Research classified by Journal of Economic Literature (JEL) codes

2021

• Nino Martin Paulus & Marina Koelbl & Wolfgang Schaefers, 2021, "Can textual analysis solve the underpricing puzzle? A US REIT study," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 40, issue 6, pages 548-570, November, DOI: 10.1108/JPIF-06-2021-0052.
• Rangga Handika, 2021, "Contagions in interconnected power markets," Journal of Risk Finance, Emerald Group Publishing Limited, volume 22, issue 3/4, pages 296-311, October, DOI: 10.1108/JRF-01-2021-0002.
• Yann Ferrat & Frédéric Daty & Radu Burlacu, 2021, "Short- and long-term effects of responsible investment growth on equity returns," Journal of Risk Finance, Emerald Group Publishing Limited, volume 23, issue 1, pages 1-13, December, DOI: 10.1108/JRF-07-2021-0107.
• Ayesha Anwar & Rasidah Mohd-Rashid & Norliza Che Yahya & Chui Zi Ong, 2021, "Do sponsors and democratic government influence the flipping activity of Pakistan IPO? Evidence from developing market," Management Research Review, Emerald Group Publishing Limited, volume 45, issue 7, pages 882-896, October, DOI: 10.1108/MRR-02-2021-0137.
• Xiang Gao & Jiahao Gu & Yingchao Zhang, 2021, "Option informativeness before earnings announcements and under real activity manipulation," Pacific Accounting Review, Emerald Group Publishing Limited, volume 33, issue 3, pages 361-375, May, DOI: 10.1108/PAR-07-2020-0090.
• Eda Orhun, 2021, "The impact of COVID-19 global health crisis on stock markets and understanding the cross-country effects," Pacific Accounting Review, Emerald Group Publishing Limited, volume 33, issue 1, pages 142-159, January, DOI: 10.1108/PAR-07-2020-0096.
• Ayesha Anwar & Rasidah Mohd-Rashid, 2021, "Moderating effect of investor demand: privatized IPOs and flipping activity in the Pakistan IPO market," Pacific Accounting Review, Emerald Group Publishing Limited, volume 33, issue 3, pages 347-360, June, DOI: 10.1108/PAR-08-2020-0109.
• Asgar Ali & Hajam Abid Bashir, 2021, "Bibliometric study on asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 14, issue 3, pages 433-460, October, DOI: 10.1108/QRFM-07-2020-0114.
• Ying Zhang & Xing Lu & Wikrom Prombutr, 2021, "The asymmetric online talk effect," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 2, pages 157-182, February, DOI: 10.1108/RBF-05-2020-0117.
• Bei Chen & Quan Gan, 2021, "Measuring gambling activity in options market," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 3, pages 345-378, March, DOI: 10.1108/RBF-08-2020-0206.
• Jennifer Brodmann & Phuvadon Wuthisatian & Rama K. Malladi, 2021, "The liquidity, performance and investor preference of socially responsible investments," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 15, issue 2, pages 224-239, December, DOI: 10.1108/RBF-09-2021-0191.
• Wendy Kesuma & Irwan Adi Ekaputra & Dony Abdul Chalid, 2021, "Individual investor attention to stock split and the disposition effect," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 5, pages 701-717, May, DOI: 10.1108/RBF-11-2020-0274.
• Mohammed Mohammed Elgammal & Fatma Ehab Ahmed & David Gordon McMillan, 2021, "The predictive ability of stock market factors," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 39, issue 1, pages 111-124, October, DOI: 10.1108/SEF-01-2021-0010.
• Antonio Focacci, 2021, "Have institutional investors stocks portfolio strategies affected oil prices in a financialization context?," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 5, pages 1007-1039, June, DOI: 10.1108/SEF-02-2021-0062.
• Ali Yavuz Polat & Ahmet Faruk Aysan & Hasan Tekin & Ahmet Semih Tunali, 2021, "Bitcoin-specific fear sentiment matters in the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 39, issue 1, pages 98-110, September, DOI: 10.1108/SEF-02-2021-0080.
• Szymon Stereńczak, 2021, "Conditional stock liquidity premium: is Warsaw stock exchange different?," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 1, pages 67-85, January, DOI: 10.1108/SEF-03-2020-0075.
