Research classified by Journal of Economic Literature (JEL) codes

2021

• Dimiter Nenkov, 2021, "The S&P 500 Current Record-High Levels against Fundamental PE and PBV Ratios," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 93-113.
• Jesús Fernández-Villaverde & Federico Mandelman & Yang Yu & Francesco Zanetti, 2021, "The "Matthew Effect" and Market Concentration: Search Complementarities and Monopsony Power," BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics, number 2103, Feb.
• Bruno Feunou & Jean-Sébastien Fontaine, 2021, "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers, Bank of Canada, number 21-14, Mar, DOI: 10.34989/swp-2021-14.
• Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021, "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers, Bank of Canada, number 21-58, Nov, DOI: 10.34989/swp-2021-58.
• Igor Livshits & Youngmin Park, 2021, "Democratic Political Economy of Financial Regulation," Staff Working Papers, Bank of Canada, number 21-59, Nov, DOI: 10.34989/swp-2021-59.
• Guillaume Ouellet Leblanc & Jean-Sébastien Fontaine & Ryan Shotlander, 2021, "What cured the TSX Equity index after COVID-19?," Staff Analytical Notes, Bank of Canada, number 2021-3, Mar, DOI: 10.34989/san-2021-3.
• Laura Álvarez & Alberto Fuertes & Luis Molina & Emilio Muñoz de la Peña, 2021, "Evolución de los mercados de capitales internacionales durante la crisis sanitaria," Boletín Económico, Banco de España, issue 2/2021.
• Laura Álvarez & Alberto Fuertes & Luis Molina & Emilio Muñoz de la Peña, 2021, "International capital markets during the COVID-19 crisis," Economic Bulletin, Banco de España, issue 2/2021.
• Dmitry Khametshin, 2021, "High-yield bond markets during the COVID-19 crisis: the role of monetary policy," Occasional Papers, Banco de España, number 2110, Mar.
• Carlos González Pedraz & Adrian van Rixtel, 2021, "El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19," Occasional Papers, Banco de España, number 2123, Aug.
• Carlos González Pedraz & Adrian van Rixtel, 2021, "The role of derivatives in market strains during the COVID-19 crisis," Occasional Papers, Banco de España, number 2123, Aug.
• Danilo Liberati & Giuseppe Marinelli, 2021, "Everything you always wanted to know about green bonds (but were afraid to ask)," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 654, Nov.
• Riccardo Poli & Marco Taboga, 2021, "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 663, Dec.
• Francesca Lilla, 2021, "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1336, Jun.
• Massimiliano Affinito & Raffaele Santioni, 2021, "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1342, Jul.
• Jurado Pedroza Wilfrido, 2021, "Around-the-Clock USD/MXN Volatility: Macroeconomic Announcement Spillovers and FX Market Intervention Mechanisms," Working Papers, Banco de México, number 2021-05, Jun.
• Andrey Duván Rincón-Torres & Kimberly Rojas-Silva & Juan Manuel Julio-Román, 2021, "The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 1171, Sep, DOI: 10.32468/be.1171.
• Miloš Božović, 2021, "Mutual Fund Performance: Some Recent Evidence From European Equity Funds," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 66, issue 230, pages 7-34, July – Se.
• Camille Macaire & Alain Naef, 2021, "Greening Monetary Policy: Evidence from the People's Bank of China," Working papers, Banque de France, number 812.
• Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021, "Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective," Working papers, Banque de France, number 844.
• Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021, "The Voice of Monetary Policy," Discussion Papers, Department of Economics, University of Birmingham, number 21-02, Feb.
• Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2021, "Testing external habits in an asset pricing model," Discussion Papers, Department of Economics, University of Birmingham, number 21-11, Jun.
• Karamfil Todorov, 2021, "The anatomy of bond ETF arbitrage," BIS Quarterly Review, Bank for International Settlements, March.
• Mikhail Chernov & Drew Creal & Peter Hördahl, 2021, "Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds," BIS Working Papers, Bank for International Settlements, number 918, Jan.
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021, "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers, Bank for International Settlements, number 921, Jan.
• Raphael Auer & David Tercero-Lucas, 2021, "Distrust or speculation? the socioeconomic drivers of U.S. cryptocurrency investments," BIS Working Papers, Bank for International Settlements, number 951, Jul.
