Research classified by Journal of Economic Literature (JEL) codes

2021

• Andrew Y. Chen & Fabian Winkler & Rebecca Wasyk, 2021, "In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less," Critical Finance Review, now publishers, volume 10, issue 3, pages 329-381, August, DOI: 10.1561/104.00000092.
• Samuel Kruger, 2021, "High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model," Critical Finance Review, now publishers, volume 10, issue 3, pages 383-408, August, DOI: 10.1561/104.00000093.
• Chaehyun Pyun, 2021, "Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect," Critical Finance Review, now publishers, volume 10, issue 3, pages 419-427, August, DOI: 10.1561/104.00000095.
• Philip Gray & Thanh Huynh, 2021, "Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989)," Critical Finance Review, now publishers, volume 10, issue 3, pages 429-444, August, DOI: 10.1561/104.00000096.
• Hodrick, Robert J. & Tomunen, Tuomas, 2021, "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," Critical Finance Review, now publishers, volume 10, issue 1, pages 83-123, April, DOI: 10.1561/104.00000107.
• Megginson, William & Fotak, Veljko, 2021, "Government Equity Investments in Coronavirus Bailouts: Why, How, When?," Journal of Law, Finance, and Accounting, now publishers, volume 6, issue 1, pages 1-49, May, DOI: 10.1561/108.00000050.
• Dimiter Nenkov, 2021, "The S&P 500 Index and the “Super 6†Technology Stocks in the Pandemic Crisis," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 169-187, April.
• Jeko Milev, 2021, "The Pandemic Crisis and the Resulted Risks for the Fully Funded Pension Funds in Central and Eastern Europe," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 203-216, April.
• Guoxi Duan & Hisashi Tanizaki, 2021, "A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 21-22, Dec.
• Joseph E Stiglitz & Martin M Guzman, 2021, "Economic fluctuations and pseudo-wealth
  [Emerging market business cycles: the cycle is the trend]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 30, issue 2, pages 297-315.
• Jose Apesteguia & Miguel A Ballester, 2021, "Separating Predicted Randomness from Residual Behavior," Journal of the European Economic Association, European Economic Association, volume 19, issue 2, pages 1041-1076.
• Martin Ellison & Andreas Tischbirek, 2021, "Beauty Contests and the Term Structure
  [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, volume 19, issue 4, pages 2234-2282.
• Zeno Enders & Hendrik Hakenes, 2021, "Market Depth, Leverage, and Speculative Bubbles," Journal of the European Economic Association, European Economic Association, volume 19, issue 5, pages 2577-2621.
• Stoyan V Stoyanov & Francesco A Fabozzi, 2021, "Dynamics of Equity Factor Returns and Asset Pricing
  [Dynamic Conditional Correlation: On Properties and Estimation]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 178-201.
• Simon Scheidegger & Adrien Treccani, 2021, "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations
  [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 258-290.
• Fuchun Li, 2021, "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
  [Testing Continuous-Time Models of the Spot Interest Rate]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 789-822.
• Adam Goliński & Peter Spencer, 2021, "Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem
  [Term Structure Persistence]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 960-984.
• Ansgar Belke & Daniel Gros & Farzaneh Shamsfakhr, 2021, "Central bank purchases of sovereign bonds in the euro area, the random walk hypothesis, and different measures of risk," Oxford Economic Papers, Oxford University Press, volume 73, issue 4, pages 1471-1492.
• Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021, "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 136, issue 3, pages 1719-1781.
• John H Cochrane, 2021, "Rethinking Production under Uncertainty
  [Valuation risk and asset pricing]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 1-59.
• Eugene F Fama & Kenneth R French, 2021, "The Value Premium
  [Fundamentals and stock returns in Japan]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 105-121.
• Robert A Connolly & David Dubofsky & Chris Stivers, 2021, "Economic-State Variation in Uncertainty-Yield Dynamics
  [Do macro variables, asset markets, or surveys forecast inflation better?]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 60-104.
• N Aaron Pancost, 2021, "Zero-Coupon Yields and the Cross-Section of Bond Prices
  [Pricing the term structure with linear regressions]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 209-268.
• Yashar H Barardehi & Dan Bernhardt & Thomas G Ruchti & Marc Weidenmier, 2021, "The Night and Day of Amihud’s (2002) Liquidity Measure
  [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 269-308.
• Christopher C Geczy & Robert F Stambaugh & David Levin, 2021, "Investing in Socially Responsible Mutual Funds
  [Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 309-351.
• Jongsub Lee & Andy Naranjo & Stace Sirmans, 2021, "CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers
  [Insider trading in credit derivatives]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 352-401.
