Research classified by Journal of Economic Literature (JEL) codes

2022

• Kwaku Boafo Baidoo, 2022, "Time-Varying Effect of Short Selling on Market Volatility During Crisis: Evidence from COVID-19 and War in Ukraine," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 8, issue 2, pages 233-243, DOI: 10.11118/ejobsat.2022.013.
• Balazs J. Csillag & Marcell P. Granat & Gabor Neszveda, 2022, "Media Attention to Environmental Issues and ESG Investing," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 21, issue 4, pages 129-149.
• Laszlo Bokor, 2022, "Regulatory and Market Trends for ESG Bonds and Funds, and Some of the Associated Risks of Sovereigns," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 21, issue 4, pages 150-179.
• Lorant Kaszab & Ales Marsal & Katrin Rabitsch, 2022, "Asset Pricing with Free Entry and Exit of Firms," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2022/5.
• Costanza Torricelli & Eleonora Pellati, 2022, "Social Bonds and the “Social Premiumâ€," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0085, Apr.
• Marianna Brunetti & Roberta de Luca, 2022, "Pre-selection in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0089, Nov.
• Marianna Brunetti & Roberta de Luca, 2022, "Sensitivity of profitability in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0090, Nov.
• Antoine Parent & Pierre-Charles Pradier, 2022, "A la Recherche du Temps Perdu : Legal and Quantitative Analysis of the First Documented Option Market - Paris 1844-1939," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 22018, Oct.
• Agata Gniadkowska-Szymańska, 2022, "The liquidity of shares and the risk of bankruptcy," Bank i Kredyt, Narodowy Bank Polski, volume 53, issue 6, pages 565-586.
• Markus K. Brunnermeier & Sebastian A. Merkel & Yuliy Sannikov, 2022, "Debt as Safe Asset," NBER Working Papers, National Bureau of Economic Research, Inc, number 29626, Jan.
• 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," NBER Working Papers, National Bureau of Economic Research, Inc, number 29649, Jan.
• Ralph S. J. Koijen & Motohiro Yogo, 2022, "Understanding the Ownership Structure of Corporate Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29679, Jan.
• Eduardo Dávila & Daniel D. Graves & Cecilia Parlatore, 2022, "The Value of Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 29744, Feb.
• Tomohiro Hirano & Joseph E. Stiglitz, 2022, "Land Speculation and Wobbly Dynamics with Endogenous Phase Transitions," NBER Working Papers, National Bureau of Economic Research, Inc, number 29745, Feb.
• Stefan Nagel & Zhengyang Xu, 2022, "Dynamics of Subjective Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 29803, Feb.
• Ricardo J. Caballero & Alp Simsek, 2022, "A Note on Temporary Supply Shocks with Aggregate Demand Inertia," NBER Working Papers, National Bureau of Economic Research, Inc, number 29815, Mar.
• Min Dai & Cong Qin & Neng Wang, 2022, "Dynamic Trading with Realization Utility," NBER Working Papers, National Bureau of Economic Research, Inc, number 29821, Mar.
• Martin Lettau, 2022, "High-Dimensional Factor Models with an Application to Mutual Fund Characteristics," NBER Working Papers, National Bureau of Economic Research, Inc, number 29833, Mar.
• Pierre-Olivier Gourinchas & Walker D. Ray & Dimitri Vayanos, 2022, "A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers," NBER Working Papers, National Bureau of Economic Research, Inc, number 29875, Mar.
• Thomas Ernst & Chester S. Spatt, 2022, "Payment for Order Flow And Asset Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 29883, Mar.
• Bo Becker & Victoria Ivashina, 2022, "Disruption and Credit Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 29890, Mar.
• Maryam Farboodi & Dhruv Singal & Laura Veldkamp & Venky Venkateswaran, 2022, "Valuing Financial Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 29894, Mar.
• Zhiguo He & Zhaogang Song, 2022, "Agency MBS as Safe Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 29899, Apr.
• John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022, "Idiosyncratic Equity Risk Two Decades Later," NBER Working Papers, National Bureau of Economic Research, Inc, number 29916, Apr.
• Wei Jiang & Thomas J. Sargent & Neng Wang & Jinqiang Yang, 2022, "A p Theory of Taxes and Debt Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 29931, Apr.
