Research classified by Journal of Economic Literature (JEL) codes

2022

• Ahmed, Walid M.A., 2022, "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101728.
• Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022, "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101739.
• Switzer, Lorne N. & El Meslmani, Nabil & Zhai, Xinkai, 2022, "IPO performance and the size effect: Evidence for the US and Canada," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101744.
• Huang, Shuyang & Zeng, Ming, 2022, "Political sentiment and MAX effect," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101760.
• Peng, Juan & Huang, Wenli & Gao, Han & Wang, Hongli, 2022, "Modeling the unintended consequences of short selling for innovation investment," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101763.
• Zhao, Wandi & Gao, Yang & Wang, Mingjin, 2022, "Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101774.
• Božović, Miloš, 2022, "Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101783.
• Pérez-Rodríguez, Jorge V. & Sosvilla-Rivero, Simón & Andrada-Felix, Julián & Gómez-Déniz, Emilio, 2022, "Searching for informed traders in stock markets: The case of Banco Popular," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101791.
• Li, Jinfang, 2022, "The sentiment pricing dynamics with short-term and long-term learning," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101812.
• Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022, "Hedging the extreme risk of cryptocurrency," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101813.
• Ling, Aifan & Huang, Xinrui & Ling, Boya (Vivye), 2022, "Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101822.
• Wang, Hailong & Hu, Duni, 2022, "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101824.
• Yi, Biao & Guo, Shuxin, 2022, "Common analyst links and predictable returns: Evidence from China," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101832.
• Mbanyele, William & Huang, Hongyun & Li, Yafei & Muchenje, Linda T. & Wang, Fengrong, 2022, "Corporate social responsibility and green innovation: Evidence from mandatory CSR disclosure laws," Economics Letters, Elsevier, volume 212, issue C, DOI: 10.1016/j.econlet.2022.110322.
• Liu, Sha & Gaskell, Paul & McGroarty, Frank, 2022, "Where and about what? Price relevant narratives depend on topic and media type," Economics Letters, Elsevier, volume 213, issue C, DOI: 10.1016/j.econlet.2022.110363.
• van Wijnbergen, Sweder, 2022, "Lockdowns as options," Economics Letters, Elsevier, volume 214, issue C, DOI: 10.1016/j.econlet.2022.110420.
• Shi, Ning & Wang, Ying & Chen, Wenzhe, 2022, "Many hands make light work: Evidence from China’s anti-epidemic bonds," Economics Letters, Elsevier, volume 214, issue C, DOI: 10.1016/j.econlet.2022.110426.
• Mignanego, Fausto & Sbuelz, Alessandro, 2022, "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, volume 215, issue C, DOI: 10.1016/j.econlet.2022.110510.
• Wang, Xinjie & Xiang, Zhiqiang & Xu, Weike & Yuan, Peixuan, 2022, "The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum," Economics Letters, Elsevier, volume 216, issue C, DOI: 10.1016/j.econlet.2022.110598.
• Laine, Olli-Matti, 2022, "The term structure of equity premia and the macroeconomy: some results," Economics Letters, Elsevier, volume 216, issue C, DOI: 10.1016/j.econlet.2022.110606.
• Kaszab, Lorant & Marsal, Ales & Rabitsch, Katrin, 2022, "Asset pricing with free entry and exit of firms," Economics Letters, Elsevier, volume 217, issue C, DOI: 10.1016/j.econlet.2022.110648.
• Lee, Seunghyup, 2022, "Political orientation and compensation for idiosyncratic risk," Economics Letters, Elsevier, volume 218, issue C, DOI: 10.1016/j.econlet.2022.110699.
• Bottazzi, Giulio & Giachini, Daniele, 2022, "A general equilibrium model of investor sentiment," Economics Letters, Elsevier, volume 218, issue C, DOI: 10.1016/j.econlet.2022.110749.
• Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022, "Valuation of European firms during the Russia–Ukraine war," Economics Letters, Elsevier, volume 218, issue C, DOI: 10.1016/j.econlet.2022.110750.
• Ullah, Muhammad & Zahid, Muhammad & All-e-Raza Rizvi, Syed Muhammad & Qureshi, Qazi Ghulam Mustafa & Ali, Farman, 2022, "Do green supply chain management practices improve organizational resilience during the COVID-19 crisis? A survival analysis of global firms," Economics Letters, Elsevier, volume 219, issue C, DOI: 10.1016/j.econlet.2022.110802.
