Research classified by Journal of Economic Literature (JEL) codes

2021

• Jędrzej Białkowski & Anna Sławik, 2021, "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 4, pages 319-338.
• Szymon Stereńczak, 2021, "Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 6, pages 545-576.
• Michael Barnett & William Brock & Lars Peter Hansen, 2021, "Climate Change Uncertainty Spillover in the Macroeconomy," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2021, volume 36".
• Pierpaolo Benigno & Linda M. Schilling & Harald Uhlig, 2021, "Cryptocurrencies, Currency Competition, and the Impossible Trinity," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2021".
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2021".
• Itay Goldstein & Chester S Spatt & Mao Ye, 2021, "Big Data in Finance," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Hedi Benamar & Thierry Foucault & Clara Vega, 2021, "Demand for Information, Uncertainty, and the Response of US Treasury Securities to News," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Stefano Giglio & Yuan Liao & Dacheng Xiu, 2021, "Thousands of Alpha Tests," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2021, "Stock Prices and Economic Activity in the Time of Coronavirus," NBER Working Papers, National Bureau of Economic Research, Inc, number 28320, Jan.
• Kerry Back & Bruce I. Carlin & Seyed Mohammad Kazempour, 2021, "The Asset Pricing Implications of Plausible Deniability," NBER Working Papers, National Bureau of Economic Research, Inc, number 28348, Jan.
• Aifan Ling & Jianjun Miao & Neng Wang, 2021, "Robust Financial Contracting and Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 28367, Jan.
• Itzhak Ben-David & Francesco Franzoni & Byungwook Kim & Rabih Moussawi, 2021, "Competition for Attention in the ETF Space," NBER Working Papers, National Bureau of Economic Research, Inc, number 28369, Jan.
• Pooya Molavi & Alireza Tahbaz-Salehi & Andrea Vedolin, 2021, "Model Complexity, Expectations, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 28408, Jan.
• Joseph E. Stiglitz, 2021, "Economic Fluctuations and Pseudo-Wealth," NBER Working Papers, National Bureau of Economic Research, Inc, number 28415, Jan.
• Alp Simsek, 2021, "The Macroeconomics of Financial Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 28426, Feb.
• Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021, "Is There A Replication Crisis In Finance?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28432, Feb.
• Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2021, "The Price and Quantity of Interest Rate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28444, Feb.
• Gaetano Gaballo & Guillermo Ordoñez, 2021, "The Two Faces of Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 28489, Feb.
• Patrick Bolton & Marcin Kacperczyk, 2021, "Global Pricing of Carbon-Transition Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28510, Feb.
• John H. Cochrane, 2021, "Portfolios for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 28513, Feb.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 28568, Mar.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28569, Mar.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28570, Mar.
• Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021, "The Voice of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 28592, Mar.
• Harrison Hong & Neng Wang & Jinqiang Yang, 2021, "Welfare Consequences of Sustainable Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 28595, Mar.
• Kris James Mitchener & Christoph Trebesch, 2021, "Sovereign Debt in the 21st Century," NBER Working Papers, National Bureau of Economic Research, Inc, number 28598, Mar.
• Peter M. DeMarzo & Zhiguo He & Fabrice Tourre, 2021, "Sovereign Debt Ratchets and Welfare Destruction," NBER Working Papers, National Bureau of Economic Research, Inc, number 28599, Mar.
• Itay Goldstein & Chester S. Spatt & Mao Ye, 2021, "Big Data in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 28615, Mar.
• Arpit Gupta & Vrinda Mittal & Jonas Peeters & Stijn Van Nieuwerburgh, 2021, "Flattening the Curve: Pandemic-Induced Revaluation of Urban Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 28675, Apr.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021, "What Triggers Stock Market Jumps?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28687, Apr.
• Valentin Haddad & Tyler Muir, 2021, "Do Intermediaries Matter for Aggregate Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28692, Apr.
• Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021, "Risky Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 28693, Apr.
• Gikas Hardouvelis & Georgios Karalas & Dimitri Vayanos, 2021, "The Distribution of Investor Beliefs, Stock Ownership and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28697, Apr.
• Ana Babus & Cecilia Parlatore, 2021, "Strategic Fragmented Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 28729, Apr.