• Matteo Aquilina & Eric Budish & Peter O'Neill, 2021, "Quantifying the high-frequency trading "arms race"," BIS Working Papers, Bank for International Settlements, number 955, Aug.
• Simon Gilchrist & Bin Wei & Vivian Z Yue & Egon Zakrajšek, 2021, "The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF," BIS Working Papers, Bank for International Settlements, number 963, Sep.
• John J Shim & Karamfil Todorov, 2021, "ETFs, illiquid assets, and fire sales," BIS Working Papers, Bank for International Settlements, number 975, Nov.
• Yener Altunbas & Leonardo Gambacorta & Alessio Reghezza & Giulio Velliscig, 2021, "Does gender diversity in the workplace mitigate climate change?," BIS Working Papers, Bank for International Settlements, number 977, Nov.
• Bevanda Lea-Marija & Zaimović Azra & Arnaut-Berilo Almira, 2021, "Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis," Business Systems Research, Sciendo, volume 12, issue 2, pages 268-283, December, DOI: 10.2478/bsrj-2021-0032.
• Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021, "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series, Bank of Russia, number wps74, Jul.
• Serena Fatica & Roberto Panzica, 2021, "Green bonds as a tool against climate change?," Business Strategy and the Environment, Wiley Blackwell, volume 30, issue 5, pages 2688-2701, July, DOI: 10.1002/bse.2771.
• Markus Brueckner & Joaquin Vespignani, 2021, "COVID‐19 Infections and the Performance of the Stock Market: An Empirical Analysis for Australia," Economic Papers, The Economic Society of Australia, volume 40, issue 3, pages 173-193, September, DOI: 10.1111/1759-3441.12318.
• Gunda‐Alexandra Detmers & Ozer Karagedikli & Richhild Moessner, 2021, "Quantitative or Qualitative Forward Guidance: Does it Matter?," The Economic Record, The Economic Society of Australia, volume 97, issue 319, pages 491-503, December, DOI: 10.1111/1475-4932.12637.
• Takuji Fueki & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2021, "Identifying oil price shocks and their consequences: The role of expectations in the crude oil market," International Finance, Wiley Blackwell, volume 24, issue 1, pages 53-76, April, DOI: 10.1111/infi.12384.
• Michael Ungeheuer & Martin Weber, 2021, "The Perception of Dependence, Investment Decisions, and Stock Prices," Journal of Finance, American Finance Association, volume 76, issue 2, pages 797-844, April, DOI: 10.1111/jofi.12993.
• Shaojun Zhang, 2021, "Limited Risk Sharing and International Equity Returns," Journal of Finance, American Finance Association, volume 76, issue 2, pages 893-933, April, DOI: 10.1111/jofi.12994.
• Jack Favilukis & Stijn Van Nieuwerburgh, 2021, "Out‐of‐Town Home Buyers and City Welfare," Journal of Finance, American Finance Association, volume 76, issue 5, pages 2577-2638, October, DOI: 10.1111/jofi.13057.
• Gino Cenedese & Pasquale Della Corte & Tianyu Wang, 2021, "Currency Mispricing and Dealer Balance Sheets," Journal of Finance, American Finance Association, volume 76, issue 6, pages 2763-2803, December, DOI: 10.1111/jofi.13079.
• Ľuboš Pástor & Pietro Veronesi, 2021, "Inequality Aversion, Populism, and the Backlash against Globalization," Journal of Finance, American Finance Association, volume 76, issue 6, pages 2857-2906, December, DOI: 10.1111/jofi.13081.
• Can Gao & Ian W. R. Martin, 2021, "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, volume 76, issue 6, pages 3211-3254, December, DOI: 10.1111/jofi.13068.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2021, "Information, market power, and price volatility," RAND Journal of Economics, RAND Corporation, volume 52, issue 1, pages 125-150, March, DOI: 10.1111/1756-2171.12364.
• MOROSAN Adrian, 2021, "Trading Stock Market Indices. A Simple Approach," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 73, issue 1, pages 64-73, March.
• IACOB (PIRSCOVEANU) Laura-Madalina & PIRSCOVEANU Cornelia-Cristina, 2021, "The Forecasting Ability Of A Market Model For Shares Issued By Petrom S.A," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 73, issue Special, pages 230-242, December.
• Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2021, "Monetary policy surprises and their transmission through term premia and expected interest rates," Bank of England Staff Working Paper series, Bank of England, number 914, Mar.