• Zhang, Congshan & Li, Jia & Todorov, Viktor & Tauchen, George, 2022, "Variation and efficiency of high-frequency betas," Journal of Econometrics, Elsevier, volume 228, issue 1, pages 156-175, DOI: 10.1016/j.jeconom.2020.05.022.
• Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022, "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, volume 228, issue 1, pages 62-84, DOI: 10.1016/j.jeconom.2020.12.008.
• Anatolyev, Stanislav & Mikusheva, Anna, 2022, "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, volume 229, issue 1, pages 103-126, DOI: 10.1016/j.jeconom.2021.01.002.
• Saart, Patrick W. & Xia, Yingcun, 2022, "Functional time series approach to analyzing asset returns co-movements," Journal of Econometrics, Elsevier, volume 229, issue 1, pages 127-151, DOI: 10.1016/j.jeconom.2020.11.012.
• Li, Yingying & Liu, Guangying & Zhang, Zhiyuan, 2022, "Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps," Journal of Econometrics, Elsevier, volume 229, issue 2, pages 422-451, DOI: 10.1016/j.jeconom.2021.02.007.
• Wan, Runqing & Fulop, Andras & Li, Junye, 2022, "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 114-130, DOI: 10.1016/j.jeconom.2020.04.052.
• Todorov, Viktor, 2022, "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 255-280, DOI: 10.1016/j.jeconom.2021.04.005.
• Christensen, Jens H.E. & Spiegel, Mark M., 2022, "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 410-431, DOI: 10.1016/j.jeconom.2021.10.007.
• Aytekin Ertan & Stephen A. Karolyi & Peter W. Kelly & Robert Stoumbos, 2022, "Earnings announcement return extrapolation," Review of Accounting Studies, Springer, volume 27, issue 1, pages 185-230, March, DOI: 10.1007/s11142-021-09593-w.
• Ray Ball & Gil Sadka & Ayung Tseng, 2022, "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, volume 27, issue 2, pages 607-646, June, DOI: 10.1007/s11142-021-09594-9.
• Doron Israeli & Ron Kasznik & Suhas A. Sridharan, 2022, "Unexpected distractions and investor attention to corporate announcements," Review of Accounting Studies, Springer, volume 27, issue 2, pages 477-518, June, DOI: 10.1007/s11142-021-09618-4.
• Ray Ball & Gil Sadka & Ayung Tseng, 2022, "Correction to: using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, volume 27, issue 2, pages 647-648, June, DOI: 10.1007/s11142-021-09637-1.
• Bradley S. Blaylock & Jimmy F. Downes & Mollie E. Mathis & Scott D. White, 2022, "Do bondholders incorporate expected repatriation taxes into their pricing of debt?," Review of Accounting Studies, Springer, volume 27, issue 4, pages 1457-1492, December, DOI: 10.1007/s11142-021-09632-6.
• Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022, "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 13, issue 4, pages 663-708, December, DOI: 10.1007/s13209-022-00264-w.
• Florian Barth & Christian Eckert & Nadine Gatzert & Hendrik Scholz, 2022, "Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets," Schmalenbach Journal of Business Research, Springer, volume 74, issue 1, pages 37-76, March, DOI: 10.1007/s41471-021-00121-9.
• Christian Manicaro, 2022, "The link between regional CDS spreads and equity returns: a multivariate GARCH approach," SN Business & Economics, Springer, volume 2, issue 2, pages 1-15, February, DOI: 10.1007/s43546-021-00197-9.
• Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022, "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, volume 2, issue 8, pages 1-25, August, DOI: 10.1007/s43546-022-00270-x.
• Xu Guo & Chunchi Wu, 2022, "Short Selling Activity and Effects on Financial Markets and Corporate Decisions," Springer Books, Springer, chapter 98, in: Cheng-Few Lee & Alice C. Lee, "Encyclopedia of Finance", DOI: 10.1007/978-3-030-91231-4_100.
• Jonathan Fletcher, 2022, "Evaluating Fund Performance Within the Stochastic Discount Factor Framework," Springer Books, Springer, chapter 13, in: Cheng-Few Lee & Alice C. Lee, "Encyclopedia of Finance", DOI: 10.1007/978-3-030-91231-4_13.
• Cheng-Few Lee & Lie-Jane Kao & Po-Cheng Wu, 2022, "Alternative Models for Evaluating Convertible Bond: Review and Integration," Springer Books, Springer, chapter 68, in: Cheng-Few Lee & Alice C. Lee, "Encyclopedia of Finance", DOI: 10.1007/978-3-030-91231-4_68.