• Sean Cao & Wei Jiang & Junbo L. Wang & Baozhong Yang, 2021, "From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses," NBER Working Papers, National Bureau of Economic Research, Inc, number 28800, May.
• Nicolae B. Gârleanu & Stavros Panageas & Geoffery X. Zheng, 2021, "A Long and a Short Leg Make For a Wobbly Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 28824, May.
• Rohan Kekre & Moritz Lenel, 2021, "Monetary Policy, Redistribution, and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 28869, May.
• David Hirshleifer & Jinfei Sheng, 2021, "Macro News and Micro News: Complements or Substitutes?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28931, Jun.
• Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2021, "Dissecting Green Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28940, Jun.
• Christopher L. Culp & Mihir Gandhi & Yoshio Nozawa & Pietro Veronesi, 2021, "Option-Implied Spreads and Option Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 28941, Jun.
• Michael D. Bauer & Mikhail Chernov, 2021, "Interest Rate Skewness and Biased Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 28954, Jun.
• David Backus & Mikhail Chernov & Stanley E. Zin & Irina Zviadadze, 2021, "Monetary Policy Risk: Rules vs. Discretion," NBER Working Papers, National Bureau of Economic Research, Inc, number 28983, Jul.
• Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021, "Test Assets and Weak Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 29002, Jul.
• George M. Constantinides, 2021, "Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 29009, Jul.
• Matteo Aquilina & Eric Budish & Peter O'Neill, 2021, "Quantifying the High-Frequency Trading "Arms Race"," NBER Working Papers, National Bureau of Economic Research, Inc, number 29011, Jul.
• Tobias J. Moskowitz & Robert F. Stambaugh, 2021, "Pricing Without Mispricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 29016, Jul.
• Michael Barnett & William Brock & Lars P. Hansen, 2021, "Climate Change Uncertainty Spillover in the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 29064, Jul.
• Klakow Akepanidtaworn & Rick Di Mascio & Alex Imas & Lawrence Schmidt, 2021, "Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 29076, Jul.
• Matthias Fleckenstein & Francis A. Longstaff, 2021, "Treasury Richness," NBER Working Papers, National Bureau of Economic Research, Inc, number 29081, Jul.
• Clemens Sialm & Qifei Zhu, 2021, "Currency Management by International Fixed Income Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29082, Jul.
• Mikhail Chernov & Lars A. Lochstoer & Dongho Song, 2021, "The Real Channel for Nominal Bond-Stock Puzzles," NBER Working Papers, National Bureau of Economic Research, Inc, number 29085, Jul.
• Adam Copeland & Darrell Duffie & Yilin Yang, 2021, "Reserves Were Not So Ample After All," NBER Working Papers, National Bureau of Economic Research, Inc, number 29090, Jul.
• Annette Vissing-Jorgensen, 2021, "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," NBER Working Papers, National Bureau of Economic Research, Inc, number 29128, Aug.
• Vadim Elenev & Tim Landvoigt & Patrick J. Shultz & Stijn Van Nieuwerburgh, 2021, "Can Monetary Policy Create Fiscal Capacity?," NBER Working Papers, National Bureau of Economic Research, Inc, number 29129, Aug.
• Johannes Stroebel & Jeffrey Wurgler, 2021, "What Do You Think About Climate Finance?," NBER Working Papers, National Bureau of Economic Research, Inc, number 29136, Aug.
• Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021, "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 29195, Aug.
• Sheridan Titman & Chishen Wei. Wei & Bin Zhao, 2021, "Corporate Actions and the Manipulation of Retail Investors in China: An Analysis of Stock Splits," NBER Working Papers, National Bureau of Economic Research, Inc, number 29212, Sep.
• Alexandra M. Tabova & Francis E. Warnock, 2021, "Foreign Investors and US Treasuries," NBER Working Papers, National Bureau of Economic Research, Inc, number 29313, Sep.
• Ulrike Malmendier, 2021, "Exposure, Experience, and Expertise: Why Personal Histories Matter in Economics," NBER Working Papers, National Bureau of Economic Research, Inc, number 29336, Oct.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021, "What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark," NBER Working Papers, National Bureau of Economic Research, Inc, number 29351, Oct.
