Research classified by Journal of Economic Literature (JEL) codes

2020

• Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Demir, Ender, 2020, "Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2020.101597.
• Park, Cheolbeom & Park, Suyeon, 2020, "Rare disaster risk and exchange rates: An empirical investigation of South Korean exchange rates under tension between the two Koreas," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2019.101314.
• Blitz, David & Huisman, Rob & Swinkels, Laurens & van Vliet, Pim, 2020, "Media attention and the volatility effect," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2019.101317.
• Sabah, Nasim, 2020, "Cryptocurrency accepting venues, investor attention, and volatility," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2019.101339.
• Choi, Paul Moon Sub & Choi, Joung Hwa & Chung, Chune Young, 2020, "Do individual traders undermine firm valuation?," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2020.101567.
• Li, Yan & Liang, Chao & Ma, Feng & Wang, Jiqian, 2020, "The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2020.101749.
• Wang, Wenzhao, 2020, "Institutional investor sentiment, beta, and stock returns," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101374.
• Li, You & Zhang, Jian, 2020, "Stakeholder orientation and stock price crash risk," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101370.
• Schadner, Wolfgang, 2020, "An idea of risk-neutral momentum and market fear," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101347.
• Ishii, Hokuto, 2020, "Arbitrage-free relative Nelson–Siegel model," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101377.
• Choi, Jae Yong & Yi, Junesuh & Yoon, Sun-Joong, 2020, "A better criterion for forced selling in bond markets: Credit ratings versus credit spreads," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2020.101437.
• Buigut, Steven & Kapar, Burcu, 2020, "Effect of Qatar diplomatic and economic isolation on GCC stock markets: An event study approach," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101352.
• Akhtaruzzaman, Md & Sensoy, Ahmet & Corbet, Shaen, 2020, "The influence of Bitcoin on portfolio diversification and design," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101344.
• Cao, Jiling & Kim, Jeong-Hoon & Kim, See-Woo & Zhang, Wenjun, 2020, "Rough stochastic elasticity of variance and option pricing," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101381.
• Ortmann, Regina & Pelster, Matthias & Wengerek, Sascha Tobias, 2020, "COVID-19 and investor behavior," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2020.101717.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2020, "The memory of stock return volatility: Asset pricing implications," Journal of Financial Markets, Elsevier, volume 47, issue C, DOI: 10.1016/j.finmar.2019.01.002.
• Ters, Kristyna & Urban, Jörg, 2020, "Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model," Journal of Financial Markets, Elsevier, volume 47, issue C, DOI: 10.1016/j.finmar.2019.07.002.
• Ruan, Xinfeng, 2020, "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, volume 48, issue C, DOI: 10.1016/j.finmar.2019.03.002.
• Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020, "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, volume 48, issue C, DOI: 10.1016/j.finmar.2019.100510.
• Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020, "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, volume 48, issue C, DOI: 10.1016/j.finmar.2019.100514.
• von Beschwitz, Bastian & Massa, Massimo, 2020, "Biased short: Short sellers' disposition effect and limits to arbitrage," Journal of Financial Markets, Elsevier, volume 49, issue C, DOI: 10.1016/j.finmar.2019.100512.
• Ding, Rong & Zhou, Hang & Li, Yifan, 2020, "Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2019.100511.
• Faria, Gonçalo & Verona, Fabio, 2020, "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2019.100508.
• Borochin, Paul, 2020, "The information content of real operating performance measures from the airline industry," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2019.100528.
• Qiao, Kenan & Dam, Lammertjan, 2020, "The overnight return puzzle and the “T+1” trading rule in Chinese stock markets," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2020.100534.
• Pham, Mia Hang, 2020, "In law we trust: Lawyer CEOs and stock liquidity," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2020.100548.
• Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020, "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2020.100564.
• Cao, Charles & Simin, Timothy & Xiao, Han, 2020, "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, volume 51, issue C, DOI: 10.1016/j.finmar.2019.100531.
• Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020, "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, volume 51, issue C, DOI: 10.1016/j.finmar.2020.100541.
• Valseth, Siri, 2020, "Informed trading in hybrid bond markets," Global Finance Journal, Elsevier, volume 44, issue C, DOI: 10.1016/j.gfj.2018.07.003.