• Ambrogio Cesa-Bianchi & Fernando Eguren-Martin, 2021, "Dash for dollars," Bank of England Staff Working Paper series, Bank of England, number 932, Jul.
• Julia Giese & Michael Joyce & Jack Meaning & Jack Worlidge, 2021, "Preferred habitat investors in the UK government bond market," Bank of England Staff Working Paper series, Bank of England, number 939, Sep.
• Robert Czech & Shiyang Huang & Dong Lou & Tianyu Wang, 2021, "An unintended consequence of holding dollar assets," Bank of England Staff Working Paper series, Bank of England, number 953, Dec.
• Evangelos Charalambakis, 2021, "Stock price reactions to the first wave of the COVID-19 pandemic: evidence from Greece," Economic Bulletin, Bank of Greece, issue 53, pages 69-82, July, DOI: 10.52903/econbull20215304.
• Divya Jain & Meghna Chhabra, 2021, "A Bibliometric Mapping of Utilization of Google Trends for Examining Stock Market Dynamics," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, volume 24, issue 3, pages 57-76, DOI: 10.32725/acta.2021.012.
• Ko Adachi & Kazuhiro Hiraki, 2021, "Recent Developments in Measuring Inflation Expectations: With a Focus on Market-based Inflation Expectations and the Term Structure of Inflation Expectations," Bank of Japan Research Laboratory Series, Bank of Japan, number 21-E-1, Jun.
• Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021, "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series, Bank of Japan, number 21-E-3, Apr.
• Zeno Enders & Hendrik Hakenes, 2021, "Market Depth, Leverage, and Speculative Bubbles," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2021_275, Mar.
• Bazgour Tarik & Heuchenne Cedric & Hübner Georges & Sougné Danielle, 2021, "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 1, pages 1-17, February, DOI: 10.1515/snde-2018-0127.
• Dhaoui Abderrazak & Chevallier Julien & Ma Feng, 2021, "Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 2, pages 1-19, April, DOI: 10.1515/snde-2019-0066.
• Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021, "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS84, May.
• Palumbo, D., 2021, "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2111, Jan.
• Dong, C. & Li, S., 2021, "Specification Lasso and an Application in Financial Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2139, May.
• Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021, "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 10, issue 2, pages 179-200.
• Michael Falkenheim, 2021, "Governmental Risk Taking Under Market Imperfections: Working Paper 2021-07," Working Papers, Congressional Budget Office, number 57255, Jun.
• Michael Falkenheim & Wendy Kiska, 2021, "How CBO Estimates the Market Risk of Federal Credit Programs: Working Paper 2021-14," Working Papers, Congressional Budget Office, number 57581, Nov.
• Nicolas Caramp, 2021, "Sowing the Seeds of Financial Crises: Endogenous Asset Creation and Adverse Selection," Working Papers, University of California, Davis, Department of Economics, number 342, Jul.
• Sushant Acharya & Keshav Dogra & Sanjay R. Singh, 2021, "The financial origins of non-fundamental risk," Working Papers, University of California, Davis, Department of Economics, number 345, Dec.
• Lu, Wenna & Copeland, Laurence & Xu, Yongdeng, 2021, "The Pricing of Unexpected Volatility in the Currency Market," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2021/16, Jul.
• Guo, Dong & Zhou, Peng, 2021, "Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2021/28, Nov.
• Lucélia Vaz & Rodrigo Raad, 2021, "Functional data analysis for brazilian term structure of interest rate," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number 638, Dec.
• Christian A. L. Hilber & Andreas Mense, 2021, "Why have house prices risen so much more than rents in superstar cities?," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1743, Jan.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021, "What triggers stock market jumps?," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1789, Aug.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco Sammon, 2021, "What triggers stock market jumps?," POID Working Papers, Centre for Economic Performance, LSE, number 010, Aug.
• Mykola Babiak & Roman Kozhan, 2021, "Growth Uncertainty, Rational Learning, and Option Prices," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp682, Jan.
• Daniele Bianchi & Mykola Babiak, 2021, "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp710, Nov.
• Mahdi Nezafat & Ctirad Slavik, 2021, "Asset Prices and Business Cycles with Liquidity Shocks," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp711, Nov.