• Matthias Buechner & Bryan T. Kelly, 2021, "A Factor Model For Option Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 29369, Oct.
• Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021, "Predicting the Oil Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 29379, Oct.
• Igor Makarov & Antoinette Schoar, 2021, "Blockchain Analysis of the Bitcoin Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 29396, Oct.
• Larry Cordell & Michael R. Roberts & Michael Schwert, 2021, "CLO Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 29410, Oct.
• Andy C.W. Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2021, "Momentum, Reversals, and Investor Clientele," NBER Working Papers, National Bureau of Economic Research, Inc, number 29453, Nov.
• Leland Farmer & Emi Nakamura & Jón Steinsson, 2021, "Learning About the Long Run," NBER Working Papers, National Bureau of Economic Research, Inc, number 29495, Nov.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 29501, Nov.
• Jennie Bai & Massimo Massa, 2021, "Is Human-Interaction-based Information Substitutable? Evidence from Lockdown," NBER Working Papers, National Bureau of Economic Research, Inc, number 29513, Nov.
• Turan G. Bali & David Hirshleifer & Lin Peng & Yi Tang & Qiguang Wang, 2021, "Social Interactions and Lottery Stock Mania," NBER Working Papers, National Bureau of Economic Research, Inc, number 29543, Dec.
• Mark L. Egan & Alexander MacKay & Hanbin Yang, 2021, "What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 29604, Dec.
• Constantinides, George M. & Lian, Lei, 2021, "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, volume 10, issue 1, pages 1-20, April, DOI: 10.1561/104.00000064.
• Constantinides, George M. & Czerwonko, Michal & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2021, "Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply," Critical Finance Review, now publishers, volume 10, issue 1, pages 57-63, April, DOI: 10.1561/104.00000090.
• Andreou, Panayiotis C. & Kagkadis, Anastasios & Maio, Paulo & Philip, Dennis, 2021, "Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns," Critical Finance Review, now publishers, volume 10, issue 1, pages 65-81, April, DOI: 10.1561/104.00000091.
• Andrew Y. Chen & Fabian Winkler & Rebecca Wasyk, 2021, "In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less," Critical Finance Review, now publishers, volume 10, issue 3, pages 329-381, August, DOI: 10.1561/104.00000092.
• Samuel Kruger, 2021, "High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model," Critical Finance Review, now publishers, volume 10, issue 3, pages 383-408, August, DOI: 10.1561/104.00000093.
• Chaehyun Pyun, 2021, "Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect," Critical Finance Review, now publishers, volume 10, issue 3, pages 419-427, August, DOI: 10.1561/104.00000095.
• Philip Gray & Thanh Huynh, 2021, "Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989)," Critical Finance Review, now publishers, volume 10, issue 3, pages 429-444, August, DOI: 10.1561/104.00000096.
• Hodrick, Robert J. & Tomunen, Tuomas, 2021, "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," Critical Finance Review, now publishers, volume 10, issue 1, pages 83-123, April, DOI: 10.1561/104.00000107.
• Megginson, William & Fotak, Veljko, 2021, "Government Equity Investments in Coronavirus Bailouts: Why, How, When?," Journal of Law, Finance, and Accounting, now publishers, volume 6, issue 1, pages 1-49, May, DOI: 10.1561/108.00000050.
• Dimiter Nenkov, 2021, "The S&P 500 Index and the “Super 6†Technology Stocks in the Pandemic Crisis," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 169-187, April.
• Jeko Milev, 2021, "The Pandemic Crisis and the Resulted Risks for the Fully Funded Pension Funds in Central and Eastern Europe," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 203-216, April.
• Guoxi Duan & Hisashi Tanizaki, 2021, "A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 21-22, Dec.
• Joseph E Stiglitz & Martin M Guzman, 2021, "Economic fluctuations and pseudo-wealth
  [Emerging market business cycles: the cycle is the trend]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 30, issue 2, pages 297-315.
• Jose Apesteguia & Miguel A Ballester, 2021, "Separating Predicted Randomness from Residual Behavior," Journal of the European Economic Association, European Economic Association, volume 19, issue 2, pages 1041-1076.