• Dicle, Mehmet F. & Levendis, John, 2020, "Historic risk and implied volatility," Global Finance Journal, Elsevier, volume 45, issue C, DOI: 10.1016/j.gfj.2019.100475.
• Malmendier, Ulrike & Pouzo, Demian & Vanasco, Victoria, 2020, "Investor experiences and international capital flows," Journal of International Economics, Elsevier, volume 124, issue C, DOI: 10.1016/j.jinteco.2020.103302.
• Glazyrina, Anna & Melnikov, Alexander, 2020, "Bachelier model with stopping time and its insurance application," Insurance: Mathematics and Economics, Elsevier, volume 93, issue C, pages 156-167, DOI: 10.1016/j.insmatheco.2020.04.012.
• Giaccotto, Carmelo & Lin, Xiao & Zhao, Yanhui, 2020, "Term structure of discount rates for firms in the insurance industry," Insurance: Mathematics and Economics, Elsevier, volume 95, issue C, pages 147-158, DOI: 10.1016/j.insmatheco.2020.09.004.
• Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020, "Halloween Effect in developed stock markets: A historical perspective," International Economics, Elsevier, volume 161, issue C, pages 130-138, DOI: 10.1016/j.inteco.2019.11.009.
• Dachraoui, Hajer & Smida, Mounir & Sebri, Maamar, 2020, "Role of capital flight as a driver of sovereign bond spreads in Latin American countries," International Economics, Elsevier, volume 162, issue C, pages 15-33, DOI: 10.1016/j.inteco.2020.04.002.
• Jareño, Francisco & González, María de la O & Escolástico, Alba M., 2020, "Extension of the Fama and French model: A study of the largest European financial institutions," International Economics, Elsevier, volume 164, issue C, pages 115-139, DOI: 10.1016/j.inteco.2020.09.001.
• Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2020, "No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 64, issue C, DOI: 10.1016/j.intfin.2019.101143.
• Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2020, "Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 64, issue C, DOI: 10.1016/j.intfin.2019.101173.
• Kobinger, Sonja & Bornholt, Graham & Malin, Mirela, 2020, "Long-term time series reversal: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 65, issue C, DOI: 10.1016/j.intfin.2020.101185.
• Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020, "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 65, issue C, DOI: 10.1016/j.intfin.2020.101187.
• Borgards, Oliver & Czudaj, Robert L., 2020, "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 65, issue C, DOI: 10.1016/j.intfin.2020.101194.
• Mugerman, Yevgeny & Yidov, Orr & Wiener, Zvi, 2020, "By the light of day: The effect of the switch to winter time on stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 65, issue C, DOI: 10.1016/j.intfin.2020.101197.
• Leal, Diego & Stanhouse, Bryan & Stock, Duane, 2020, "Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 67, issue C, DOI: 10.1016/j.intfin.2020.101217.
• Amini, Shima & Buchner, Axel & Cai, Charlie X. & Mohamed, Abdulkadir, 2020, "Why do firms manage their stock price levels?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 67, issue C, DOI: 10.1016/j.intfin.2020.101220.
• Abad, Pilar & Ferreras, Rodrigo & Robles, M.-Dolores, 2020, "Information opacity and corporate bond returns: The dynamics of split ratings," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 68, issue C, DOI: 10.1016/j.intfin.2020.101239.
• Baldwin, Kenneth & Alhalboni, Maryam, 2020, "The impact of profit-sharing investment accounts on shareholders’ wealth," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 69, issue C, DOI: 10.1016/j.intfin.2020.101253.
• Penman, Stephen & Zhang, Xiao-Jun, 2020, "A theoretical analysis connecting conservative accounting to the cost of capital," Journal of Accounting and Economics, Elsevier, volume 69, issue 1, DOI: 10.1016/j.jacceco.2019.101236.
• Beaver, William H. & McNichols, Maureen F. & Wang, Zach Z., 2020, "Increased market response to earnings announcements in the 21st century: An Empirical Investigation," Journal of Accounting and Economics, Elsevier, volume 69, issue 1, DOI: 10.1016/j.jacceco.2019.101244.