• Matthew Muntifering, 2022, "Air Pollution, Investor Sentiment and Excessive Returns," Springer Books, Springer, in: Marielle de Jong & Dan diBartolomeo, "Risks Related to Environmental, Social and Governmental Issues (ESG)", DOI: 10.1007/978-3-031-18227-3_4.
• Olaf Stotz, 2022, "Expected and Realized Returns on Stocks with High- and Low-ESG Exposure," Springer Books, Springer, in: Marielle de Jong & Dan diBartolomeo, "Risks Related to Environmental, Social and Governmental Issues (ESG)", DOI: 10.1007/978-3-031-18227-3_6.
• Chin-Yi Chen & Ching-Lin Chu & Hui-Chung Che & Hong-Wen Tsai & Bo Bai, 2022, "Using Patent Drawings to Differentiate Stock Return Rate of China Listed Companies. A Study on China Patent Species of Invention Grant," Advances in Management and Applied Economics, SCIENPRESS Ltd, volume 12, issue 3, pages 1-4.
• Chin-Yi Chen & Ching-Lin Chu & Hui-Chung Che & Hong-Wen Tsai, 2022, "Using Patent Drawings to Differentiate Stock Return Rate of China Listed Companies. A Study on China Patent Species of Utility Model Grant," Advances in Management and Applied Economics, SCIENPRESS Ltd, volume 12, issue 4, pages 1-1.
• Mahfuza Khatun & K. M. Zahidul Islam, 2022, "“Beta†with “Size Premium†an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 12, issue 1, pages 1-5.
• Michele Anelli & Michele Patanè, 2022, "The Role of CDS Market in the Price Discovery Process of the “PIIGS†Countries Sovereign Credit Risk During the Recent Decade of Monetary Easing," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 11, issue 1, pages 1-1.
• Damonte Marco & Cardullo Gabriele, 2022, "The end of the Equity Premium Puzzle? An analysis of the European Financial Markets," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 11, issue 2, pages 1-2.
• Andrea Carriero & Lorenzo Ricci & Elisabetta Vangelista, 2022, "Expectations and term premia in EFSF bond yields," Working Papers, European Stability Mechanism, number 54, Jul.
• Reza Bradrania & Davood Pirayesh Neghab, 2022, "State-dependent asset allocation using neural networks," The European Journal of Finance, Taylor & Francis Journals, volume 28, issue 11, pages 1130-1156, July, DOI: 10.1080/1351847X.2021.1960404.
• Jing Zhang & Wei Zhang & Youwei Li & Xu Feng, 2022, "The role of hedge funds in the asset pricing: evidence from China," The European Journal of Finance, Taylor & Francis Journals, volume 28, issue 2, pages 219-243, January, DOI: 10.1080/1351847X.2021.1929373.
• Jason Shachat & Anand Srinivasan, 2022, "Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets," Journal of Behavioral Finance, Taylor & Francis Journals, volume 23, issue 4, pages 388-407, November, DOI: 10.1080/15427560.2022.2081970.
• Hong-Wen Tsai & Hui-Chung Che, 2022, "Patent Claim's Impact on Stock Return Rate Based on China Stock Market's Empirical Study," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 15, issue 1, pages 27-46, July.
• Catherine Georgiou, 2022, "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 15, issue 3, pages 24-37, December.
• Lester, Benjamin & Weill, Pierre-Olivier & Hugonnier, Julien, 2022, "Heterogeneity in decentralized asset markets," Theoretical Economics, Econometric Society, volume 17, issue 3, July.
• Bauer, Michael & Huber, Daniel & Rudebusch, Glenn & Wilms, Ole, 2022, "Where is the carbon premium? Global performance of green and brown stocks," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6b117156-316d-440a-9fa5-b.
• Adefemi A. OBALADE & Akona TSHUTSHA & Lungelo MVUYANA & Nothando NDLOVU & Paul-Francois MUZINDUTSI, 2022, "Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models," Journal of Economics and Financial Analysis, Tripal Publishing House, volume 6, issue 1, pages 19-35, DOI: 10.1991/jefa.v6i1.a49.
• John Cotter & Enrique Salvador, 2022, "The non-linear trade-off between return and risk and its determinants," Working Papers, Geary Institute, University College Dublin, number 202203, Feb.
• Chenglu Jin & Thomas Conlon & John Cotter, 2022, "Co-skewness across Return Horizons," Working Papers, Geary Institute, University College Dublin, number 202210, Nov.
• Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022, "Asset Management Contracts and Equilibrium Prices," Journal of Political Economy, University of Chicago Press, volume 130, issue 12, pages 3146-3201, DOI: 10.1086/720515.
• Michael Barnett & William Brock & Lars Peter Hansen, 2022, "Climate Change Uncertainty Spillover in the Macroeconomy," NBER Macroeconomics Annual, University of Chicago Press, volume 36, issue 1, pages 253-320, DOI: 10.1086/718668.
• Carlos Maquieira & Christian Espinosa-Méndez, 2022, "Herding behavior in the Chinese stock market and the impact of COVID-19," Estudios de Economia, University of Chile, Department of Economics, volume 49, issue 2 Year 20, pages 199-229, December.
• Michael Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2022, "A Time-Varying Threshold STAR Model with Applications," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2022_04, Dec.
• Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022, "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2022-017, May.
• Priit Jeenas & Ricardo Lagos, 2022, "Q-Monetary Transmission," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1839, May.
• Gabriel Jiménez & Dmitry Kuvshinov & José-Luis Peydró & Bjoern Richter, 2022, "Monetary policy, inflation, and crises: New evidence from history and administrative data," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1854, Dec, revised May 2023.
• Xiang Gao & Kees Koedijk & Thomas Walther & Zhan Wang, 2022, "Relative Investor Sentiment Measurement," Working Papers, Utrecht School of Economics, number 2205.
• Heinger, Sandro & Koeniger, Winfried & Lechner, Michael, 2022, "The Heterogeneous Response of Real Estate Asset Prices to a Global Shock," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2214, Nov.
• Luca Bagato & Alessio Gioia & Enrico Mandelli, 2022, "A Reflexivity-Volatility Based Risk Assessment Tool," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 130, issue 1, pages 29-44.
• Menevşe Özdemir Dilidüzgün & Ayşe Altıok Yılmaz & Elif Akben Selçuk, 2022, "Spread Determinants in Corporate Bond Pricing: The Effect of Market and Liquidity Risks," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 69, issue 3, pages 407-425.
• Bolek Monika & Gniadkowska-Szymańska Agata & Lyroudi Katerina, 2022, "Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets," Central European Economic Journal, Sciendo, volume 9, issue 56, pages 158-177, January, DOI: 10.2478/ceej-2022-0010.
• Marchewka-Bartkowiak Kamilla & Wiśniewski Marcin, 2022, "Energy tokens as digital instruments of financial investment," Economics and Business Review, Sciendo, volume 8, issue 3, pages 109-125, October, DOI: 10.18559/ebr.2022.3.6.
• Wajebo Temesgen Woldamanuel, 2022, "Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies," Economics and Business, Sciendo, volume 36, issue 1, pages 149-163, January, DOI: 10.2478/eb-2022-0010.
• Srbinoski Bojan & Meceski Stevco & Joldeska Irina, 2022, "Market Reactions to Government Support Packages During the Pandemic in North Macedonia," Economic Themes, Sciendo, volume 60, issue 4, pages 429-440, December, DOI: 10.2478/ethemes-2022-0023.
• Tekin Bilgehan, 2022, "What are the internal determinants of return on assets and equity of the energy sector in Turkey?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 18, issue 3, pages 35-50, September, DOI: 10.2478/fiqf-2022-0018.
• Popoola Mufutau Akanmu & Ajayi Jimoh Olayinka & Abiodun Tijani Saheed, 2022, "Exchange Rate Policy Regimes, Private Investment Behaviour and Economic Growth in Nigeria (1960-2020)," Financial Markets, Institutions and Risks, Sciendo, volume 6, issue 3, pages 105-115, September, DOI: 10.21272/fmir.63.105-115.2022.
• Tahat Ibrahim, 2022, "Correlation between Cost of Capital, Book Values and Shares Prices: Evidence from Qatar Stock Exchange," Financial Markets, Institutions and Risks, Sciendo, volume 6, issue 3, pages 40-48, September, DOI: 10.21272/fmir.63.40-48.2022.
• Adaramola Anthony Olugbenga & Oyedeko Yusuf Olatunji, 2022, "Effect of Drawdown Strategy on Risk and Return in Nigerian Stock Market," Financial Markets, Institutions and Risks, Sciendo, volume 6, issue 3, pages 71-82, September, DOI: 10.21272/fmir.63.71-82.2022.
• Magwedere Margaret Rutendo & Marozva Godfrey, 2022, "The Nexus Between Bank Credit Risk and Liquidity: Does the Covid-19 Pandemic Matter? A Case of the Oligopolistic Banking Sector," Folia Oeconomica Stetinensia, Sciendo, volume 22, issue 1, pages 152-171, June, DOI: 10.2478/foli-2022-0008.