• Martin Ellison & Andreas Tischbirek, 2021, "Beauty Contests and the Term Structure
  [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, volume 19, issue 4, pages 2234-2282.
• Zeno Enders & Hendrik Hakenes, 2021, "Market Depth, Leverage, and Speculative Bubbles," Journal of the European Economic Association, European Economic Association, volume 19, issue 5, pages 2577-2621.
• Stoyan V Stoyanov & Francesco A Fabozzi, 2021, "Dynamics of Equity Factor Returns and Asset Pricing
  [Dynamic Conditional Correlation: On Properties and Estimation]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 178-201.
• Simon Scheidegger & Adrien Treccani, 2021, "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations
  [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 258-290.
• Fuchun Li, 2021, "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
  [Testing Continuous-Time Models of the Spot Interest Rate]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 789-822.
• Adam Goliński & Peter Spencer, 2021, "Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem
  [Term Structure Persistence]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 960-984.
• Ansgar Belke & Daniel Gros & Farzaneh Shamsfakhr, 2021, "Central bank purchases of sovereign bonds in the euro area, the random walk hypothesis, and different measures of risk," Oxford Economic Papers, Oxford University Press, volume 73, issue 4, pages 1471-1492.
• Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021, "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 136, issue 3, pages 1719-1781.
• John H Cochrane, 2021, "Rethinking Production under Uncertainty
  [Valuation risk and asset pricing]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 1-59.
• Eugene F Fama & Kenneth R French, 2021, "The Value Premium
  [Fundamentals and stock returns in Japan]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 105-121.
• Robert A Connolly & David Dubofsky & Chris Stivers, 2021, "Economic-State Variation in Uncertainty-Yield Dynamics
  [Do macro variables, asset markets, or surveys forecast inflation better?]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 60-104.
• N Aaron Pancost, 2021, "Zero-Coupon Yields and the Cross-Section of Bond Prices
  [Pricing the term structure with linear regressions]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 209-268.
• Yashar H Barardehi & Dan Bernhardt & Thomas G Ruchti & Marc Weidenmier, 2021, "The Night and Day of Amihud’s (2002) Liquidity Measure
  [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 269-308.
• Christopher C Geczy & Robert F Stambaugh & David Levin, 2021, "Investing in Socially Responsible Mutual Funds
  [Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 309-351.
• Jongsub Lee & Andy Naranjo & Stace Sirmans, 2021, "CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers
  [Insider trading in credit derivatives]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 352-401.
• Ilan Cooper & Liang Ma & Paulo Maio & Dennis Philip, 2021, "Multifactor Models and Their Consistency with the APT
  [Eigenvalue ratio test for the number of factors]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 402-444.
• Anastassia Fedyk, 2021, "Disagreement after News: Gradual Information Diffusion or Differences of Opinion?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 3, pages 465-501.
• Andrey Ermolov, 2021, "When and Where Is It Cheaper to Issue Inflation-Linked Debt?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 3, pages 610-653.
• Jussi Keppo & Tyler Shumway & Daniel Weagley, 2021, "Are Monthly Market Returns Predictable?
  [Conditional market timing with benchmark investors]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 806-836.
• Anisha Ghosh & George M Constantinides, 2021, "What Information Drives Asset Prices?
  [Information quality and long-run risk: Asset pricing implications]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 837-885.
• Lei Shi & Yajun Xiao, 2021, "Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints
  [Multiplicity in general financial equilibrium with portfolio constraints]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 886-923.
• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2021, "Short-Selling Bans and Bank Stability," The Review of Corporate Finance Studies, Society for Financial Studies, volume 10, issue 1, pages 158-187.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2021, "An Augmented q-Factor Model with Expected Growth
  [Abnormal returns to a fundamental analysis strategy]," Review of Finance, European Finance Association, volume 25, issue 1, pages 1-41.
• Xudong An & Yongheng Deng & Stuart A Gabriel, 2021, "Default Option Exercise over the Financial Crisis and beyond
  [Predatory lending and the subprime crisis]," Review of Finance, European Finance Association, volume 25, issue 1, pages 153-187.
• Juha Joenväärä & Robert Kosowski, 2021, "The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
  [Large sample properties of matching estimators for average treatment effects]," Review of Finance, European Finance Association, volume 25, issue 1, pages 189-233.
