Research classified by Journal of Economic Literature (JEL) codes

2022

• Tomohiro Hirano & Ryo Jinnai & Alexis Akira Toda, 2022, "Leverage, Endogenous Unbalanced Growth, and Asset Price Bubbles," Papers, arXiv.org, number 2211.13100, Nov, revised Feb 2024.
• Nazifi Fard, Kia & Motavasseli, Ali, 2022, "The Effect of Sectoral Sanctions on Price Returns of Targeted Firms: Evidence from Tehran Stock Exchange (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, volume 27, issue 2, pages 89-125, September.
• Ethan Struby & Michael F. Connolly, 2022, "Shadow Rate Models and Monetary Policy," Working Papers, Carleton College, Department of Economics, number 2022-03, Aug.
• Suresh Sharma & Jyoti Chaudhary, 2022, "Association between Time Use Behaviour and Health and Well Being among Elderly: Evidence from the Longitudinal Ageing Study of India," IEG Working Papers, Institute of Economic Growth, number 450, Feb.
• Piyali Das & Chetan Ghate, 2022, "Debt Decomposition and the Role of Inflation: A Security Level Analysis for India," IEG Working Papers, Institute of Economic Growth, number 451, Feb.
• Srikanth Parthasarathy & Kannadas Sendilvelu, 2022, "On Stock Return Patterns Following Large Monthly Price Movements: Empirical Evidence from India," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 249-268.
• Bruno Feunou & Jean-Sébastien Fontaine & Ingomar Krohn, 2022, "Real Exchange Rate Decompositions," Discussion Papers, Bank of Canada, number 2022-6, Mar, DOI: 10.34989/sdp-2022-6.
• Ming Zeng & Guihai Zhao, 2022, "Expectation-Driven Term Structure of Equity and Bond Yields," Staff Working Papers, Bank of Canada, number 22-21, May, DOI: 10.34989/swp-2022-21.
• Sushant Acharya & Keshav Dogra & Sanjay Singh, 2022, "The Financial Origins of Non-fundamental Risk," Staff Working Papers, Bank of Canada, number 22-4, Jan, DOI: 10.34989/swp-2022-4.
• Jessie Ziqing Chen & Johannes Chen & Shamarthi Ghosh & Manu Pandey & Adrian Walton, 2022, "Potential netting benefits from expanded central clearing in Canada’s fixed-income market," Staff Analytical Notes, Bank of Canada, number 2022-8, Jun, DOI: 10.34989/san-2022-8.
• Julio Gálvez, 2022, "Measuring the equity risk premium with dividend discount models," Occasional Papers, Banco de España, number 2207, May.
• Pana Alves & Sergio Mayordomo & Manuel Ruiz-García, 2022, "La financiación empresarial en los mercados de renta fija: la contribución de la política monetaria a mitigar la barrera del tamaño," Occasional Papers, Banco de España, number 2209, May.
• Pana Alves & Sergio Mayordomo & Manuel Ruiz-García, 2022, "Corporate financing in fixed-income markets: the contribution of monetary policy to lowering the size barrier," Occasional Papers, Banco de España, number 2209, May.
• Ricardo Gimeno & Clara I. González, 2022, "The role of a green factor in stock prices. When Fama & French go green," Working Papers, Banco de España, number 2207, Mar.
• José Manuel Carbó & Sergio Gorjón, 2022, "Application of machine learning models and interpretability techniques to identify the determinants of the price of bitcoin," Working Papers, Banco de España, number 2215, Apr.
• James Costain & Galo Nuño & Carlos Thomas, 2022, "The Term Structure of Interest Rates in a Heterogeneous Monetary Union," Working Papers, Banco de España, number 2223, Jun.
• Mario Bajo & Emilio Rodríguez, 2022, "Integrating the carbon footprint into the construction of corporate bond portfolios," Working Papers, Banco de España, number 2226, Jul.
• Julio Gálvez & Gonzalo Paz-Pardo, 2022, "Richer earnings dynamics, consumption and portfolio choice over the life cycle," Working Papers, Banco de España, number 2241, Nov, DOI: https://doi.org/10.53479/23706.
• Stefano Neri & Guido Bulligan & Sara Cecchetti & Francesco Corsello & Andrea Papetti & Marianna Riggi & Concetta Rondinelli & Alex Tagliabracci, 2022, "On the anchoring of inflation expectations in the euro area," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 712, Sep.
• Matteo Alpino & Luca Citino & Federica Zeni, 2022, "Costs and benefits of the green transition envisaged in the italian NRRP. An evaluation using the Social Cost of Carbon," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 720, Oct.
