Research classified by Journal of Economic Literature (JEL) codes

2021

• Alexander Melnikov & Hongxi Wan, 2021, "On modifications of the Bachelier model," Annals of Finance, Springer, volume 17, issue 2, pages 187-214, June, DOI: 10.1007/s10436-020-00381-1.
• Joel M. Vanden, 2021, "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, volume 17, issue 2, pages 153-186, June, DOI: 10.1007/s10436-021-00383-7.
• José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2021, "A volatility smile-based uncertainty index," Annals of Finance, Springer, volume 17, issue 2, pages 231-246, June, DOI: 10.1007/s10436-021-00384-6.
• Asgar Ali & K. N. Badhani, 2021, "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 1, pages 55-78, March, DOI: 10.1007/s10690-020-09316-2.
• Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma, 2021, "Size Effect in Indian Equity Market: Myth or Reality?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 1, pages 101-119, March, DOI: 10.1007/s10690-020-09318-0.
• Cesario Mateus & Bao Trung Hoang, 2021, "Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 4, pages 499-526, December, DOI: 10.1007/s10690-021-09333-9.
• Zhou Lu & Te Bao & Xiaohua Yu, 2021, "Gender and Bubbles in Experimental Markets with Positive and Negative Expectation Feedback," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 1307-1326, April, DOI: 10.1007/s10614-020-10020-6.
• Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2021, "Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach," Computational Economics, Springer;Society for Computational Economics, volume 58, issue 2, pages 347-394, August, DOI: 10.1007/s10614-020-10031-3.
• Eftichios S. Sartzetakis, 2021, "Green bonds as an instrument to finance low carbon transition," Economic Change and Restructuring, Springer, volume 54, issue 3, pages 755-779, August, DOI: 10.1007/s10644-020-09266-9.
• Solène Collot & Tobias Hemauer, 2021, "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 1, pages 77-100, March, DOI: 10.1007/s11408-020-00358-0.
• Guglielmo Maria Caporale & Alex Plastun, 2021, "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 3, pages 353-368, September, DOI: 10.1007/s11408-021-00380-w.
• Giovanni Campisi & Silvia Muzzioli, 2021, "Designing volatility indices for Austria, Finland and Spain," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 3, pages 369-455, September, DOI: 10.1007/s11408-021-00381-9.
• Milot Hasaj & Bernd Scherer, 2021, "Covid-19 and smart beta," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 4, pages 515-532, December, DOI: 10.1007/s11408-021-00383-7.
• Akaki Tsomaia, 2021, "Asset bubbles, financial sector, and current challenges to regulatory framework," International Economics and Economic Policy, Springer, volume 18, issue 4, pages 901-925, October, DOI: 10.1007/s10368-021-00508-3.
• Frederick Ploeg, 2021, "Carbon pricing under uncertainty," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 28, issue 5, pages 1122-1142, October, DOI: 10.1007/s10797-021-09686-x.
• Xi Fu & Xiaoxi Wu & Zhifang Zhang, 2021, "The Information Role of Earnings Conference Call Tone: Evidence from Stock Price Crash Risk," Journal of Business Ethics, Springer, volume 173, issue 3, pages 643-660, October, DOI: 10.1007/s10551-019-04326-1.
• Zhichuan Frank Li & Saurin Patel & Srikanth Ramani, 2021, "The Role of Mutual Funds in Corporate Social Responsibility," Journal of Business Ethics, Springer, volume 174, issue 3, pages 715-737, December, DOI: 10.1007/s10551-020-04618-x.
• Antje Berndt & Burton Hollifield & Patrik Sandås, 2021, "What Broker Charges Reveal About Subprime Mortgage Credit Risk," The Journal of Real Estate Finance and Economics, Springer, volume 63, issue 2, pages 280-326, August, DOI: 10.1007/s11146-020-09774-5.
• Stanimira Milcheva & Yildiray Yildirim & Bing Zhu, 2021, "Distance to Headquarter and Real Estate Equity Performance," The Journal of Real Estate Finance and Economics, Springer, volume 63, issue 3, pages 327-353, October, DOI: 10.1007/s11146-020-09767-4.
• Jianhua Gang & Liang Peng & Jinfan Zhang, 2021, "Are Pricier Houses Less Risky? Evidence from China," The Journal of Real Estate Finance and Economics, Springer, volume 63, issue 4, pages 662-677, November, DOI: 10.1007/s11146-020-09792-3.
