Research classified by Journal of Economic Literature (JEL) codes

2021

• Junkyu Lee & Peter Rosenkranz & Arief Ramayandi & Hoang Pham, 2021, "The Influence of US Dollar Funding Conditions on Asian Financial Markets," ADB Economics Working Paper Series, Asian Development Bank, number 634, Mar.
• Yan Luo & Shu Tian & Hao Yang, 2021, "Green Bonds, Air Quality, and Mortality: Evidence from the People’s Republic of China," ADB Economics Working Paper Series, Asian Development Bank, number 641, Dec.
• Ahmed Baig & Hassan Anjum Butt & Abrar Fitwi & Joey Smith, 2021, "Does Innovation Explain the Skewness of Stock Returns?," American Business Review, Pompea College of Business, University of New Haven, volume 24, issue 2, pages 12-31.
• Dong-Jin Pyo, 2021, "The COVID-19 and Stock Return Volatility: Evidence from South Korea," East Asian Economic Review, Korea Institute for International Economic Policy, volume 25, issue 2, pages 205-230, DOI: 10.11644/KIEP.EAER.2021.25.2.396.
• Sangil Bae & Minsoo Jeong, 2021, "Forecasting KOSPI Return Using a Modified Stochastic AdaBoosting," East Asian Economic Review, Korea Institute for International Economic Policy, volume 25, issue 4, pages 403-424, DOI: 10.11644/KIEP.EAER.2021.25.4.402.
• Indra Darmawan & Hermanto Siregar & Dedi B. Hakim & Adler H. Manurung, 2021, "Crude Oil Price Movement and Stock Market Trading Activity: Evidence from Indonesia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 74, issue 1, pages 25-46.
• Abdulnasser Hatemi-J & Viyan Taha, 2021, "Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 74, issue 4, pages 537-546.
• Ervina Rahmadila & Slamet Haryono, 2021, "The Determinant of Sharia Banking Performance through Financing to Deposit Ratio as Moderator," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, volume 5, issue 2, pages 155-168.
• Ibnu Muhdir, 2021, "The Law of Trading at the Mid of the Friday Praying," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, volume 5, issue 2, pages 141-154.
• Shafiu Ibrahim Abdullahi, 2021, "Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), volume 29, pages 50-66.
• Parvaneh kamali Dehkordi, 2021, "Analysis of the Effect of Currency Shock, Economic Sanctions and Oil Prices on the Housing Market (Using Structural Vector-Autoregressive SVAR)," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 7, issue 4, pages 27-56.
• Óscar Martínez, 2021, "Rational Bubbles and the S&P 500. An empirical approach," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 35, pages 135-158.
• Weiwei ZHANG & Tiezhu SUN & Yechi MA & Zilong WANG, 2021, "New Evidence on the Information Content of Implied Volatility of S&P 500: Model-Free versus Model-Based," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 109-121, December.
• Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021, "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 48-70, December.
• Tihana ŠKRINJARIĆ & Lidija DEDI & Boško ŠEGO, 2021, "Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 93-108, December.
• Rafiqul Bhuyan & Mohammad Robbani & Bakhtear Talukder, 2021, "Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries," Bulletin of Applied Economics, Risk Market Journals, volume 8, issue 1, pages 149-165.
• Giovanni Carnazza & Nicola Caravaggio, 2021, "The Italian nominal interest rate conundrum: a problem of growth or public finance?," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0265, Nov.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CEIS Research Paper, Tor Vergata University, CEIS, number 510, Mar, revised 11 Mar 2021.
• Marianna Brunetti & Roberta De Luca, 2021, "Pairs Trading In The Index Options Market," CEIS Research Paper, Tor Vergata University, CEIS, number 512, Sep, revised 02 Sep 2021.
• Tanweer Akram, 2021, "A Note Concerning the Dynamics of Government Bond Yields," The American Economist, Sage Publications, volume 66, issue 2, pages 323-339, October, DOI: 10.1177/0569434520988275.
• Ly Ho & Yue Lu & Min Bai, 2021, "Liquidity and speed of leverage adjustment," Australian Journal of Management, Australian School of Business, volume 46, issue 1, pages 76-109, February, DOI: 10.1177/0312896220918913.
• Leon Li & Nen-Chen Richard Hwang & Gilbert V Nartea, 2021, "Earnings management and earnings predictability: A quantile regression approach," Australian Journal of Management, Australian School of Business, volume 46, issue 3, pages 389-408, August, DOI: 10.1177/0312896220945759.
• Lee A. Smales, 2021, "Policy uncertainty in Australian financial markets," Australian Journal of Management, Australian School of Business, volume 46, issue 3, pages 523-547, August, DOI: 10.1177/0312896220959120.
• Nurin Haniah Asmuni & Ken Seng Tan, 2021, "Exploring the Yield Spread Between Sukuk and Conventional Bonds in Malaysia," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 20, issue 2, pages 165-191, August, DOI: 10.1177/0972652720969519.