• Fabrizio Ferriani & Andrea Gazzani, 2022, "The impact of the war in Ukraine on energy prices: consequences for firms' financial performance," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 729, Nov.
• Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022, "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems), Bank of Italy, Directorate General for Markets and Payment System, number 20, Mar.
• Rui Albuquerque & Yrjo Koskinen & Raffaele Santioni, 2022, "Mutual fund trading and ESG stock resilience during the Covid-19 stock market crash," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1371, Jun.
• Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022, "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1380, Jul.
• Fabrizio Ferriani, 2022, "Issuing bonds during the Covid-19 pandemic: is there an ESG premium?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1392, Nov.
• Maria Ludovica Drudi & Federico Calogero Nucera, 2022, "Economic fundamentals and stock market valuation: a CAPE-based approach," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1393, Nov.
• Luis Fernando Melo-Velandia & Camilo Andrés Orozco-Vanegas & Daniel Parra-Amado, 2022, "Ofertas Públicas de Adquisición y su efecto sobre las rentabilidades en el mercado accionario: El caso de NUTRESA y SURA en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 1195, Apr, DOI: 10.32468/be.1195.
• Miguel Sarmiento, 2022, "Sudden Yield Reversals and Financial Intermediation in Emerging Markets," Borradores de Economia, Banco de la Republica de Colombia, number 1210, Oct, DOI: 10.32468/be.1210.
• Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022, "The Conditional PaThéof Central Bank Asset Purchases," Working papers, Banque de France, number 885.
• Arthur Stalla-Bourdillon, 2022, "Stock Return Predictability: comparing Macro- and Micro-Approaches," Working papers, Banque de France, number 891.
• Ricardo Lagos & Priit Jeenas, 2022, "Q-Monetary Transmission," Working Papers, Barcelona School of Economics, number 1348, May.
• José-Luis Peydró [AP BACKUP – NOW EXTERNAL] & Björn Richter & Dmitry Kuvshinov & Gabriel Jiménez & José-Luis Peydró, 2022, "Monetary Policy, Inflation, and Crises: New Evidence from History and Administrative Data," Working Papers, Barcelona School of Economics, number 1378, Dec.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2022, "Measuring US Fiscal Capacity Using Discounted Cash Flow Analysis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 53, issue 2 (Fall), pages 157-229.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2022, "Information flows and the law of one price," Discussion Papers, Department of Economics, University of Birmingham, number 22-05, Mar.
• Elena Loutskina & Oleksandr Talavera & Shuxing Yin & Mao Zhang, 2022, "Leading with Passion," Discussion Papers, Department of Economics, University of Birmingham, number 22-10, Oct.
• Camille Macaire & Alain Naef, 2022, "Greening monetary policy: Evidence from The People's Bank of China," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "Statistics for Sustainable Finance".
• Danilo Liberati & Giuseppe Marinelli, 2022, "Everything you always wanted to know about green bonds (but were afraid to ask)," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "Statistics for Sustainable Finance".
• Wenqian Huang & Karamfil Todorov, 2022, "The post-Libor world: a global view from the BIS derivatives statistics," BIS Quarterly Review, Bank for International Settlements, December.
• Mathias Drehmann & Vladyslav Sushko, 2022, "The global foreign exchange market in a higher-volatility environment," BIS Quarterly Review, Bank for International Settlements, December.
• Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2022, "Dollar beta and stock returns," BIS Working Papers, Bank for International Settlements, number 1000, Feb.
• Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022, "Global production linkages and stock market co-movement," BIS Working Papers, Bank for International Settlements, number 1003, Feb.
• Raphael Auer & Marc Farag & Ulf Lewrick & Lovrenc Orazem & Markus Zoss, 2022, "Banking in the shadow of Bitcoin? The institutional adoption of cryptocurrencies," BIS Working Papers, Bank for International Settlements, number 1013, May.
• Christian Julliard & Gabor Pinter & Karamfil Todorov & Jean-Charles Wijnandts & Kathy Yuan, 2022, "What drives repo haircuts? Evidence from the UK market," BIS Working Papers, Bank for International Settlements, number 1027, Jul.
• Mitsuru Katagiri & Koji Takahashi & Junnosuke Shino, 2022, "Bank of Japan's ETF purchase program and equity risk premium: a CAPM interpretation," BIS Working Papers, Bank for International Settlements, number 1029, Jul.