• Martin M. Andreasen, 2021, "The New Keynesian Model and Bond Yields," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-01, Jan.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-05, Mar.
• Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021, "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-11, Jul.
• Salman Huseynov, 2021, "Long and short memory in dynamic term structure models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-15, Dec.
• Ahmed Mohamed Hassan Alnagar & Anwar Hasan Abdullah Othman & Azman Mohd. Noor & Habeebullah Zakariyah, 2021, "Pricing Mechanism and Yield Curve for Sukuk Issuances in Saudi Arabia آلية التسعير ومنحنى العائد لإصدارات الصكوك في المملكة العربية السعودية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 34, issue 3, pages 3-28, October, DOI: 10.4197/Islec.34-3.1.
• Aysel Gündoğdu, 2021, "Weather Anomaly: Panel Data Analysis," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 36, issue 116, pages 143-154, October, DOI: https://doi.org/10.33203/mfy.973698.
• Aslı Aybars & Mehtap Öner & Emre Zehir, 2021, "Corporate Governance and Portfolio Performance: Evidence From BRICS Countries," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 36, issue 116, pages 57-72, October, DOI: https://doi.org/10.33203/mfy.829883.
• Bruno Biais & Johan Hombert & Pierre-Olivier Weill, 2021, "Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing," American Economic Review, American Economic Association, volume 111, issue 11, pages 3575-3610, November, DOI: 10.1257/aer.20181707.
• Patrick Bayer & Kyle Mangum & James W. Roberts, 2021, "Speculative Fever: Investor Contagion in the Housing Bubble," American Economic Review, American Economic Association, volume 111, issue 2, pages 609-651, February, DOI: 10.1257/aer.20171611.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021, "Five Facts about Beliefs and Portfolios," American Economic Review, American Economic Association, volume 111, issue 5, pages 1481-1522, May, DOI: 10.1257/aer.20200243.
• Gabriel Chodorow-Reich & Plamen T. Nenov & Alp Simsek, 2021, "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," American Economic Review, American Economic Association, volume 111, issue 5, pages 1613-1657, May, DOI: 10.1257/aer.20200208.
• Philippe Aghion & Nicholas Bloom & Brian Lucking & Raffaella Sadun & John Van Reenen, 2021, "Turbulence, Firm Decentralization, and Growth in Bad Times," American Economic Journal: Applied Economics, American Economic Association, volume 13, issue 1, pages 133-169, January, DOI: 10.1257/app.20180752.
• Deepa D. Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2021, "Oil, Equities, and the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, volume 13, issue 2, pages 214-253, April, DOI: 10.1257/mac.20180488.
• Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2021, "The Choice Channel of Financial Innovation," American Economic Journal: Macroeconomics, American Economic Association, volume 13, issue 2, pages 333-372, April, DOI: 10.1257/mac.20180429.
• Silvia Miranda-Agrippino & Giovanni Ricco, 2021, "The Transmission of Monetary Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, volume 13, issue 3, pages 74-107, July, DOI: 10.1257/mac.20180124.
• Julian Kozlowski, 2021, "Long-Term Finance and Investment with Frictional Asset Markets," American Economic Journal: Macroeconomics, American Economic Association, volume 13, issue 4, pages 411-448, October, DOI: 10.1257/mac.20190353.
• M. Kathleen Ngangoué & Georg Weizsäcker, 2021, "Learning from Unrealized versus Realized Prices," American Economic Journal: Microeconomics, American Economic Association, volume 13, issue 2, pages 174-201, May, DOI: 10.1257/mic.20180268.
• Matan Tsur, 2021, "A Bargaining-Based Model of Security Design," American Economic Journal: Microeconomics, American Economic Association, volume 13, issue 3, pages 443-473, August, DOI: 10.1257/mic.20190019.
• Cars Hommes, 2021, "Behavioral and Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach," Journal of Economic Literature, American Economic Association, volume 59, issue 1, pages 149-219, March, DOI: 10.1257/jel.20191434.
• Gregory Price & Warren Whatley, 2021, "Did profitable slave trading enable the expansion of empire?: The Asiento de Negros, the South Sea Company and the financial revolution in Great Britain," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 15, issue 3, pages 675-718, September, DOI: 10.1007/s11698-020-00219-w.