• Ilan Cooper & Liang Ma & Paulo Maio & Dennis Philip, 2021, "Multifactor Models and Their Consistency with the APT
  [Eigenvalue ratio test for the number of factors]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 402-444.
• Anastassia Fedyk, 2021, "Disagreement after News: Gradual Information Diffusion or Differences of Opinion?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 3, pages 465-501.
• Andrey Ermolov, 2021, "When and Where Is It Cheaper to Issue Inflation-Linked Debt?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 3, pages 610-653.
• Jussi Keppo & Tyler Shumway & Daniel Weagley, 2021, "Are Monthly Market Returns Predictable?
  [Conditional market timing with benchmark investors]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 806-836.
• Anisha Ghosh & George M Constantinides, 2021, "What Information Drives Asset Prices?
  [Information quality and long-run risk: Asset pricing implications]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 837-885.
• Lei Shi & Yajun Xiao, 2021, "Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints
  [Multiplicity in general financial equilibrium with portfolio constraints]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 886-923.
• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2021, "Short-Selling Bans and Bank Stability," The Review of Corporate Finance Studies, Society for Financial Studies, volume 10, issue 1, pages 158-187.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2021, "An Augmented q-Factor Model with Expected Growth
  [Abnormal returns to a fundamental analysis strategy]," Review of Finance, European Finance Association, volume 25, issue 1, pages 1-41.
• Xudong An & Yongheng Deng & Stuart A Gabriel, 2021, "Default Option Exercise over the Financial Crisis and beyond
  [Predatory lending and the subprime crisis]," Review of Finance, European Finance Association, volume 25, issue 1, pages 153-187.
• Juha Joenväärä & Robert Kosowski, 2021, "The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
  [Large sample properties of matching estimators for average treatment effects]," Review of Finance, European Finance Association, volume 25, issue 1, pages 189-233.
• Óscar Arce & Sergio Mayordomo & Ricardo Gimeno, 2021, "Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE
  [Whatever it takes: the real effects of unconventional monetary policy]," Review of Finance, European Finance Association, volume 25, issue 1, pages 43-84.
• Fahiz Baba Yara & Martijn Boons & Andrea Tamoni, 2021, "Value Return Predictability across Asset Classes and Commonalities in Risk Premia
  [Financial intermediaries and the cross-section of asset returns]," Review of Finance, European Finance Association, volume 25, issue 2, pages 449-484.
• Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021, "Equilibrium Asset Pricing in Directed Networks
  [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, volume 25, issue 3, pages 777-818.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2021, "Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
  [Does realized skewness predict the cross-section of equity returns?]," Review of Finance, European Finance Association, volume 25, issue 4, pages 1261-1298.
• David C Brown & Shaun William Davies & Matthew C Ringgenberg, 2021, "ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
  [The equity share in new issues and aggregate stock returns]," Review of Finance, European Finance Association, volume 25, issue 4, pages 937-972.
• Ulrike Malmendier, 2021, "Experience Effects in Finance: Foundations, Applications, and Future Directions
  [X-capm: an extrapolative capital asset pricing model]," Review of Finance, European Finance Association, volume 25, issue 5, pages 1339-1363.
• Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2021, "Sovereign Credit Quality and Violations of the Law of One Price
  [Asset pricing and the bid-ask spread]," Review of Finance, European Finance Association, volume 25, issue 5, pages 1581-1607.
• Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021, "The TIPS Liquidity Premium
  [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1639-1675.
• Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021, "Disastrous Defaults
  [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1727-1772.
• Lifang Li & Valentina Galvani, 2021, "Informed Trading and Momentum in the Corporate Bond Market
  [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1773-1816.
• Dan Li & Geng Li, 2021, "Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume
  [Belief dispersion in the stock market]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1859-1900.
• Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021, "Currency Anomalies," CEPR Discussion Papers, Centre for Economic Policy Research, number 15653, Jan.
• Vedolin, Andrea & Molavi, Pooya & Tahbaz-Salehi, Alireza, 2021, "Model Complexity, Expectations, and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 15717, Jan.
• ÅžimÅŸek, Alp, 2021, "The Macroeconomics of Financial Speculation," CEPR Discussion Papers, Centre for Economic Policy Research, number 15733, Jan.
• Gnan, Phillipp & Rieder, Kilian, 2022, "The (Not So) Quiet Period: Communication by ECB Decision-makers during Monetary Policy Blackout Days," CEPR Discussion Papers, Centre for Economic Policy Research, number 15735, Jun.