• Boris Hofmann & Ilhyock Shim & Hyun Song Shin, 2022, "Risk capacity, portfolio choice and exchange rates," BIS Working Papers, Bank for International Settlements, number 1031, Jul.
• Peter Hördahl & Giorgio Valente, 2022, "Emerging market bond flows and exchange rate returns," BIS Working Papers, Bank for International Settlements, number 1042, Sep.
• Dora Xia & Omar Zulaica, 2022, "The term structure of carbon premia," BIS Working Papers, Bank for International Settlements, number 1045, Oct.
• Sirio Aramonte, 2022, "Inflation risk and the labor market: beneath the surface of a flat Phillips curve," BIS Working Papers, Bank for International Settlements, number 1054, Nov.
• Igor Makarov & Antoinette Schoar, 2022, "Cryptocurrencies and Decentralised Finance," BIS Working Papers, Bank for International Settlements, number 1061, Dec.
• Ana Aguilar & María Diego-Fernández & Rocio Elizondo & Jessica Roldán-Peña, 2022, "Term premium dynamics and its determinants: the Mexican case," BIS Working Papers, Bank for International Settlements, number 993, Jan.
• Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022, "Monetary policy expectation errors," BIS Working Papers, Bank for International Settlements, number 996, Jan.
• Amanda Liu & Jing Liu & Ilhyock Shim, 2022, "Shadow loans and regulatory arbitrage: evidence from China," BIS Working Papers, Bank for International Settlements, number 999, Feb.
• Nicolas Eugster & Romain Ducret & Dušan Isakov & Jean‐Philippe Weisskopf, 2022, "Chasing dividends during the COVID‐19 pandemic," International Review of Finance, International Review of Finance Ltd., volume 22, issue 2, pages 335-345, June, DOI: 10.1111/irfi.12360.
• Péter Kondor & Gábor Pintér, 2022, "Clients' Connections: Measuring the Role of Private Information in Decentralized Markets," Journal of Finance, American Finance Association, volume 77, issue 1, pages 505-544, February, DOI: 10.1111/jofi.13087.
• Adem Atmaz & Suleyman Basak, 2022, "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, volume 77, issue 1, pages 545-599, February, DOI: 10.1111/jofi.13098.
• Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022, "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, volume 77, issue 1, pages 601-638, February, DOI: 10.1111/jofi.13096.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022, "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, volume 77, issue 2, pages 967-1017, April, DOI: 10.1111/jofi.13107.
• Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022, "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, volume 77, issue 6, pages 3093-3140, December, DOI: 10.1111/jofi.13178.
• Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan Simester, 2022, "Belief Disagreement and Portfolio Choice," Journal of Finance, American Finance Association, volume 77, issue 6, pages 3191-3247, December, DOI: 10.1111/jofi.13179.
• Nicola Fusari & Wei Li & Haoyang Liu & Zhaogang Song, 2022, "Asset Pricing with Cohort‐Based Trading in MBS Markets," Journal of Finance, American Finance Association, volume 77, issue 6, pages 3249-3287, December, DOI: 10.1111/jofi.13180.
• Alex Edmans & Vivian W. Fang & Allen H. Huang, 2022, "The Long‐Term Consequences of Short‐Term Incentives," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 60, issue 3, pages 1007-1046, June, DOI: 10.1111/1475-679X.12410.
• Vegard Høghaug Larsen & Leif Anders Thorsrud, 2022, "Asset returns, news topics, and media effects," Scandinavian Journal of Economics, Wiley Blackwell, volume 124, issue 3, pages 838-868, July, DOI: 10.1111/sjoe.12469.
• Karolis Liaudinskas, 2022, "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper, Norges Bank, number 2022/6, Jun.
• Robert Czech & Pasquale Della Corte & Shiyang Huang & Tianyu Wang, 2022, "FX option volume," Bank of England working papers, Bank of England, number 964, Mar.
• Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022, "Collateral cycles," Bank of England working papers, Bank of England, number 966, Apr.
• Gábor Pintér & Chaojun Wang & Junyuan Zou, 2022, "Size discount and size penalty: trading costs in bond markets," Bank of England working papers, Bank of England, number 970, Apr.
• Benjamin King & James Semark, 2022, "Reducing liquidity mismatch in open-ended funds: a cost-benefit analysis," Bank of England working papers, Bank of England, number 975, Apr.
• Gerardo Ferrara & Philippe Mueller & Ganesh Viswanath-Natraj & Junxuan Wang, 2022, "Central bank swap lines: micro-level evidence," Bank of England working papers, Bank of England, number 977, May.