• Hang Bai & Erica X. N. Li & Chen Xue & Lu Zhang, 2022, "Asymmetric Investment Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 29957, Apr.
• David Lucca & Jonathan H. Wright, 2022, "The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under," NBER Working Papers, National Bureau of Economic Research, Inc, number 29971, Apr.
• Klaus Adam & Stefan Nagel, 2022, "Expectations Data in Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 29977, Apr.
• Lee H. Seltzer & Laura Starks & Qifei Zhu, 2022, "Climate Regulatory Risk and Corporate Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29994, Apr.
• Priit Jeenas & Ricardo Lagos, 2022, "Q-Monetary Transmission," NBER Working Papers, National Bureau of Economic Research, Inc, number 30023, May.
• David Hirshleifer & Yushui Shi & Weili Wu, 2022, "Do Sell-Side Analysts Say “Buy” While Whispering “Sell”?," NBER Working Papers, National Bureau of Economic Research, Inc, number 30032, May.
• Naz Koont & Yiming Ma & Lubos Pastor & Yao Zeng, 2022, "Steering a Ship in Illiquid Waters: Active Management of Passive Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 30039, May.
• Zefeng Chen & Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2022, "Exorbitant Privilege Gained and Lost: Fiscal Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 30059, May.
• Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022, "A Structural Approach to High-Frequency Event Studies: The Fed and Markets as Case History," NBER Working Papers, National Bureau of Economic Research, Inc, number 30072, May.
• Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2022, "The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys," NBER Working Papers, National Bureau of Economic Research, Inc, number 30089, May.
• Ricardo J. Caballero & Alp Simsek, 2022, "A Monetary Policy Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 30132, Jun.
• Xiang Fang & Yang Liu & Nikolai Roussanov, 2022, "Getting to the Core: Inflation Risks Within and Across Asset Classes," NBER Working Papers, National Bureau of Economic Research, Inc, number 30169, Jun.
• Ralph S. J. Koijen & Hae Kang Lee & Stijn Van Nieuwerburgh, 2022, "Aggregate Lapsation Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 30187, Jun.
• Charles W. Calomiris & Joanna Harris & Harry Mamaysky & Cristina Tessari, 2022, "Fed Implied Market Prices and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 30210, Jul.
• Wenxin Du & Benjamin M. Hébert & Wenhao Li, 2022, "Intermediary Balance Sheets and the Treasury Yield Curve," NBER Working Papers, National Bureau of Economic Research, Inc, number 30222, Jul.
• Winston Wei Dou & Leonid Kogan & Wei Wu, 2022, "Common Fund Flows: Flow Hedging and Factor Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 30234, Jul.
• Leonid Kogan & Jun Li & Harold Zhang, 2022, "Operating Hedge and Gross Profitability Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 30241, Jul.
• Harald Uhlig, 2022, "A Luna-tic Stablecoin Crash," NBER Working Papers, National Bureau of Economic Research, Inc, number 30256, Jul.
• Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022, "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 30366, Aug.
• Leland Farmer & Roger Farmer, 2022, "Zoomers and Boomers: Asset Prices and Intergenerational Inequality," NBER Working Papers, National Bureau of Economic Research, Inc, number 30419, Sep.
• Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Tuomas Tomunen, 2022, "Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress," NBER Working Papers, National Bureau of Economic Research, Inc, number 30445, Sep.
• Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2022, "Perceptions about Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 30480, Sep.
• Emil Siriwardane & Adi Sunderam & Jonathan L. Wallen, 2022, "Segmented Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 30561, Oct.
• Florian Berg & Julian F. Koelbel & Anna Pavlova & Roberto Rigobon, 2022, "ESG Confusion and Stock Returns: Tackling the Problem of Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 30562, Oct.
• Stijn Van Nieuwerburgh, 2022, "The Remote Work Revolution: Impact on Real Estate Values and the Urban Environment," NBER Working Papers, National Bureau of Economic Research, Inc, number 30662, Nov.
• Samuel M. Hartzmark & David H. Solomon, 2022, "Predictable Price Pressure," NBER Working Papers, National Bureau of Economic Research, Inc, number 30688, Nov.
