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Matthew Ringgenberg

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Werner, Ingrid M & Heath, Davidson & Ringgenberg, Matthew & Samadi, Mehrdad, 2020. "Reusing Natural Experiments," CEPR Discussion Papers 14710, C.E.P.R. Discussion Papers.

    Cited by:

    1. Chen, Xiaoqi & Chih-Chieh Chris, Hsieh & Tsang, Albert & Xiang, Yi, 2022. "Cross-border enforcement of securities laws and dividend payouts," The British Accounting Review, Elsevier, vol. 54(6).
    2. Bui, Dien Giau & Hasan, Iftekhar & Lin, Chih-Yung & Nguyen, Hong Thoa, 2023. "Short-selling threats and bank risk-taking: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 150(C).
    3. Gong, Rong, 2020. "Short selling threat and corporate financing decisions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    4. Chen, Jie & Su, Xunhua & Tian, Xuan & Xu, Bin, 2022. "Does customer-base structure influence managerial risk-taking incentives?," Journal of Financial Economics, Elsevier, vol. 143(1), pages 462-483.
    5. Aepli, Manuel & Kuhn, Andreas & Schweri, Jürg, 2021. "Culture, norms, and the provision of training by employers: Evidence from the Swiss language border," Labour Economics, Elsevier, vol. 73(C).
    6. Tianyu Cai & Lixiong Guo & Yongxian Tan, 2024. "Short seller monitoring and real earnings management," The Financial Review, Eastern Finance Association, vol. 59(1), pages 203-225, February.
    7. Nilabhra Bhattacharya & Theodore E. Christensen & Qunfeng Liao & Bo Ouyang, 2022. "Can short sellers constrain aggressive non-GAAP reporting?," Review of Accounting Studies, Springer, vol. 27(2), pages 391-440, June.
    8. Chad Bown & Paola Conconi & Aksel Erbahar & Lorenzo Trimarchi, 2021. "Trade protection along supply chains," CEP Discussion Papers dp1739, Centre for Economic Performance, LSE.
    9. Merkley, Kenneth & Michaely, Roni & Pacelli, Joseph, 2020. "Cultural diversity on Wall Street: Evidence from consensus earnings forecasts," Journal of Accounting and Economics, Elsevier, vol. 70(1).
    10. Guernsey, Scott & Sepe, Simone M. & Serfling, Matthew, 2022. "Blood in the water: The value of antitakeover provisions during market shocks," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1070-1096.
    11. Leuz, Christian, 2023. "Towards a design-based approach to accounting research," CFS Working Paper Series 703, Center for Financial Studies (CFS).
    12. Yun Ke & Kin Lo & Jinfei Sheng & Jenny Li Zhang, 2023. "Do investors affect financial analysts’ behavior? Evidence from short sellers," Financial Management, Financial Management Association International, vol. 52(1), pages 199-224, March.

  2. Davidson Heath & Daniele Macciocchi & Roni Michaely & Matthew Ringgenberg, 2019. "Do Index Funds Monitor?," Swiss Finance Institute Research Paper Series 19-08, Swiss Finance Institute.

    Cited by:

    1. Jiang, Yahan & Wang, Cai & Li, Sha & Wan, Jing, 2022. "Do institutional investors' corporate site visits improve ESG performance? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    2. Braun, Benjamin, 2021. "From exit to control: The structural power of finance under asset manager capitalism," SocArXiv 4uesc, Center for Open Science.
    3. Ni, Xiaoran & Yin, David, 2023. "Is institutional common ownership commonly priced? Insights from the cost of equity capital," Journal of Banking & Finance, Elsevier, vol. 155(C).
    4. Gormley, Todd A. & Gupta, Vishal K. & Matsa, David A. & Mortal, Sandra C. & Yang, Lukai, 2023. "The Big Three and board gender diversity: The effectiveness of shareholder voice," Journal of Financial Economics, Elsevier, vol. 149(2), pages 323-348.
    5. Malenko, Nadya & Corum, Adrian Aycan & Malenko, Andrey, 2022. "Corporate governance in the presence of active and passive delegated investment," CEPR Discussion Papers 15230, C.E.P.R. Discussion Papers.
    6. Li, Xuan, 2023. "Home bias in shareholder voting," Discussion Papers 2023/21, Norwegian School of Economics, Department of Business and Management Science.
    7. Chen, Shenglan & Ma, Hui & Wu, Qiang & Zhang, Hao, 2023. "Does common ownership constrain managerial rent extraction? Evidence from insider trading profitability," Journal of Corporate Finance, Elsevier, vol. 80(C).
    8. Shane S. Dikolli & Mary Margaret Frank & Zhe Michael Guo & Luann J. Lynch, 2022. "Walk the talk: ESG mutual fund voting on shareholder proposals," Review of Accounting Studies, Springer, vol. 27(3), pages 864-896, September.
    9. Kristopher Gerardi & Michelle Lowry & Carola Schenone, 2023. "A Critical Review of the Common Ownership Literature," FRB Atlanta Working Paper 2023-17, Federal Reserve Bank of Atlanta.
    10. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020.
    11. Yoonsik Hong & Yanghoon Kim & Jeonghun Kim & Yongmin Choi, 2022. "Index Tracking via Learning to Predict Market Sensitivities," Papers 2209.00780, arXiv.org, revised Dec 2022.
    12. Santhosh Ramalingegowda & Steven Utke & Yong Yu, 2021. "Common Institutional Ownership and Earnings Management," Contemporary Accounting Research, John Wiley & Sons, vol. 38(1), pages 208-241, March.
    13. Baig, Ahmed & DeLisle, R. Jared & Zaynutdinova, Gulnara R., 2022. "Index mutual fund ownership and financial reporting quality," Research in International Business and Finance, Elsevier, vol. 62(C).
    14. Andrea Pawliczek & A. Nicole Skinner & Laura A. Wellman, 2021. "A new take on voice: the influence of BlackRock’s ‘Dear CEO’ letters," Review of Accounting Studies, Springer, vol. 26(3), pages 1088-1136, September.
    15. Benjamin Bennett & René M. Stulz & Zexi Wang, 2020. "Does Joining the S&P 500 Index Hurt Firms?," NBER Working Papers 27593, National Bureau of Economic Research, Inc.

Articles

  1. Davidson Heath & Daniele Macciocchi & Roni Michaely & Matthew C Ringgenberg, 2022. "Do Index Funds Monitor?," The Review of Financial Studies, Society for Financial Studies, vol. 35(1), pages 91-131.
    See citations under working paper version above.
  2. David C Brown & Shaun William Davies & Matthew C Ringgenberg, 2021. "ETF Arbitrage, Non-Fundamental Demand, and Return Predictability [The equity share in new issues and aggregate stock returns]," Review of Finance, European Finance Association, vol. 25(4), pages 937-972.

    Cited by:

    1. Duffy, John & Friedman, Dan & Rabanal, Jean Paul & Rud, Olga, 2022. "The impact of ETF index inclusion on stock prices," UiS Working Papers in Economics and Finance 2022/2, University of Stavanger.
    2. Xu, Liao & Pu, Wenyan, 2022. "ETFs, arbitrage activity, and stock market efficiency: Evidence from Chinese CSI 300 ETFs," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 1-9.
    3. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    4. Padma Kadiyala, 2022. "Response of ETF flows and long-run returns to investor sentiment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(4), pages 489-531, December.
    5. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    6. Liu, Sha, 2023. "Do investors and managers of active ETFs react to social media activities?," Finance Research Letters, Elsevier, vol. 51(C).
    7. Chen, Jilong & Xu, Liao, 2023. "Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks," Economic Modelling, Elsevier, vol. 127(C).
    8. Dumitrescu, Ariadna & Järvinen, Jesse & Zakriya, Mohammed, 2023. "Hidden Gem or Fool’s Gold: Can passive ESG ETFs outperform the benchmarks?," International Review of Financial Analysis, Elsevier, vol. 86(C).
    9. Syed Riaz Mahmood Ali, 2022. "Herding in different states and terms: evidence from the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 322-336, July.
    10. El Kalak, Izidin & Leung, Woon Sau & Takahashi, Hidenori & Yamada, Kazuo, 2023. "The Bank of Japan's equity purchases and stock illiquidity," Journal of Financial Markets, Elsevier, vol. 63(C).
    11. Lyons, Richard K. & Viswanath-Natraj, Ganesh, 2023. "What keeps stablecoins stable?," Journal of International Money and Finance, Elsevier, vol. 131(C).