• Jesús Fernández-Villaverde & Federico Mandelman & Yu Yang & Francesco Zanetti, 2021, "The "Matthew Effect" and Market Concentration: Search Complementarities and Monopsony Power," CESifo Working Paper Series, CESifo, number 8897.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021, "Manufacturing Risk-Free Government Debt," CESifo Working Paper Series, CESifo, number 8902.
• M. Hashem Pesaran & Ron P. Smith, 2021, "Factor Strengths, Pricing Errors, and Estimation of Risk Premia," CESifo Working Paper Series, CESifo, number 8947.
• Kris James Mitchener & Christoph Trebesch, 2021, "Sovereign Debt in the 21st Century," CESifo Working Paper Series, CESifo, number 8959.
• Karl Schulz, 2021, "Redistribution of Return Inequality," CESifo Working Paper Series, CESifo, number 8996.
• M. Hashem Pesaran & Ron P. Smith, 2021, "Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios," CESifo Working Paper Series, CESifo, number 9001.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2021, "Persistence in ESG and Conventional Stock Market Indices," CESifo Working Paper Series, CESifo, number 9098.
• Michael D. Bauer & Mikhail Chernov, 2021, "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series, CESifo, number 9150.
• Sania Wadud & Robert D. Durand & Marc Gronwald, 2021, "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series, CESifo, number 9202.
• Ye Li & Simon Mayer & Simon Mayer, 2021, "Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking," CESifo Working Paper Series, CESifo, number 9260.
• Ottmar Edenhofer & Kai Lessmann & Ibrahim Tahri, 2021, "Asset Pricing and the Carbon Beta of Externalities," CESifo Working Paper Series, CESifo, number 9269.
• Raphael A. Auer & David Tercero-Lucas, 2021, "Distrust or Speculation? The Socioeconomic Drivers of U.S. Cryptocurrency Investments," CESifo Working Paper Series, CESifo, number 9287.
• Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Gül Serife Huyugüzel Kisla & Mohamad Husam Helmi & Coskun Akdeniz, 2021, "Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach," CESifo Working Paper Series, CESifo, number 9322.
• Johannes Stroebel & Jeffrey Wurgler, 2021, "What Do You Think about Climate Finance?," CESifo Working Paper Series, CESifo, number 9350.
• Guglielmo Maria Caporale & Alex Plastun, 2021, "Witching Days and Abnormal Profits in the US Stock Market," CESifo Working Paper Series, CESifo, number 9360.
• Christine Laudenbach & Annika Weber & Rüdiger Weber & Johannes Wohlfart, 2021, "Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment," CESifo Working Paper Series, CESifo, number 9427.
• Markus K. Brunnermeier & Sebastian, Sannikov, Yuliy Merkel & Sebastian Merkel, 2021, "Debt as Safe Asset," CESifo Working Paper Series, CESifo, number 9500.
• Ricardo Lagos & Shengxing Zhang, 2021, "The Limits of onetary Economics: On Money as a Latent Medium of Exchange," Discussion Papers, Centre for Macroeconomics (CFM), number 2104, Feb.
• Jesus Fernandez-Villaverde & Federico Mandelman & Yang Yu & Francesco Zanetti, 2021, "The “Matthew Effect” and Market Concentration: Search Complementarities and Monopsony Power," Discussion Papers, Centre for Macroeconomics (CFM), number 2105, Feb.
• Fernando Chague & Bruno Giovannetti & Bernardo Guimaraes, 2021, "The Contrarian Put," Discussion Papers, Centre for Macroeconomics (CFM), number 2106, Feb.
• Bernardo Guimaraes & Pierluca Pannella, 2021, "Short-squeeze bubbles," Discussion Papers, Centre for Macroeconomics (CFM), number 2109, Mar.
• Gábor Pintér & Chaojun Wang & Junyuan Zou, 2021, "Size Discount and Size Penalty Trading Costs in Bond Markets," Discussion Papers, Centre for Macroeconomics (CFM), number 2114, Apr.
• Roman Sustek, 2021, "Yield curve and the business cycle in conventional times," Discussion Papers, Centre for Macroeconomics (CFM), number 2122, Oct.
• Tomohiro Hirano & Joseph E. Stiglitz, 2021, "Land Speculation and Wobbly Dynamics with Endogenous Phase Transitions," Discussion Papers, Centre for Macroeconomics (CFM), number 2201, Dec.