• Iryna Kaminska & Haroon Mumtaz, 2022, "Monetary policy transmission during QE times: role of expectations and term premia channels," Bank of England working papers, Bank of England, number 978, May.
• Jamie Coen & Patrick Coen, 2022, "A structural model of liquidity in over‑the‑counter markets," Bank of England working papers, Bank of England, number 979, May.
• Maren Froemel & Michael Joyce & Iryna Kaminska, 2022, "The local supply channel of QE: evidence from the Bank of England’s gilt purchases," Bank of England working papers, Bank of England, number 980, May.
• Alex Kontoghiorghes, 2022, "Do personal taxes affect investment decisions and stock returns?," Bank of England working papers, Bank of England, number 988, Jul.
• Dimitris Malliaropulos & Petros Migiakis, 2022, "A global monetary policy factor in sovereign bond yields," Working Papers, Bank of Greece, number 301, Jul, DOI: 10.52903/wp2022301.
• Junko Koeda & Yoichi Ueno, 2022, "A Preferred Habitat View of Yield Curve Control," Bank of Japan Working Paper Series, Bank of Japan, number 22-E-7, Aug.
• Klaus Adam & Stefan Nagel, 2022, "Expectations Data in Asset Pricing," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_337, Feb.
• Drábek Michal, 2022, "Relative Valuation of Private Held Companies: Valuation Multiples in the Czech Brewing Industry," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, volume 17, issue 1, pages 65-100, February, DOI: 10.1515/jbvela-2021-0023.
• Michail Nektarios A. & Melas Konstantinos D., 2022, "Geopolitical Risk and the LNG-LPG Trade," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 28, issue 3, pages 243-265, September, DOI: 10.1515/peps-2022-0007.
• Li Leon & Scrimgeour Frank, 2022, "The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 3, pages 475-497, June, DOI: 10.1515/snde-2019-0141.
• Abraham Oketooyin GBADEBO & Yusuf Olatunji OYEDEKO, 2022, "Effect Of Liquidity Risk On Low Volatility Anomaly In Nigerian Stock Market," Contemporary Economy Journal, Constantin Brancoveanu University, volume 7, issue 3, pages 25-42.
• Roméo Tédongap & Jules Tinang, 2022, "Portfolio Optimization and Asset Pricing Implications under Returns Non-Normality Concerns," Finance, Presses universitaires de Grenoble, volume 43, issue 1, pages 47-94.
• Philippe Bertrand & Jean-Luc Prigent, 2022, "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, volume 43, issue 1, pages 123-150.
• Erkin Diyarbakirlioglu & Marc Desban & Souad Lajili Jarjir, 2022, "Asset pricing models with measurement error problems: A new framework with Compact Genetic Algorithms," Finance, Presses universitaires de Grenoble, volume 43, issue 2, pages 1-78.
• Alves, C., 2022, "Joan Robinson in 1942, an encounter between Marxian Economics and Macroeconomics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2226, Apr.
• Ashby, M. & Linton, O. B., 2022, "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2259, Oct.
• Auld, T., 2022, "Betting and financial markets are cointegrated on election night," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2263, Nov.
• Auld, T., 2022, "Political markets as equity price factors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2264, Nov.
• W. Saart, Patrick & Kim, Namhyun & Bateman, Ian, 2021, "Understanding spatial heterogeneity in GB agricultural land-use for improved policy targeting," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2021/8, May.
• Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022, "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp730, Jun.
• Mariia Kosar & Sergei Mikhalishchev, 2022, "Inattentive Price Discovery in ETFs," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp735, Sep.
• Gregory Boadu-Sebbe, 2022, "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp738, Oct.
• Guglielmo Maria Caporale & Alex Plastun, 2022, "Persistence in High Frequency Financial Data," CESifo Working Paper Series, CESifo, number 10045.
• Sandro Heiniger & Winfried Koeniger & Michael Lechner, 2022, "The Heterogeneous Response of Real Estate Asset Prices to a Global Shock," CESifo Working Paper Series, CESifo, number 10083.
• Scott Alan Carson & Scott A. Carson, 2022, "Diesel, Conventional Gas, Jet Fuel, and Natural Gas Equity and Commodity Project Risk across the Oil and Gas Industry," CESifo Working Paper Series, CESifo, number 10125.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Ahniia Havrylina, 2022, "Persistence in the Passion Investment Market," CESifo Working Paper Series, CESifo, number 9586.