• Massa, Massimo & Bai, Jennie, 2021, "Is Hard and Soft Information Substitutable? Evidence from the Lockdowns," CEPR Discussion Papers, Centre for Economic Policy Research, number 15744, Feb.
• Edmans, Alex & Fernandez, Adrian & Garel, Alexandre & Indriawan, Ivan, 2021, "Music Sentiment and Stock Returns Around the World," CEPR Discussion Papers, Centre for Economic Policy Research, number 15756, Feb.
• Franzoni, Francesco & Ben-David, Itzhak & Kim, Byungwook & Moussawi, Rabih, 2021, "Competition for Attention in the ETF Space," CEPR Discussion Papers, Centre for Economic Policy Research, number 15762, Feb.
• Fernández-Villaverde, Jesús & Mandelman, Federico & Zanetti, Francesco & Yu, Yang, 2021, "The ``Matthew Effect'' and Market Concentration: Search Complementarities and Monopsony Power," CEPR Discussion Papers, Centre for Economic Policy Research, number 15788, Feb.
• Gehrig, Thomas & Unger, Stephan, 2021, "Social Responsibility and Bank Resiliency," CEPR Discussion Papers, Centre for Economic Policy Research, number 15816, Feb.
• Schmeling, Maik & Medhat, Mamdouh, 2021, "Short-term Momentum," CEPR Discussion Papers, Centre for Economic Policy Research, number 15857, Feb.
• Gollier, Christian, 2021, "The cost-efficiency carbon pricing puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 15919, Mar.
• Gorodnichenko, Yuriy & Pham, Tho & Talavera, Oleksandr, 2021, "The Voice of Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 15932, Mar.
• Mitchener, Kris & Trebesch, Christoph, 2021, "Sovereign Debt in the 21st Century: Looking Backward, Looking Forward," CEPR Discussion Papers, Centre for Economic Policy Research, number 15935, Mar.
• Gantchev, Nickolay & Giannetti, Mariassunta & Li, Rachel, 2021, "Sustainability or Performance? Ratings and Fund Managers’ Incentives," CEPR Discussion Papers, Centre for Economic Policy Research, number 15945, Mar.
• Moench, Emanuel & Soofi Siavash, Soroosh, 2022, "What Moves Treasury Yields?," CEPR Discussion Papers, Centre for Economic Policy Research, number 15978, Mar.
• Gollier, Christian, 2021, "The welfare cost of ignoring the beta," CEPR Discussion Papers, Centre for Economic Policy Research, number 16007, Apr.
• Anagnostopoulos, Alexios & Atesagaoglu, Orhan Erem & Faraglia, Elisa & Giannitsarou, Chryssi, 2022, "Cross-Country Stock Market Comovement: A Macro Perspective," CEPR Discussion Papers, Centre for Economic Policy Research, number 16021, May.
• Teulings, Coen & Lange, Rutger-Jan, 2021, "The option value of vacant land: Don't build when demand for housing is booming," CEPR Discussion Papers, Centre for Economic Policy Research, number 16023, Apr.
• Vayanos, Dimitri & Hardouvelis, Gikas & Karalas, Georgios, 2021, "The Distribution of Investor Beliefs, Stock Ownership and Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 16029, Apr.
• Lemoine, Derek, 2021, "Incentivizing Negative Emissions Through Carbon Shares," CEPR Discussion Papers, Centre for Economic Policy Research, number 16039, Apr.
• Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021, "Exchange Rates and Sovereign Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 16058, Apr.
• Van Nieuwerburgh, Stijn & Greenwald, Dan & Leombroni, Matteo & Lustig, Hanno, 2021, "Financial and Total Wealth Inequality with Declining Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 16081, Apr.
• Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021, "The U.S. Public Debt Valuation Puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 16082, Apr.
• Van Nieuwerburgh, Stijn & Goetzmann, William & Spaenjers, Christophe, 2021, "Real and Private Value Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 16083, Apr.
• van Wijnbergen, Sweder, 2021, "Lockdowns as options," CEPR Discussion Papers, Centre for Economic Policy Research, number 16112, May.
• Sarno, Lucio & Cespa, Giovanni & Gargano, Antonio & Riddiough, Steven, 2021, "Foreign Exchange Volume," CEPR Discussion Papers, Centre for Economic Policy Research, number 16128, May.
• Dasgupta, Sudipto & Chang, Yuk Ying, 2021, "Capital Inflows and Property Prices: Ethnicity, Education, and Spillovers," CEPR Discussion Papers, Centre for Economic Policy Research, number 16146, May.
