Research classified by Journal of Economic Literature (JEL) codes

2021

• Dyer, Travis A., 2021, "The demand for public information by local and nonlocal investors: Evidence from investor-level data," Journal of Accounting and Economics, Elsevier, volume 72, issue 1, DOI: 10.1016/j.jacceco.2021.101417.
• Jain, Pawan & Upadhyay, Arun, 2021, "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, volume 58, issue C, DOI: 10.1016/j.japwor.2021.101069.
• Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021, "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, volume 59, issue C, DOI: 10.1016/j.japwor.2021.101075.
• Backwell, Alex, 2021, "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, volume 122, issue C, DOI: 10.1016/j.jbankfin.2020.105993.
• Jiao, Yuhan & Liu, Qiang & Guo, Shuxin, 2021, "Pricing kernel monotonicity and term structure: Evidence from China," Journal of Banking & Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jbankfin.2020.106037.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2021, "The memory of beta," Journal of Banking & Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jbankfin.2020.106026.
• Koosakul, Jakree & Shim, Ilhyock, 2021, "The effects of asset price volatility on market participation: Evidence from the Thai foreign exchange market," Journal of Banking & Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jbankfin.2020.106036.
• Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2021, "How to measure the liquidity of cryptocurrency markets?," Journal of Banking & Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jbankfin.2020.106041.
• Brubakk, Leif & ter Ellen, Saskia & Xu, Hong, 2021, "Central bank communication through interest rate projections," Journal of Banking & Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jbankfin.2021.106044.
• Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2021, "Return signal momentum," Journal of Banking & Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jbankfin.2021.106063.
• Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021, "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, volume 125, issue C, DOI: 10.1016/j.jbankfin.2021.106045.
• Mohrschladt, Hannes, 2021, "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, volume 125, issue C, DOI: 10.1016/j.jbankfin.2021.106064.
• DeLisle, R. Jared & Ferguson, Michael F. & Kassa, Haimanot & Zaynutdinova, Gulnara R., 2021, "Hazard stocks and expected returns," Journal of Banking & Finance, Elsevier, volume 125, issue C, DOI: 10.1016/j.jbankfin.2021.106094.
• Liu, Clark & Wang, Shujing & Wei, K.C. John, 2021, "Demand shock, speculative beta, and asset prices: Evidence from the Shanghai-Hong Kong Stock Connect program," Journal of Banking & Finance, Elsevier, volume 126, issue C, DOI: 10.1016/j.jbankfin.2021.106102.
• Lin, Qi, 2021, "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, volume 127, issue C, DOI: 10.1016/j.jbankfin.2021.106096.
• Chen, Tsung-Yu & Chou, Pin-Huang & Hsieh, Chia-Hsun & Ghon Rhee, S., 2021, "Momentum life cycle, revisited," Journal of Banking & Finance, Elsevier, volume 127, issue C, DOI: 10.1016/j.jbankfin.2021.106119.
• Cakici, Nusret & Zaremba, Adam, 2021, "Liquidity and the cross-section of international stock returns," Journal of Banking & Finance, Elsevier, volume 127, issue C, DOI: 10.1016/j.jbankfin.2021.106123.
• Bergbrant, Mikael & Kassa, Haimanot, 2021, "Is idiosyncratic volatility related to returns? Evidence from a subset of firms with quality idiosyncratic volatility estimates," Journal of Banking & Finance, Elsevier, volume 127, issue C, DOI: 10.1016/j.jbankfin.2021.106126.
• Hu, Jiafei & Yuan, Haishan, 2021, "Interest arbitrage under capital controls: Evidence from reported entrepôt trades," Journal of Banking & Finance, Elsevier, volume 127, issue C, DOI: 10.1016/j.jbankfin.2021.106129.
• Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021, "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jbankfin.2021.106112.
• Broer, Tobias & Kero, Afroditi, 2021, "Collateralization and asset price bubbles when investors disagree about risk," Journal of Banking & Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jbankfin.2021.106137.