• Itzhak Ben-David & Francesco A. Franzoni & Byungwook Kim & Rabih Moussawi, 2021, "Competition for Attention in the ETF Space," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-03, Jan.
• Lorenzo Bretscher & Alex Hsu & Peter Simasek & Andrea Tamoni, 2021, "COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-05, Jan.
• Lorenzo Bretscher & Lukas Schmid & Ishita Sen & Varun Sharma, 2021, "Institutional Corporate Bond Demand," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-07, Jan.
• Martin Hoesli & Richard Malle, 2021, "Commercial Real Estate Prices and Covid-19," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-08, Jan.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-09, Jan.
• Philippe van der Beck & Coralie Jaunin, 2021, "The Equity Market Implications of the Retail Investment Boom," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-12, Feb.
• Mirela Sandulescu & Paul Schneider, 2021, "Mispricing and Uncertainty in International Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-14, Feb.
• Tony Berrada, 2021, "Can the variance after-effect distort stock returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-16, Feb.
• Alexis Marchal, 2021, "Risk & Returns around Fomc Press Conferences: A Novel Perspective from Computer Vision," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-18, Mar.
• David Solo & Didier Sornette & Florian Ulmann, 2021, "Dynamical Internal Cost of Capital Driven by Cash Flow Growth," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-24, Mar.
• Angel Tengulov & Franklin Allen & Eric Nowak & Matteo Pirovano, 2021, "Squeezing Shorts Through Social News Platforms," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-31, Apr.
• Jie Cao & Amit Goyal & Xintong Zhan & Weiming Elaine Zhang, 2021, "Unlocking ESG Premium from Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-39, Jul.
• Terrence Hendershott & Dmitry Livdan & Norman Schürhoff, 2021, "Do we need dealers in OTC markets?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-43, Jul.
• Sofonias A. Korsaye & Alberto Quaini & Fabio Trojani, 2021, "Smart Stochastic Discount Factors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-51, Jul.
• Lorenzo Bretscher & Aytek Malkhozov & Andrea Tamoni, 2021, "Expectations and Aggregate Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-68, Oct.
• Philippe van der Beck, 2021, "Flow-Driven ESG Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-71, Oct.
• Kjell G. Nyborg & Jiri Woschitz, 2021, "The Price of Money: How Collateral Policy Affects the Yield Curve," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-74, Nov.
• Michail Anthropelos & Paul Schneider, 2021, "Optimal Investment and Equilibrium Pricing under Ambiguity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-78, Nov.
• Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-85, Sep.
• Amit Goyal & Avanidhar Subrahmanyam & Bhaskaran Swaminathan, 2021, "Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-87, Aug.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2021, "The Virtue of Complexity in Machine Learning Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-90, Dec.
• Sabiou M. Inoua & Vernon L. Smith, 2021, "A Classical Model of Speculative Asset Price Dynamics," Working Papers, Chapman University, Economic Science Institute, number 21-21.
• Jose E. Gomez-Gonzalez & Jorge Hirs-Garzón & Sebastián Sanín-Restrepo, 2021, "Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality," International Economics, CEPII research center, issue 165, pages 37-50.
• Christian Urom & Gideon Ndubuisi & Jude Ozor, 2021, "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, CEPII research center, issue 165, pages 51-66.
• Majid Haghani Rizi, 2021, "What moves housing markets: A state-space approach of the price-income ratio," International Economics, CEPII research center, issue 167, pages 96-107.
• Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021, "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers, CIRANO, number 2021s-28, Aug.
• John Duffy & Janet Hua Jiang & Huan Xie, 2021, "Pricing Indefinitely Lived Assets: Experimental Evidence," CIRANO Working Papers, CIRANO, number 2021s-32, Sep.
• Zuzana Gric & Josef Bajzik & Ondrej Badura, 2021, "Does Sentiment Affect Stock Returns? A Meta-analysis Across Survey-based Measures," Working Papers, Czech National Bank, Research and Statistics Department, number 2021/10, Dec.
• Tomohiro HIRANO & Joseph E. Stiglitz, 2021, "Land Speculation and Wobbly Dynamics with Endogenous Phase Transitions," CIGS Working Paper Series, The Canon Institute for Global Studies, number 21-009E, Dec.