• Georgij Alekseev & Stefano Giglio & Quinn Maingi & Julia Selgrad & Johannes Stroebel, 2022, "A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 30703, Dec.
• Alexandra M. Tabova & Francis E. Warnock, 2022, "Preferred Habitats and Timing in the World’s Safe Asset," NBER Working Papers, National Bureau of Economic Research, Inc, number 30722, Dec.
• Joachim Freyberger & Björn Höppner & Andreas Neuhierl & Michael Weber, 2022, "Missing Data in Asset Pricing Panels," NBER Working Papers, National Bureau of Economic Research, Inc, number 30761, Dec.
• Harrison Hong & Edward P. Shore, 2022, "Corporate Social Responsibility," NBER Working Papers, National Bureau of Economic Research, Inc, number 30771, Dec.
• Lin William Cong & Guanhao Feng & Jingyu He & Xin He, 2022, "Growing the Efficient Frontier on Panel Trees," NBER Working Papers, National Bureau of Economic Research, Inc, number 30805, Dec.
• Teplova, T. & Sokolova, T. & Tomtosov, A. & Buchko, D. & Nikulin, D., 2022, "The sentiment of private investors in explaining the differences in the trade characteristics of the Russian market stocks," Journal of the New Economic Association, New Economic Association, volume 53, issue 1, pages 53-84, DOI: 10.31737/2221-2264-2022-53-1-3.
• Zelenkov, Yu. & Solntsev, I., 2022, "Predicting the value of professional sport clubs. A study of European soccer, 2005-2018," Journal of the New Economic Association, New Economic Association, volume 56, issue 4, pages 28-46, DOI: 10.31737/2221-2264-2022-56-4-2.
• Timothy C. Johnson, 2022, "Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance," Critical Finance Review, now publishers, volume 11, issue 1, pages 79-116, February, DOI: 10.1561/104.00000068.
• Xing Han, 2022, "Understanding the Performance of Components in Betting Against Beta," Critical Finance Review, now publishers, volume 11, issue 1, pages 1-36, February, DOI: 10.1561/104.00000099.
• Hyuna Park, 2022, "An Intangible-Adjusted Book-to-Market Ratio Still Predicts Stock Returns," Critical Finance Review, now publishers, volume 11, issue 2, pages 265-297, May, DOI: 10.1561/104.00000100.
• Paul Borochin & Yanhui Zhao, 2022, "Risk Neutral Skewness Predicts Price Rebounds and So Can Improve Momentum Performance," Critical Finance Review, now publishers, volume 11, issue 2, pages 383-429, May, DOI: 10.1561/104.00000101.
• Gunter Löffler, 2022, "Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark," Critical Finance Review, now publishers, volume 11, issue 1, pages 65-77, February, DOI: 10.1561/104.00000110.
• Andrew Y. Chen & Tom Zimmermann, 2022, "Open Source Cross-Sectional Asset Pricing," Critical Finance Review, now publishers, volume 11, issue 2, pages 207-264, May, DOI: 10.1561/104.00000112.
• Bryan Kelly & Seth Pruitt, 2022, "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment," Critical Finance Review, now publishers, volume 11, issue 2, pages 375-381, May, DOI: 10.1561/104.00000114.
• Thiago de Oliveira Souza, 2022, "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios," Critical Finance Review, now publishers, volume 11, issue 2, pages 361-373, May, DOI: 10.1561/104.00000116.
• John Adams & Darren Hayunga & Sattar Mansi, 2022, "Scale and Performance in Active Management are Not Negatively Related," Critical Finance Review, now publishers, volume 11, issue 3-4, pages 541-592, August, DOI: 10.1561/104.00000120.
• Charles Martineau, 2022, "Rest in Peace Post-Earnings Announcement Drift," Critical Finance Review, now publishers, volume 11, issue 3-4, pages 613-646, August, DOI: 10.1561/104.00000122.
• Jake Gorman & Farida Akhtar & Robert B. Durand & John Gould, 2022, "It Could Be Overreaction, Not Lottery Seeking, That Is Behind Bali, Cakici and Whitelaw’s Max Effect," Critical Finance Review, now publishers, volume 11, issue 3-4, pages 647-675, August, DOI: 10.1561/104.00000123.