• Ricardo J. Caballero & Alp Simsek, 2022, "A Note on Temporary Supply Shocks with Aggregate Demand Inertia," CESifo Working Paper Series, CESifo, number 9603.
• Ricardo J. Caballero & Alp Simsek, 2022, "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CESifo Working Paper Series, CESifo, number 9632.
• Stefan Nagel & Zhengyang Xu, 2022, "Dynamics of Subjective Risk Premia," CESifo Working Paper Series, CESifo, number 9693.
• Lars Hornuf & Gül Yüksel, 2022, "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series, CESifo, number 9724.
• Andreas Kick & Horst Rottmann, 2022, "The Relevance of Banks to the European Stock Market," CESifo Working Paper Series, CESifo, number 9752.
• Rabah Arezki & Caleb Cho & Ha Nguyen & Kate Nguyen & Anh Pham, 2022, "Corporate Debt and Stock Returns: Evidence from U.S. Firms During the 2020 Oil Crash," CESifo Working Paper Series, CESifo, number 9770.
• Raphael A. Auer, 2022, "Embedded Supervision: How to Build Regulation into Decentralised Finance," CESifo Working Paper Series, CESifo, number 9771.
• Rick van der Ploeg & Johannes Emmerling & Ben Groom, 2022, "The Social Cost of Carbon with Intragenerational Inequality under Economic Uncertainty," CESifo Working Paper Series, CESifo, number 9777.
• James Costain & Galo Nuño & Carlos Thomas, 2022, "The Term Structure of Interest Rates in a Heterogeneous Monetary Union," CESifo Working Paper Series, CESifo, number 9844.
• Zefeng Chen & Zhengyang Jiang, 2022, "The Liquidity Premium of Digital Payment Vehicle," CESifo Working Paper Series, CESifo, number 9933.
• Anusha Chari & Felipe Garcés & Juan Francisco Martínez & Patricio Valenzuela, 2022, "Sovereign Credit Spreads, Banking Fragility, and Global Factors," Working Papers Central Bank of Chile, Central Bank of Chile, number 957, May.
• Jan Muckenhaupt & Martin Hoesli & Bing Zhu, 2022, "Tenant Industry Sector and European Listed Real Estate Performance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-08, Jan.
• Philippe Bacchetta & Eric van Wincoop & Eric R. Young, 2022, "Infrequent Random Portfolio Decisions in an Open Economy Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-10, Jan.
• Rajna Gibson & Martin Hoesli & Jiajun Shan, 2022, "The Valuation of Illiquid Assets: A Focus on Private Equity and Real Estate," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-12, Feb.
• Andreas Fuster & David O. Lucca & James I. Vickery, 2022, "Mortgage-Backed Securities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-13, Feb.
• Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022, "Global Production Linkages and Stock Market Comovement," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-18, Feb.
• Theodoros Evgeniou & Julien Hugonnier & Rodolfo Prieto, 2022, "Asset pricing with costly short sales," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-21, Mar.
• Damir Filipović & Markus Pelger & Ye Ye, 2022, "Stripping the Discount Curve - a Robust Machine Learning Approach," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-24, Mar.
• Didier Sornette & Florian Ulmann & Alexander Wehrli, 2022, "On the Directional Destabilizing Feedback Effects of Option Hedging," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-34, Apr.
• Alice Eliet-Doillet & Andrea Maino, 2022, "Can unconventional monetary policy contribute to climate action?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-35, Apr.
• Andrea Barbon & Heiner Beckmeyer & Andrea Buraschi & Mathis Moerke, 2022, "Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-40, May.
• Oksana Bashchenko, 2022, "Bitcoin Price Factors: Natural Language Processing Approach," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-48, May.
• Luciano Somoza & Antoine Didisheim, 2022, "The End of the Crypto-Diversification Myth," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-53, Jun.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2022, "The Virtue of Complexity Everywhere," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-57, Jul.
• Damir Filipović & Markus Pelger & Ye Ye, 2022, "Shrinking the Term Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-61, Aug.
• Theis Ingerslev Jensen & Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2022, "Machine Learning and the Implementable Efficient Frontier," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-63, Aug.
• Emanuela Benincasa & Jonathan Fu & Mrinal Mishra & Adityavardhan Paranjape, 2022, "Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-64, Aug.
• Christoph Basten & Ragnar Juelsrud, 2022, "Cross-Selling in Bank Household Relationships. Implications for Deposit Pricing, Loan Pricing, and Monetary Policy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-65, Aug.
• Philippe van der Beck, 2022, "On the Estimation of Demand-Based Asset Pricing Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-67, Jun.
• Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff & Kumar Venkataraman, 2022, "Quote Competition in Corporate Bonds," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-70, Sep.
• Walter Farkas & Francesco Ferrari & Urban Ulrych, 2022, "Pricing Autocallables under Local-Stochastic Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-71, Sep.
• Wenqian Huang & Angelo Ranaldo & Andreas Schrimpf & Fabricius Somogyi, 2022, "Constrained Liquidity Provision in Currency Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-82, Oct.
• Semyon Malamud & Neng Wang & Yuan Zhang, 2022, "Asset Pricing with “Buy Now, Pay Later”," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-85, Nov.
• Sandro Heiniger & Winfried Koeniger & Michael Lechner, 2022, "The Heterogeneous Response of Real Estate Asset Prices to a Global Shock," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-86, Nov.
• Demetrio Lacava & Angelo Ranaldo & Paolo Santucci de Magistris, 2022, "Realized Illiquidity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-90, Nov.
• Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022, "Collateral Cycles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-91, Dec.
• Damir Filipović & Puneet Pasricha, 2022, "Empirical Asset Pricing via Ensemble Gaussian Process Regression," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-95, Dec.
• Pierre Collin-Dufresne & Kent D. Daniel & Mehmet Saglam, 2023, "Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-38, Jun.
• Michael Demmler & Amilcar Orlian Fern�ndez Dom�nguez, 2022, "Speculative bubble tendencies in time series of Bitcoin market prices," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 41, issue 86, pages 159-183.
• Nancy Matos Reyes & Robert McDonald & Jaime Rivera Camino, 2022, "La influencia del conflicto social y la licencia social para operar sobre el valor de la empresa," Estudios Gerenciales, Universidad Icesi, volume 38, issue 165, pages 406-423, DOI: 10.18046/j.estger.2022.165.5136.
• Lhuissier, Stéphane & Ortmans, Aymeric & Tripier, Fabien, 2022, "The Risk of Inflation Dispersion in the Euro Area," CEPREMAP Working Papers (Docweb), CEPREMAP, number 2212, Nov.
• Werner, Jan, 2022, "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, volume 199, issue C, DOI: 10.1016/j.jet.2021.105200.
• Hansen, Peter G., 2022, "New formulations of ambiguous volatility with an application to optimal dynamic contracting," Journal of Economic Theory, Elsevier, volume 199, issue C, DOI: 10.1016/j.jet.2021.105205.
• Szőke, Bálint, 2022, "Estimating robustness," Journal of Economic Theory, Elsevier, volume 199, issue C, DOI: 10.1016/j.jet.2021.105225.
• Meissner, Thomas & Pfeiffer, Philipp, 2022, "Measuring preferences over the temporal resolution of consumption uncertainty," Journal of Economic Theory, Elsevier, volume 200, issue C, DOI: 10.1016/j.jet.2021.105379.
• Li, Qi, 2022, "Security design without verifiable retention," Journal of Economic Theory, Elsevier, volume 200, issue C, DOI: 10.1016/j.jet.2021.105381.
• Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022, "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, volume 203, issue C, DOI: 10.1016/j.jet.2022.105463.
• van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022, "Risk-free interest rates," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 1-29, DOI: 10.1016/j.jfineco.2021.06.012.
• Clarke, Charles, 2022, "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 159-187, DOI: 10.1016/j.jfineco.2021.08.008.
• Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022, "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 247-276, DOI: 10.1016/j.jfineco.2021.07.002.
• Jiang, Hao & Li, Yi & Sun, Zheng & Wang, Ashley, 2022, "Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 277-302, DOI: 10.1016/j.jfineco.2021.05.022.
• Anarkulova, Aizhan & Cederburg, Scott & O’Doherty, Michael S., 2022, "Stocks for the long run? Evidence from a broad sample of developed markets," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 409-433, DOI: 10.1016/j.jfineco.2021.06.040.
• Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022, "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 484-503, DOI: 10.1016/j.jfineco.2021.05.020.
• Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022, "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 527-549, DOI: 10.1016/j.jfineco.2021.05.030.
• Cereda, Fábio & Chague, Fernando & De-Losso, Rodrigo & Genaro, Alan & Giovannetti, Bruno, 2022, "Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 569-592, DOI: 10.1016/j.jfineco.2021.05.033.
• Novy-Marx, Robert & Velikov, Mihail, 2022, "Betting against betting against beta," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 80-106, DOI: 10.1016/j.jfineco.2021.05.023.