• Ji, Qiong & Quan, Xiaofeng & Yin, Hongying & Yuan, Qingbo, 2021, "Gambling preferences and stock price crash risk: Evidence from China," Journal of Banking & Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jbankfin.2021.106158.
• Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021, "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jbankfin.2021.106163.
• Atanasov, Victoria, 2021, "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, volume 129, issue C, DOI: 10.1016/j.jbankfin.2021.106159.
• Meng, Bo & Vijh, Anand M., 2021, "Stock merger activity and industry performance," Journal of Banking & Finance, Elsevier, volume 129, issue C, DOI: 10.1016/j.jbankfin.2021.106160.
• Deuskar, Prachi & Johnson, Timothy C., 2021, "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, volume 129, issue C, DOI: 10.1016/j.jbankfin.2021.106165.
• Khomyn, Marta & Putniņš, Tālis J., 2021, "Algos gone wild: What drives the extreme order cancellation rates in modern markets?," Journal of Banking & Finance, Elsevier, volume 129, issue C, DOI: 10.1016/j.jbankfin.2021.106170.
• Dupuy, Philippe, 2021, "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, volume 129, issue C, DOI: 10.1016/j.jbankfin.2021.106172.
• Landis, Conrad & Skouras, Spyros, 2021, "Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream," Journal of Banking & Finance, Elsevier, volume 130, issue C, DOI: 10.1016/j.jbankfin.2021.106128.
• Wang, Xinjie & Xiao, Yaqing & Yan, Hongjun & Zhang, Jinfan, 2021, "Under-reaction in the sovereign CDS market," Journal of Banking & Finance, Elsevier, volume 130, issue C, DOI: 10.1016/j.jbankfin.2021.106191.
• Chen, Honghui & Zheng, Minrong, 2021, "IPO underperformance and the idiosyncratic risk puzzle," Journal of Banking & Finance, Elsevier, volume 131, issue C, DOI: 10.1016/j.jbankfin.2021.106190.
• Van Ness, Bonnie & Van Ness, Robert & Yildiz, Serhat, 2021, "Private information in trades, R2, and large stock price movements," Journal of Banking & Finance, Elsevier, volume 131, issue C, DOI: 10.1016/j.jbankfin.2021.106194.
• Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021, "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, volume 132, issue C, DOI: 10.1016/j.jbankfin.2021.106232.
• Nozawa, Yoshio & Qiu, Yancheng, 2021, "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106153.
• John, Kose & Li, Jingrui, 2021, "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106162.
• Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021, "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106238.
• Chiah, Mardy & Zhong, Angel, 2021, "Tuesday Blues and the day-of-the-week effect in stock returns," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106243.
• Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021, "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106246.
• Li, Yubin & Zhao, Chen & Zhong, Zhaodong (Ken), 2021, "Trading behavior of retail investors in derivatives markets: Evidence from Mini options," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106250.
• Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021, "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106252.
• Levy, Haim & Levy, Moshe, 2021, "Stocks versus bonds for the long run when a riskless asset is available," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106275.
• Wang, Qiao & Balvers, Ronald, 2021, "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106278.
• Hansen, Anne Lundgaard, 2021, "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106302.
• Baule, Rainer & Shkel, David, 2021, "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106307.
• Nnadi, Modestus I. & Sorwar, Ghulam & Eskandari, Rasol & Chizema, Amon, 2021, "Political connections and seasoned equity offerings," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106312.
• 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.
• A. Balakrishnan & Nirakar Barik, 2021, "Do select macroeconomic factors drive momentum returns?," Future Business Journal, Springer, volume 7, issue 1, pages 1-12, December, DOI: 10.1186/s43093-021-00097-2.
• Jose I. Alvarado & Lindsay C. Clark & Jose A. Gutierrez, 2021, "Stock performance subsequent to combinations in quarterly revenue surprise, earnings surprise, guidance, valuation, and report time," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 1, pages 95-117, January, DOI: 10.1007/s12197-020-09531-7.
• Joel R. Barber, 2021, "Empirical analysis of term structure shifts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 2, pages 360-371, April, DOI: 10.1007/s12197-020-09521-9.