• Minxia Chen & Joseph Cherian & Ziyun Li & Yuping Shao & Marti G. Subrahmanyam, 2022, "Clientele Effect in Sovereign Bonds: Evidence From Islamic Sukuk Bonds in Malaysia," Critical Finance Review, now publishers, volume 11, issue 3-4, pages 677-745, August, DOI: 10.1561/104.00000124.
• Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022, "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, volume 2, issue 1, pages 151-190, March, DOI: 10.1561/114.00000014.
• Carlton Osakwe & Jess Chua & James J. Chrisman, 2022, "Asset Market Equilibrium and Family Firm Cost of Capital: Implications for Corporate Finance," Review of Corporate Finance, now publishers, volume 2, issue 4, pages 791-817, December, DOI: 10.1561/114.00000030.
• Dimiter Nenkov, 2022, "The “New Normality†and the Lessons of Stock-Market History," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 11-40, July.
• Francisco Buera & Sudipto Karmakar, 2022, "Real Effects of Financial Distress: The Role of Heterogeneity," The Economic Journal, Royal Economic Society, volume 132, issue 644, pages 1309-1348.
• Robert J Barro & Jesús Fernández-Villaverde & Oren Levintal & Andrew Mollerus, 2022, "Safe Assets," The Economic Journal, Royal Economic Society, volume 132, issue 646, pages 2075-2100.
• Lena Boneva & David Elliott & Iryna Kaminska & Oliver Linton & Nick McLaren & Ben Morley, 2022, "The Impact of Corporate QE on Liquidity: Evidence from the UK," The Economic Journal, Royal Economic Society, volume 132, issue 648, pages 2615-2643.
• Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2022, "Can the covid bailouts save the economy?," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 37, issue 110, pages 277-330.
• Ravi Jagannathan, 2022, "On Frequent Batch Auctions for Stocks
  [Tail Expectation and Imperfect Competition in Limit Order Book Markets]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 1-17.
• Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2022, "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
  [Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 160-186.
• Tim Bollerslev, 2022, "Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
  [Vulnerable Growth]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 219-252.
• Yuting Gong & Ruijun Bu & Qiang Chen, 2022, "What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach
  [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 253-277.
• Lily Y Liu, 2022, "Estimating Loss Given Default from CDS under Weak Identification
  [Estimation and Inference with Weak, Semi-Strong, and Strong Identification]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 310-344.
• Young Min Kim & Kyu Ho Kang, 2022, "Bayesian Inference of Multivariate Regression Models with Endogenous Markov Regime-Switching Parameters
  [“Bayes Inference via Gibbs Sampling of Autoregressive Time-Series Subject to Markov Mean and Variance Shifts.”]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 391-436.
• Rogier Quaedvlieg & Peter Schotman, 2022, "Hedging Long-Term Liabilities
  [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 505-538.
• Mathias S Kruttli, 2022, "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
  [Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 539-567.
• Qiang Liu & Zhi Liu, 2022, "Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps
  [High Frequency Covariance Estimates with Noisy and Asynchronous Data]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 612-654.
• Simona Boffelli & Jan Novotny & Giovanni Urga, 2022, "A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
  [Systemic Risk and Stability in Financial Networks]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 681-715.
• Soosung Hwang & Alexandre Rubesam, 2022, "Bayesian Selection of Asset Pricing Factors Using Individual Stocks
  [Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 716-761.
• Marcello Pericoli & Marco Taboga, 2022, "Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models
  [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 807-838.
• Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2022, "Dollar beta and stock returns," Oxford Open Economics, Oxford University Press, volume 1, issue , pages 1-10.
• Matteo Aquilina & Eric Budish & Peter O’Neill, 2022, "Quantifying the High-Frequency Trading “Arms Race”," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 137, issue 1, pages 493-564.
• Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022, "Sovereign Bonds Since Waterloo," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 137, issue 3, pages 1615-1680.
• Andrea Frazzini & Lasse Heje Pedersen, 2022, "Embedded Leverage
  [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 1-52.
• Huafeng (Jason) Chen & Jason V Chen & Feng Li & Pengfei Li, 2022, "Measuring Operating Leverage
  [Measuring economic policy uncertainty]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 112-154.