• Nilesh Gupta & Joshy Jacob, 2021, "The Interplay Between Sentiment and MAX: Evidence from an Emerging Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 20, issue 2, pages 192-217, August, DOI: 10.1177/0972652720969511.
• Christophe Schinckus & Dang Pham Thien Duy & Nguyen Phuc Canh, 2021, "Interdependences Between Cryptocurrencies: A Network Analysis from 2013 to 2018," Journal of Interdisciplinary Economics, , volume 33, issue 2, pages 190-199, July, DOI: 10.1177/0260107920938559.
• D. Belykh N. & Д. Белых Н., 2021, "Сегментарная модель сопоставления стоимости организаций (полезность деятельности) // Segmental Model for Comparing the Value of Organizations (Utility-based)," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, volume 25, issue 1, pages 103-119.
• Stefano Mengoli & Marco Pagano & Pierpaolo Pattitoni, 2021, "The Geography of Investor Attention," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 630, Nov, revised 27 Mar 2024.
• Francisco Queirós, 2021, "The Real Side of Financial Exuberance: Bubbles, Output and Productivity at the Industry Level," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 632, Dec.
• Minjie Deng & Chang Liu, 2021, "Sovereign Risk and Intangible Investment," Discussion Papers, Department of Economics, Simon Fraser University, number dp21-16, Dec.
• Kay Chung & Michael G. Papaioannou, 2021, "Do Enhanced Collective Action Clauses Affect Sovereign Borrowing Costs?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 15, pages 59-87, October.
• Matthias Pöferlein, 2021, "Sentiment Analysis of German Texts in Finance: Improving and Testing the BPW Dictionary," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 16, pages 5-24, December.
• Richard Van Horne & Katarzyna Perez, 2021, "Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 16, pages 91-103, December.
• Jens H. E. Christensen & Nikola Mirkov, 2021, "The safety premium of safe assets," Working Papers, Swiss National Bank, number 2021-02.
• Thomas Nitschka & Shajivan Satkurunathan, 2021, "Habits die hard: implications for bond and stock markets internationally," Working Papers, Swiss National Bank, number 2021-08.
• Martin Indergand & Gabriela Hrasko, 2021, "Does the market believe in loss-absorbing bank debt?," Working Papers, Swiss National Bank, number 2021-13.
• Lucas Marc Fuhrer & Matthias Jüttner & Jan Wrampelmeyer & Matthias Zwicker, 2021, "Reserve tiering and the interbank market," Working Papers, Swiss National Bank, number 2021-17.
• Nicole Allenspach & Oleg Reichmann & Javier Rodriguez-Martin, 2021, "Are banks still 'too big to fail'? - A market perspective," Working Papers, Swiss National Bank, number 2021-18.
• Godfrey Marozva & Margaret Rutendo Magwedere, 2021, "Nexus Between Stock Returns, Funding Liquidity and COVID-19," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 71, issue 3-4, pages 86-100, July-Dece.
• Xuan Vinh Vo & Thi Tuan Anh Tran, 2021, "Higher-order comoments and asset returns: evidence from emerging equity markets," Annals of Operations Research, Springer, volume 297, issue 1, pages 323-340, February, DOI: 10.1007/s10479-020-03549-0.
• Hasan Fallahgoul & Gregoire Loeper, 2021, "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, volume 299, issue 1, pages 1253-1280, April, DOI: 10.1007/s10479-019-03204-3.
• Alessandra Cretarola & Gianna Figà-Talamanca, 2021, "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, volume 299, issue 1, pages 459-479, April, DOI: 10.1007/s10479-019-03321-z.
• Chinnadurai Kathiravan & Murugesan Selvam & Sankaran Venkateswar & S. Balakrishnan, 2021, "Investor behavior and weather factors: evidences from Asian region," Annals of Operations Research, Springer, volume 299, issue 1, pages 349-373, April, DOI: 10.1007/s10479-019-03335-7.
• Muhammad Ali Nasir & Alaa M. Soliman & Muhammad Shahbaz, 2021, "Operational aspect of the policy coordination for financial stability: role of Jeffreys–Lindley’s paradox in operations research," Annals of Operations Research, Springer, volume 306, issue 1, pages 57-81, November, DOI: 10.1007/s10479-020-03648-y.
• Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021, "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, volume 307, issue 1, pages 37-51, December, DOI: 10.1007/s10479-021-04298-4.
• Gregory Price & Warren Whatley, 2021, "Did profitable slave trading enable the expansion of empire?: The Asiento de Negros, the South Sea Company and the financial revolution in Great Britain," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), volume 15, issue 3, pages 675-718, September, DOI: 10.1007/s11698-020-00219-w.
• Gaetano Bua & Daniele Marazzina, 2021, "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, volume 18, issue 2, pages 149-176, June, DOI: 10.1007/s10287-021-00388-7.
• Massimo Arnone & Michele Leonardo Bianchi & Anna Grazia Quaranta & Gian Luca Tassinari, 2021, "Catastrophic risks and the pricing of catastrophe equity put options," Computational Management Science, Springer, volume 18, issue 2, pages 213-237, June, DOI: 10.1007/s10287-021-00391-y.
• Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2021, "Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 1, pages 57-72, June, DOI: 10.1007/s10203-020-00287-7.
• Lennart Ante & André Meyer, 2021, "Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 957-980, December, DOI: 10.1007/s10203-021-00323-0.
• Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021, "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 883-903, December, DOI: 10.1007/s10203-021-00324-z.
• Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021, "Speculative asset price dynamics and wealth taxes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 641-667, December, DOI: 10.1007/s10203-021-00340-z.
• Roberto Dieci & Xue-Zhong He, 2021, "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 727-754, December, DOI: 10.1007/s10203-021-00348-5.
• Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Gilles Dufrénot & Takashi Matsuki, "Recent Econometric Techniques for Macroeconomic and Financial Data", DOI: 10.1007/978-3-030-54252-8_9.
• Moh’d Al-Azzam & Christopher Parmeter, 2021, "Competition and microcredit interest rates: international evidence," Empirical Economics, Springer, volume 60, issue 2, pages 829-868, February, DOI: 10.1007/s00181-019-01766-6.
• Giovanni Calice & Levent Kutlu & Ming Zeng, 2021, "Understanding US firm efficiency and its asset pricing implications," Empirical Economics, Springer, volume 60, issue 2, pages 803-827, February, DOI: 10.1007/s00181-019-01775-5.
• Siwen Zhou, 2021, "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, volume 60, issue 2, pages 557-606, February, DOI: 10.1007/s00181-019-01776-4.
• Walter Krämer, 2021, "Asymmetry in the distribution of daily stock returns," Empirical Economics, Springer, volume 60, issue 3, pages 1115-1125, March, DOI: 10.1007/s00181-019-01791-5.
• Tong Fang & Zhi Su & Libo Yin, 2021, "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, volume 60, issue 5, pages 2155-2176, May, DOI: 10.1007/s00181-020-01843-1.
• Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021, "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, volume 61, issue 2, pages 947-972, August, DOI: 10.1007/s00181-020-01896-2.
• Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021, "Market news co-moments and currency returns," Empirical Economics, Springer, volume 61, issue 4, pages 1819-1863, October, DOI: 10.1007/s00181-020-01951-y.
• Kyriakos Drivas & Claire Economidou & Elena Ketteni & Konstantina Kottaridi, 2021, "Firms’ knowledge investment and market responses," Empirical Economics, Springer, volume 61, issue 5, pages 2363-2394, November, DOI: 10.1007/s00181-020-01957-6.
• Yun Feng & Xin Li, 2021, "Does cross-shareholding lead to China's stock returns comovement? Evidence from a GMM-based spatial AR model," Empirical Economics, Springer, volume 61, issue 6, pages 3213-3237, December, DOI: 10.1007/s00181-020-02002-2.
• Alan Beggs, 2021, "Afriat and arbitrage," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 9, issue 2, pages 167-176, October, DOI: 10.1007/s40505-021-00208-w.
• Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021, "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 11, issue 1, pages 43-83, March, DOI: 10.1007/s40822-020-00160-3.
• Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021, "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 11, issue 1, pages 25-42, March, DOI: 10.1007/s40822-021-00166-5.
• Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021, "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-22, December, DOI: 10.1186/s40854-020-00224-y.
• Özer Depren & Mustafa Tevfik Kartal & Serpil Kılıç Depren, 2021, "Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-20, December, DOI: 10.1186/s40854-021-00245-1.
• Serdar Neslihanoglu, 2021, "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-27, December, DOI: 10.1186/s40854-021-00247-z.
• David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021, "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-25, December, DOI: 10.1186/s40854-021-00274-w.
• Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021, "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-27, December, DOI: 10.1186/s40854-021-00291-9.
• Paolo Guasoni & Yuliya Mishura & Miklós Rásonyi, 2021, "High-frequency trading with fractional Brownian motion," Finance and Stochastics, Springer, volume 25, issue 2, pages 277-310, April, DOI: 10.1007/s00780-020-00439-y.
• Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021, "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, volume 25, issue 2, pages 231-275, April, DOI: 10.1007/s00780-021-00449-4.
• Jan Obłój & Johannes Wiesel, 2021, "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, volume 25, issue 3, pages 427-468, July, DOI: 10.1007/s00780-021-00454-7.
• Marcus C. Christiansen, 2021, "Time-dynamic evaluations under non-monotone information generated by marked point processes," Finance and Stochastics, Springer, volume 25, issue 3, pages 563-596, July, DOI: 10.1007/s00780-021-00456-5.
• Peter Carr & Lorenzo Torricelli, 2021, "Additive logistic processes in option pricing," Finance and Stochastics, Springer, volume 25, issue 4, pages 689-724, October, DOI: 10.1007/s00780-021-00461-8.
• Gianluca Cassese, 2021, "Complete and competitive financial markets in a complex world," Finance and Stochastics, Springer, volume 25, issue 4, pages 659-688, October, DOI: 10.1007/s00780-021-00463-6.
• 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(0x73c3b218).
• 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.