; Chamlagain, Kamana ; Rubino, Elena. In: Forest Policy and Economics. RePEc:eee:forpol:v:178:y:2025:i:c:s1389934125001595.

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Recent citations received in 2024
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2024Extreme temperatures and the profitability of large European firms. (2024). Poncela, Maria Pilar ; Enzo, Gian Pietro ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:44217.

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2024Attention to climate change and eco-friendly financial-asset prices: A quantile ARDL approach. (2024). , Walid. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004043.

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2024Political uncertainty and stock price crash risk: Insights from state-elections in an emerging market. (2024). Wadhwa, Kavita ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400351x.

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2024Climate stress testing for mortgage default probability. (2024). Zanin, Luca ; Calabrese, Raffaella ; Thorburn, Connor Innes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004290.

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2024Can higher federal funds rates control mortgage lending during periods of high inflation and high house prices?. (2024). Islam, Mohammad Saiful ; Koch, Jascha-Alexander. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008791.

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2024Noisy market, machine learning and fundamental momentum. (2024). Wang, Yuejie ; Ma, Tian ; Sheng, Haoyun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002257.

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2024Increase or decrease: Customer digital transformation and supplier cost stickiness. (2024). Liu, Yingqi ; Wang, Xizi ; Guo, Siyuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002592.

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2024Volatility-managed portfolios in the Chinese equity market. (2024). Li, Junye ; Wang, Chuyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003263.

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2024The impact of foreign institutional investors on the information content of Chinese stock prices. (2024). Yu, Meixia ; Xie, Jun ; Gao, Bin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005847.

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2024Global banking systems, financial stability, and uncertainty: How have countries coped with geopolitical risks?. (2024). Trinh, Hai Hong ; Tran, Thao Phuong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006397.

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2024The role of education attention on high-tech markets in an emerging economy: Evidence from QQR and NCQ techniques. (2024). Gao, Wang ; Zhang, Hongwei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:207:y:2024:i:c:s0040162524004013.

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2024Heroes or Villains? Culturally endorsed charismatic leadership style and stock price crash risk. (2024). Leledakis, George ; Gaganis, Chrysovalantis ; Pyrgiotakis, Emmanouil G ; Pasiouras, Fotios. In: MPRA Paper. RePEc:pra:mprapa:122898.

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2024Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202450.

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2024Sustainability and the domestic credit market: worldwide evidence. (2024). Sol Murta, Fátima ; Gama, Paulo Miguel. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:4:d:10.1007_s40822-024-00282-y.

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2024Data assetization and capital market information efficiency: evidence from Hidden Champion SMEs in China. (2024). Chen, Lili. In: Future Business Journal. RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00401-w.

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2024Choices Matter When Training Machine Learning Models for Return Prediction. (2024). Howard, Clint. In: Financial Analysts Journal. RePEc:taf:ufajxx:v:80:y:2024:i:4:p:81-107.

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2024Influential assets in Large-Scale Vector AutoRegressive Models. (2024). Trimborn, Simon ; Zhang, Kexin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240080.

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Recent citations received in 2023
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2023Credit Risk and Financial Performance of Commercial Banks: Evidence from Vietnam. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.08217.

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2023Bayesian predictive distributions of oil returns using mixed data sampling volatility models. (2023). Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008784.

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2023Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Chiu, Junmao ; Lien, Donald. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725.

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2023International stock return predictability: The role of U.S. uncertainty spillover. (2023). Yu, Jiasheng ; Zhang, Huajing ; Liu, Hongkui ; Jiang, Fuwei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002329.

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2023Multilayer interbank networks and systemic risk propagation: Evidence from China. (2023). Ding, YI ; Liu, Xinhong ; Yan, Chun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:628:y:2023:i:c:s0378437123006994.

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2023A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks. (2023). wu, desheng ; Li, Lei ; Qin, Kun. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:6123-:d:1114244.

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2023How to measure earnings surprises: Based on revised market reaction. (2023). Pan, Qin ; Huang, Kai. In: PLOS ONE. RePEc:plo:pone00:0296394.

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