• Óscar Arce & Sergio Mayordomo & Ricardo Gimeno, 2021, "Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE
  [Whatever it takes: the real effects of unconventional monetary policy]," Review of Finance, European Finance Association, volume 25, issue 1, pages 43-84.
• Fahiz Baba Yara & Martijn Boons & Andrea Tamoni, 2021, "Value Return Predictability across Asset Classes and Commonalities in Risk Premia
  [Financial intermediaries and the cross-section of asset returns]," Review of Finance, European Finance Association, volume 25, issue 2, pages 449-484.
• Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021, "Equilibrium Asset Pricing in Directed Networks
  [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, volume 25, issue 3, pages 777-818.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2021, "Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
  [Does realized skewness predict the cross-section of equity returns?]," Review of Finance, European Finance Association, volume 25, issue 4, pages 1261-1298.
• David C Brown & Shaun William Davies & Matthew C Ringgenberg, 2021, "ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
  [The equity share in new issues and aggregate stock returns]," Review of Finance, European Finance Association, volume 25, issue 4, pages 937-972.
• Ulrike Malmendier, 2021, "Experience Effects in Finance: Foundations, Applications, and Future Directions
  [X-capm: an extrapolative capital asset pricing model]," Review of Finance, European Finance Association, volume 25, issue 5, pages 1339-1363.
• Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2021, "Sovereign Credit Quality and Violations of the Law of One Price
  [Asset pricing and the bid-ask spread]," Review of Finance, European Finance Association, volume 25, issue 5, pages 1581-1607.
• Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021, "The TIPS Liquidity Premium
  [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1639-1675.
• Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021, "Disastrous Defaults
  [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1727-1772.
• Lifang Li & Valentina Galvani, 2021, "Informed Trading and Momentum in the Corporate Bond Market
  [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1773-1816.
• Dan Li & Geng Li, 2021, "Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume
  [Belief dispersion in the stock market]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1859-1900.
• Ashwini Agrawal & Isaac Hacamo & Zhongchen Hu & Wei Jiang, 2021, "Information Dispersion across Employees and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 10, pages 4785-4831.
• Valentin Haddad & Alan Moreira & Tyler Muir, 2021, "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response
  [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 11, pages 5309-5351.
• Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021, "Corporate Bond Liquidity during the COVID-19 Crisis
  [The day coronavirus nearly broke the financial markets]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 11, pages 5352-5401.
• Peter M DeMarzo & David M Frankel & Yu Jin, 2021, "Portfolio Liquidity and Security Design with Private Information
  [Strategic liquidity supply and security design]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 5841-5885.
• Elena Carletti & Paolo Colla & Mitu Gulati & Steven Ongena, 2021, "The Price of Law: The Case of the Eurozone Collective Action Clauses
  [Unbundling institutions]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 5933-5976.
• Charles Cao & David Gempesaw & Timothy T Simin, 2021, "Information Choice, Uncertainty, and Expected Returns
  [A noisy rational expectations equilibrium for multi-asset securities markets]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 5977-6031.
• Irina Zviadadze, 2021, "Term Structure of Risk in Expected Returns
  [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 6032-6086.
• Mary Tian, 2021, "Firm Characteristics and Empirical Factor Models: A Model Mining Experiment
  [Beta matrix and common factors in stock returns]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 6087-6125.
• Narasimhan Jegadeesh & Chandra Sekhar Mangipudi, 2021, "What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?
  [Alpha or beta in the eye of the beholder: What drives hedge fund flows?]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 108-148.
• Christopher S Jones & Haitao Mo, 2021, "Out-of-Sample Performance of Mutual Fund Predictors
  [Has U.S. corporate bond market liquidity deteriorated?]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 149-193.
• Neil D Pearson & Zhishu Yang & Qi Zhang, 2021, "The Chinese Warrants Bubble: Evidence from Brokerage Account Records
  [Bubbles and crises]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 264-312.
• Xindan Li & Avanidhar Subrahmanyam & Xuewei Yang, 2021, "Winners, Losers, and Regulators in a Derivatives Market Bubble
  [Bubbles and crashes]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 313-350.