• Ricardo Crisóstomo, 2021, "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Javier Ojea-Ferreiro, 2021, "Deconstrucción del riesgo sistémico: Un método de prueba de resistencia inversa," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Ricardo Crisóstomo, 2021, "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
• Javier Ojea-Ferreiro, 2021, "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
• Juan Camilo Pardo, 2021, "¬øExuberancia de los precios de la vivienda en Colombia?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 19319, Jun.
• Jeimy Lorena Martínez Arroyo & Nini Johana Mar�n Rodr�guez, 2021, "Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 40, issue 83, pages 583-608.
• Rafael Romero-Meza & Semei Coronado & Fabricio Iba�ez-Veizaga, 2021, "COVID-19 y causalidad en la volatilidad del mercado accionario chileno," Estudios Gerenciales, Universidad Icesi, volume 37, issue 159, pages 242-250, DOI: 10.18046/j.estger.2021.159.4412.
• Michael Demmler & Amilcar Orlian Fern�ndez Dom�nguez, 2021, "Bitcoin and the South Sea Company: A comparative analysis," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 13, issue 1, pages 197-224.
• Rogelio Ladrón de Guevara Cortés & Salvador Torra Porras & Enric Monte Moreno, 2021, "Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative study in the Mexican Stock Exchange," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 13, issue 2, pages 513-543.
• Staccioli, Jacopo & Napoletano, Mauro, 2021, "An agent-based model of intra-day financial markets dynamics," Journal of Economic Behavior & Organization, Elsevier, volume 182, issue C, pages 331-348, DOI: 10.1016/j.jebo.2020.05.018.
• Barnett, William A. & Han, Qing & Zhang, Jianbo, 2021, "Monetary services aggregation under uncertainty: A behavioral economics extension using Choquet expectation," Journal of Economic Behavior & Organization, Elsevier, volume 182, issue C, pages 437-447, DOI: 10.1016/j.jebo.2019.03.026.
• Coppock, Lee A. & Harper, Daniel Q. & Holt, Charles A., 2021, "Capital constraints and asset bubbles: An experimental study," Journal of Economic Behavior & Organization, Elsevier, volume 183, issue C, pages 75-88, DOI: 10.1016/j.jebo.2020.10.024.
• Beckmann, Joscha, 2021, "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, volume 183, issue C, pages 773-790, DOI: 10.1016/j.jebo.2020.06.021.
• Hong, Jieying & Moinas, Sophie & Pouget, Sébastien, 2021, "Learning in speculative bubbles: Theory and experiment," Journal of Economic Behavior & Organization, Elsevier, volume 185, issue C, pages 1-26, DOI: 10.1016/j.jebo.2021.01.009.
• Noussair, Charles N. & Popescu, Andreea Victoria, 2021, "Comovement and return predictability in asset markets: An experiment with two Lucas trees," Journal of Economic Behavior & Organization, Elsevier, volume 185, issue C, pages 671-687, DOI: 10.1016/j.jebo.2021.03.012.
• ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021, "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, volume 185, issue C, pages 747-769, DOI: 10.1016/j.jebo.2019.12.013.
• Montone, Maurizio, 2021, "Optimal pricing in the online betting market," Journal of Economic Behavior & Organization, Elsevier, volume 186, issue C, pages 344-363, DOI: 10.1016/j.jebo.2021.04.007.
• Omar, Ayman M.A. & Lambe, Brendan J & Wisniewski, Tomasz Piotr, 2021, "Perceptions of the threat to national security and the stock market," Journal of Economic Behavior & Organization, Elsevier, volume 186, issue C, pages 504-522, DOI: 10.1016/j.jebo.2021.04.010.
• Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021, "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, volume 188, issue C, pages 379-393, DOI: 10.1016/j.jebo.2021.05.020.
• Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2021, "The impact of ETFs in secondary asset markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, volume 188, issue C, pages 674-696, DOI: 10.1016/j.jebo.2021.06.003.
• Stöckl, Sebastian & Rode, Martin, 2021, "The price of populism: Financial market outcomes of populist electoral success," Journal of Economic Behavior & Organization, Elsevier, volume 189, issue C, pages 51-83, DOI: 10.1016/j.jebo.2021.06.037.
• Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021, "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 1011-1024, DOI: 10.1016/j.jebo.2021.09.031.
• Kim, Jeong Ho (John) & Kim, Byung-Cheol, 2021, "A welfare criterion with endogenous welfare weights for belief disagreement models," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 312-333, DOI: 10.1016/j.jebo.2021.09.006.