• Florin Aliu & Ujkan Bajra & Naim Preniqi, 2021, "Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 39, issue 3, pages 444-457, September, DOI: 10.1108/SEF-05-2021-0190.
• Sowmya Subramaniam, 2021, "Geopolitical uncertainty and sovereign bond yields of BRICS economies," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 39, issue 2, pages 311-330, November, DOI: 10.1108/SEF-05-2021-0214.
• Khandokar Istiak, 2021, "Broker-dealer leverage volatility and the US stock prices," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 39, issue 1, pages 1-19, July, DOI: 10.1108/SEF-10-2020-0440.
• Ramiro Bautista Espinosa & Diana Terrazas Santamaría, 2021, "La viabilidad de invertir en almacenamiento de energía solar en México: un enfoque de opciones reales," Serie documentos de trabajo del Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, number 2021-09, Nov.
• Domingo Rodríguez Benavides & Francisco López Herrera & Armando Sánchez Vargas, 2021, "Rendimientos en el mercado accionario mexicano y los choques del precio internacional del petróleo/Returns in the Mexican stock market and the shocks of the international oil price," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 36, issue 2, pages 399-428.
• Neda Assadollahzadehjafari & Bahar Hafezi & Seyed Mohsen Khalifehsoltani, 2021, "Evaluation of the Effect of Asset Market Fluctuations on the Financial Crisis of the Economy: An Application of Markov Switching," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 3, pages 191-203.
• Sylwia Frydrych, 2021, "Credit Ratings of Issuers of Green Debt Instruments," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4 - Part , pages 172-179.
• Magdalena Mikolajek-Gocejna, 2021, "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4 - Part , pages 370-395.
• Edyta Mioduchowska-Jaroszewicz, 2021, "An Analysis of External Cash Flows of Capital Groups," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 1, pages 325-340.
• Julia Anna Bingler & Chiara Colesanti Senni & Pierre Monnin, 2021, "Climate Transition Risk Metrics: Understanding Convergence and Divergence across Firms and Providers," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 21/363, Sep.
• Tatsuyoshi OKIMOTO & Sumiko TAKAOKA, 2021, "Sustainability and Credit Spreads in Japan," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 21052, Jul.
• Kohei AONO & Tatsuyoshi OKIMOTO, 2021, "When Does the Japan Empowering Women Index Outperform Its Parent and the ESG Select Leaders Indexes?," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 21053, Jul.
• Agerti Galo, 2017, "Analytical Hierarchy Process as a Decision-Making Model," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, volume 2, January A, DOI: 10.26417/ejms.v4i2.p106-112.
• Lise Clain-Chamosset-Yvrard & Xavier Raurich & Thomas Seegmuller, 2021, "Entrepreneurship, growth and productivity with bubbles," UB School of Economics Working Papers, University of Barcelona School of Economics, number 2021/407.
• Blazej Kochanski, 2021, "A Simulation Model for Risk and Pricing Competition in the Retail Lending Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 71, issue 2, pages 96-118, October.
• Kwaku Boafo Baidoo, 2021, "Asymmetric Effects of Long and Short Selling Positions: Evidence from US Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 71, issue 4, pages 306-322, December.
• Jaromir Baxa & Michal Paulus, 2020, "Exchange Rate Misalignments, Growth, and Institutions," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/27, Aug, revised Aug 2020.
• Lenka Nechvatalova, 2021, "Multi-Horizon Equity Returns Predictability via Machine Learning," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/02, Feb, revised Feb 2021.
• Jozef Barunik & Josef Kurka, 2021, "Frequency-Dependent Higher Moment Risks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/11, Apr, revised Apr 2021.
• Petr Jakubik & Saida Teleu, 2021, "Impact of EU-wide Insurance Stress Tests on Equity Prices and Systemic Risk," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/25, Jul, revised Jul 2021.
• Makram El-Shagi, 2021, "Political Uncertainty: A High Frequency Approach," CFDS Discussion Paper Series, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China, number 2021/03, Oct.
• Christian Gollier, 2021, "The Welfare Cost of Ignoring the Beta," Working Papers, Fondazione Eni Enrico Mattei, number 2021.03, Mar.