• Bonsall, Samuel B. & Green, Jeremiah & Muller, Karl A., 2020, "Market uncertainty and the importance of media coverage at earnings announcements," Journal of Accounting and Economics, Elsevier, volume 69, issue 1, DOI: 10.1016/j.jacceco.2019.101264.
• Larcker, David F. & Watts, Edward M., 2020, "Where's the greenium?," Journal of Accounting and Economics, Elsevier, volume 69, issue 2, DOI: 10.1016/j.jacceco.2020.101312.
• Bhojraj, Sanjeev & Mohanram, Partha & Zhang, Suning, 2020, "ETFs and information transfer across firms," Journal of Accounting and Economics, Elsevier, volume 70, issue 2, DOI: 10.1016/j.jacceco.2020.101336.
• Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020, "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, volume 70, issue 2, DOI: 10.1016/j.jacceco.2020.101344.
• Xuan, Chunji & Kim, Chang-Jin, 2020, "Structural breaks in the mean of dividend-price ratios: Implications of learning on stock return predictability," Japan and the World Economy, Elsevier, volume 55, issue C, DOI: 10.1016/j.japwor.2020.101027.
• Nguyen, Linh Xuan Diep & Mateut, Simona & Chevapatrakul, Thanaset, 2020, "Business-linkage volatility spillovers between US industries," Journal of Banking & Finance, Elsevier, volume 111, issue C, DOI: 10.1016/j.jbankfin.2019.105699.
• Moutzouris, Ioannis C. & Nomikos, Nikos K., 2020, "Asset pricing with mean reversion: The case of ships," Journal of Banking & Finance, Elsevier, volume 111, issue C, DOI: 10.1016/j.jbankfin.2019.105708.
• Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020, "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, volume 111, issue C, DOI: 10.1016/j.jbankfin.2019.105732.
• Nguyen, Phuong-Anh & Kecskés, Ambrus & Mansi, Sattar, 2020, "Does corporate social responsibility create shareholder value? The importance of long-term investors," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2017.09.013.
• Wang, Chih-Wei & Chiu, Wan-Chien & King, Tao-Hsien Dolly, 2020, "Debt maturity and the cost of bank loans," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2017.10.008.
• Lovreta, Lidija & Silaghi, Florina, 2020, "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2017.11.008.
• Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2020, "Too big to ignore? Hedge fund flows and bond yields," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2017.12.009.
• Belkhir, Mohamed & Saad, Mohsen & Samet, Anis, 2020, "Stock extreme illiquidity and the cost of capital," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2018.01.005.
• Duca, John V. & Ling, David C., 2020, "The other (commercial) real estate boom and bust: The effects of risk premia and regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2018.03.006.
• Lee, Seung Jung & Posenau, Kelly E. & Stebunovs, Viktors, 2020, "The anatomy of financial vulnerabilities and banking crises," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2018.04.013.
• Fong, Kingsley & Krug, Juliane D. & Leung, Henry & Westerholm, Joakim P., 2020, "Determinants of household broker choices and their impacts on performance," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2019.06.005.
• Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020, "Curve momentum," Journal of Banking & Finance, Elsevier, volume 113, issue C, DOI: 10.1016/j.jbankfin.2019.105718.
• Cahill, Daniel & G. Baur, Dirk & (Frank) Liu, Zhangxin & W. Yang, Joey, 2020, "I am a blockchain too: How does the market respond to companies’ interest in blockchain?," Journal of Banking & Finance, Elsevier, volume 113, issue C, DOI: 10.1016/j.jbankfin.2020.105740.
• Aabo, Tom & Lee, Suin & Pantzalis, Christos & Park, Jung Chul, 2020, "Know thy neighbor: Political uncertainty and the informational advantage of local institutional investors," Journal of Banking & Finance, Elsevier, volume 113, issue C, DOI: 10.1016/j.jbankfin.2020.105762.
• Griffith, Todd & Roseman, Brian & Shang, Danjue, 2020, "The effects of an increase in equity tick size on stock and option transaction costs," Journal of Banking & Finance, Elsevier, volume 114, issue C, DOI: 10.1016/j.jbankfin.2020.105782.
• Kyosev, Georgi & Hanauer, Matthias X. & Huij, Joop & Lansdorp, Simon, 2020, "Does earnings growth drive the quality premium?," Journal of Banking & Finance, Elsevier, volume 114, issue C, DOI: 10.1016/j.jbankfin.2020.105785.