• Rey, Hélène & Jamilov, Rustam & Tahoun, Ahmed, 2021, "The Anatomy of Cyber Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 16217, Jun.
• Basak, Suleyman & Atmaz, Adem, 2021, "Stock Market and No-Dividend Stocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 16224, Jun.
• Pástor, LuboÅ¡ & Stambaugh, Robert F. & Taylor, Lucian, 2022, "Dissecting Green Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 16260, Jun.
• Chernov, Mikhail & Bauer, Michael, 2021, "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers, Centre for Economic Policy Research, number 16274, Jun.
• Pavlova, Anna & Kashyap, Anil & Kovrijnykh, Natalia & ,, 2021, "Is There Too Much Benchmarking in Asset Management?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16296, Jun.
• Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021, "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers, Centre for Economic Policy Research, number 16299, Jun.
• Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021, "Manufacturing Risk-free Government Debt," CEPR Discussion Papers, Centre for Economic Policy Research, number 16304, Jun.
• Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021, "Test Assets and Weak Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16307, Jun.
• Rzeznik, Aleksandra & Weiss-Hanley, Kathleen, 2021, "The Salience of ESG Ratings for Stock Pricing: Evidence From (Potentially) Confused Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16334, Jul.
• Bekaert, Geert & Ermolov, Andrey, 2021, "International Yield Co-movements," CEPR Discussion Papers, Centre for Economic Policy Research, number 16365, Jul.
• Malmendier, Ulrike M., 2021, "Experience Effects in Finance: Foundations, Applications, and Future Directions," CEPR Discussion Papers, Centre for Economic Policy Research, number 16373, Jul.
• Pástor, LuboÅ¡ & Stambaugh, Robert F. & Taylor, Lucian & Zhu, Min, 2021, "Diseconomies of Scale in Active Management: Robust Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 16376, Jul.
• Balasubramaniam, Vimal & Campbell, John Y & Ranish, Benjamin, 2021, "Who Owns What? A Factor Model for Direct Stockholding," CEPR Discussion Papers, Centre for Economic Policy Research, number 16378, Jul.
• Chernov, Mikhail & Lochstoer, Lars & Song, Dongho, 2021, "The real channel for nominal bond-stock puzzles," CEPR Discussion Papers, Centre for Economic Policy Research, number 16381, Jul.
• Kosowski, Robert & Faria, Gonçalo & Wang, Tianyu, 2021, "The Correlation Risk Premium: International Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 16389, Jul.
• Taylor, Mark & Filippou, Ilias, 2021, "Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 16392, Jul.
• Vissing-Jørgensen, Annette, 2021, "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," CEPR Discussion Papers, Centre for Economic Policy Research, number 16410, Jul.
• Van Nieuwerburgh, Stijn & Elenev, Vadim & Landvoigt, Tim & Shultz, Patrick, 2021, "Can Monetary Policy Create Fiscal Capacity?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16414, Jul.
• Cesa-Bianchi, Ambrogio & Czech, Robert & Eguren Martin, Fernando, 2021, "Dash for Dollars," CEPR Discussion Papers, Centre for Economic Policy Research, number 16415, Aug.
• Schürhoff, Norman & Livdan, Dmitry & Hendershott, Terrence, 2021, "Do we need dealers in OTC markets?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16437, Aug.
• Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2021, "Dynamics of Asset Demands with Confidence Heterogeneity," CEPR Discussion Papers, Centre for Economic Policy Research, number 16441, Aug.
• Accominotti, Olivier & Albers, Thilo & Oosterlinck, Kim, 2021, "Selective Default Expectations," CEPR Discussion Papers, Centre for Economic Policy Research, number 16474, Aug.
• Albuquerque, Rui & Koskinen, Yrjo & Santioni, Raffaele, 2022, "Mutual Fund Trading and ESG Clientele During the COVID-19 Stock Market Crash," CEPR Discussion Papers, Centre for Economic Policy Research, number 16477, Feb.
• Auer, Raphael & Tercero-Lucas, David, 2021, "Distrust or speculation? The socioeconomic drivers of U.S. cryptocurrency investments," CEPR Discussion Papers, Centre for Economic Policy Research, number 16518, Sep.
• Uppal, Raman & DeMiguel, Victor & Martin-Utrera, Alberto, 2021, "What Alleviates Crowding in Factor Investing?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16527, Sep.
• Kuong, John Chi-Fong & Bruche, Max, 2021, "Dealer Funding and Market Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 16548, Sep.
• Malmendier, Ulrike M., 2021, "Exposure, Experience, and Expertise: Why Personal Histories Matter in Economics," CEPR Discussion Papers, Centre for Economic Policy Research, number 16598, Oct.