• Belo, Frederico & Gala, Vito D. & Salomao, Juliana & Vitorino, Maria Ana, 2022, "Decomposing firm value," Journal of Financial Economics, Elsevier, volume 143, issue 2, pages 619-639, DOI: 10.1016/j.jfineco.2021.08.007.
• Bai, Hang & Zhang, Lu, 2022, "Searching for the equity premium," Journal of Financial Economics, Elsevier, volume 143, issue 2, pages 897-926, DOI: 10.1016/j.jfineco.2021.05.024.
• Büchner, Matthias & Kelly, Bryan, 2022, "A factor model for option returns," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1140-1161, DOI: 10.1016/j.jfineco.2021.12.007.
• Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2022, "Price revelation from insider trading: Evidence from hacked earnings news," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1162-1184, DOI: 10.1016/j.jfineco.2021.12.006.
• Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022, "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1185-1208, DOI: 10.1016/j.jfineco.2021.05.011.
• Iachan, Felipe S. & Silva, Dejanir & Zi, Chao, 2022, "Under-diversification and idiosyncratic risk externalities," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1227-1250, DOI: 10.1016/j.jfineco.2021.05.001.
• Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022, "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1251-1274, DOI: 10.1016/j.jfineco.2021.05.009.
• Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022, "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, volume 143, issue 3, pages 1295-1315, DOI: 10.1016/j.jfineco.2021.05.014.
• Zhang, Shaojun, 2022, "Dissecting currency momentum," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 154-173, DOI: 10.1016/j.jfineco.2021.05.035.
• Almeida, Caio & Freire, Gustavo, 2022, "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 174-205, DOI: 10.1016/j.jfineco.2021.05.041.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 227-246, DOI: 10.1016/j.jfineco.2021.05.056.
• Ding, Yi & Xiong, Wei & Zhang, Jinfan, 2022, "Issuance overpricing of China's corporate debt securities," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 328-346, DOI: 10.1016/j.jfineco.2021.06.010.
• Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022, "Oil volatility risk," Journal of Financial Economics, Elsevier, volume 144, issue 2, pages 456-491, DOI: 10.1016/j.jfineco.2021.08.016.
• Chaderina, Maria & Weiss, Patrick & Zechner, Josef, 2022, "The maturity premium," Journal of Financial Economics, Elsevier, volume 144, issue 2, pages 670-694, DOI: 10.1016/j.jfineco.2021.07.008.
• Chan, Kam Fong & Marsh, Terry, 2022, "Asset pricing on earnings announcement days," Journal of Financial Economics, Elsevier, volume 144, issue 3, pages 1022-1042, DOI: 10.1016/j.jfineco.2021.06.022.
• Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022, "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, volume 144, issue 3, pages 695-731, DOI: 10.1016/j.jfineco.2022.03.001.
• Back, Kerry & Crotty, Kevin & Kazempour, Seyed Mohammad, 2022, "Validity, tightness, and forecasting power of risk premium bounds," Journal of Financial Economics, Elsevier, volume 144, issue 3, pages 732-760, DOI: 10.1016/j.jfineco.2022.02.003.
• Ermolov, Andrey, 2022, "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 1-28, DOI: 10.1016/j.jfineco.2022.04.003.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022, "Multivariate crash risk," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 129-153, DOI: 10.1016/j.jfineco.2021.07.016.
• Martin, Ian W.R. & Nagel, Stefan, 2022, "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 154-177, DOI: 10.1016/j.jfineco.2021.10.006.
• Chang, Jeffery (Jinfan) & Du, Huancheng & Lou, Dong & Polk, Christopher, 2022, "Ripples into waves: Trade networks, economic activity, and asset prices," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 217-238, DOI: 10.1016/j.jfineco.2021.08.005.
• Haddad, Valentin & Ho, Paul & Loualiche, Erik, 2022, "Bubbles and the value of innovation," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 69-84, DOI: 10.1016/j.jfineco.2022.04.006.
• Di Maggio, Marco & Egan, Mark & Franzoni, Francesco, 2022, "The value of intermediation in the stock market," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 208-233, DOI: 10.1016/j.jfineco.2021.08.020.
• Edmans, Alex & Fernandez-Perez, Adrian & Garel, Alexandre & Indriawan, Ivan, 2022, "Music sentiment and stock returns around the world," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 234-254, DOI: 10.1016/j.jfineco.2021.08.014.
• Jin, Lawrence J. & Sui, Pengfei, 2022, "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 273-295, DOI: 10.1016/j.jfineco.2021.10.009.