• Petr Jakubik & Sibel Uguz, 2021, "Impact of green bond policies on insurers: evidence from the European equity market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 2, pages 381-393, April, DOI: 10.1007/s12197-020-09534-4.
• Yuanyuan (Catherine) Chen, 2021, "Empirical analysis of bitcoin price," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 4, pages 692-715, October, DOI: 10.1007/s12197-021-09549-5.
• Vladimir Kotomin, 2021, "The clientele effect around the turn of the year: evidence from the bond markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 4, pages 637-653, October, DOI: 10.1007/s12197-021-09550-y.
• Leonardo Bargigli, 2021, "A model of market making with heterogeneous speculators," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 16, issue 1, pages 1-28, January, DOI: 10.1007/s11403-020-00283-5.
• Nils Bertschinger & Iurii Mozzhorin, 2021, "Bayesian estimation and likelihood-based comparison of agent-based volatility models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 16, issue 1, pages 173-210, January, DOI: 10.1007/s11403-020-00289-z.
• Arthur Beddock & Elyès Jouini, 2021, "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 71, issue 3, pages 961-996, April, DOI: 10.1007/s00199-020-01268-y.
• Qian Lin & Frank Riedel, 2021, "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 71, issue 3, pages 1189-1202, April, DOI: 10.1007/s00199-020-01306-9.
• Daniele Giachini, 2021, "Rationality and asset prices under belief heterogeneity," Journal of Evolutionary Economics, Springer, volume 31, issue 1, pages 207-233, January, DOI: 10.1007/s00191-020-00708-1.
• Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021, "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 19, issue 4, pages 795-818, December, DOI: 10.1007/s40953-021-00253-z.
• Béatrice Séverac & José S. Fonseca, 2021, "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 20, issue 3, pages 273-295, September, DOI: 10.1007/s10258-020-00185-1.
• Omri Even-Tov & Naim Bugra Ozel, 2021, "What moves stock prices around credit rating changes?," Review of Accounting Studies, Springer, volume 26, issue 4, pages 1390-1427, December, DOI: 10.1007/s11142-020-09573-6.
• Lisa Silge & Arnt Wöhrmann, 2021, "Market reaction to asymmetric cost behavior: the impact of long-term growth expectations," Review of Managerial Science, Springer, volume 15, issue 2, pages 309-347, February, DOI: 10.1007/s11846-019-00341-8.
• Syed Mujahid Hussain & Sergey Osmekhin & Frédéric Délèze, 2021, "Short-term market efficiency indicator based on the waiting-time distribution," Review of Managerial Science, Springer, volume 15, issue 6, pages 1561-1572, August, DOI: 10.1007/s11846-020-00398-w.
• Faisal M. Awwal & Prasad V. Bidarkota, 2021, "A state space framework for the residual income valuation model of stock prices," SN Business & Economics, Springer, volume 1, issue 4, pages 1-28, April, DOI: 10.1007/s43546-021-00066-5.
• Dooruj Rambaccussing, 2021, "The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth," SN Business & Economics, Springer, volume 1, issue 9, pages 1-15, September, DOI: 10.1007/s43546-021-00116-y.
• Javier Ojea-Ferreiro, 2021, "Deconstructing Systemic Risk: A Reverse Stress Testing Approach," Springer Books, Springer, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-3-030-78965-7_54.
• Robert A. Jarrow, 2021, "Asset Price Bubbles," Springer Finance, Springer, chapter 0, "Continuous-Time Asset Pricing Theory", DOI: 10.1007/978-3-030-74410-6_3.
• Han-Ching Huang & Chien-Sheng Wen, 2021, "The Performance of Trading Strategies Based on Deviations from Put-Call Parity of Stock Options," Advances in Management and Applied Economics, SCIENPRESS Ltd, volume 11, issue 2, pages 1-3.
• Michele Anelli & Michele Patanè & Mario Toscano & Alessio Gioia, 2021, "The Evolution of the Lead-lag Markets in the Price Discovery Process of the Sovereign Credit Risk: the Case of Italy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 11, issue 2, pages 1-7.