• Davide Bazzana & Michele Colturato & Roberto Savona, 2021, "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," Working Papers, Fondazione Eni Enrico Mattei, number 2021.26, Oct.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "The Term Structure of the Excess Bond Premium: Measures and Implications," Policy Hub, Federal Reserve Bank of Atlanta, volume 2021, issue 12, September, DOI: 10.29338/ph2021-12.
• Jesús Fernández-Villaverde & Federico S. Mandelman & Yang Yu & Francesco Zanetti, 2021, "The "Matthew Effect" and Market Concentration: Search Complementarities and Monopsony Power," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-4, Jan, DOI: 10.29338/wp2021-04.
• Bin Wei, 2021, "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-21, Sep, DOI: 10.29338/wp2021-21.
• Juan Antolin-Diaz & Ivan Petrella & Juan F. Rubio-Ramirez, 2021, "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-25, Nov, DOI: 10.29338/wp2021-25.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 27, Nov, DOI: 10.29338/wp2021-27.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-27, Nov, DOI: 10.29338/wp2021-27.
• Pierlauro Lopez, 2021, "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers, Federal Reserve Bank of Cleveland, number 21-16R, Aug, revised 16 May 2023, DOI: 10.26509/frbc-wp-202116r.
• Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021, "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-08, Nov, DOI: 10.24148/wp2021-08.
• Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021, "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-19, Jul, DOI: 10.24148/wp2021-19.
• Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2021, "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-23, Mar, DOI: 10.24148/wp2021-23.
• Jens H. E. Christensen & Mark M. Spiegel, 2022, "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-24, Aug, DOI: 10.24148/wp2021-24.
• Don H. Kim & Marcelo Ochoa, 2021, "International Yield Spillovers," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-001, Jan, DOI: 10.17016/FEDS.2021.001.
• Michael Smolyansky & Gustavo A. Suarez, 2021, "Non-monetary news in Fed announcements: Evidence from the corporate bond market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-010r1, Feb, revised 31 Jan 2025, DOI: 10.17016/FEDS.2021.010r1.
• Christopher Anderson, 2021, "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-015, Mar, DOI: 10.17016/FEDS.2021.015.
• Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021, "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-022, Mar, DOI: 10.17016/FEDS.2021.022.
• Alex Aronovich & Andrew C. Meldrum, 2021, "High-Frequency Estimates of the Natural Real Rate and Inflation Expectations," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-034, May, DOI: 10.17016/FEDS.2021.034.
• Kyle Dempsey & Felicia Ionescu, 2021, "Lending Standards and Borrowing Premia in Unsecured Credit Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-039, Jun, DOI: 10.17016/FEDS.2021.039.
• Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021, "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-063, Sep, DOI: 10.17016/FEDS.2021.063.
• Juan M. Londono & Nancy R. Xu, 2021, "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1318, May, DOI: 10.17016/IFDP.2021.1318.
• Ketan B. Patel, 2021, "Managing Climate Risk in Mortgage Markets: A Role for Derivatives," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue 462, pages 1-6, October.
• Evan Karson & Christopher J. Neely, 2021, "More Stories of Unconventional Monetary Policy," Review, Federal Reserve Bank of St. Louis, volume 103, issue 2, pages 207-270, April, DOI: 10.20955/r.103.207-70.
• Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021, "Corporate Bond Market Distress," Staff Reports, Federal Reserve Bank of New York, number 957, Jan.
• Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021, "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports, Federal Reserve Bank of New York, number 961, Mar.
• Michael J. Fleming & Frank M. Keane, 2021, "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports, Federal Reserve Bank of New York, number 964, Apr.
• Haoyang Liu & Zhaogang Song & James Vickery, 2021, "Defragmenting Markets: Evidence from Agency MBS," Staff Reports, Federal Reserve Bank of New York, number 965, May.
• Nina Boyarchenko & Richard K. Crump & Anna Kovner & Deborah Leonard, 2021, "COVID Response: The Commercial Paper Funding Facility," Staff Reports, Federal Reserve Bank of New York, number 982, Sep.
• Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021, "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports, Federal Reserve Bank of New York, number 986, Sep.
• Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021, "The Term Structure of Expectations," Staff Reports, Federal Reserve Bank of New York, number 992, Nov.
• Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2021, "The Federal Reserve’s Market Functioning Purchases," Staff Reports, Federal Reserve Bank of New York, number 998, Dec.
• Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021, "Superstar Returns," Staff Reports, Federal Reserve Bank of New York, number 999, Dec.
• Pierre Jinghong Liang & Vitaly Meursault & Bryan B. Routledge & Madeline Marco Scanlon, 2021, "PEAD.txt: Post-Earnings-Announcement Drift Using Text," Working Papers, Federal Reserve Bank of Philadelphia, number 21-07, Feb, DOI: 10.21799/frbp.wp.2021.07.
• Haoyang Liu & Zhaogang Song & James Vickery, 2021, "Defragmenting Markets: Evidence from Agency MBS," Working Papers, Federal Reserve Bank of Philadelphia, number 21-25, Jun, DOI: 10.21799/frbp.wp.2021.25.
• Shimon Kogan & Vitaly Meursault, 2021, "Corporate Disclosure: Facts or Opinions?," Working Papers, Federal Reserve Bank of Philadelphia, number 21-40, Nov, DOI: 10.21799/frbp.wp.2021.40.
• Mustafa UYSAL, 2021, "Analysis of the Relationship Between Precious Metals and Stock Markets: Application on Borsa Istanbul Commercial Sectors," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 2, DOI: 10.25295/fsecon.903097.
• Marcin Dec & Marek Weretka, 2021, "Welfare measurements with heterogeneous agents," GRAPE Working Papers, GRAPE Group for Research in Applied Economics, number 50.
• Marcin Dec, 2021, "Parsimonious yield curve modeling in less liquid markets," GRAPE Working Papers, GRAPE Group for Research in Applied Economics, number 52.
• Marek Weretka, 2021, "An ordinal theorem of the maximum," GRAPE Working Papers, GRAPE Group for Research in Applied Economics, number 61.
• Elena V. Rozhentsova & Anastasiia D. Saltykova & Tatyana М. Devyatkova, 2021, "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 93-106, February, DOI: 10.31107/2075-1990-2021-1-93-106.
• Abramov Alexander & Chernova Maria & Radygin Alexandr, 2021, "The Russian Financial Market," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2021-1119, revised 2021.
• Abramov Alexander & Kosyrev Andrey & Radygin Alexander & Chernova Maria, 2021, "Corporate Pension Plans: Trends and Prospects for their Implementation
  [Корпоративные Пенсионные Планы: Тенденции И Перспективы Реализации]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 10, pages 35-39, October.
• Abramov Alexander & Kosyrev Andrey & Radygin Alexander & Chernova Maria, 2021, "Корпоративные Пенсионные Планы: Тенденции И Перспективы Реализации," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 10, pages 35-39, October.
• Roman Frydman & Nicholas Mangee, 2021, "Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic," JRFM, MDPI, volume 14, issue 11, pages 1-13, November.
• Jean-Louis Bago & Koffi Akakpo & Imad Rherrad & Ernest Ouédraogo, 2021, "Volatility Spillover and International Contagion of Housing Bubbles," JRFM, MDPI, volume 14, issue 7, pages 1-14, June.
• Knut K. Aase & Petter Bjerksund, 2021, "The Optimal Spending Rate versus the Expected Real Return of a Sovereign Wealth Fund," JRFM, MDPI, volume 14, issue 9, pages 1-36, September.
• Nuno Silva & Helder Sebastião & Diogo Henriques, 2021, "IPO Patterns in Euronext After the Global Financial Crisis of 2007-2008," Notas Económicas, Faculty of Economics, University of Coimbra, issue 52, pages 137-155, july, DOI: 0000-0002-1743-6869.
• Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021, "Skill, scale, and value creation in the mutual fund industry," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:150822.
• Senay Agca & Volodymyr Babich & John Birge & Jing Wu, 2021, "Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market," Working Papers, The George Washington University, Institute for International Economic Policy, number 2021-18.
• Senay Agca & John Birge & Zi'ang Wang & Jing Wu, 2021, "The Impact of COVID-19 on Supply Chain Credit Risk," Working Papers, The George Washington University, Institute for International Economic Policy, number 2021-19.