• Chris van Heerden, 2021, "Selecting the Ideal Risk-Free Rate Proxy for the South African Market," The African Finance Journal, Africagrowth Institute, volume 23, issue 2, pages 1-21.
• Gollier, Christian, , "The Welfare Cost of Ignoring the Beta," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 309916, DOI: 10.22004/ag.econ.309916.
• Delia Andreea FLOREA & Diana Iulia OPRIȘ, 2021, "Stock Valuation Methods," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 2, issue 1, pages 32-38, January, DOI: 10.37945/cbr.2021.01.04.
• Saffet Akdağ & Hakan Yıldırım, 2021, "The Effect of Uncertains in European Economic Policies on the BIST 100 Index," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue 2, pages 322-331, DOI: 10.30784/epfad.857796.
• Mahfoud Djebbar & Adila Merimet, 2021, "Impact Of Covid-19 On Financial Markets: Case Of The Italian Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 27, pages 9-31, June, DOI: 10.47743/rebs-2021-1-0001.
• Lise Clain-Chamosset-Yvrard & Xavier Raurich & Thomas Seegmuller, 2021, "Entrepreneurship, growth and productivity with bubbles," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2106, Feb.
• Cordelia Omodero, 2021, "Tax revenue collection or foreign borrowing: what fiscal tools enhance the educational development in Nigeria?," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, volume 7, issue 3, pages 231-243, DOI: https://doi.org/10.15826/jtr.2021.7.
• Bazgour, Tarik & Heuchenne, Cédric & Hübner, Georges & Sougné, Danielle, 2021, "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021038, Jan, DOI: https://doi.org/10.1515/snde-2018-0.
• Lassance, Nathan & Vrins, Frédéric, 2021, "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021005, Jul.
• Vrins, Frédéric & Wang, Linqi, 2021, "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021006, Aug.
• Candelon, Bertrand & Luisi , Angelo & Roccazzella, Francesco, 2021, "Fragmentation in the European Monetary Union: Is it really over?," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021015, Jan.
• Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021, "Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021016, Sep, DOI: https://doi.org/10.1016/j.econmod.2.
• Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021021, Jan, DOI: https://doi.org/10.1007/978-3-030-5.
• Zeno Enders & Hendrik Hakenes, 2021, "Market Depth, Leverage, and Speculative Bubbles," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 058, Jan.
• Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021, "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 066, Feb.
• Christian Kubitza, 2021, "Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 079, Apr.
• Matthias Kaldorf & Florian Wicknig, 2021, "Risky Financial Collateral, Firm Heterogeneity, and the Impact of Eligibility Requirements," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 123, Oct.
• Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021, "Superstar Returns," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 131, Dec.
• Eszter Boros & Gábor Sztanó, 2021, "The evolution of European bailout arrangements and its impact on sovereign bond yields in the aftermath of the euro crisis," Society and Economy, Akadémiai Kiadó, Hungary, volume 43, issue 1, pages 1-20, March, DOI: 10.1556/204.2020.00024.
• Angela Nicoleta COZORICI, 2021, "Romanian Stock Market And The Launch Of The First Index For The Aero Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 23, pages 1-10.
• Ume Salma Akbar & Niaz Ahmed Bhutto & Suresh Kumar Oad Rajput, 2021, "Does Five-Factor Model Perform Better Than Three Factor Model? Evidence from Developed Countries of The Asia Pacific Region," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), volume 3, issue 2, pages 119-132, September, DOI: https://doi.org/10.52131/joe.2021.0.
• Joseph G. Haubrich, 2021, "Does the Yield Curve Predict Output?," Annual Review of Financial Economics, Annual Reviews, volume 13, issue 1, pages 341-362, November, DOI: 10.1146/annurev-financial-100620-06.
• Jing-Zhi Huang & Zhan Shi, 2021, "What Do We Know About Corporate Bond Returns?," Annual Review of Financial Economics, Annual Reviews, volume 13, issue 1, pages 363-399, November, DOI: 10.1146/annurev-financial-110118-12.
• Alp Simsek, 2021, "The Macroeconomics of Financial Speculation," Annual Review of Economics, Annual Reviews, volume 13, issue 1, pages 335-369, August, DOI: 10.1146/annurev-economics-092120-05.