• Byun, Suk-Joon & Goh, Jihoon & Kim, Da-Hea, 2020, "The role of psychological barriers in lottery-related anomalies," Journal of Banking & Finance, Elsevier, volume 114, issue C, DOI: 10.1016/j.jbankfin.2020.105786.
• Lambert, Marie & Fays, Boris & Hübner, Georges, 2020, "Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods," Journal of Banking & Finance, Elsevier, volume 114, issue C, DOI: 10.1016/j.jbankfin.2020.105811.
• Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020, "Factor based commodity investing," Journal of Banking & Finance, Elsevier, volume 115, issue C, DOI: 10.1016/j.jbankfin.2020.105807.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020, "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, volume 115, issue C, DOI: 10.1016/j.jbankfin.2020.105809.
• Leung, Woon Sau & Evans, Kevin P. & Mazouz, Khelifa, 2020, "The R&D anomaly: Risk or mispricing?," Journal of Banking & Finance, Elsevier, volume 115, issue C, DOI: 10.1016/j.jbankfin.2020.105815.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2020, "Beta uncertainty," Journal of Banking & Finance, Elsevier, volume 116, issue C, DOI: 10.1016/j.jbankfin.2020.105834.
• Rahman, Dewan & Oliver, Barry & Faff, Robert, 2020, "Evidence of strategic information uncertainty around opportunistic insider purchases," Journal of Banking & Finance, Elsevier, volume 117, issue C, DOI: 10.1016/j.jbankfin.2020.105821.
• He, Wen & Li, Yan, 2020, "Comparing with the average: Reference points and market reactions to above-average earnings surprises," Journal of Banking & Finance, Elsevier, volume 117, issue C, DOI: 10.1016/j.jbankfin.2020.105824.
• Eichler, Stefan & Plaga, Timo, 2020, "The economic record of the government and sovereign bond and stock returns around national elections," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105832.
• Li, Keming, 2020, "Does Information Asymmetry Impede Market Efficiency? Evidence from Analyst Coverage," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105856.
• Kalcheva, Ivalina & Plečnik, James M. & Tran, Hai & Turkiela, Jason, 2020, "(Un)intended consequences? The impact of the 2017 tax cuts and jobs act on shareholder wealth," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105860.
• Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020, "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105875.
• Hu, Xiaolu & Shi, Jing & Wang, Lafang & Yu, Jing, 2020, "Foreign ownership in Chinese credit ratings industry: Information revelation or certification?," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105891.
• Berkman, Henk & Koch, Paul & Westerholm, P. Joakim, 2020, "Inside the director network: When directors trade or hold inside, interlock, and unconnected stocks," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105892.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020, "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105895.
• Lloyd, Simon P., 2020, "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, volume 119, issue C, DOI: 10.1016/j.jbankfin.2020.105915.
• Geertsema, Paul & Lu, Helen, 2020, "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, volume 119, issue C, DOI: 10.1016/j.jbankfin.2020.105934.
• Maio, Paulo & Silva, André C., 2020, "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, volume 120, issue C, DOI: 10.1016/j.jbankfin.2020.105956.
• Gilstrap, Collin & Petkevich, Alex & Teterin, Pavel, 2020, "Striking up with the in crowd: When option markets and insiders agree," Journal of Banking & Finance, Elsevier, volume 120, issue C, DOI: 10.1016/j.jbankfin.2020.105963.
• Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020, "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, volume 121, issue C, DOI: 10.1016/j.jbankfin.2020.105966.
• Hollstein, Fabian, 2020, "Estimating beta: The international evidence," Journal of Banking & Finance, Elsevier, volume 121, issue C, DOI: 10.1016/j.jbankfin.2020.105968.
• Gu, Chen & Kurov, Alexander, 2020, "Informational role of social media: Evidence from Twitter sentiment," Journal of Banking & Finance, Elsevier, volume 121, issue C, DOI: 10.1016/j.jbankfin.2020.105969.
• Caballé, Jordi & Dumitrescu, Ariadna, 2020, "Disclosure of corporate tax reports, tax enforcement, and price information," Journal of Banking & Finance, Elsevier, volume 121, issue C, DOI: 10.1016/j.jbankfin.2020.105978.