• Szymczyk Łukasz & Van Horne Richard & Perez Katarzyna, 2022, "Modeling Distress in US High Yield Mutual Funds Before and During the Covid-19 Pandemic," Folia Oeconomica Stetinensia, Sciendo, volume 22, issue 1, pages 263-286, June, DOI: 10.2478/foli-2022-0013.
• Śliwiński Paweł & Ablewski Szymon & Gemra Kamil & Łukowski Michał, 2022, "Where is the missing value? Evidence from the game industry IPOs underpricing in Poland," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, volume 58, issue 4, pages 335-350, December, DOI: 10.2478/ijme-2022-0024.
• Kantšukov Mark & Sander Priit, 2022, "Optimal Holding Period of an Investment Property Under Different Systems of Income Taxation – An Individual Investor’s Perspective," Real Estate Management and Valuation, Sciendo, volume 30, issue 3, pages 12-29, September, DOI: 10.2478/remav-2022-0018.
• Hossain Mohammed Sawkat, 2022, "Asset Pricing Puzzle: New Evidence of Fama-French Five-Factors in Emerging Market Perspectives," Real Estate Management and Valuation, Sciendo, volume 30, issue 3, pages 73-85, September, DOI: 10.2478/remav-2022-0022.
• Mehta Meera & Arora Shivani & Gupta Shikha & Jhulka Arun, 2022, "Social Listening Through Sentiment Analysis of Twitter Data: A Case Study of Paytm IPO," SocioEconomic Challenges (SEC), Sciendo, volume 6, issue 3, pages 39-47, September, DOI: 10.21272/sec.63.39-47.2022.
• Szymon Lis, 2022, "Investor Sentiment in Asset Pricing Models: A Review," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-14.
• Ewelina Plachimowicz & Piotr Wójcik, 2022, "What makes Punks worthy? Valuation of Non-Fungible Tokens based on the CryptoPunks collection using the hedonic pricing method," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-27.
• Arezki,Rabah & Cho,Caleb Sungwoo & Ha Nguyen & Pham,Anh, 2022, "Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash," Policy Research Working Paper Series, The World Bank, number 10079, Jun.
• Meyer,Josefin & Reinhart,Carmen M. & Trebesch,Christoph, 2022, "Sovereign Bonds since Waterloo," Policy Research Working Paper Series, The World Bank, number 9906, Jan.
• Lorant Kaszab & Ales Marsal & Katrin Rabitsch, 2022, "Asset Pricing with Free Entry and Exit of Firms," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp324, May.
• Kaszab, Lorant & Marsal, Ales & Rabitsch, Katrin, 2022, "Asset Pricing with Free Entry and Exit of Firms," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 324, May.
• Ernest Liu & Atif Mian & Amir Sufi, 2022, "Low Interest Rates, Market Power, and Productivity Growth," Econometrica, Econometric Society, volume 90, issue 1, pages 193-221, January, DOI: 10.3982/ECTA17408.
• Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022, "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, volume 90, issue 2, pages 685-713, March, DOI: 10.3982/ECTA18506.
• Rohan Kekre & Moritz Lenel, 2022, "Monetary Policy, Redistribution, and Risk Premia," Econometrica, Econometric Society, volume 90, issue 5, pages 2249-2282, September, DOI: 10.3982/ECTA18014.
• Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2022, "A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 1, pages 384-400, January, DOI: 10.1002/ijfe.2158.
• David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022, "On the transmission mechanism of Asia‐Pacific yield curve characteristics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 1, pages 473-488, January, DOI: 10.1002/ijfe.2163.
• Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2022, "Technology trade with asymmetric tax regimes and heterogeneous labour markets: Implications for macro quantities and asset prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 3805-3831, October, DOI: 10.1002/ijfe.2188.
• Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2022, "The role of investor sentiment in forecasting housing returns in China: A machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 8, pages 1725-1740, December, DOI: 10.1002/for.2893.
• J.J.M. Van Spronsen & R.M.W.J. Beetsma, 2022, "Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 1, pages 169-202, February, DOI: 10.1111/jmcb.12809.
• Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022, "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 1, pages 5-38, February, DOI: 10.1111/jmcb.12872.
• Anna Kovner & Peter Van Tassel, 2022, "Evaluating Regulatory Reform: Banks' Cost of Capital and Lending," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 5, pages 1313-1367, August, DOI: 10.1111/jmcb.12875.