• Sangmin S Oh & Jessica A Wachter, 2022, "Cross-Sectional Skewness
  [Endogenous information flows and the clustering of announcements]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 155-198.
• Bastian von Beschwitz & Sandro Lunghi & Daniel Schmidt, 2022, "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data
  [Leverage, moral hazard, and liquidity]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 199-242.
• Te-Feng Chen & Tarun Chordia & San-Lin Chung & Ji-Chai Lin, 2022, "Volatility-of-Volatility Risk in Asset Pricing
  [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 289-335.
• Thomas Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2022, "Pricing Implications of Covariances and Spreads in Currency Markets
  [Optimal and naive diversification in currency markets]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 336-388.
• Dimitris Papanikolaou & Lawrence D W Schmidt, 2022, "Working Remotely and the Supply-Side Impact of COVID-19
  [The unprecedented stock market reaction to COVID-19]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 53-111.
• Steffen Windmüller, 2022, "Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model
  [Illiquidity and stock returns: Cross-section and time-series effects]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 2, pages 447-499.
• Guanglian Hu & Kris Jacobs & Sang Byung Seo, 2022, "Characterizing the Variance Risk Premium: The Role of the Leverage Effect
  [The term structure of variance swaps and risk premia]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 2, pages 500-542.
• Pekka Honkanen & Daniel Schmidt, 2022, "Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales
  [A noisy rational expectations equilibrium for multi-asset securities markets]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 2, pages 593-637.
• Florian Nagler & Giorgio Ottonello, 2022, "Inventory-Constrained Underwriters and Corporate Bond Offerings
  [Signalling by underpricing in the IPO market]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 639-666.
• Nicola Borri & Kirill Shakhnov, 2022, "The Cross-Section of Cryptocurrency Returns
  [A simple estimation of bid-ask spreads from daily close, high, and low prices]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 667-705.
• Jaewon Choi & Matthew Richardson & Robert F Whitelaw, 2022, "Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models
  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 706-753.
• Yao-Tsung Chen & Chunchi Wu & Chung-Ying Yeh, 2022, "Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds
  [Liquidity risk of corporate bond returns: A conditional approach]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 754-807.
• José Afonso Faias & Juan Arismendi Zambrano, 2022, "Equity Risk Premium Predictability from Cross-Sectoral Downturns
  [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 808-842.
• Jiacui Li, 2022, "What Drives the Size and Value Factors?
  [Connected stocks]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 4, pages 845-885.
• Alexander K Zentefis, 2022, "Self-Fulfilling Asset Prices
  [Limited market participation and volatility of asset prices]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 4, pages 886-917.
• Tze Chuan (Chewie) Ang & Tarun Chordia & Vivian Van-Anh Mai & Harminder Singh, 2022, "The Marketing Capability Premium
  [Formulation and estimation of stochastic frontier production function models]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 4, pages 918-959.
• Frank Weikai Li & Qifei Zhu, 2022, "Short Selling ETFs
  [The effect of price tests on trader behavior and market quality: An analysis of Reg SHO]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 4, pages 960-998.
• Qi Lin, 2022, "Is Economic Uncertainty a Valid Intertemporal CAPM State Variable?
  [Basis assets]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 4, pages 999-1040.
• Marco Pagano & Josef Zechner, 2022, "COVID-19 and Corporate Finance
  [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 4, pages 849-879.
• Adam Jørring & Andrew W Lo & Tomas J Philipson & Manita Singh & Richard T Thakor, 2022, "Sharing R&D Risk in Healthcare via FDA Hedges
  [Bank lines of credit as contingent liquidity: Covenant violations and their implications]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 4, pages 880-922.
• Georgy Chabakauri & Kathy Yuan & Konstantinos E Zachariadis, 2022, "Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims," The Review of Economic Studies, Review of Economic Studies Ltd, volume 89, issue 5, pages 2445-2490.
• Stefania D’Amico & N Aaron Pancost, 2022, "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium
  [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, volume 26, issue 1, pages 117-162.
• James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022, "Secondary Market Transparency and Corporate Bond Issuing Costs
  [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, volume 26, issue 1, pages 43-77.
• Christopher Hrdlicka, 2022, "Trading Volume and Time Varying Betas
  [Alpha or beta in the eye of the beholder: what drives hedge fund flows?]," Review of Finance, European Finance Association, volume 26, issue 1, pages 79-116.
• Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2022, "The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds
  [The prediction of corporate bankruptcy: a discriminant analysis]," Review of Finance, European Finance Association, volume 26, issue 2, pages 355-405.
• Lei Jiang & Jinyu Liu & Lin Peng & Baolian Wang, 2022, "Investor Attention and Asset Pricing Anomalies
  [Synchronization risk and delayed arbitrage]," Review of Finance, European Finance Association, volume 26, issue 3, pages 563-593.
• Zijia Du & Alan Guoming Huang & Russ Wermers & Wenfeng Wu, 2022, "Language and Domain Specificity: A Chinese Financial Sentiment Dictionary
  [The effects of analyst-country institutions on biased research: Evidence from target prices]," Review of Finance, European Finance Association, volume 26, issue 3, pages 673-719.
• Markus Leippold & Felix Matthys, 2022, "Economic Policy Uncertainty and the Yield Curve
  [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, volume 26, issue 4, pages 751-797.
• Olivier David Zerbib, 2022, "A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion
  [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, volume 26, issue 6, pages 1345-1388.
• 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.
• Alessandro Rebucci & Jonathan S. Hartley & Daniel Jiménez, 2022, "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling", DOI: 10.1108/S0731-90532021000043A014.
• Karim M. Abadir & Christina Atanasova, 2022, "Where (and by How Much) Does a Theory Break Down? With an Application to the Expectation Hypothesis," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology", DOI: 10.1108/S0731-90532021000043B011.
• Johan Maharjan & Suresh B. Mani & Zenu Sharma & An Yan, 2022, "Stock Liquidity and Cost of Private Debt," Advances in Financial Economics, Emerald Group Publishing Limited, "Empirical Research in Banking and Corporate Finance", DOI: 10.1108/S1569-373220220000021005.
• Dharen Kumar Pandey & Vineeta Kumari & Brajesh Kumar Tiwari, 2022, "Impacts of corporate announcements on stock returns during the global pandemic: evidence from the Indian stock market," Asian Journal of Accounting Research, Emerald Group Publishing Limited, volume 7, issue 2, pages 208-226, February, DOI: 10.1108/AJAR-06-2021-0097.
• A.T.M. Adnan, 2022, "Asian perspective of capital market performance amid the COVID 19 pandemic," Asian Journal of Accounting Research, Emerald Group Publishing Limited, volume 8, issue 3, pages 210-235, June, DOI: 10.1108/AJAR-10-2021-0223.
• Turan G. Bali & Stephen J. Brown & Yi Tang, 2022, "Disagreement in economic forecasts and equity returns: risk or mispricing?," China Finance Review International, Emerald Group Publishing Limited, volume 13, issue 3, pages 309-341, August, DOI: 10.1108/CFRI-05-2022-0075.
• Hilal Anwar Butt & Mohsin Sadaqat & Muhammad Tahir, 2022, "Revisiting the performance of the scaled momentum strategies," China Finance Review International, Emerald Group Publishing Limited, volume 12, issue 3, pages 519-539, January, DOI: 10.1108/CFRI-06-2021-0103.
• Kai Li & Chenjie Xu, 2022, "Regime shifts in a long-run risks model of stock and treasury bond markets," China Finance Review International, Emerald Group Publishing Limited, volume 12, issue 4, pages 541-570, August, DOI: 10.1108/CFRI-06-2022-0106.
• Song Cao & Ziran Li & Kees G. Koedijk & Xiang Gao, 2022, "The emotional cost-of-carry: Chinese investor sentiment and equity index futures basis," China Finance Review International, Emerald Group Publishing Limited, volume 12, issue 3, pages 451-476, January, DOI: 10.1108/CFRI-07-2021-0144.
• Danling Jiang & Liu Shuying & Feiyu Li & Hongquan Zhu, 2022, "Urban vibrancy, human capital and firm valuation in China," China Finance Review International, Emerald Group Publishing Limited, volume 12, issue 3, pages 415-432, January, DOI: 10.1108/CFRI-08-2021-0173.