• Ströbel, Johannes & Wurgler, Jeffrey, 2021, "What do you think about climate finance?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16622, Oct.
• Favero, Carlo A. & Tamoni, Andrea & Melone, Alessandro, 2021, "Monetary Policy and Bond Prices with Drifting Equilibrium Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 16629, Oct.
• Dasgupta, Sudipto & Chang, Yuk Ying, 2021, "Escaping Air Pollution: Do Chinese Students and Immigrants Drive Property Prices and Economic Activity Abroad?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16700, Nov.
• Pagano, Marco & mengoli, stefano & Pattitoni, Pierpaolo, 2021, "The Geography of Investor Attention," CEPR Discussion Papers, Centre for Economic Policy Research, number 16747, Nov.
• Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2021, "Sovereign Risk and Financial Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 16750, Nov.
• Peydró, José-Luis & Kacperczyk, Marcin, 2021, "Carbon Emissions and the Bank-Lending Channel," CEPR Discussion Papers, Centre for Economic Policy Research, number 16778, Dec.
• Acharya, Sushant & Dogra, Keshav & Singh, Sanjay, 2021, "The Financial Origins of Non-Fundamental Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 16793, Dec.
• Schularick, Moritz & Amaral, Francisco & Kohl, Sebastian & Dohmen, Martin, 2021, "Superstar Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 16806, Dec.
• Caballero, Ricardo & Simsek, Alp, 2022, "A Note on Temporary Supply Shocks with Aggregate Demand Inertia," CEPR Discussion Papers, Centre for Economic Policy Research, number 16814, Jun.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers, Center for Research in Economics and Statistics, number 2021-05, Mar.
• Bertrand Candelon & Angelo Luisi & Francesco Roccazzella, 2021, "Fragmentation in the European Monetary Union: Is it really over?," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2021_016, May.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2021, "Interdependencies between Mining Costs, Mining Rewards and Blockchain Security," Annals of Economics and Finance, Society for AEF, volume 22, issue 1, pages 25-62, May.
• Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021, "Nonparametric Euler Equation Identification And Estimation," Econometric Theory, Cambridge University Press, volume 37, issue 5, pages 851-891, October.
• Hu, Grace Xing & Pan, Jun & Wang, Jiang, 2021, "Tri-Party Repo Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 56, issue 1, pages 337-371, February.
• Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021, "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 56, issue 1, pages 65-91, February.
• Beber, Alessandro & Driessen, Joost & Neuberger, Anthony & Tuijp, Patrick, 2021, "Pricing Liquidity Risk with Heterogeneous Investment Horizons," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 56, issue 2, pages 373-408, March.
• Doan, Minh Phuong & Sercu, Piet, 2021, "Merging One's Way to the Top: AB Inbev versus Heineken," Journal of Wine Economics, Cambridge University Press, volume 16, issue 1, pages 32-55, February.
• Oleksy, Paweł & Czupryna, Marcin & Jakubczyk, Michał, 2021, "On Fine Wine Pricing across Different Trading Venues," Journal of Wine Economics, Cambridge University Press, volume 16, issue 2, pages 189-209, May.
• John Leventides & Evangelos Melas & Costas Poulios & Paraskevi Boufounou & Rena Artemis Leventides, 2021, "Designing GDP-Linked Bonds with Default," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 67, issue 4, pages 311-335, DOI: 10.3790/aeq.67.4.311.
• Franziska Bremus & Franziska Schütze & Aleksandar Zaklan, 2021, "ECB Policy Facilitating Corporate Financing in the Green Bond Market," DIW Weekly Report, DIW Berlin, German Institute for Economic Research, volume 11, issue 22, pages 147-154.
• Franziska Bremus & Franziska Schütze & Aleksandar Zaklan, 2021, "EZB-Politik erleichtert Unternehmen Finanzierung am Markt grüner Anleihen," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 88, issue 22, pages 367-375.
• Franziska Bremus & Franziska Schütze & Aleksandar Zaklan, 2021, "The Impact of ECB Corporate Sector Purchases on European Green Bonds," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1938.
• Yvo Mudde & Anna Samarina & Robert Vermeulen, 2021, "Spillover effects of sovereign bond purchases in the euro area," Working Papers, DNB, number 706, Jan.
• Joost Bats & William Greif & Daniel Kapp, 2021, "The rise in the cross-sectoral dispersion of earnings expectations during COVID-19," Working Papers, DNB, number 724, Sep.