• İshak Demi̇r & Burak A. Eroğlu & Seçi̇l Yildirim‐Karaman, 2022, "Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 5, pages 1425-1457, August, DOI: 10.1111/jmcb.12886.
• Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022, "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, volume 13, issue 1, pages 259-313, January, DOI: 10.3982/QE1478.
• Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022, "Valuation risk revalued," Quantitative Economics, Econometric Society, volume 13, issue 2, pages 723-759, May, DOI: 10.3982/QE1779.
• Gomes, Pedro & Kurter, Zeynep O. & Morita, Rubens, 2022, "European Sovereign Bond and Stock Market Granger Causality Dynamics," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1405.
• Filippo Gusella, 2022, "Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 02n03, pages 1-22, March, DOI: 10.1142/S0219525922400021.
• Isaac Ehrlich & Yong Yin, 2022, "A Cross-Country Comparison of Old-Age Financial Readiness in Asian Countries versus the United States: The Case of Japan and the Republic of Korea," Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., volume 39, issue 01, pages 5-49, March, DOI: 10.1142/S0116110522500044.
• Richard Lu & Jai-Jen Wang & Wing-Keung Wong, 2022, "Investment Based On Size, Value, Momentum And Income Measures: A Study In The Taiwan Stock Market," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 17, issue 04, pages 1-33, December, DOI: 10.1142/S2010495222500270.
• Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2022, "The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., volume 39, issue 04, pages 1-11, August, DOI: 10.1142/S0217595920400242.
• Helena Glebocki Keefe & Sujata Saha, 2022, "Spillover Effects Of Quantitative Easing On Exports In Emerging Market Economies," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 01, pages 1-25, March, DOI: 10.1142/S2194565922500038.
• Dennis Ikpe & Yethu Sithole & Samuel Asante Gyamerah, 2022, "On a consistent state-space bond markets model for pricing long-maturity bonds," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 04, pages 1-30, December, DOI: 10.1142/S2424786322500244.
• Kok-Leong Yap & Wee-Yeap Lau & Izlin Ismail, 2022, "Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 04, pages 1-21, December, DOI: 10.1142/S242478632250027X.
• Siyu Liu & Chaoyi Zhao & Lan Wu, 2022, "Order types and natural price change: Model and empirical study of the Chinese market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 04, pages 1-32, December, DOI: 10.1142/S2424786322500335.
• Dilip B. Madan & King Wang, 2022, "Option Surface Statistics With Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 06, pages 1-16, September, DOI: 10.1142/S0219024922500248.
• Mike Derksen & Peter Spreij & Sweder Van Wijnbergen, 2022, "ACCOUNTING NOISE AND THE PRICING OF CoCos," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 07n08, pages 1-60, November, DOI: 10.1142/S0219024922500285.
• Victoria Dobrynskaya, 2022, "Does Momentum Trading Generate Extra Downside Risk?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 02, pages 1-32, June, DOI: 10.1142/S201013922250001X.
• Robert Jarrow & Siguang Li, 2022, "Index Design: Hedging and Manipulation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 02, pages 1-36, June, DOI: 10.1142/S2010139222500057.
• Massimo Guidolin & Alexei G. Orlov, 2022, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 03, pages 1-61, September, DOI: 10.1142/S2010139222500070.
• Alexander Barinov, 2022, "Stock Liquidity and Issuing Activity," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 03, pages 1-43, September, DOI: 10.1142/S2010139222500100.
• Juan Pedro Gómez & Maxim Mironov, 2022, "Do Markets Price CEOs Health Hazards? Evidence from the COVID-19 Pandemic," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 04, pages 1-46, December, DOI: 10.1142/S201013922250015X.
• Yin Yin Koay & Chee-Wooi Hooy, 2022, "The Role Of Implicit Determinants In A Highly Liberalized Emerging Market: Evidence From Malaysia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 67, issue 04, pages 1287-1305, June, DOI: 10.1142/S0217590820460054.
• Dorje Brody & Lane Hughston & Andrea Macrina (ed.), 2022, "Financial Informatics:An Information-Based Approach to Asset Pricing," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12533, ISBN: ARRAY(0x62cec8d0), March.
• Mats Persson (ed.), 2022, "Nobel Lectures in Economic Sciences (2011–2015)," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12551, ISBN: ARRAY(0x62e3d170), March.
• Charles-Albert Lehalle & Amine Raboun (ed.), 2022, "Financial Markets in Practice:From Post-Crisis Intermediation to FinTechs," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12731, ISBN: ARRAY(0x626cd6f0), March.