• Chen, Tao, 2020, "Does news affect disagreement in global markets?," Journal of Business Research, Elsevier, volume 109, issue C, pages 174-183, DOI: 10.1016/j.jbusres.2019.11.082.
• Tauni, Muhammad Zubair & Yousaf, Salman & Ahsan, Tanveer, 2020, "Investor-advisor Big Five personality similarity and stock trading performance," Journal of Business Research, Elsevier, volume 109, issue C, pages 49-63, DOI: 10.1016/j.jbusres.2019.10.055.
• Lee, Sang Mook & Jiraporn, Pornsit & Song, Hakjoon, 2020, "Customer concentration and stock price crash risk," Journal of Business Research, Elsevier, volume 110, issue C, pages 327-346, DOI: 10.1016/j.jbusres.2020.01.049.
• Xue, Xiaolin & Zhang, Junrui & Yu, Yangxin, 2020, "Distracted passive institutional shareholders and firm transparency," Journal of Business Research, Elsevier, volume 110, issue C, pages 347-359, DOI: 10.1016/j.jbusres.2020.01.033.
• Saad, Mohsen & Samet, Anis, 2020, "Collectivism and commonality in liquidity," Journal of Business Research, Elsevier, volume 116, issue C, pages 137-162, DOI: 10.1016/j.jbusres.2020.04.012.
• Hens, Thorsten & Schindler, Nilüfer, 2020, "Value and patience: The value premium in a dividend-growth model with hyperbolic discounting," Journal of Economic Behavior & Organization, Elsevier, volume 172, issue C, pages 161-179, DOI: 10.1016/j.jebo.2020.01.028.
• Kosmidou, Kyriaki & Kousenidis, Dimitrios & Ladas, Anestis & Negkakis, Christos, 2020, "Regulation of capital flows: Effects on liquidity and the role of financial reporting quality," Journal of Economic Behavior & Organization, Elsevier, volume 175, issue C, pages 86-97, DOI: 10.1016/j.jebo.2020.04.005.
• Jacobs, Heiko, 2020, "Hype or help? Journalists’ perceptions of mispriced stocks," Journal of Economic Behavior & Organization, Elsevier, volume 178, issue C, pages 550-565, DOI: 10.1016/j.jebo.2020.07.029.
• Aragón, Nicolás & Roulund, Rasmus Pank, 2020, "Confidence and decision-making in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, volume 178, issue C, pages 688-718, DOI: 10.1016/j.jebo.2020.07.032.
• Arjoon, Vaalmikki & Bhatnagar, Chandra Shekhar & Ramlakhan, Prakash, 2020, "Herding in the Singapore stock Exchange," Journal of Economics and Business, Elsevier, volume 109, issue C, DOI: 10.1016/j.jeconbus.2019.105889.
• Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020, "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14266, Jan.
• Weill, Pierre-Olivier & Hugonnier, Julien & Lester, Benjamin, 2020, "Heterogeneity in Decentralized Asset Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14274, Jan.
• Chambers, David & , & Spaenjers, Christophe, 2020, "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14357, Jan.
• ÅžimÅŸek, Alp & Iachan, Felipe Saraiva & Nenov, Plamen T., 2020, "The Choice Channel of Financial Innovation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14361, Jan.
• Gambacorta, Leonardo & Mayordomo, Sergio & Serena Garralda, Jose-Maria, 2020, "Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14419, Feb.
• Opp, Marcus & Harris, Milton & Opp, Christian, 2020, "The aggregate demand for bank capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14524, Mar.
• Braggion, Fabio & Frehen, Rik & Jerphanion, Emiel, 2020, "Credit Provision and Stock Trading: Evidence from the South Sea Bubble," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14532, Mar.
• Kacperczyk, Marcin & Bolton, Patrick, 2020, "Carbon Premium around the World," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14567, Apr.
• Kacperczyk, Marcin & Bolton, Patrick, 2020, "Do Investors Care about Carbon Risk?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14568, Apr.
• Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020, "The Maturity Premium," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14570, Apr.