• Goetzmann, William N. & Spaenjers, Christophe & Van Nieuwerburgh, Stijn, 2021, "Real and Private-Value Assets," HEC Research Papers Series, HEC Paris, number 1421, Mar, DOI: 10.2139/ssrn.3803091.
• Anghel, Dan & Caraiani, Petre & Rosu, Alina & Rosu, Ioanid, 2021, "Asset Pricing with Systematic Skewness: Two Decades Later," HEC Research Papers Series, HEC Paris, number 1432, Jul, DOI: 10.2139/ssrn.3872128.
• Langlois, Hugues, 2021, "What Matters in a Characteristic?," HEC Research Papers Series, HEC Paris, number 1439, May, DOI: 10.2139/ssrn.3848587.
• Bats, Joost & Greif, William & Kapp, Daniel, 2021, "Cross-sectoral dispersion in firms’ earnings expectations during the COVID-19 crisis," Economic Bulletin Boxes, European Central Bank, volume 5.
• Corradin, Stefano & Hoerova, Marie & Schepens, Glenn, 2021, "Euro area money markets over the past 15 years: changes, driving factors and implications for monetary policy," Research Bulletin, European Central Bank, volume 82.
• Jaccard, Ivan, 2021, "A time-varying carbon tax to protect the environment while safeguarding the economy," Research Bulletin, European Central Bank, volume 86.
• Breckenfelder, Johannes & Ivashina, Victoria, 2021, "Bank leverage constraints and bond market illiquidity during the COVID-19 crisis," Research Bulletin, European Central Bank, volume 89.
• Pegoraro, Stefano & Montagna, Mattia, 2021, "Issuance and valuation of corporate bonds with quantitative easing," Working Paper Series, European Central Bank, number 2520, Jan.
• Colliard, Jean-Edouard & Foucault, Thierry & Hoffmann, Peter, 2021, "Inventory management, dealers’ connections, and prices in OTC markets," Working Paper Series, European Central Bank, number 2529, Feb.
• Kapp, Daniel & Kristiansen, Kristian, 2021, "Euro area equity risk premia and monetary policy: a longer-term perspective," Working Paper Series, European Central Bank, number 2535, Apr.
• Breckenfelder, Johannes & Ivashina, Victoria, 2021, "Bank balance sheet constraints and bond liquidity," Working Paper Series, European Central Bank, number 2589, Sep.
• Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021, "Natural rate chimera and bond pricing reality," Working Paper Series, European Central Bank, number 2612, Nov.
• Ben-David, Itzhak & Franzoni, Francesco A. & Kim, Byungwook & Moussawi, Rabih, 2021, "Competition for Attention in the ETF Space," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2021-01, Mar.
• Ben-David, Itzhak & Kim, Byungwook & Moussawi, Hala & Roulstone, Darren T., 2021, "Corporate Transactions in Hard-to-Value Stocks," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2021-16, Sep.
• Greenwald, Daniel L. & Leombroni, Matteo & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2021, "Financial and Total Wealth Inequality with Declining Interest Rates," Research Papers, Stanford University, Graduate School of Business, number 3948, Mar, DOI: 10.2139/ssrn.3789220.
• Krishnamurthy, Arvind & Li, Wenhao, 2021, "The Demand for Money, Near-Money, and Treasury Bonds," Research Papers, Stanford University, Graduate School of Business, number 3991, Aug.
• Garrison Hongyu Song & Ajeet Jain, 2021, "Revisit Closed-End Fund Puzzles via Dynamic Capital Mobility," International Journal of Economics and Financial Issues, Econjournals, volume 11, issue 4, pages 1-10.
• Levon Goukasian & Emily Jian Huang & Qingzhong Ma & Wei Zhang, 2021, "Anchoring and Risk Factors," International Journal of Economics and Financial Issues, Econjournals, volume 11, issue 4, pages 82-96.
• Katarzyna Czech & Michal Wielechowski, 2021, "Energy Commodity Price Response to COVID-19: Impact of Epidemic Status, Government Policy, and Stock Market Volatility," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 3, pages 443-453.
• Zeravan Abdulmuhsen Asaad, 2021, "Oil Price, Gold Price, Exchange Rate and Stock Market in Iraq Pre-During COVID19 Outbreak: An ARDL Approach," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 5, pages 562-571.
• Bharat Kumar Meher & Iqbal Thonse Hawaldar & Mathew Thomas Gil & Deebom Zorle Dum, 2021, "Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 6, pages 489-502.