• Francesca Cinefra & Michele Anelli & Michele Patanè & Alessio Gioia, 2021, "The Dynamic Progression of the Redenomination and Sovereign Risk in the Price Discovery Process of Italian Banks’ CDSs," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 11, issue 3, pages 1-1.
• Martin Hillebrand & Marko Mravlak & Peter Schwendner, 2021, "Investor demand in syndicated bond issuances: stylised facts," Working Papers, European Stability Mechanism, number 50, Dec, revised 23 Dec 2021.
• Martin Cesnak & Jan Klacso, 2021, "Assessing real estate prices in Slovakia - a structural approach," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 3/2021, Jun.
• Pavel Ciaian & d’Artis Kancs & Miroslava Rajcaniova, 2021, "The economic dependency of bitcoin security," Applied Economics, Taylor & Francis Journals, volume 53, issue 49, pages 5738-5755, October, DOI: 10.1080/00036846.2021.1931003.
• Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021, "Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies," The European Journal of Finance, Taylor & Francis Journals, volume 27, issue 1-2, pages 8-30, January, DOI: 10.1080/1351847X.2020.1789684.
• 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," The European Journal of Finance, Taylor & Francis Journals, volume 27, issue 18, pages 1804-1833, December, DOI: 10.1080/1351847X.2021.1917442.
• Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2021, "How Market Sentiment Drives Forecasts of Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, volume 22, issue 4, pages 351-367, October, DOI: 10.1080/15427560.2020.1774769.
• Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021, "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 4, pages 1054-1065, October, DOI: 10.1080/07350015.2020.1763805.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021, "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, volume 24, issue 1, pages 401-415, January, DOI: 10.1080/15140326.2021.1953914.
• Doruk Kucuksarac & Abdullah Kazdal & Halil Ibrahim Korkmaz & Yigit Onay, 2021, "A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 21, issue 2, pages 49-57.
• Oguzhan Cepni & Selcuk Gul & Muhammed Hasan Yilmaz & Brian Lucey, 2021, "The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2104.
• Junko Koeda & Yosuke Kimura, 2021, "Government Debt Maturity in Japan: 1965 to the Present," Working Papers, Tokyo Center for Economic Research, number e163, Sep.
• Miao, Jianjun & Wu, Jieran & Young, Eric R., 2021, "Macro-financial volatility under dispersed information," Theoretical Economics, Econometric Society, volume 16, issue 1, January.
• Roman Frydman & Nicholas Mangee, 2021, "Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic," Working Papers Series, Institute for New Economic Thinking, number inetwp164, Sep, DOI: 10.36687/inetwp164.
• Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021, "Asset Prices Under Knightian Uncertainty," Working Papers Series, Institute for New Economic Thinking, number inetwp172, Dec, DOI: 10.36687/inetwp172.
• Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021, "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-062/III, Jul.
• Rutger-Jan Lange & Coen N. Teulings, 2021, "The option value of vacant land: Don't build when demand for housing is booming," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-022/IV, Feb.
• S.J.G. van Wijnbergen, 2021, "Lockdowns as options," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-037/IV, May.
• van Buggenum, Hugo, 2021, "Coexistence of Money and Interest-Bearing Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2021-019.
• Penasse, J.N.G. & Renneboog, Luc & Scheinkman, Jose, 2021, "When a master dies : Speculation and asset float," Other publications TiSEM, Tilburg University, School of Economics and Management, number a3595ed2-e69d-4bb2-9320-7.
• Sonia Di TOMASO & Denis Marco MONTAGNA & Antonio AMENDOLA, 2021, "Stock Returns and Cash Flows: A New Asset Pricing Approach," Journal of Economics and Financial Analysis, Tripal Publishing House, volume 5, issue 2, pages 85-120, DOI: 10.1991/jefa.v5i2.a47.
• Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul, 2021, "Disastrous Defaults," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1237, Aug.