• Kaniel, Ron & Israeli, Doron & Sridharan, Suhas A., 2020, "The Real Side of the High-Volume Return Premium," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14587, Apr.
• de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020, "Valuation Risk Revalued," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14588, Apr.
• Auer, Raphael & Claessens, Stijn, 2020, "Cryptocurrency market reactions to regulatory news," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14602, Apr.
• Albuquerque, Rui & Koskinen, Yrjo & Yang, Shuai & Zhang, Chendi, 2020, "Love in the Time of COVID-19: The Resiliency of Environmental and Social Stocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14661, Apr.
• Cieslak, Anna & Pang, Hao, 2020, "Common shocks in stocks and bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14708, May.
• Ehrmann, Michael & Jansen, David-Jan, 2020, "Stock Return Comovement when Investors are Distracted: More, and More Homogeneous," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14713, May.
• Van Nieuwerburgh, Stijn & Landvoigt, Tim & Elenev, Vadim, 2020, "Can the Covid Bailouts Save the Economy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14714, May.
• Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020, "Disaster Resilience and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14773, May.
• Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020, "The term structure of CIP violations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14774, May.
• Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Utkus, Stephen P., 2020, "Inside the Mind of a Stock Market Crash," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14813, May.
• Caballero, Ricardo & Simsek, Alp, 2022, "Monetary Policy with Opinionated Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14830, Jun.
• Rebucci, Alessandro & Hartley, Jonathan, 2020, "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14841, Jun.
• Weill, Pierre-Olivier, 2020, "The search theory of OTC markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14847, Jun.
• van der Ploeg, Frederick & Hambel, Christoph & Kraft, Holger, 2020, "Asset diversification versus climate action," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14863, Jun.
• Koijen, Ralph & Yogo, Motohiro, 2020, "Exchange Rates and Asset Prices in a Global Demand System," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14874, Jun.
• Koijen, Ralph & Gormsen, Niels Joachim, 2020, "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14875, Jun.
• Wagner, Alexander F. & Zeckhauser, Richard & Ziegler, Alexandre, 2020, "The Tax Cuts and Jobs Act: Which Firms Won? Which Lost?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14950, Jun.
• Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020, "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14986, Jul.
• Weber, Martin & Mueller-Dethard, Jan, 2020, "The Portfolio Composition Effect," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15012, Jul.
• Pástor, LuboÅ¡ & Vorsatz, Blair, 2020, "Mutual Fund Performance and Flows During the COVID-19 Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15033, Jul.
• Taylor, Mark & Filippou, Ilias & Gozluklu, Arie & Nguyen, My, 2020, "U.S. Populist Rhetoric and Currency Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15054, Jul.
• Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano & Wagner, Alexander F., 2022, "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15070, May.
• Bergemann, Dirk & Morris, Stephen & Heumann, Tibor, 2020, "Information, Market Power and Price Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15104, Jul.
• Cao, Shuo & Crump, Richard K. & ,, 2020, "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15122, Aug.
• Caballero, Ricardo & Simsek, Alp, 2022, "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15163, Jun.
• Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2020, "True Cost of Immediacy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15205, Aug.
• Weill, Pierre-Olivier & Kargar, Mahyar & Lester, Benjamin & Lindsay, David & Liu, Shuo & Zúñiga, Diego, 2020, "Corporate Bond Liquidity During the COVID-19 Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15231, Aug.
• Giglio, Stefano & Dew-Becker, Ian & Kelly, Bryan, 2020, "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15239, Aug.
• Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2020, "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15258, Sep.
• Taylor, Mark & Filippou, Ilias & Rapach, David & Zhou, Guofu, 2020, "Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15305, Sep.
• Taylor, Mark & Xu, Qi & Kozhan, Roman, 2020, "Prospect Theory and Currency Returns: Empirical Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15306, Sep.
• Hassan, Tarek & Zhang, Tony, 2020, "The Economics of Currency Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15313, Sep.
• Hansen, Stephen & Davis, Steven & Seminario-Amez, Cristhian, 2020, "Firm-level Risk Exposures and Stock Returns in the Wake of COVID-19," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15314, Sep.
• Korniotis, George & Bonaparte, Yosef & Kumar, Alok, 2020, "Income Risk and Stock Market Entry/Exit Decisions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15370, Oct.
• Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2020, "It’s what you say and what you buy: A holistic evaluation of the Corporate Credit Facilities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15432, Nov.
• van Wijnbergen, Sweder & Olijslagers, Stan & de Vette, Nander, 2020, "Debt sustainability when r - g," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15478, Nov.
• Dumas, Bernard & Savioz, Marcel René, 2020, "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15507, Dec.
• Ongena, Steven & Antoniou, Fabio & Delis, Manthos & Tsoumas, Christos, 2020, "Pollution permits and financing costs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15517, Dec.
• Dahlquist, Magnus & Ibert, Markus & Wilke, Felix, 2020, "Expectations of Active Mutual Fund Performance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15548, Dec.
• Acharya, Viral & Johnson, Timothy & Sundaresan, Suresh & Zheng, Steven, 2020, "The Value of a Cure: An Asset Pricing Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15558, Dec.
• Vayanos, Dimitri & Jiang, Hao & Zheng, Lu, 2020, "Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15563, Dec.
• Della Corte, Pasquale & Cenedese, Gino & Wang, Tianyu, 2020, "Currency Mispricing and Dealer Balance Sheets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15569, Dec.
• Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020, "Pricing Currency Risks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15571, Dec.
• Bouchaud, Jean-Philippe & Farmer, Roger, 2022, "Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15573, Apr.
• Born, Benjamin & Dovern, Jonas & Enders, Zeno, 2022, "Expectation dispersion, uncertainty, and the reaction to news," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15581, Feb.
• Vissing-Jørgensen, Annette, 2020, "Informal Central Bank Communication," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15603, Dec.
• Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020, "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15610, Dec.
• Leonid Kogan & Dimitris Papanikolaou & Lawrence D. W. Schmidt & Jae Song, 2020, "Technological Innovation and Labor Income Risk," Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research, number 202010, Jun.
• Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020, "Bet against the trend and cash in profits," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def090, Oct.
• Ramos, Sofía B. & Taamouti, Abderrahim & Lopes Moreira da Veiga, María Helena & Wang, Chih-Wei, 2020, "Quantile Consumption-Capital Asset Pricing," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 30332, May.
• Lopes Moreira da Veiga, María Helena & Peeters, Ronald & Vorstaz, Marc, 2022, "An experimental analysis of contagion in financial markets," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31230, Oct.
• Takahiro Hattori & Jiro Yoshida, 2020, "The Bank of Japan as a Real Estate Tycoon: Large-Scale REIT Purchases," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2020_003, Mar.
• Gaofeng Han & Hui Miao & Yabin Wang, 2020, "Liquidity of China government bond market: Measures and Driving Forces," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2020_030, Dec.
• Júlio Lobão & Ana Isabel Costa, 2020, "Do Fixed-Income ETFs Overreact? Evidence of Short-term Predictability following Extreme Price Shocks," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 43, issue 122, pages 131-144, Mayo.
• Carmen badía batlle & Merche galisteo rodríguez & Teresa Preixens benedicto, 2020, "valor razonable de un swap: CVA y D VA. Una aproximación binomial," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 43, issue 122, pages 229-242, Mayo.
• Johannes K. Dreyer & Johannes Schneider & William T. Smith, 2020, "Saving-Based Asset Pricing and Leisure," Annals of Economics and Finance, Society for AEF, volume 21, issue 2, pages 507-526, November.
• Dashan Huang & Jiangyuan Li & Liyao Wang & Guofu Zhou, 2020, "Time series momentum: Is it there?," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 717.
• Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2020, "Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 55, issue 1, pages 159-192, February.
• Czupryna, Marcin & Jakubczyk, Michał & Oleksy, Paweł, 2020, "Order Book Dynamics of Fine Wine Exchange," Journal of Wine Economics, Cambridge University Press, volume 15, issue 4, pages 403-411, November.
• Xiaohong Chen & Lars P. Hansen & Peter G. Hansen, 2020, "Robust Identification of Investor Beliefs," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2236, May.
• Stephanie Ettmeier & Chi Hyun Kim & Alexander Kriwoluzky, 2020, "Financial Market Participants Expect the Coronavirus Pandemic to Have Long-Lasting Economic Impact in Europe," DIW Weekly Report, DIW Berlin, German Institute for Economic Research, volume 10, issue 19/20, pages 243-250.