• Richard D Bateson, 2022, "Quantitative Hedge Funds:Discretionary, Systematic, AI, ESG and Quantamental," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number q0358, ISBN: ARRAY(0x631a3c68), March.
• Richard D. Bateson, 2022, "Efficient Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "Real Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "Discretionary Adventures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "Systematic Profits," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "The Factor Game," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "AI Again," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "ESG Investing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "Towards Quantamental," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Richard D. Bateson, 2022, "Appendices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "QUANTITATIVE HEDGE FUNDS Discretionary, Systematic, AI, ESG and Quantamental".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2022, "Beyond Hazard Rates: A New Framework for Credit-Risk Modelling," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2022, "Information-Based Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2022, "Dam rain and cumulative gain," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Mark H. A. Davis & Robyn L. Friedman & Lane P. Hughston, 2022, "Informed traders," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje Brody & Robyn Friedman, 2022, "Information of interest," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2022, "Credit Risk, Market Sentiment and Randomly-Timed Default," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Edward Hoylea & Lane P. Hughston & Andrea Macrina, 2022, "Lévy random bridges and the modelling of financial information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2022, "Modelling Information Flows in Financial Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Jirô Akahori & Andrea Macrina, 2022, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston, 2022, "Lévy information and the aggregation of risk aversion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston & Xun Yang, 2022, "Signal processing with Lévy information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Andrea Macrina, 2022, "Heat Kernel Models For Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Andrea Macrina & Priyanka A. Parbhoo, 2022, "Randomised Mixture Models for Pricing Kernels," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Andrea Macrina & Jun Sekine, 2022, "Stochastic modelling with randomized Markov bridges," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Edward Hoyle & Andrea Macrina & Levent Ali Menguturk, 2022, "Modulated Information Flows In Financial Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Lane P. Hughston & Leandro Sánchez-Betancourt, 2022, "Pricing with Variance Gamma Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & Lane P. Hughston & Xun Yang, 2022, "On the Pricing of Storable Commodities," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Dorje C. Brody & David M. Meier, 2022, "Mathematical Models for Fake News," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Dorje Brody & Lane Hughston & Andrea Macrina, "Financial Informatics An Information-Based Approach to Asset Pricing".
• Jiazi Chen & Zhiwu Hong & Linlin Niu, 2022, "Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2022-06-25, Jun.
• Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022, "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 177.
• Laine, Olli-Matti, 2022, "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, number e53, December.
• Nissinen, Juuso & Sihvonen, Markus, 2022, "Bond convenience curves and funding costs," Bank of Finland Research Discussion Papers, Bank of Finland, number 11/2022.
• Kerssenfischer, Mark & Schmeling, Maik, 2022, "What moves markets?," Discussion Papers, Deutsche Bundesbank, number 16/2022.
• Baltzer, Markus & Schlepper, Kathi & Speck, Christian, 2022, "The Eurosystem's asset purchase programmes, securities lending and Bund specialness," Discussion Papers, Deutsche Bundesbank, number 39/2022.
• Metiu, Norbert, 2022, "A composite indicator of financial conditions for Germany," Technical Papers, Deutsche Bundesbank, number 03/2022.
• Heiniger, Sandro & Koeniger, Winfried & Lechner, Michael, 2022, "The heterogeneous response of real estate asset prices to a global shock," CFS Working Paper Series, Center for Financial Studies (CFS), number 690, DOI: 10.2139/ssrn.4363179.
• Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022, "Hot off the press: News-implied sovereign default risk," EIB Working Papers, European Investment Bank (EIB), number 2022/06, DOI: 10.2867/661002.
• Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022, "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 54, issue 1, pages 5-38, DOI: 10.1111/jmcb.12872.
• Yang, Zheyu, 2022, "Risk-taking and monetary policy," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 263253.
• Zarifhonarvar, Ali, 2022, "The Effect of Covid Pandemic on Cryptocurrency Markets; A Literature Review," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 266369.
• Lee, Hanol & Wie, Dainn, 2022, "Gone with the fire: Market reaction to cryptocurrency exchange shutdown," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 266545.
• Goebel, Josua & Heidorn, Thomas & Huang, Zizhen, 2022, "How the IBOR reform affects interest rate swaps," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 232.
• Kick, Andreas & Rottmann, Horst, 2022, "The relevance of banks to the European stock market," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 84.