• Yen-Sheng Lee & Yi-Heng Tseng, 2021, "Do Firm Characteristics Affect Price Discovery? Evidence From Chinese Cross-Listed Stocks," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 19, issue 2, pages 3-14, November.
• Tomás Caravello & Turalay Kenc & Martín Sola, 2021, "Risk Aversion and Changes in Regime," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2021_08, Dec.
• Keh, Chia-Guan & Tan, Yan-Teng, 2021, "COVID 19: The Impact of Government Policy Responses on Economic Activity and Stock Market Performance in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, volume 55, issue 1, pages 123-133, DOI: http://dx.doi.org/10.17576/JEM-2021.
• Fengler, Matthias & Polivka, Jeannine, 2021, "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2103, Apr, revised Oct 2024.
• Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021, "Housing Yields," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2021:21, revised 2021.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021, "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers, University of Verona, Department of Economics, number 06/2021, Apr.
• Resul Aydemir & Bulent Guloglu & Ercan Saridogan, 2021, "Volatility Spillovers and Dynamic Correlations among Foreign Exchange Rates and Bond Markets of Emerging Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 68, issue 1, pages 99-127.
• Muhammad Imran, 2021, "Company Fundamentals as Determinants of Firm-Level Equity Premiums: Evidence from an Emerging Economy," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 68, issue 5, pages 681-697.
• Petar Ivanov, 2021, "House Price Dynamics In Bulgaria Presented Through Japanese Candlesticks And Related Charts For Technical Analysis," INTERNATIONAL SCIENTIFIC AND PRACTICAL CONFERENCE "CONSTRUCTION ENTREPRENEURSHIP AND REAL PROPERTY", University of Economics - Varna, issue 1, pages 205-212.
• Assoc. Prof. Yordan Yordanov, PhD, 2021, "Weak form Efficency and Market Risk Evaluation at the BSE (Bulgarian Stock Exchange)," An Annual Book of University of Economics - Varna, University of Economics - Varna, volume 91, issue 1, pages 105-152, January.
• Małachowski Paweł & Gadowska-dos Santos Dominika, 2021, "What Determines the Success of an IPO? Analysis of IPO Underpricing on the Warsaw Stock Exchange," Central European Economic Journal, Sciendo, volume 8, issue 55, pages 1-14, January, DOI: 10.2478/ceej-2021-0001.
• Chlebus Marcin & Dyczko Michał & Woźniak Michał, 2021, "Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem," Central European Economic Journal, Sciendo, volume 8, issue 55, pages 44-62, January, DOI: 10.2478/ceej-2021-0004.
• Sulima Anna, 2021, "The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 25, issue 3, pages 72-84, September, DOI: 10.15611/eada.2021.3.04.
• Urbański Stanisław, 2021, "The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia," Folia Oeconomica Stetinensia, Sciendo, volume 21, issue 1, pages 122-143, June, DOI: 10.2478/foli-2021-0009.
• Oke Michael O. & Dada Oluwabunmi & Aremo Nelson O., 2021, "Impact of Bond Market Development on the Growth of the Nigerian Economy," Folia Oeconomica Stetinensia, Sciendo, volume 21, issue 1, pages 60-75, June, DOI: 10.2478/foli-2021-0005.
• Karasiński Jacek & Zduńczak Patryk, 2021, "Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange," Journal of Economics and Management, Sciendo, volume 43, issue 1, pages 206-224, May, DOI: 10.22367/jem.2021.43.10.
• Michaletz Vladimir B. & Artemenkov Andrey I., 2021, "The Transactional Asset Pricing Approach(TAPA): Incorporation of Leverage and Derivation of Extended Ellwood Formula with Fixed Leverage Benefits," Real Estate Management and Valuation, Sciendo, volume 29, issue 1, pages 54-71, March, DOI: 10.2478/remav-2021-0006.
• Deaconu Adela & Ciurdaş Ioana & Bonaci Carmen, 2021, "Challenges Faced By Auditors When Estimating Fair Values. An Experiment in an Emerging Economy," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, volume 66, issue 1, pages 36-60, April, DOI: 10.2478/subboec-2021-0003.