• Wang, Wenzhao & Duxbury, Darren, 2021, "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 415-441, DOI: 10.1016/j.jebo.2021.08.029.
• Filippou, Ilias & Taylor, Mark P., 2021, "Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 66-77, DOI: 10.1016/j.jebo.2021.08.037.
• Baars, Maren & Mohrschladt, Hannes, 2021, "An alternative behavioral explanation for the MAX effect," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 868-886, DOI: 10.1016/j.jebo.2021.09.027.
• Akhtaruzzaman, Md & Chiah, Mardy & Docherty, Paul & Zhong, Angel, 2021, "Betting against bank profitability," Journal of Economic Behavior & Organization, Elsevier, volume 192, issue C, pages 304-323, DOI: 10.1016/j.jebo.2021.10.012.
• Rossi, Stefano & Tinn, Katrin, 2021, "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, volume 191, issue C, DOI: 10.1016/j.jet.2020.105127.
• Heumann, Tibor, 2021, "Efficiency in trading markets with multi-dimensional signals," Journal of Economic Theory, Elsevier, volume 191, issue C, DOI: 10.1016/j.jet.2020.105156.
• Gabrovski, Miroslav & Kospentaris, Ioannis, 2021, "Intermediation in over-the-counter markets with price transparency," Journal of Economic Theory, Elsevier, volume 198, issue C, DOI: 10.1016/j.jet.2021.105364.
• Keloharju, Matti & Linnainmaa, Juhani T. & Nyberg, Peter, 2021, "Are return seasonalities due to risk or mispricing?," Journal of Financial Economics, Elsevier, volume 139, issue 1, pages 138-161, DOI: 10.1016/j.jfineco.2020.07.009.
• Xu, Nancy R., 2021, "Procyclicality of the comovement between dividend growth and consumption growth," Journal of Financial Economics, Elsevier, volume 139, issue 1, pages 288-312, DOI: 10.1016/j.jfineco.2020.07.013.
• Ben-Rephael, Azi & Choi, Jaewon & Goldstein, Itay, 2021, "Mutual fund flows and fluctuations in credit and business cycles," Journal of Financial Economics, Elsevier, volume 139, issue 1, pages 84-108, DOI: 10.1016/j.jfineco.2020.07.004.
• Ghent, Andra C., 2021, "What’s wrong with Pittsburgh? Delegated investors and liquidity concentration," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 337-358, DOI: 10.1016/j.jfineco.2020.08.015.
• Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021, "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 428-451, DOI: 10.1016/j.jfineco.2020.07.016.
• Barahona, Ricardo & Driessen, Joost & Frehen, Rik, 2021, "Can unpredictable risk exposure be priced?," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 522-544, DOI: 10.1016/j.jfineco.2020.08.006.
• Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021, "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 545-560, DOI: 10.1016/j.jfineco.2020.08.004.
• Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021, "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 656-677, DOI: 10.1016/j.jfineco.2020.08.007.
• Liu, Yan, 2021, "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 1015-1036, DOI: 10.1016/j.jfineco.2020.08.011.
• Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2021, "The real value of China’s stock market," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 679-696, DOI: 10.1016/j.jfineco.2020.08.012.
• Barro, Robert J. & Liao, Gordon Y., 2021, "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 750-769, DOI: 10.1016/j.jfineco.2020.10.001.
• Chen, Hui & Xu, Yu & Yang, Jun, 2021, "Systematic risk, debt maturity, and the term structure of credit spreads," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 770-799, DOI: 10.1016/j.jfineco.2020.09.002.
• Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021, "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 950-970, DOI: 10.1016/j.jfineco.2020.08.010.
• Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021, "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 1-20, DOI: 10.1016/j.jfineco.2020.11.006.
• Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021, "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 127-144, DOI: 10.1016/j.jfineco.2020.11.003.
• Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021, "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 175-196, DOI: 10.1016/j.jfineco.2020.10.003.
• Aghamolla, Cyrus & An, Byeong-Je, 2021, "Voluntary disclosure with evolving news," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 21-53, DOI: 10.1016/j.jfineco.2020.11.004.
• Bongaerts, Dion & Achter, Mark Van, 2021, "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 220-249, DOI: 10.1016/j.jfineco.2020.11.002.