• Jiang Luo & Avanidhar Subrahmanyam & Sheridan Titman, 2021, "Momentum and Reversals When Overconfident Investors Underestimate Their Competition
  [The financial crisis of 2007–2009: Causes and remedies]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 351-393.
• Yacine Aït-Sahalia & Chenxu Li & Chen Xu Li, 2021, "Implied Stochastic Volatility Models
  [Testing continuous-time models of the spot interest rate]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 394-450.
• Andres Donangelo, 2021, "Untangling the Value Premium with Labor Shares
  [A unified model of investment under uncertainty]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 451-508.
• Tania Babina & Chotibhak Jotikasthira & Christian Lundblad & Tarun Ramadorai, 2021, "Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds
  [The distribution of realized stock return volatility]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 509-568.
• Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021, "Bond Risk Premiums with Machine Learning
  [Quadratic term structure models: Theory and evidence]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 2, pages 1046-1089.
• Daniele Bianchi & Matthias Büchner & Tobias Hoogteijling & Andrea Tamoni, 2021, "Corrigendum: Bond Risk Premiums with Machine Learning
  [Bond risk premiums with machine learning]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 2, pages 1090-1103.
• Roberto Gomez-Cram & Amir Yaron, 2021, "How Important Are Inflation Expectations for the Nominal Yield Curve?
  [Pricing the term structure with linear regressions]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 2, pages 985-1045.
• Lin William Cong & Ye Li & Neng Wang, 2021, "Tokenomics: Dynamic Adoption and Valuation
  [The demand of liquid assets with uncertain lumpy expenditures]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 3, pages 1105-1155.
• Shiyang Huang & Maureen O’Hara & Zhuo Zhong, 2021, "Innovation and Informed Trading: Evidence from Industry ETFs
  [Short interest, institutional ownership, and stock returns]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 3, pages 1280-1316.
• Marcin Kacperczyk & Savitar Sundaresan & Tianyu Wang & Wei Jiang, 2021, "Do Foreign Institutional Investors Improve Price Efficiency?
  [Does governance travel around the world? Evidence from institutional investors]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 3, pages 1317-1367.
• Anthony Neuberger & Richard Payne & Stijn Van Nieuwerburgh, 2021, "The Skewness of the Stock Market over Long Horizons
  [Does realized skewness predict the cross-section of equity returns?]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 3, pages 1572-1616.
• Xiaodan Gao & Toni M Whited & Na Zhang, 2021, "Corporate Money Demand
  [Financial innovation and the transactions demand for cash]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 1834-1866.
• Charles M C Lee & Eric C So & Charles C Y Wang & Wei Jiang, 2021, "Evaluating Firm-Level Expected-Return Proxies: Implications for Estimating Treatment Effects
  [The cross-section of volatility and expected returns]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 1907-1951.
• Sophie X Ni & Neil D Pearson & Allen M Poteshman & Joshua White & Andrew Karolyi, 2021, "Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?
  [Equity market impact]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 1952-1986.
• Massimo Massa & David Schumacher & Yan Wang, 2021, "Who Is Afraid of BlackRock?
  [Connected stocks]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 1987-2044.
• Yakov Amihud & Joonki Noh & Andrew Karolyi, 2021, "Illiquidity and Stock Returns II: Cross-section and Time-series Effects
  [A simple estimation of bid-ask spreads from daily close, high and low prices]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 2101-2123.
• Pedro Gete & Michael Reher, 2021, "Mortgage Securitization and Shadow Bank Lending
  [The liquidity coverage ratio and liquidity risk monitoring tools]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 5, pages 2236-2274.
• Yukun Liu & Aleh Tsyvinski, 2021, "Risks and Returns of Cryptocurrency," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2689-2727.
• Mikhail Chernov & Drew Creal, 2021, "The PPP View of Multihorizon Currency Risk Premiums," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2728-2772.
• Martin M Andreasen & Tom Engsted & Stig V Møller & Magnus Sander & Stijn Van Nieuwerburgh, 2021, "The Yield Spread and Bond Return Predictability in Expansions and Recessions," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2773-2812.
• Soohun Kim & Robert A Korajczyk & Andreas Neuhierl & Wei JiangEditor, 2021, "Arbitrage Portfolios," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2813-2856.