• Bulent Guler & Volodymyr Lugovskyy & Daniela Puzzello & Steven Tucker, 2021, "Trading Institutions in Experimental Asset Markets: Theory and Evidence," Working Papers in Economics, University of Waikato, number 21/15, Dec.
• Junko Koeda & Yosuke Kimura, 2021, "Government Debt Maturity in Japan: 1965 to the Present," Working Papers, Waseda University, Faculty of Political Science and Economics, number 2103, Apr.
• Alina Garnham & Derek Stacey, 2021, "Fighting for Fares: Uber and the Declining Market Price of Licensed Taxicabs," Working Papers, University of Waterloo, Department of Economics, number 21001, Jul, revised Apr 2022.
• Huyen Phuong Do & Bich Ngoc Do & Tra My Nguyen & Thinh Vu Duy, 2021, "Arbitrage with Exchange-traded Funds: A Case of E1VFVN30 Based on Intraday Data," Economic Research Guardian, Mutascu Publishing, volume 11, issue 1, pages 130-143, June.
• Feixue Gong & Gregory Phelan, 2021, "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers, Department of Economics, Williams College, number 2021-07, Apr, DOI: 10.36934/wecon:2021-07.
• Stephen Sheppard, 2021, "Image Content, Complexity, and the Market Value of Art," Department of Economics Working Papers, Department of Economics, Williams College, number 2021-08, Jul, DOI: 10.36934/wecon:2021-08.
• William Chen & Gregory Phelan, 2021, "Liquidity Provision and Financial Stability," Department of Economics Working Papers, Department of Economics, Williams College, number 2021-11, Aug, DOI: 10.36934/wecon:2021-11.
• William Chen & Gregory Phelan, 2021, "Should Monetary Policy Target Financial Stability?," Department of Economics Working Papers, Department of Economics, Williams College, number 2021-12, Aug, DOI: 10.36934/wecon:2021-12.
• Pamela Jakiela & Owen Ozier, 2021, "Gendered Language," Department of Economics Working Papers, Department of Economics, Williams College, number 2021-13, Jul, DOI: 10.36934/wecon:2021-13.
• Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2021, "A Macroeconomic Model With Financially Constrained Producers and Intermediaries," Econometrica, Econometric Society, volume 89, issue 3, pages 1361-1418, May, DOI: 10.3982/ECTA16438.
• Jimmy A. Saravia & Carlos S. García & Paula M. Almonacid, 2021, "The determinants of systematic risk: A firm lifecycle perspective," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 1037-1049, January, DOI: 10.1002/ijfe.1834.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021, "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 153-170, January, DOI: 10.1002/ijfe.1782.
• Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021, "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 3, pages 4441-4461, July, DOI: 10.1002/ijfe.2024.
• Eurilton Araújo & Ricardo D. Brito & Antonio Z. Sanvicente, 2021, "Long‐term stock returns in Brazil: Volatile equity returns for U.S.‐like investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 4, pages 6249-6263, October, DOI: 10.1002/ijfe.2118.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021, "No‐arbitrage priors, drifting volatilities, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 36, issue 5, pages 495-516, August, DOI: 10.1002/jae.2828.
• Janis Becker & Christian Leschinski, 2021, "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., volume 40, issue 2, pages 269-278, March, DOI: 10.1002/for.2713.
• Ricardo Crisóstomo, 2021, "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 11, pages 1797-1823, November, DOI: 10.1002/fut.22248.
• Andreas Bergh & Christian Bjørnskov, 2021, "Trust Us to Repay: Social Trust, Long‐Term Interest Rates, and Sovereign Credit Ratings," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 5, pages 1151-1174, August, DOI: 10.1111/jmcb.12812.
• Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2021, "Does It Matter Where You Search? Twitter versus Traditional News Media," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 7, pages 1757-1795, October, DOI: 10.1111/jmcb.12805.