• Dominique Guégan & Thomas Renault, 2021, "Does investor sentiment on social media provide robust information for Bitcoin returns predictability?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03205154, Jan, DOI: 10.1016/j.frl.2020.101494.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2022, "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-02993656, Feb, DOI: 10.1016/j.jmateco.2022.102651.
• Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print, HAL, number hal-03103717, Jan, DOI: 10.1007/978-3-030-54252-8_9.
• Dominique Guégan & Thomas Renault, 2021, "Does investor sentiment on social media provide robust information for Bitcoin returns predictability?," Post-Print, HAL, number hal-03205154, Jan, DOI: 10.1016/j.frl.2020.101494.
• Soosung Hwang & Alexandre Rubesam & Mark Salmon, 2021, "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Post-Print, HAL, number hal-03275894, Mar, DOI: 10.1016/j.jimonfin.2020.102318.
• Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021, "Trading signal, functional data analysis and time series momentum," Post-Print, HAL, number hal-03323675, Oct, DOI: 10.1016/j.frl.2021.101933.
• Alex Edmans & Adrian Fernandez-Perez & Alexandre Garel & Ivan Indriawan, 2021, "Music Sentiment and Stock Returns Around the World," Post-Print, HAL, number hal-03324805, Aug, DOI: 10.1016/j.jfineco.2021.08.014.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2021, "Investigating the asymmetric impact of oil prices on GCC stock markets," Post-Print, HAL, number hal-03529868, Sep, DOI: 10.1016/j.econmod.2021.105589.
• Stephanie Ligot & Roland Gillet & Iryna Veryzhenko, 2021, "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Post-Print, HAL, number hal-03621248, Nov, DOI: 10.1016/j.intfin.2021.101437.
• Md Akhtaruzzaman & Sabri Boubaker & Mardy Chiah & Angel Zhong, 2021, "COVID−19 and oil price risk exposure," Post-Print, HAL, number hal-04455591, DOI: 10.1016/j.frl.2020.101882.
• Hatem Rjiba & Samir Saadi & Sabri Boubaker & Xiaoya Ding, 2021, "Annual report readability and the cost of equity capital," Post-Print, HAL, number hal-04455605, Feb, DOI: 10.1016/j.jcorpfin.2021.101902.
• Alexander Groh & Yan Alperovych & Douglas J. Cumming & Veronika Czellar, 2021, "M&A rumors about unlisted firms," Post-Print, HAL, number hal-05603422, Dec, DOI: 10.1016/j.jfineco.2021.05.012.
• Philippe Aghion & Nicholas Bloom & Brian Lucking & Raffaella Sadun & John van Reenen, 2021, "Turbulence, Firm Decentralization, and Growth in Bad Times," Post-Print, HAL, number halshs-03166697, Jan, DOI: 10.1257/app.20180752.
• Philippe Aghion & Nicholas Bloom & Brian Lucking & Raffaella Sadun & John van Reenen, 2021, "Turbulence, Firm Decentralization, and Growth in Bad Times," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-03166697, Jan, DOI: 10.1257/app.20180752.
• Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021, "Superstar Returns," Sciences Po Economics Publications (main), HAL, number hal-03881493, Dec.
• Julien Prat & Vincent Danos & Stefania Marcassa, 2021, "Fundamental Pricing of Utility Tokens," Working Papers, HAL, number hal-03096267, Jan, DOI: 10.1287/mnsc.2023.00566.
• Ahmet Faruk Aysan & Ali Yavuz Polat & Hasan Tekin & Ahmet Semih Tunali, 2021, "Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak," Working Papers, HAL, number hal-03354930, Sep.
• William Goetzmann & Christophe Spaenjers & Stijn van Nieuwerburgh, 2021, "Real and Private-Value Assets," Working Papers, HAL, number hal-03501704, Mar, DOI: 10.2139/ssrn.3803091.
• Francisco Amaral & Martin Dohmen & Sebastian Kohl & Moritz Schularick, 2021, "Superstar Returns," Working Papers, HAL, number hal-03881493, Dec.