• Thomas C. Chiang, 2022, "Can gold or silver be used as a hedge against policy uncertainty and COVID-19 in the Chinese market?," China Finance Review International, Emerald Group Publishing Limited, volume 12, issue 4, pages 571-600, June, DOI: 10.1108/CFRI-12-2021-0232.
• Roozbeh Balounejad Nouri, 2022, "Investigating the asymmetric relationship between housing prices and the stock market in Iran: quantile-on-quantile approach," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 17, issue 2, pages 436-452, October, DOI: 10.1108/IJHMA-07-2022-0104.
• Yuri Gomes Paiva Azevedo & Lucas Allan Diniz Schwarz & Hellen Bomfim Gomes & Marcelo Augusto Ambrozini, 2022, "Stock price crash risk and the adoption of poison pills: evidence from Brazil," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 19, issue 3, pages 691-711, July, DOI: 10.1108/IJMF-02-2022-0077.
• Kewal Singh & Anoop Singh & Puneet Prakash, 2022, "Testing factor models in an emerging market: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 19, issue 1, pages 203-232, February, DOI: 10.1108/IJMF-05-2021-0245.
• Dezhong Xu & Bin Li & Tarlok Singh, 2022, "Does gold–platinum price ratio predict stock returns? International evidence," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 19, issue 2, pages 308-330, February, DOI: 10.1108/IJMF-06-2020-0328.
• Szymon Stereńczak, 2022, "Illiquidity and stock returns: the moderating role of investors' holding period in Central and Eastern European markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 19, issue 7, pages 2025-2045, October, DOI: 10.1108/IJOEM-01-2022-0125.
• Işıl Candemir & Cenk C. Karahan, 2022, "Determinants of time-varying equity risk premia in an emerging market," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 19, issue 6, pages 1492-1520, September, DOI: 10.1108/IJOEM-01-2022-0168.
• Mwangele Kaluba & Yudhvir Seetharam, 2022, "Can market state and market volatility explain time-varying momentum profits in South Africa?," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 18, issue 10, pages 4363-4382, January, DOI: 10.1108/IJOEM-03-2021-0406.
• Andrea Delle Foglie & J.S. Keshminder, 2022, "Challenges and opportunities of SRI sukuk toward financial system sustainability: a bibliometric and systematic literature review," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 19, issue 10, pages 3202-3225, December, DOI: 10.1108/IJOEM-04-2022-0601.
• Jungmu Kim & Changjun Lee & Woo-Hyuk Lee & Youngkyung Ok & Thuy Thi Thu Truong, 2022, "Idiosyncratic volatility, turnover and the cross-section of stock returns: evidence from the Korean stock market," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 18, issue 12, pages 6192-6213, May, DOI: 10.1108/IJOEM-09-2021-1499.
• Sumaira Chamadia & Mobeen Ur Rehman & Muhammad Kashif, 2022, "Do average higher moments predict aggregate returns in emerging stock markets?," Journal of Asian Business and Economic Studies, Emerald Group Publishing Limited, volume 29, issue 2, pages 120-145, January, DOI: 10.1108/JABES-08-2021-0140.
• Redhwan Aldhamari & Mohamad Naimi Mohamad Nor & Omar Al Farooque & Haithm Mohammed Al-sabri, 2022, "Risk committee and stock price crash risk in the Malaysian financial sector: the moderating role of institutional ownership," Journal of Accounting in Emerging Economies, Emerald Group Publishing Limited, volume 13, issue 3, pages 509-540, July, DOI: 10.1108/JAEE-09-2021-0298.
• Cynthia Weiyi Cai, 2022, "Filling the gap and moving forward: a review of analytical and empirical studies of disclosure and cost of capital," Journal of Accounting Literature, Emerald Group Publishing Limited, volume 45, issue 1, pages 130-153, December, DOI: 10.1108/JAL-08-2022-0083.
• Abdulazeez Y.H. Saif-Alyousfi, 2022, "The impact of COVID-19 and the stringency of government policy responses on stock market returns worldwide," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, volume 15, issue 1, pages 87-105, January, DOI: 10.1108/JCEFTS-07-2021-0030.
• Hakan Yildirim & Saffet Akdag & Andrew Adewale Alola, 2022, "Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 27, issue 54, pages 247-261, May, DOI: 10.1108/JEFAS-04-2021-0025.