• Lorenzo Menna & Patrizio Tirelli, 2021, "Risk Premiums, Nominal Rigidities, and Limited Asset Market Participation," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 7, pages 1899-1921, October, DOI: 10.1111/jmcb.12793.
• Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021, "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, volume 12, issue 2, pages 625-646, May, DOI: 10.3982/QE1528.
• John B. Donaldson & Rajnish Mehra, 2021, "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, volume 12, issue 3, pages 903-944, July, DOI: 10.3982/QE1560.
• Charles-Cadogan, G., 2021, "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series, Centre for Research in Economic Theory and its Applications CRETA, number 71.
• Sisa Shiba & Rangan Gupta, 2021, "Uncertainty Related To Infectious Diseases And Forecastability Of The Realized Volatility Of Us Treasury Securities," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 02, pages 1-12, June, DOI: 10.1142/S2010495221500081.
• Romain Deguest & Lionel Martellini & Vincent Milhau, 2021, "Goal-based Investing:Theory and Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12386, ISBN: ARRAY(0x75f1fc38), September.
• Mary Becker & Alexander Cardazzi & Zachary McGurk, 2021, "Employee satisfaction and stock returns during the COVID-19 Pandemic," Working Papers, Department of Economics, West Virginia University, number 21-02, Sep.
• Zongwu Cai & Jiazi Chen & Linlin Niu, 2021, "A Semiparametric Model for Bond Pricing with Life Cycle Fundamental," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2021-01-06, Jan.
• Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021, "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 169.
• Sihvonen, Markus, 2021, "Yield curve momentum," Bank of Finland Research Discussion Papers, Bank of Finland, number 15/2021.
• Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2021, "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Discussion Papers, Deutsche Bundesbank, number 08/2021.
• Schmidhammer, Christoph, 2021, "Return differences between DAX ETFs and the benchmark DAX," Discussion Papers, Deutsche Bundesbank, number 28/2021.
• Bednarek, Peter & Roling, Christoph, 2021, "Analysing funding costs advantages using European primary market bond yield spreads," Technical Papers, Deutsche Bundesbank, number 06/2021.
• McMahon, James, 2021, "Reconsidering Systemic Fear and the Stock Market: A Reply to Baines and Hager," Review of Capital as Power, Capital As Power - Toward a New Cosmology of Capitalism, volume 2, issue 1, pages 30-70.
• Sattarhoff, Cristina & Lux, Thomas, 2021, "Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized Volatilities," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2021-02.
• Agarwal, Vikas & Hanouna, Paul & Moussawi, Rabih & Stahel, Christof W., 2021, "Do ETFs increase the commonality in liquidity of underlying stocks?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-04.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2021, "Multivariate crash risk," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-07.
• Bali, Turan G. & Beckmeyer, Heiner & Moerke, Mathis & Weigert, Florian, 2021, "Option return predictability with machine learning and big data," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-08.
• Brown, Nerissa C. & Elliott, W. Brooke & Wermers, Russ & White, Roger M., 2021, "News or noise: Mobile internet technology and stock market activity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-10.
• Hinsche, Isabelle Cathérine, 2021, "A greenium for the next generation EU green bonds: Analysis of a potential green bond premium and its drivers," CFS Working Paper Series, Center for Financial Studies (CFS), number 663.
• Cumming, Douglas J. & Firth, Christopher & Gathergood, John & Stewart, Neil, 2021, "Covid, work-from-home, and securities misconduct," CFS Working Paper Series, Center for Financial Studies (CFS), number 666.
• Mengoli, Stefano & Pagano, Marco & Pattitoni, Pierpaolo, 2021, "The geography of investor attention," CFS Working Paper Series, Center for Financial Studies (CFS), number 671.
• Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021, "Disaster resilience and asset prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 673.
• Bernoth, Kerstin & Herwartz, Helmut, 2021, "Exchange rates, foreign currency exposure and sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 117, pages 1-1.
• Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021, "The state-dependent trading behavior of banks in the oil futures market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 191, pages 1011-1024.
• 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.