• Gospodinov, Nikolay & Robotti, Cesare, 2021, "Common pricing across asset classes: Empirical evidence revisited," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 292-324, DOI: 10.1016/j.jfineco.2020.12.001.
• Wang, Zijun, 2021, "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 325-345, DOI: 10.1016/j.jfineco.2020.10.006.
• Gârleanu, Nicolae & Panageas, Stavros, 2021, "What to expect when everyone is expecting: Self-fulfilling expectations and asset-pricing puzzles," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 54-73, DOI: 10.1016/j.jfineco.2020.10.007.
• Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021, "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, volume 140, issue 1, pages 74-100, DOI: 10.1016/j.jfineco.2020.10.009.
• Ranaldo, Angelo & Somogyi, Fabricius, 2021, "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 391-411, DOI: 10.1016/j.jfineco.2020.12.007.
• Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021, "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 412-435, DOI: 10.1016/j.jfineco.2020.12.009.
• Cosemans, Mathijs & Frehen, Rik, 2021, "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 460-483, DOI: 10.1016/j.jfineco.2020.12.012.
• Dixon, Peter N. & Fox, Corbin A. & Kelley, Eric K., 2021, "To own or not to own: Stock loans around dividend payments," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 539-559, DOI: 10.1016/j.jfineco.2020.12.010.
• Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021, "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 582-620, DOI: 10.1016/j.jfineco.2020.12.013.
• Neuhierl, Andreas & Varneskov, Rasmus T., 2021, "Frequency dependent risk," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 644-675, DOI: 10.1016/j.jfineco.2021.01.007.
• Kelly, Bryan T. & Moskowitz, Tobias J. & Pruitt, Seth, 2021, "Understanding momentum and reversal," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 726-743, DOI: 10.1016/j.jfineco.2020.06.024.
• Barroso, Pedro & Detzel, Andrew, 2021, "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 744-767, DOI: 10.1016/j.jfineco.2021.02.009.
• Noh, Suzie & So, Eric C. & Verdi, Rodrigo S., 2021, "Calendar rotations: A new approach for studying the impact of timing using earnings announcements," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 865-893, DOI: 10.1016/j.jfineco.2021.01.009.
• Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021, "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 916-940, DOI: 10.1016/j.jfineco.2021.02.002.
• Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021, "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 941-964, DOI: 10.1016/j.jfineco.2021.01.005.
• Anagol, Santosh & Balasubramaniam, Vimal & Ramadorai, Tarun, 2021, "Learning from noise: Evidence from India’s IPO lotteries," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 965-986, DOI: 10.1016/j.jfineco.2021.02.003.
• Bogousslavsky, Vincent, 2021, "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, volume 141, issue 1, pages 172-194, DOI: 10.1016/j.jfineco.2020.07.020.
• Chabakauri, Georgy & Rytchkov, Oleg, 2021, "Asset pricing with index investing," Journal of Financial Economics, Elsevier, volume 141, issue 1, pages 195-216, DOI: 10.1016/j.jfineco.2020.06.023.
• Xu, Yongxin & Xuan, Yuhao & Zheng, Gaoping, 2021, "Internet searching and stock price crash risk: Evidence from a quasi-natural experiment," Journal of Financial Economics, Elsevier, volume 141, issue 1, pages 255-275, DOI: 10.1016/j.jfineco.2021.03.003.
• Ramachandran, Lakshmi Shankar & Tayal, Jitendra, 2021, "Mispricing, short-sale constraints, and the cross-section of option returns," Journal of Financial Economics, Elsevier, volume 141, issue 1, pages 297-321, DOI: 10.1016/j.jfineco.2021.03.006.
• Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021, "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, volume 141, issue 1, pages 83-101, DOI: 10.1016/j.jfineco.2021.02.006.
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021, "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, volume 141, issue 2, pages 479-504, DOI: 10.1016/j.jfineco.2021.03.011.
• Kargar, Mahyar, 2021, "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, volume 141, issue 2, pages 505-532, DOI: 10.1016/j.jfineco.2021.04.012.
• Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong, 2021, "The rate of communication," Journal of Financial Economics, Elsevier, volume 141, issue 2, pages 533-550, DOI: 10.1016/j.jfineco.2021.03.013.
• Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021, "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, volume 141, issue 2, pages 669-692, DOI: 10.1016/j.jfineco.2021.04.007.