• Massa, Massimo & O'Donovan, James & Zhang, Hong, 2022, "International asset pricing with strategic business groups1," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 339-361, DOI: 10.1016/j.jfineco.2021.09.002.
• Chen, Hailiang & Hwang, Byoung-Hyoun, 2022, "Listening in on investors’ thoughts and conversations," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 426-444, DOI: 10.1016/j.jfineco.2021.09.004.
• Gao, Pengjie & Lee, Chang & Murphy, Dermot, 2022, "Good for your fiscal health? The effect of the affordable care act on healthcare borrowing costs," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 464-488, DOI: 10.1016/j.jfineco.2021.09.003.
• Smith, Simon C. & Timmermann, Allan, 2022, "Have risk premia vanished?," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 553-576, DOI: 10.1016/j.jfineco.2021.08.019.
• Li, Jiacui, 2022, "Endogenous inattention and risk-specific price underreaction in corporate bonds," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 595-615, DOI: 10.1016/j.jfineco.2021.09.025.
• Avramov, Doron & Cheng, Si & Lioui, Abraham & Tarelli, Andrea, 2022, "Sustainable investing with ESG rating uncertainty," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 642-664, DOI: 10.1016/j.jfineco.2021.09.009.
• Hirshleifer, David & Sheng, Jinfei, 2022, "Macro news and micro news: Complements or substitutes?," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 1006-1024, DOI: 10.1016/j.jfineco.2021.09.012.
• Coles, Jeffrey L. & Heath, Davidson & Ringgenberg, Matthew C., 2022, "On index investing," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 665-683, DOI: 10.1016/j.jfineco.2022.05.007.
• David, Joel M. & Schmid, Lukas & Zeke, David, 2022, "Risk-adjusted capital allocation and misallocation," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 684-705, DOI: 10.1016/j.jfineco.2022.06.001.
• Kilic, Mete & Yang, Louis & Zhang, Miao Ben, 2022, "The cross-section of investment and profitability: Implications for asset pricing," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 706-724, DOI: 10.1016/j.jfineco.2022.06.003.
• Titman, Sheridan & Wei, Chishen & Zhao, Bin, 2022, "Corporate actions and the manipulation of retail investors in China: An analysis of stock splits," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 762-787, DOI: 10.1016/j.jfineco.2021.09.018.
• Eisenbach, Thomas M. & Kovner, Anna & Lee, Michael Junho, 2022, "Cyber risk and the U.S. financial system: A pre-mortem analysis," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 802-826, DOI: 10.1016/j.jfineco.2021.10.007.
• Babus, Ana & Parlatore, Cecilia, 2022, "Strategic fragmented markets," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 876-908, DOI: 10.1016/j.jfineco.2021.08.022.
• Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022, "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 909-936, DOI: 10.1016/j.jfineco.2021.09.015.
• Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022, "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, volume 145, issue 3, pages 937-969, DOI: 10.1016/j.jfineco.2021.09.013.
• Benmelech, Efraim & Kumar, Nitish & Rajan, Raghuram, 2022, "The secured credit premium and the issuance of secured debt," Journal of Financial Economics, Elsevier, volume 146, issue 1, pages 143-171, DOI: 10.1016/j.jfineco.2022.06.005.
• Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022, "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, volume 146, issue 1, pages 305-330, DOI: 10.1016/j.jfineco.2021.09.016.
• Karnaukh, Nina & Vokata, Petra, 2022, "Growth forecasts and news about monetary policy," Journal of Financial Economics, Elsevier, volume 146, issue 1, pages 55-70, DOI: 10.1016/j.jfineco.2022.07.001.
• Pflueger, Carolin & Rinaldi, Gianluca, 2022, "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, volume 146, issue 1, pages 71-89, DOI: 10.1016/j.jfineco.2022.06.002.
• Benzoni, Luca & Garlappi, Lorenzo & Goldstein, Robert S. & Ying, Chao, 2022, "Debt dynamics with fixed issuance costs," Journal of Financial Economics, Elsevier, volume 146, issue 2, pages 385-402, DOI: 10.1016/j.jfineco.2022.07.006.
• Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2022, "Dissecting green returns," Journal of Financial Economics, Elsevier, volume 146, issue 2, pages 403-424, DOI: 10.1016/j.jfineco.2022.07.007.
• Reichenbacher, Michael & Schuster, Philipp, 2022, "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, volume 146, issue 2, pages 425-443, DOI: 10.1016/j.jfineco.2022.07.010.