• Lise Clain-Chamosset-Yvrard & Xavier Raurich & Thomas Seegmuller, 2021, "Entrepreneurship, growth and productivity with bubbles," Working Papers, HAL, number halshs-03134474, Feb.
• Tihana Škrinjarić, 2021, "Return, Risk And Market Indeks Online Volume Search Interdependence: Shock Spillover Approach On Zagreb Stock Exchange," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 72, issue 1, pages 3-33, DOI: 10.32910/ep.72.1.1.
• Hearn, Bruce & Oxelheim, Lars & Randøy, Trond, 2021, "The Impact of Founders on Information Asymmetry vis-à-vis Outside Investors: Evidence from Caribbean Offshore Tax Havens," Working Paper Series, Research Institute of Industrial Economics, number 1419, Nov.
• Aase, Knut K. & Bjerksund, Petter, 2021, "The optimal spending rate versus the expected real return of a sovereign wealth fund," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2021/1, Feb.
• Aase, Knut K., 2021, "Optimal Risk Sharing in Society," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2021/10, Dec.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021, "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers, Örebro University, School of Business, number 2021:10, May.
• Nguyen, Hoang & Javed, Farrukh, 2021, "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers, Örebro University, School of Business, number 2021:15, Aug.
• Blix Grimaldi, Marianna & Crosta, Alberto & Zhang, Dong, 2021, "The Liquidity of the Government Bond Market – What Impact Does Quantitative Easing Have? Evidence from Sweden," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 402, May.
• Bianchi, Daniele & Babiak, Mykola, 2021, "On the Performance of Cryptocurrency Funds," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 408, Nov.
• Mikhail Makushkin & Victor Lapshin, 2021, "Yield Curve Estimation in Illiquid Bond Markets," HSE Economic Journal, National Research University Higher School of Economics, volume 25, issue 2, pages 177-195.
• Victor Lapshin, 2021, "Immunizing a Marked-to-Model Obligation with Marked-to-Market Financial Instruments," HSE Working papers, National Research University Higher School of Economics, number WP BRP 84/FE/2021.
• Shih-Ping Feng, 2021, "The Information Content Of Option Trading And Liquidity Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 15, issue 1, pages 89-98.
• Yanfu Li, 2021, "Improving The Accuracy Of Estimated Intrinsic Value Through Industry-Specific Valuation Models," Review of Business and Finance Studies, The Institute for Business and Finance Research, volume 12, issue 1, pages 79-89.
• Anas Ahmad Bani Atta & Ainulashikin Marzuki, 2021, "Star And Poor Fund Phenomena In Islamic- And Conventional-Focused Families: Emerging Country Evidence," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, volume 7, issue 2, pages 263-284, May, DOI: https://doi.org/10.21098/jimf.v7i2..
• Ahmad Maulin Naufa & Mamduh M. Hanafi & I Wayan Nuka Lantara, 2021, "Foreign Ownership, Stock Performance-Risk, and Macroeconomic Factors in Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 24, issue 1, pages 151-168, March, DOI: https://doi.org/10.21098/bemp.v24i1.
• Massimo Guidolin & Valentina Massagli & Manuela Pedio, 2021, "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 676.
• Mr. Francisco Roch & Francisco Roldán, 2021, "Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt," IMF Working Papers, International Monetary Fund, number 2021/076, Mar.
• Delong Li & Mr. Nicolas E Magud & Alejandro M. Werner & Samantha Witte, 2021, "The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets," IMF Working Papers, International Monetary Fund, number 2021/155, Jun.
• Robert Cox Merton & Francisco Venegas-Martínez, 2021, "Tendencias y perspectivas de la ciencia financiera: Un artículo de revisión," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 1, pages 1-15, Enero - M.
• Robert Cox Merton & Francisco Venegas-Martínez, 2021, "Financial Science Trends and Perspectives: A Review Article," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 1, pages 1-15, Enero - M.
• Andre Assis de Salles, 2021, "COVID-19 Pandemic Initial Effects on the Idiosyncratic Risk in Latin America," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 3, pages 1-21, Julio - S.
• Domingo Rodríguez Benavides & César Gurrola Ríos & Francisco López Herrera, 2021, "Dependencia de los mercados de valores de Argentina, Brasil y México respecto del estadounidense: Covid19 y otras crisis financieras recientes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 3, pages 1-18, Julio - S.