• James Dow & Jungsuk Han & Francesco Sangiorgi & Stijn Van Nieuwerburgh, 2021, "Hysteresis in Price Efficiency and the Economics of Slow-Moving Capital," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2857-2909.
• Amber Anand & Chotibhak Jotikasthira & Kumar Venkataraman, 2021, "Mutual Fund Trading Style and Bond Market Fragility," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2993-3044.
• Itay Goldstein & Chester S Spatt & Mao Ye, 2021, "Big Data in Finance
  [Institutional order handling and broker-affiliated trading venues]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 7, pages 3213-3225.
• Hedi Benamar & Thierry Foucault & Clara Vega, 2021, "Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News
  [Optimal inattention to the stock market]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 7, pages 3403-3455.
• Stefano Giglio & Yuan Liao & Dacheng Xiu & Wei Jiang, 2021, "Thousands of Alpha Tests
  [The performance of hedge funds: Risk, return, and incentives]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 7, pages 3456-3496.
• William N Goetzmann & Christophe Spaenjers & Stijn Van Nieuwerburgh, 2021, "Real and Private-Value Assets
  [Gendered prices]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 8, pages 3497-3526.
• Stefano Giglio & Matteo Maggiori & Krishna Rao & Johannes Stroebel & Andreas Weber & Stijn Van Nieuwerburgh, 2021, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate
  [Abrupt climate change]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 8, pages 3527-3571.
• Piet Eichholtz & Matthijs Korevaar & Thies Lindenthal & Ronan Tallec & Stijn Van Nieuwerburgh, 2021, "The Total Return and Risk to Residential Real Estate
  [House prices and fundamentals: 355 years of evidence]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 8, pages 3608-3646.
• Jacob S Sagi & Stijn Van Nieuwerburgh, 2021, "Asset-Level Risk and Return in Real Estate Investments
  [New evidence on home prices from Freddie Mac repeat sales]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 8, pages 3647-3694.
• Julien Pénasse & Luc Renneboog & José A Scheinkman & Stijn Van Nieuwerburgh, 2021, "When a Master Dies: Speculation and Asset Float
  [Optimal financial crises]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 8, pages 3840-3879.
• Ines Chaieb & Vihang Errunza & Hugues Langlois & Andrew Karolyi, 2021, "How is Liquidity Priced in Global Markets?," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 9, pages 4216-4268.
• Sergei Glebkin & Naveen Gondhi & John Chi-Fong Kuong, 2021, "Funding Constraints and Informational Efficiency," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 9, pages 4269-4322.
• Li Liao & Zhengwei Wang & Jia Xiang & Hongjun Yan & Jun Yang & LaurenCohen, 2021, "User Interface and Firsthand Experience in Retail Investing," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 9, pages 4486-4523.
• Jesús Fernández-Villaverde & Federico Mandelman & Yang Yu & Francesco Zanetti, 2021, "The “Matthew Effect” and Market Concentration:Search Complementarities and Monopsony Power," Economics Series Working Papers, University of Oxford, Department of Economics, number 932, Feb.
• Vidal García, Raúl & Ribal Sanchis, Javier & Blasco Ruiz, Ana, 2021, "Stock market multiples in the valuation of unlisted agrifood companies. || Múltiplos de mercado en la valoración de empresas agroalimentarias no cotizadas," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 31, issue 1, pages 198-225, June, DOI: https://doi.org/10.46661/revmetodos.
• Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021, "The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0272, Mar.
• Jaskowski, Marcin & McAleer, Michael, 2021, "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, volume 18, issue C, pages 12-27, DOI: 10.1016/j.ecosta.2019.09.001.
• Geromichalos, Athanasios & Jung, Kuk Mo & Lee, Seungduck & Carlos, Dillon, 2021, "A model of endogenous direct and indirect asset liquidity," European Economic Review, Elsevier, volume 132, issue C, DOI: 10.1016/j.euroecorev.2020.103627.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021, "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, volume 289, issue 1, pages 350-363, DOI: 10.1016/j.ejor.2020.07.002.