• Lars Peter Hansen, 2021, "Uncertainty Spillovers for Markets and Policy," Annual Review of Economics, Annual Reviews, volume 13, issue 1, pages 371-396, August, DOI: 10.1146/annurev-economics-082020-05.
• Корпебаев Г.М. // Korpebayev G.М., 2021, "Роль маркет-мейкеров и первичных дилеров в ликвидности рынка ГЦБ // The role of market makers and primary dealers in liquidity of the government securities market," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 1, pages 15-21.
• Francisco Roch & Francisco Roldán, 2021, "Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 47, Mar.
• Valerie Lankester-Campos & Róger Ortega-Oviedo, 2021, "Estimating the par sovereign yield curve for Costa Rica," Notas Técnicas, Banco Central de Costa Rica, number 2104, Jul.
• Victor Olkhov, 2021, "To VaR, or Not to VaR, That is the Question," Papers, arXiv.org, number 2101.08559, Jan, revised Apr 2024.
• Mykola Babiak & Jozef Barunik, 2021, "Currency Network Risk," Papers, arXiv.org, number 2101.09738, Jan, revised Jul 2021.
• Ivar Ekeland & Alfred Galichon & Marc Henry, 2021, "Comonotonic measures of multivariate risks," Papers, arXiv.org, number 2102.04175, Feb.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2021, "Interdependencies between Mining Costs, Mining Rewards and Blockchain Security," Papers, arXiv.org, number 2102.08107, Feb.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2021, "The economic dependency of the Bitcoin security," Papers, arXiv.org, number 2102.08378, Feb.
• Elizaveta Zinovyeva & Raphael C. G. Reule & Wolfgang Karl Hardle, 2021, "Understanding Smart Contracts: Hype or Hope?," Papers, arXiv.org, number 2103.08447, Mar.
• Jozef Barunik & Josef Kurka, 2021, "Risks of heterogeneously persistent higher moments," Papers, arXiv.org, number 2104.04264, Apr, revised Mar 2024.
• Victor Olkhov, 2021, "Three Remarks On Asset Pricing," Papers, arXiv.org, number 2105.13903, May, revised Jan 2024.
• Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021, "Emotions in Macroeconomic News and their Impact on the European Bond Market," Papers, arXiv.org, number 2106.15698, Jun.
• Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021, "Periodicity in Cryptocurrency Volatility and Liquidity," Papers, arXiv.org, number 2109.12142, Sep, revised Nov 2021.
• Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021, "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers, arXiv.org, number 2110.09416, Oct, revised Jul 2025.
• David Ardia & Keven Bluteau & Kris Boudt, 2021, "Media abnormal tone, earnings announcements, and the stock market," Papers, arXiv.org, number 2110.10800, Oct.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021, "Hedging Cryptocurrency Options," Papers, arXiv.org, number 2112.06807, Nov, revised Dec 2022.
• Radeef Chundakkadan & Subash Sasidharan, 2021, "Monetary Policy Announcement and Stock Returns - Evidence From Long-Term Repo Operations in India," Asian Economics Letters, Asia-Pacific Applied Economics Association, volume 0, issue -, pages 1-5, DOI: 2021/11/06.
• Chen Liu, 2021, "COVID-19 and the Energy Stock Market - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, volume 2, issue 3, pages 1-5, DOI: 2021/10/14.
• Yumiao Wang & Dongmin Kong, 2022, "Economic Policy Uncertainty and the Energy Stock Market - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, volume 3, issue 1, pages 1-4, DOI: 2022/03/05.
• Manuela Pedio, 2021, "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 21154.
• Giovanni Ferri & Raffaele Lagravinese & Giuliano Resce, 2021, "Did the COVID-19 Shock Impair the Stock Performance of Companies with Older CEOs?," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 02-2021, Jun, revised Jun 2021.
• LÑ–udmуla ZaÑ–tseva & Kseniia Sieriebriak, 2021, "Development Of An Approach To Determining The Level Of Capitalization Of Corporate Enterprises On The Basis Of The Evaluation Mechanism," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 7, issue 4, DOI: 10.30525/2256-0742/2021-7-4-85-90.
• 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 working papers, Bank of England, number 914, Mar.
• Ambrogio Cesa-Bianchi & Fernando Eguren-Martin, 2021, "Dash for dollars," Bank of England working papers, 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 working papers, 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 working papers, 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.