• Jung, JiYong & Jung, Kuk Mo, 2021, "Stock market uncertainty and uncovered equity parity deviation: Evidence from Asia," Journal of Asian Economics, Elsevier, volume 73, issue C, DOI: 10.1016/j.asieco.2020.101271.
• Wan, Die & Yang, Teng & Yang, Xiaoguang, 2021, "IPO relative difficulty, M&A option and size effect," Journal of Asian Economics, Elsevier, volume 76, issue C, DOI: 10.1016/j.asieco.2021.101350.
• Fink, Josef, 2021, "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, volume 29, issue C, DOI: 10.1016/j.jbef.2020.100446.
• Nguyen, Hung T. & Pham, Mia Hang, 2021, "Does investor attention matter for market anomalies?," Journal of Behavioral and Experimental Finance, Elsevier, volume 29, issue C, DOI: 10.1016/j.jbef.2020.100451.
• Fernandez-Perez, Adrian & Gilbert, Aaron & Indriawan, Ivan & Nguyen, Nhut H., 2021, "COVID-19 pandemic and stock market response: A culture effect," Journal of Behavioral and Experimental Finance, Elsevier, volume 29, issue C, DOI: 10.1016/j.jbef.2020.100454.
• Truong, Quang-Thai & Tran, Quynh-Nhu & Bakry, Walid & Nguyen, Duc Nguyen & Al-Mohamad, Somar, 2021, "Football sentiment and stock market returns: Evidence from a frontier market," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100472.
• Białkowski, Jędrzej & Yaghoubi, Mona, 2021, "The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100480.
• Arumugam, Devika & Krishna Prasanna, P., 2021, "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100495.
• Umar, Zaghum & Gubareva, Mariya & Yousaf, Imran & Ali, Shoaib, 2021, "A tale of company fundamentals vs sentiment driven pricing: The case of GameStop," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100501.
• Prasad, Mason & Bakry, Walid & Varua, Maria Estela, 2021, "Abnormal volatility in seasoned equity offerings during economic disruptions," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100509.
• Chen, Zhongdong & Schmidt, Adam & Wang, Jin’ai, 2021, "Retail investor risk-seeking, attention, and the January effect," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100511.
• Zhang, Wei & Wang, Pengfei & Li, Yi, 2021, "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, volume 31, issue C, DOI: 10.1016/j.jbef.2021.100515.
• Ariff, Mohamed & Zarei, Alireza & Bhatti, M. Ishaq, 2021, "Monitoring exchange rate instability in 12 selected Islamic economies," Journal of Behavioral and Experimental Finance, Elsevier, volume 31, issue C, DOI: 10.1016/j.jbef.2021.100517.
• Biktimirov, Ernest N. & Sokolyk, Tatyana & Ayanso, Anteneh, 2021, "Sentiment and hype of business media topics and stock market returns during the COVID-19 pandemic," Journal of Behavioral and Experimental Finance, Elsevier, volume 31, issue C, DOI: 10.1016/j.jbef.2021.100542.
• Krishnamurti, Chandrasekhar & Chowdhury, Hasibul & Han, Hien Duc, 2021, "CEO centrality and stock price crash risk," Journal of Behavioral and Experimental Finance, Elsevier, volume 31, issue C, DOI: 10.1016/j.jbef.2021.100551.
• Onishchenko, Olena & Zhao, Jing & Kuruppuarachchi, Duminda & Roberts, Helen, 2021, "Intraday time-series momentum and investor trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, volume 31, issue C, DOI: 10.1016/j.jbef.2021.100557.
• Baur, Dirk G. & Hoang, Lai, 2021, "The Bitcoin gold correlation puzzle," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100561.
• Barnes, Spencer, 2021, "Killing in the stock market: Evidence from organ donations," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100563.
• Kirk-Reeve, Samuel & Gehricke, Sebastian A. & Ruan, Xinfeng & Zhang, Jin E., 2021, "National air pollution and the cross-section of stock returns in China," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100572.
• Eichel, Ron, 2021, "Momentum in real economy and industry stock returns," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100576.
• Kleinlercher, Daniel & Stöckl, Thomas, 2021, "Thou shalt not trade—An analysis of the violations of no-trade predictions in experimental asset markets," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100590.
• Bao, Te & Hommes, Cars & Pei, Jiaoying, 2021, "Expectation formation in finance and macroeconomics: A review of new experimental evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100591.
• Ferri, Giovanni & Ploner, Matteo & Rizzolli, Matteo, 2021, "Trading fast and slow: The role of deliberation in experimental financial markets," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100593.