• Ersan, Oguz & Simsir, Serif Aziz & Simsek, Koray D. & Hasan, Afan, 2021, "The speed of stock price adjustment to corporate announcements: Insights from Turkey," Emerging Markets Review, Elsevier, volume 47, issue C, DOI: 10.1016/j.ememar.2020.100778.
• Binge, Laurie H. & Boshoff, Willem H., 2021, "Measuring alternative asset prices in an emerging market: The case of the South African art market," Emerging Markets Review, Elsevier, volume 47, issue C, DOI: 10.1016/j.ememar.2020.100788.
• Zhou, Zhong-guo & Hussein, Monica & Deng, Qi, 2021, "ChiNext IPOs' initial returns before and after the 2013 stock market reform: What can we learn?," Emerging Markets Review, Elsevier, volume 48, issue C, DOI: 10.1016/j.ememar.2021.100817.
• Zhu, Hong-bing & Zhang, Bing & Yang, Li-hua, 2021, "The gambling preference and stock price: Evidence from China's stock market," Emerging Markets Review, Elsevier, volume 49, issue C, DOI: 10.1016/j.ememar.2021.100803.
• Chiang, I-Hsuan Ethan & Liao, Yin & Zhou, Qing, 2021, "Modeling the cross-section of stock returns using sensible models in a model pool," Journal of Empirical Finance, Elsevier, volume 60, issue C, pages 56-73, DOI: 10.1016/j.jempfin.2020.11.003.
• Beber, Alessandro & Brandt, Michael W. & Cen, Jason & Kavajecz, Kenneth A., 2021, "Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill," Journal of Empirical Finance, Elsevier, volume 60, issue C, pages 74-93, DOI: 10.1016/j.jempfin.2020.12.001.
• Chen, Tsung-Yu & Chou, Pin-Huang & Ko, Kuan-Cheng & Rhee, S. Ghon, 2021, "Non-parametric momentum based on ranks and signs," Journal of Empirical Finance, Elsevier, volume 60, issue C, pages 94-109, DOI: 10.1016/j.jempfin.2020.11.004.
• Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021, "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, volume 61, issue C, pages 57-81, DOI: 10.1016/j.jempfin.2020.12.002.
• Liu, Xin, 2021, "Diversification in lottery-like features and portfolio pricing discount: Evidence from closed-end funds," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 1-11, DOI: 10.1016/j.jempfin.2021.02.001.
• Merkle, Christoph & Sextroh, Christoph J., 2021, "Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 159-178, DOI: 10.1016/j.jempfin.2021.03.004.
• Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021, "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 179-201, DOI: 10.1016/j.jempfin.2021.03.003.
• Balter, Anne G. & Pelsser, Antoon & Schotman, Peter C., 2021, "What does a term structure model imply about very long-term interest rates?," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 202-219, DOI: 10.1016/j.jempfin.2021.03.006.
• Jayetileke, Harshanie L. & Wang, You-Gan & Zhu, Min, 2021, "Predictive regression with p-lags and order-q autoregressive predictors," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 282-293, DOI: 10.1016/j.jempfin.2021.04.006.
• Francis, Bill & Hasan, Iftekhar & Shen, Yinjie (Victor) & Ye, Pengfei, 2021, "Stock price fragility and the cost of bank loans," Journal of Empirical Finance, Elsevier, volume 63, issue C, pages 118-135, DOI: 10.1016/j.jempfin.2021.06.001.
• Calice, Giovanni & Lin, Ming-Tsung, 2021, "Exploring risk premium factors for country equity returns," Journal of Empirical Finance, Elsevier, volume 63, issue C, pages 294-322, DOI: 10.1016/j.jempfin.2021.07.003.
• Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021, "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, volume 63, issue C, pages 42-56, DOI: 10.1016/j.jempfin.2021.05.003.
• Feng, Felix Zhiyu & Xu, Qiping & Zhu, Caroline H., 2021, "Caught in the crossfire: How the threat of hedge fund activism affects creditors," Journal of Empirical Finance, Elsevier, volume 64, issue C, pages 128-143, DOI: 10.1016/j.jempfin.2021.08.008.
• Lin, Chaonan & Chen, Hong-Yi & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2021, "Time-dependent lottery preference and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, volume 64, issue C, pages 272-294, DOI: 10.1016/j.jempfin.2021.09.005.