• Sana Tauseef & Philippe Dupuy, 2022, "Pakistan: a study of market's returns and anomalies," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 27, issue 54, pages 344-363, March, DOI: 10.1108/JEFAS-06-2021-0098.
• Simarjeet Singh & Nidhi Walia & Stelios Bekiros & Arushi Gupta & Jigyasu Kumar & Amar Kumar Mishra, 2022, "Risk-managed time-series momentum: an emerging economy experience," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 27, issue 54, pages 328-343, November, DOI: 10.1108/JEFAS-08-2021-0159.
• Le Thanh Ha, 2022, "Interlinkages of cryptocurrency and stock markets during COVID-19 pandemic by applying a TVP-VAR extended joint connected approach," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 3, pages 407-428, March, DOI: 10.1108/JES-01-2022-0055.
• Le Thanh Ha, 2022, "Fat tails and network interlinkages of crude oil and cryptocurrency during the COVID-19 health crisis," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 5, pages 1087-1104, October, DOI: 10.1108/JES-03-2022-0144.
• Ali Yavuz Polat, 2022, "Investor bias, risk and price volatility," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 7, pages 1317-1335, November, DOI: 10.1108/JES-04-2022-0211.
• Abdulnasser Hatemi-J & Eduardo Roca & Alan Mustafa, 2022, "Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 4, pages 790-805, June, DOI: 10.1108/JES-04-2022-0214.
• Fatima N. Ali Taher & Mohammad Al-Shboul, 2022, "Dividend policy, its asymmetric behavior and stock liquidity," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 3, pages 578-600, May, DOI: 10.1108/JES-10-2021-0513.
• Florian Barth & Benjamin Hübel & Hendrik Scholz, 2022, "ESG and corporate credit spreads," Journal of Risk Finance, Emerald Group Publishing Limited, volume 23, issue 2, pages 169-190, February, DOI: 10.1108/JRF-03-2021-0045.
• Wajih Abbassi & Vineeta Kumari & Dharen Kumar Pandey, 2022, "What makes firms vulnerable to the Russia–Ukraine crisis?," Journal of Risk Finance, Emerald Group Publishing Limited, volume 24, issue 1, pages 24-39, July, DOI: 10.1108/JRF-05-2022-0108.
• Dave Berger, 2022, "Investor sentiment: a retail trader activity approach," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 21, issue 2, pages 61-82, April, DOI: 10.1108/RAF-06-2021-0152.
• John Galakis & Ioannis Vrontos & Panos Xidonas, 2022, "On tree-structured linear and quantile regression-based asset pricing," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 21, issue 3, pages 204-245, May, DOI: 10.1108/RAF-10-2021-0283.
• Priti Dubey, 2022, "Short-run and long-run determinants of bitcoin returns: transnational evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 4, pages 533-544, June, DOI: 10.1108/RBF-02-2022-0040.
• Shoaib Ali & Imran Yousaf & Zaghum Umar, 2022, "Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 15, issue 4, pages 477-487, February, DOI: 10.1108/RBF-04-2021-0069.
• Konstantinos D. Melas & Nektarios A. Michail, 2022, "Buy together, but recycle alone: sentiment-driven herding behavior in oceanic dry bulk shipping," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 15, issue 4, pages 534-549, February, DOI: 10.1108/RBF-06-2021-0103.
• Roland Eisenhuth & David Marshall, 2022, "Market Efficiency and Securities Fraud Litigation," Research in Law and Economics, Emerald Group Publishing Limited, "The Law and Economics of Privacy, Personal Data, Artificial Intelligence, and Incomplete Monitoring", DOI: 10.1108/S0193-589520220000030008.
• Garrison Hongyu Song, 2022, "Size premium or size discount? – A dynamic capital mobility based interpretation," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 40, issue 2, pages 266-285, August, DOI: 10.1108/SEF-04-2022-0211.
• Md Hakim Ali & Christophe Schinckus & Md Akther Uddin & Saeed Pahlevansharif, 2022, "Asymmetric effects of economic policy uncertainty on Bitcoin’s hedging power," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 40, issue 2, pages 213-229, May, DOI: 10.1108/SEF-05-2021-0186.