• Héctor Alonso Olivares Aguayo, 2021, "Afectaciones financieras en los principales países de América Latina con mayores registros de COVID-19," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 3, pages 1-18, Julio - S.
• Gabriel Alberto Agudelo Torres & Héctor Alonso Olivares Aguayo & Julio Téllez Pérez, 2021, "Riesgo de mercado en Portafolios mexicanos previo a la crisis COVID-19: Portafolio de renta fija vs Portafolio de capital," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 4, pages 1-21, Octubre -.
• Jaime Alberto Gómez Vilchis & Federico Hernández Álvarez & Luis Ignacio Román de la Sancha, 2021, "Autómata Evolutivo (AE) para el mercado accionario usando Martingalas y un Algoritmo Genético," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 4, pages 1-22, Octubre -.
• Rogelio Ladrón de Guevara Cortés & Salvador Torra Porras & Enric Monte Moreno, 2021, "Comparison of Statistical Underlying Systematic Risk Factors and Betas Driving Returns on Equities," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue TNEA, pages 1-25, Septiembr.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi & John Sedunov, 2021, "The Granular Nature of Large Institutional Investors," Management Science, INFORMS, volume 67, issue 11, pages 6629-6659, November, DOI: 10.1287/mnsc.2020.3808.
• Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2021, "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Management Science, INFORMS, volume 67, issue 12, pages 7888-7911, December, DOI: 10.1287/mnsc.2020.3847.
• Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021, "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, volume 67, issue 6, pages 3674-3693, June, DOI: 10.1287/mnsc.2020.3658.
• Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021, "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, volume 67, issue 7, pages 4056-4074, July, DOI: 10.1287/mnsc.2020.3689.
• Murat Tiniç & Ahmet Sensoy & Muge Demir & Duc Khuong Nguyen, 2021, "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," Working Papers, Department of Research, Ipag Business School, number 2021-002, Jan.
• Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2021, "Statistical Arbitrage: Factor Investing Approach," Working Papers, Department of Research, Ipag Business School, number 2021-003, Jan.
• Macías-Trejo, L. Guadalupe & Valdemar, Oscar & López-Herrera, Francisco, 2021, "Beneficios de la inversión socialmente responsable sobre las SIEFORES tipo cuatro: análisis con el algoritmo de optimización de Martin," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 16, issue 54, pages 9-32, Primer se.
• Jorge M. Uribe & Montserrat Guillen & Xenxo Vidal-Llana, 2021, ""Rethinking Asset Pricing with Quantile Factor Models"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202104, Mar, revised Mar 2021.
• Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2021, ""Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202118, Dec, revised Dec 2021.
• 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, Springer;Cliometric Society (Association Francaise de Cliométrie), volume 15, issue 3, pages 675-718, September, DOI: 10.1007/s11698-020-00219-w.
• Gaetano Bua & Daniele Marazzina, 2021, "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, volume 18, issue 2, pages 149-176, June, DOI: 10.1007/s10287-021-00388-7.
• Massimo Arnone & Michele Leonardo Bianchi & Anna Grazia Quaranta & Gian Luca Tassinari, 2021, "Catastrophic risks and the pricing of catastrophe equity put options," Computational Management Science, Springer, volume 18, issue 2, pages 213-237, June, DOI: 10.1007/s10287-021-00391-y.
• Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2021, "Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 1, pages 57-72, June, DOI: 10.1007/s10203-020-00287-7.
• Lennart Ante & André Meyer, 2021, "Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 957-980, December, DOI: 10.1007/s10203-021-00323-0.
• Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021, "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 883-903, December, DOI: 10.1007/s10203-021-00324-z.
• Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021, "Speculative asset price dynamics and wealth taxes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 641-667, December, DOI: 10.1007/s10203-021-00340-z.
• Roberto Dieci & Xue-Zhong He, 2021, "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 727-754, December, DOI: 10.1007/s10203-021-00348-5.
• Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Gilles Dufrénot & Takashi Matsuki, "Recent Econometric Techniques for Macroeconomic and Financial Data", DOI: 10.1007/978-3-030-54252-8_9.