• Stephanie Ettmeier & Chi Hyun Kim & Alexander Kriwoluzky, 2020, "Finanzmärkte erwarten langanhaltende wirtschaftliche Auswirkungen der Corona-Pandemie in Europa," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 87, issue 20, pages 347-354.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020, "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1866.
• Mark Mink & Rodney Ramcharan & Iman van Lelyveld, 2020, "How banks respond to distress: Shifting risks in Europe's banking union," Working Papers, DNB, number 669, Jan.
• Joost Bats & Massimo Giuliodori & Aerdt Houben, 2020, "Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?," Working Papers, DNB, number 694, Oct.
• Rui Dias & Paula Heliodoro & Paulo Alexandre, 2020, "Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis," Journal of Innovative Business and Management, DOBA Faculty, volume 12, issue 2, pages 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19.
• Pauline Gandré, 2020, "Learning, house prices and macro-financial linkages," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2020-10.
• Honkanen, Pekka, 2020, "Securities Lending and Trading by Active and Passive Funds," HEC Research Papers Series, HEC Paris, number 1390, Oct, DOI: 10.2139/ssrn.3679808.
• Ampudia, Miguel & Baumann, Ursel & Fornari, Fabio, 2020, "Coronavirus (COVID-19): market fear as implied by options prices," Economic Bulletin Boxes, European Central Bank, volume 4.
• Ampudia, Miguel & Kapp, Daniel & Kristiansen, Kristian & Nicolay, Cornelius, 2020, "Euro area equity markets and shifting expectations for an economic recovery," Economic Bulletin Boxes, European Central Bank, volume 5.
• d'Avernas, Adrien & Vandeweyer, Quentin & Darracq Pariès, Matthieu, 2020, "The growth of non-bank finance and new monetary policy tools," Research Bulletin, European Central Bank, volume 69.
• d'Avernas, Adrien & Vandeweyer, Quentin & Darracq Pariès, Matthieu, 2020, "Unconventional monetary policy and funding liquidity risk," Working Paper Series, European Central Bank, number 2350, Jan.
• Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020, "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series, European Central Bank, number 2369, Feb.
• Grothe, Magdalena & Zeyer, Jana, 2020, "Risk characteristics of covered bonds: monitoring beyond ratings," Working Paper Series, European Central Bank, number 2393, Apr.
• Ferdinandusse, Marien & Freier, Maximilian & Ristiniemi, Annukka, 2020, "Quantitative easing and the price-liquidity trade-off," Working Paper Series, European Central Bank, number 2399, May.
• Ehrmann, Michael & Jansen, David-Jan, 2020, "Stock return comovement when investors are distracted: more, and more homogeneous," Working Paper Series, European Central Bank, number 2412, May.
• Camba-Méndez, Gonzalo, 2020, "On the inflation risks embedded in sovereign bond yields," Working Paper Series, European Central Bank, number 2423, Jun.
• Wolswijk, Guido, 2020, "Drivers of European public debt management," Working Paper Series, European Central Bank, number 2437, Jul.
• Benmir, Ghassane & Jaccard, Ivan & Vermandel, Gauthier, 2020, "Green asset pricing," Working Paper Series, European Central Bank, number 2477, Oct.
• Corradin, Stefano & Eisenschmidt, Jens & Hoerova, Marie & Linzert, Tobias & Schepens, Glenn & Sigaux, Jean-David, 2020, "Money markets, central bank balance sheet and regulation," Working Paper Series, European Central Bank, number 2483, Oct.
• Kristiansen, Kristian & Hvid, Anna Kirstine, 2020, "How news affects sectoral stock prices through earnings expectations and risk premia," Working Paper Series, European Central Bank, number 2493, Nov.
• Howard, Greg & Liebersohn, Jack, 2020, "Regional Divergence and House Prices," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2020-04, May.
• Ma, Sai & Zhang, Shaojun, 2020, "Housing Risk and the Cross-Section of Returns across Many Asset Classes," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2020-08, May.
• Birru, Justin & Young, Trevor, 2020, "Sentiment and Uncertainty," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2020-10, May, DOI: 10.2139/ssrn.3601933.