  3. Jonathan Brogaard & Matthew C Ringgenberg & David Sovich, 2019. "The Economic Impact of Index Investing," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3461-3499.

    Cited by:

    1. Kang, Wenjin & Tang, Ke & Wang, Ningli, 2023. "Financialization of commodity markets ten years later," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Ferracuti, Elia, 2022. "Information uncertainty and organizational design," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    3. Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
    4. Biguri, Kizkitza & Brownlees, Christian & Ippolito, Filippo, 2022. "Corporate hedging and the variance of stock returns," Journal of Corporate Finance, Elsevier, vol. 72(C).
    5. Celso Brunetti & Jeffrey H. Harris & Bahattin Büyükşahin, 2024. "Crude Oil Price Movements and Institutional Traders," Commodities, MDPI, vol. 3(1), pages 1-23, February.
    6. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
    7. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    8. Itay Goldstein, 2023. "Information in Financial Markets and Its Real Effects," Review of Finance, European Finance Association, vol. 27(1), pages 1-32.
    9. Ahmed S. Baig & Benjamin M. Blau & R. Jared DeLisle, 2022. "Does mutual fund ownership reduce stock price clustering? Evidence from active and index funds," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 615-647, February.
    10. Sun-Feel Yang & So-Won Choi & Eul-Bum Lee, 2023. "A Prediction Model for Spot LNG Prices Based on Machine Learning Algorithms to Reduce Fluctuation Risks in Purchasing Prices," Energies, MDPI, vol. 16(11), pages 1-39, May.
    11. Jin, Ling & Li, Zhisheng & Lu, Lei & Ni, Xiaoran, 2023. "Does stock market rescue affect investment efficiency in the real sector?," Journal of Financial Markets, Elsevier, vol. 65(C).
    12. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
    13. Gunratan Lonare & Ahmet Nart & Ahmet M. Tuncez, 2022. "Industry tournament incentives and corporate hedging policies," Financial Management, Financial Management Association International, vol. 51(2), pages 399-453, June.
    14. Lauter, Tobias & Prokopczuk, Marcel, 2022. "Measuring commodity market quality," Journal of Banking & Finance, Elsevier, vol. 145(C).

  4. Joseph E. Engelberg & Adam V. Reed & Matthew C. Ringgenberg, 2018. "Short‐Selling Risk," Journal of Finance, American Finance Association, vol. 73(2), pages 755-786, April.

    Cited by:

    1. Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "Uncovering Skilled Short-sellers," Working Papers, Department of Economics 2017_01, University of São Paulo (FEA-USP).
    2. Yongqiang Chu & David Hirshleifer & Liang Ma, 2020. "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 75(5), pages 2631-2672, October.
    3. Weber, Martin & Jacobs, Heiko & Regele, Tobias, 2015. "Expected Skewness and Momentum," CEPR Discussion Papers 10601, C.E.P.R. Discussion Papers.
    4. Fernando Chague & Rodrigo De-Losso, Alan De Genaro, Bruno Giovannetti, 2015. "Why Do Different Short-sellers Pay Different Loan Fees? A Market-wide Analysis," Working Papers, Department of Economics 2015_17, University of São Paulo (FEA-USP).
    5. Charles M. Jones & Adam V. Reed & William Waller, 2016. "Revealing Shorts An Examination of Large Short Position Disclosures," The Review of Financial Studies, Society for Financial Studies, vol. 29(12), pages 3278-3320.
    6. Chague, Fernando Daniel & Bueno, Rodrigo de Losso da Silveira & Giovannetti, Bruno Cara, 2018. "The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis," Textos para discussão 469, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    7. Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.
    8. Roongkiat Ratanabanchuen & Kanis Saengchote, 2018. "Chasing Returns with High-Beta Stocks," PIER Discussion Papers 96, Puey Ungphakorn Institute for Economic Research.
    9. José Renato Haas Ornelas & Pablo José Campos de Carvalho, 2015. "The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks," Working Papers Series 383, Central Bank of Brazil, Research Department.
    10. Fischer, Thomas & Krauss, Christopher, 2017. "Deep learning with long short-term memory networks for financial market predictions," FAU Discussion Papers in Economics 11/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    11. Galema, Rients & Gerritsen, Dirk, 2019. "The effect of the accidental disclosure of confidential short sales positions," Finance Research Letters, Elsevier, vol. 28(C), pages 87-94.
    12. Kahraman, Bige & Pachare, Salil, 2018. "Show us your shorts!," CEPR Discussion Papers 12658, C.E.P.R. Discussion Papers.
    13. Massimo Massa & Bastian von Beschwitz, 2015. "Biased Shorts: Short sellers’ Disposition Effect and Limits to Arbitrage," International Finance Discussion Papers 1147, Board of Governors of the Federal Reserve System (U.S.).

  5. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.

    Cited by:

    1. Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Business School, revised Aug 2016.
    2. Khan, Mostafa Saidur Rahim & Kato, Hideaki Kiyoshi & Bremer, Marc, 2019. "Short sales constraints and stock returns: How do the regulations fare?," Journal of the Japanese and International Economies, Elsevier, vol. 54(C).
    3. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    4. Vikas Agarwal & Stefan Ruenzi & Florian Weigert, 2018. "Unobserved Performance of Hedge Funds," Working Papers on Finance 1825, University of St. Gallen, School of Finance.
    5. Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "Uncovering Skilled Short-sellers," Working Papers, Department of Economics 2017_01, University of São Paulo (FEA-USP).
    6. Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
    7. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    8. Larry Su & Elmina Homapour & Francisco Chiclana, 2022. "Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets," Mathematics, MDPI, vol. 10(17), pages 1-21, September.
    9. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    10. Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    11. Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang, 2023. "Term spreads of implied volatility smirk and variance risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 829-857, July.
    12. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
    13. Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
    14. Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
    15. Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2019. "The short-selling skill of institutions and individuals," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 77-91.
    16. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116R, Brandeis University, Department of Economics and International Business School, revised Feb 2018.
    17. Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
    18. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Role of hedging on crypto returns predictability: A new habit-based explanation," Finance Research Letters, Elsevier, vol. 55(PB).
    19. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
    20. Madhavi Latha Challa & Venkataramanaiah Malepati & Siva Nageswara Rao Kolusu, 2020. "S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
    21. Pedro A.C. Saffi & Carles Vergara‐Alert, 2020. "The Big Short: Short Selling Activity and Predictability in House Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1030-1073, December.
    22. Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020. "High-dimensional predictive regression in the presence of cointegration," Journal of Econometrics, Elsevier, vol. 219(2), pages 456-477.
    23. Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016. "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series 2016-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    24. Mihai, Marius M. & Mansur, Iqbal, 2022. "Forecasting crash risk in U.S. bank returns—The role of credit booms," Journal of Corporate Finance, Elsevier, vol. 76(C).
    25. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Out of Sync: Dispersed Short Selling and the Correction of Mispricing," Working Papers 108, Red Nacional de Investigadores en Economía (RedNIE).
    26. Fabio Cereda & Fernando Chague & Rodrigo De Losso & Alan De Genaro & Bruno Giovannetti, 2020. "Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark," Working Papers, Department of Economics 2020_22, University of São Paulo (FEA-USP).
    27. Hadhri, Sinda & Ftiti, Zied, 2019. "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 187-200.
    28. Xufeng Liu & Die Wan, 2022. "Does short‐selling affect mutual fund shareholdings? Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1887-1923, April.
    29. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    30. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
    31. Baig, Ahmed S. & Blau, Benjamin M. & Butt, Hassan A. & Yasin, Awaid, 2022. "Do retail traders destabilize financial markets? An investigation surrounding the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 144(C).
    32. Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    33. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
    34. Fos, Vyacheslav & Appel, Ian & Bulka, Jordan, 2019. "Active Short Selling by Hedge Funds," CEPR Discussion Papers 13788, C.E.P.R. Discussion Papers.
    35. Afsin Sahin, 2019. "Loom of Symmetric Pass-Through," Economies, MDPI, vol. 7(1), pages 1-25, February.
    36. Dunbar, Kwamie, 2023. "CBDC uncertainty: Financial market implications," International Review of Financial Analysis, Elsevier, vol. 87(C).
    37. Chen, Yong & Da, Zhi & Huang, Dayong, 2022. "Short selling efficiency," Journal of Financial Economics, Elsevier, vol. 145(2), pages 387-408.
    38. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Short of Capital: Stock Market Implications of Short Sellers’ Losses," Working Papers 116, Red Nacional de Investigadores en Economía (RedNIE).
    39. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
    40. Chung, Chune Young & Liu, Chang & Wang, Kainan, 2021. "The big picture: The industry effect of short interest," International Review of Financial Analysis, Elsevier, vol. 76(C).
    41. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
    42. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
    43. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    44. Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
    45. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
    46. Viet Anh Nguyen & Fan Zhang & Shanshan Wang & Jose Blanchet & Erick Delage & Yinyu Ye, 2021. "Robustifying Conditional Portfolio Decisions via Optimal Transport," Papers 2103.16451, arXiv.org, revised Apr 2024.
    47. Hanauer, Matthias X. & Lesnevski, Pavel & Smajlbegovic, Esad, 2023. "Surprise in short interest," Journal of Financial Markets, Elsevier, vol. 65(C).
    48. Hai Lin & Chunchi Wu & Guofu Zhou, 2018. "Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach," Management Science, INFORMS, vol. 64(9), pages 4218-4238, September.
