Empirical Finance Publications

Publications in Empirical Finance

Explore the most influential research papers and scholarly works that have shaped Empirical Finance. Use the concept filter below to focus on a specific sub-area of research.

Empirical Finance

22K

Publications

Citations

Showing yearly statistics from 2000-2026.

Page 1

	Year	Citations
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity Halbert White Econometrica Empirical FinanceEconometric ModelVolatility ModelingEconomicsLeast Squares Interpretation	1980	25.8K
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Whitney K. Newey, Kenneth D. West Econometrica Empirical FinanceVolatility ModelingEconomicsFinancial EconomicsAsset Pricing	1987	16.8K
The Cross‐Section of Expected Stock Returns Eugene F. Fama, Kenneth R. French The Journal of Finance Empirical FinanceFinancial EconomicsAsset PricingStock PricesMarket β	1992	15K
Risk, Return, and Equilibrium: Empirical Tests Eugene F. Fama, James D. MacBeth Journal of Political Economy Empirical FinanceInvestment StrategyEconomicsFinancial EconomicsAsset Pricing	1973	14.9K
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Narasimhan Jegadeesh, Sheridan Titman The Journal of Finance Empirical FinanceAsset PricingManagementEconomic AnalysisStock Market Efficiency	1993	11.3K
Conditional Heteroskedasticity in Asset Returns: A New Approach Daniel B. Nelson Econometrica Empirical FinanceVolatility InnovationsVolatility ModelingEconomicsFinancial Economics	1991	10.3K
Illiquidity and stock returns: cross-section and time-series effects Yakov Amihud Journal of Financial Markets Empirical FinanceFinancial EconomicsAsset PricingBusinessStock Returns	2002	10.1K
Coherent Measures of Risk Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber, Mathematical Finance Empirical FinanceFinancial Risk ManagementRisk MetricRisk AnalysisInvestment Risk	1999	8.9K
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle The Journal of Finance Empirical FinanceVolatility ModelingMonthly Conditional VolatilityEngineeringConditional Volatility	1993	8.6K
A Theory of the Term Structure of Interest Rates John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross Econometrica Empirical FinanceMonetary PolicyEconomicsFinancial EconomicsAsset Pricing	1985	8.5K
Does the Stock Market Overreact? Werner F. M. De Bondt, Richard H. Thaler The Journal of Finance Empirical FinanceBehavioral Decision MakingDramatic News EventsMarket MicrostructureCognitive Biases	1985	7.1K
Dividend Policy, Growth, and the Valuation of Shares Merton H. Miller, Franco Modigliani The Journal of Business Empirical FinancePayout PolicyEconomicsFinancial EconomicsAsset Pricing	1961	6.6K

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