• Moh’d Al-Azzam & Christopher Parmeter, 2021, "Competition and microcredit interest rates: international evidence," Empirical Economics, Springer, volume 60, issue 2, pages 829-868, February, DOI: 10.1007/s00181-019-01766-6.
• Giovanni Calice & Levent Kutlu & Ming Zeng, 2021, "Understanding US firm efficiency and its asset pricing implications," Empirical Economics, Springer, volume 60, issue 2, pages 803-827, February, DOI: 10.1007/s00181-019-01775-5.
• Siwen Zhou, 2021, "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, volume 60, issue 2, pages 557-606, February, DOI: 10.1007/s00181-019-01776-4.
• Walter Krämer, 2021, "Asymmetry in the distribution of daily stock returns," Empirical Economics, Springer, volume 60, issue 3, pages 1115-1125, March, DOI: 10.1007/s00181-019-01791-5.
• Tong Fang & Zhi Su & Libo Yin, 2021, "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, volume 60, issue 5, pages 2155-2176, May, DOI: 10.1007/s00181-020-01843-1.
• Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021, "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, volume 61, issue 2, pages 947-972, August, DOI: 10.1007/s00181-020-01896-2.
• Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021, "Market news co-moments and currency returns," Empirical Economics, Springer, volume 61, issue 4, pages 1819-1863, October, DOI: 10.1007/s00181-020-01951-y.
• Kyriakos Drivas & Claire Economidou & Elena Ketteni & Konstantina Kottaridi, 2021, "Firms’ knowledge investment and market responses," Empirical Economics, Springer, volume 61, issue 5, pages 2363-2394, November, DOI: 10.1007/s00181-020-01957-6.
• Yun Feng & Xin Li, 2021, "Does cross-shareholding lead to China's stock returns comovement? Evidence from a GMM-based spatial AR model," Empirical Economics, Springer, volume 61, issue 6, pages 3213-3237, December, DOI: 10.1007/s00181-020-02002-2.
• Alan Beggs, 2021, "Afriat and arbitrage," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 9, issue 2, pages 167-176, October, DOI: 10.1007/s40505-021-00208-w.
• Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021, "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 11, issue 1, pages 43-83, March, DOI: 10.1007/s40822-020-00160-3.
• Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021, "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 11, issue 1, pages 25-42, March, DOI: 10.1007/s40822-021-00166-5.
• Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021, "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-22, December, DOI: 10.1186/s40854-020-00224-y.
• Özer Depren & Mustafa Tevfik Kartal & Serpil Kılıç Depren, 2021, "Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-20, December, DOI: 10.1186/s40854-021-00245-1.
• Serdar Neslihanoglu, 2021, "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-27, December, DOI: 10.1186/s40854-021-00247-z.
• David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021, "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-25, December, DOI: 10.1186/s40854-021-00274-w.
• Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021, "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-27, December, DOI: 10.1186/s40854-021-00291-9.
• Paolo Guasoni & Yuliya Mishura & Miklós Rásonyi, 2021, "High-frequency trading with fractional Brownian motion," Finance and Stochastics, Springer, volume 25, issue 2, pages 277-310, April, DOI: 10.1007/s00780-020-00439-y.
• Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021, "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, volume 25, issue 2, pages 231-275, April, DOI: 10.1007/s00780-021-00449-4.
• Jan Obłój & Johannes Wiesel, 2021, "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, volume 25, issue 3, pages 427-468, July, DOI: 10.1007/s00780-021-00454-7.
• Marcus C. Christiansen, 2021, "Time-dynamic evaluations under non-monotone information generated by marked point processes," Finance and Stochastics, Springer, volume 25, issue 3, pages 563-596, July, DOI: 10.1007/s00780-021-00456-5.
• Peter Carr & Lorenzo Torricelli, 2021, "Additive logistic processes in option pricing," Finance and Stochastics, Springer, volume 25, issue 4, pages 689-724, October, DOI: 10.1007/s00780-021-00461-8.
• Gianluca Cassese, 2021, "Complete and competitive financial markets in a complex world," Finance and Stochastics, Springer, volume 25, issue 4, pages 659-688, October, DOI: 10.1007/s00780-021-00463-6.