• Eichfelder, Sebastian & Noack, Mona & Noth, Felix, 2022, "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and reallocation of trading activity," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 12/2022.
• Baumgartner, Tim & Güttler, André, 2022, "Bitcoin flash crash on May 19, 2021: What did really happen on Binance?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 25/2022.
• Pyo, Dong-Jin, 2022, "Sentiment Shock and Housing Prices: Evidence from Korea," KDI Journal of Economic Policy, Korea Development Institute (KDI), volume 44, issue 4, pages 79-108, DOI: 10.23895/kdijep.2022.44.4.79.
• Neuhierl, Andreas & Tang, Xiaoxiao & Varneskov, Rasmus Tangsgaard & Zhou, Guofu, 2022, "Option characteristics as cross-sectional predictors," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 37.
• Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022, "Informed options strategies before corporate events," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 39.
• Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022, "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 41.
• Acheson, Graeme G. & Aldous, Michael & Quinn, William, 2022, "The anatomy of a bubble company: The London Assurance in 1720," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 22-08.
• Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2022, "The spectre of terrorism and the stock market," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 22-10.
• Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022, "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 334, DOI: 10.2139/ssrn.4001498.
• Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022, "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 350.
• Bagnara, Matteo & Jappelli, Ruggero, 2022, "Liquidity derivatives," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 358.
• Pollastri, Alessandro & Rodrigues, Paulo Jorge Maurício & Schlag, Christian & Seeger, Norman, 2022, "A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 372, DOI: 10.2139/ssrn.1361861.
• Fengler, Matthias & Polivka, Jeanine, 2022, "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264010.
• Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022, "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264054.
• Cumming, Douglas & Köchling, Gerrit & Neukirchen, Daniel & Posch, Peter, 2022, "Does Corporate Culture Influence IPO Pricing?," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264105.
• Murat Yaş & Ahmet Faruk Aysan & Mohamed Eskandar Shah Mohd Rasid, 2022, "Are religious investors financially smart? evidence from equity funds," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 1, pages 33-45, February, DOI: 10.1057/s41260-021-00240-2.
• Siri Tronslien Sagbakken & Dan Zhang, 2022, "European sin stocks," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 1, pages 1-18, February, DOI: 10.1057/s41260-021-00247-9.
• Mayank Patel & Vinodh Madhavan & Supratim Gupta, 2022, "Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 1, pages 46-61, February, DOI: 10.1057/s41260-021-00253-x.
• Klaus Grobys & James W. Kolari & Jere Rutanen, 2022, "Factor momentum, option-implied volatility scaling, and investor sentiment," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 2, pages 138-155, March, DOI: 10.1057/s41260-021-00229-x.
• Murat Yaş & Ahmet Faruk Aysan & Mohamed Eskandar Shah Mohd Rasid, 2022, "Correction to: Are religious investors financially smart? Evidence from equity funds," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 2, pages 172-172, March, DOI: 10.1057/s41260-021-00252-y.
• Seungho Lee, 2022, "The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 2, pages 156-171, March, DOI: 10.1057/s41260-021-00254-w.
• Surbhi Gupta & Anil Kumar Sharma, 2022, "Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 3, pages 173-200, May, DOI: 10.1057/s41260-022-00255-3.
• Adlane Haffar & Éric Le Fur, 2022, "Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 4, pages 297-309, July, DOI: 10.1057/s41260-022-00271-3.
• Boris Fays & Georges Hübner & Marie Lambert, 2022, "Harvesting the seasons of the size anomaly," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 4, pages 337-349, July, DOI: 10.1057/s41260-022-00272-2.
• Daouda Lawa tan Toe & Salifou Ouedraogo, 2022, "Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 5, pages 429-444, September, DOI: 10.1057/s41260-022-00274-0.
• Lorenzo Casavecchia & Gerhard Hambusch & Justin Hitchen, 2022, "The impact of analyst forecast errors on fundamental indexation: the Australian evidence," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 5, pages 400-418, September, DOI: 10.1057/s41260-022-00276-y.
• Andreas Oehler & Julian Schneider, 2022, "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 6, pages 477-503, October, DOI: 10.1057/s41260-022-00268-y.
• Yanan Li & Wenjun Wang, 2022, "Company visits and mutual fund performance: new evidence on managerial skills," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 6, pages 504-521, October, DOI: 10.1057/s41260-022-00273-1.
• Federico Nucera & Björn Uhl, 2022, "The impact of volatility scaling on factor portfolio performance and factor timing," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 6, pages 522-533, October, DOI: 10.1057/s41260-022-00279-9.