    49. Guo, Xu & Wu, Chunchi, 2019. "Short interest, stock returns and credit ratings," Journal of Banking & Finance, Elsevier, vol. 108(C).
    50. Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
    51. Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
    52. Buncic, Daniel & Stern, Cord, 2019. "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    53. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
    54. Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang, 2019. "Forecasting oil price volatility: Forecast combination versus shrinkage method," Energy Economics, Elsevier, vol. 80(C), pages 423-433.
    55. Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
    56. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    57. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
    58. Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests," Working Papers 201679, University of Pretoria, Department of Economics.
    59. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
    60. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
    61. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
    62. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    63. Greppmair, Stefan & Jank, Stephan & Smajlbegovic, Esad, 2023. "On the importance of fiscal space: Evidence from short sellers during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 147(C).
    64. Yanbo Liu & Peter C.B. Phillips, 2021. "Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions," Cowles Foundation Discussion Papers 2305, Cowles Foundation for Research in Economics, Yale University.
    65. Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    66. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
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    2. Fernando Chague & Bruno Giovannetti & Bernardo Guimaraes, 2021. "The Contrarian Put," Discussion Papers 2106, Centre for Macroeconomics (CFM).
    3. Fotak, Veljko & Raman, Vikas & Yadav, Pradeep K., 2014. "Fails-to-deliver, short selling, and market quality," Journal of Financial Economics, Elsevier, vol. 114(3), pages 493-516.
    4. Adam V. Reed & Pedro A. C. Saffi & Edward D. Van Wesep, 2021. "Short-Sales Constraints and the Diversification Puzzle," Management Science, INFORMS, vol. 67(2), pages 1159-1182, February.
    5. Brav, Alon & Mathews, Richmond D., 2011. "Empty voting and the efficiency of corporate governance," Journal of Financial Economics, Elsevier, vol. 99(2), pages 289-307, February.
    6. Gerasimos Soldatos, 2018. "A discussion of joint bank and industry concentration," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 207-216, April.
    7. Blocher, Jesse & Zhang, Chi, 2022. "Who is buying and (not) lending when shorts are selling?," Journal of Financial Markets, Elsevier, vol. 57(C).
    8. Pelizzon, Loriana & Riedel, Max & Simon, Zorka & Subrahmanyam, Marti G., 2020. "Collateral eligibility of corporate debt in the Eurosystem," SAFE Working Paper Series 275, Leibniz Institute for Financial Research SAFE.
    9. Adrian W. K. Cheung & Hung Wan Kot & Eric F. Y. Lam & Harry K. M. Leung, 2020. "Toward understanding short‐selling activity: demand and supply," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2203-2230, September.
    10. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Out of Sync: Dispersed Short Selling and the Correction of Mispricing," Working Papers 108, Red Nacional de Investigadores en Economía (RedNIE).
    11. Beneish, M. D. & Lee, C. M. C. & Nichols, D. C., 2014. "In Short Supply: Short-Sellers and Stock Returns," Research Papers 3064, Stanford University, Graduate School of Business.
    12. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    13. Khan, Mostafa Saidur Rahim & Bremer, Marc & Kato, Hideaki Kiyoshi, 2018. "Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 48(C), pages 85-96.
    14. Nathan Foley-Fisher & Borghan N. Narajabad & Stéphane Verani, 2016. "Securities Lending as Wholesale Funding : Evidence from the U.S. Life Insurance Industry," Finance and Economics Discussion Series 2016-050, Board of Governors of the Federal Reserve System (U.S.).
    15. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    16. Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2019. "Over-the-Counter Market Liquidity and Securities Lending," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 272-294, July.
    17. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
    18. Daniel Sales Casula & Rodrigo De-Losso, 2019. "Short Selling, the supply side: are lenders price makers?," Working Papers, Department of Economics 2019_53, University of São Paulo (FEA-USP).
    19. Daniel Schmidt & Bastian von Beschwitz, 2022. "Passive Ownership and Short Selling," International Finance Discussion Papers 1365, Board of Governors of the Federal Reserve System (U.S.).
    20. Hanauer, Matthias X. & Lesnevski, Pavel & Smajlbegovic, Esad, 2023. "Surprise in short interest," Journal of Financial Markets, Elsevier, vol. 65(C).
    21. Fernando Chague & Rodrigo De-Losso, Alan De Genaro, Bruno Giovannetti, 2015. "Why Do Different Short-sellers Pay Different Loan Fees? A Market-wide Analysis," Working Papers, Department of Economics 2015_17, University of São Paulo (FEA-USP).
    22. Charles M. Jones & Adam V. Reed & William Waller, 2016. "Revealing Shorts An Examination of Large Short Position Disclosures," The Review of Financial Studies, Society for Financial Studies, vol. 29(12), pages 3278-3320.
    23. Yuewen Xiao & Xiangkang Yin & Jing Zhao, 2020. "Jumps, News, And Subsequent Return Dynamics: An Intraday Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 705-731, August.
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    Cited by:

    1. Cereda, Fábio Saia & Chague, Fernando & De-Losso, Rodrigo & Genaro, Alan & Giovannetti, Bruno Cara, 2020. "The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark," Textos para discussão 524, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
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