• Andreou, Christoforos K. & Lambertides, Neophytos & Panayides, Photis M., 2021, "Distress risk anomaly and misvaluation," The British Accounting Review, Elsevier, volume 53, issue 5, DOI: 10.1016/j.bar.2020.100972.
• Kim, Byung-June & Jang, Bong-Gyu, 2021, "Convertible bond valuation with regime switching," Chaos, Solitons & Fractals, Elsevier, volume 150, issue C, DOI: 10.1016/j.chaos.2021.111201.
• Del Viva, Luca & Kasanen, Eero & Saunders, Anthony & Trigeorgis, Lenos, 2021, "US government TARP bailout and bank lottery behavior," Journal of Corporate Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.jcorpfin.2020.101777.
• Abdelsalam, Omneya & Chantziaras, Antonios & Batten, Jonathan A. & Aysan, Ahmet Faruk, 2021, "Major shareholders’ trust and market risk: Substituting weak institutions with trust," Journal of Corporate Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.jcorpfin.2020.101784.
• Docherty, Paul & Easton, Steve & Pinder, Sean, 2021, "Flights-to-control: Time variation in the value of a vote," Journal of Corporate Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.jcorpfin.2020.101790.
• Mansi, Sattar A. & Qi, Yaxuan & Wald, John K., 2021, "Bond covenants, bankruptcy risk, and the cost of debt," Journal of Corporate Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.jcorpfin.2020.101799.
• Gyoshev, Stanley B. & Kaplan, Todd R. & Szewczyk, Samuel H. & Tsetsekos, George P., 2021, "Why do investment banks buy put options from companies?," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2020.101718.
• Andreou, Christoforos K. & Andreou, Panayiotis C. & Lambertides, Neophytos, 2021, "Financial distress risk and stock price crashes," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2020.101870.
• Cole, Rebel & Johan, Sofia & Schweizer, Denis, 2021, "Corporate failures: Declines, collapses, and scandals," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2020.101872.
• Gu, Dingwei & Liu, Xin & Sun, Hanwen & Zhao, Huainan, 2021, "Strategic insider trading: Disguising order flows to escape trading competition," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2021.101891.
• Rjiba, Hatem & Saadi, Samir & Boubaker, Sabri & Ding, Xiaoya (Sara), 2021, "Annual report readability and the cost of equity capital," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2021.101902.
• Abad, Pilar & Díaz, Antonio & Escribano, Ana & Robles, M.-Dolores, 2021, "Crossing boundaries beyond the investment grade: Induced trading by rating-contingent investment constraints," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2021.101903.
• Baker, Edward D. & Boulton, Thomas J. & Braga-Alves, Marcus V. & Morey, Matthew R., 2021, "ESG government risk and international IPO underpricing," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2021.101913.
• Chen, Yangyang & Fan, Qingliang & Yang, Xin & Zolotoy, Leon, 2021, "CEO early-life disaster experience and stock price crash risk," Journal of Corporate Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.jcorpfin.2021.101928.
• Dick-Nielsen, Jens & Nielsen, Mads Stenbo & von Rüden, Stine Louise, 2021, "The value of bond underwriter relationships," Journal of Corporate Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.jcorpfin.2021.101930.
• Galvez, Julio & Gambacorta, Leonardo & Mayordomo, Sergio & Serena, Jose Maria, 2021, "Dollar borrowing, firm credit risk, and FX-hedged funding opportunities," Journal of Corporate Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.jcorpfin.2021.101945.
• Kita, Arben & Tortorice, Daniel L., 2021, "Same firm, two volatilities: How variance risk is priced in credit and equity markets," Journal of Corporate Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.jcorpfin.2021.101885.
• Chiu, Wan-Chien & King, Tao-Hsien Dolly & Wang, Chih-Wei, 2021, "Debt maturity dispersion and the cost of bank loans," Journal of Corporate Finance, Elsevier, volume 70, issue C, DOI: 10.1016/j.jcorpfin.2021.102049.
• Attig, Najah & El Ghoul, Sadok, 2021, "Flying under the radar: The real effects of anonymous trading," Journal of Corporate Finance, Elsevier, volume 71, issue C, DOI: 10.1016/j.jcorpfin.2021.102092.
• Ni, Xiaoran & Wang, Ye & Yin, David, 2021, "Does Modern Information Technology Attenuate Managerial Information Hoarding? Evidence from the EDGAR Implementation," Journal of Corporate Finance, Elsevier, volume 71, issue C, DOI: 10.1016/j.jcorpfin.2021.102100.
• Zimmermann, Paul, 2021, "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, volume 122, issue C, DOI: 10.1016/j.jedc.2020.104033.