Research classified by Journal of Economic Literature (JEL) codes

2021

• Macías-Trejo, L. Guadalupe & Valdemar, Oscar & López-Herrera, Francisco, 2021, "Beneficios de la inversión socialmente responsable sobre las SIEFORES tipo cuatro: análisis con el algoritmo de optimización de Martin," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 16, issue 54, pages 9-32, Primer se.
• Jorge M. Uribe & Montserrat Guillen & Xenxo Vidal-Llana, 2021, ""Rethinking Asset Pricing with Quantile Factor Models"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202104, Mar, revised Mar 2021.
• Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2021, ""Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202118, Dec, revised Dec 2021.
• Katlego Kola & Tumellano Sebehela, 2021, "Market The (De)merits of using Integral Transforms in Predicting Structural Break Points," International Real Estate Review, Global Social Science Institute, volume 24, issue 3, pages 405-467.
• Vitor H. Carvalho & Raquel M. Gaspar, 2021, "Relativistically into Finance," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0175, May.
• Carlos Alberto Piscarreta Pinto Ferreira, 2021, "Does Public Debt Ownership Structure Matter for a Borrowing Country?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0190, Aug.
• Hongwei Chuang, 2021, "How Much Does Nominal Share Price Matter?," Working Papers, Research Institute, International University of Japan, number EMS_2021_01, Feb.
• Hongwei Chuang, 2021, "Momentum Has Its Own Values," Working Papers, Research Institute, International University of Japan, number EMS_2021_02, Feb.
• Agnese, Pablo & Thoss, Jonathan, 2021, "New Moneys under the New Normal? Bitcoin and Gold Interdependence during COVID Times," IZA Discussion Papers, IZA Network @ LISER, number 14323, Apr.
• Sangwon Suh, 2021, "A Filtering Strategy for Improving Charateristics-Based Portfolios," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 46, issue 2, pages 119-153, June, DOI: 10.35866/caujed.2021.46.2.004.
• Fischer Henning & Stolper Oscar, 2021, "The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 241, issue 2, pages 187-238, April, DOI: 10.1515/jbnst-2020-0002.
• Fatica, Serena & Panzica, Roberto, 2021, "Sustainable investing in times of crisis: evidence from bond holdings and the COVID-19 pandemic," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2021-07, Aug.
• Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021, "When do investors go green? Evidence from a time-varying asset-pricing model," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2021-13, Dec.
• Zongwu Cai & Jiazi Chen & Linlin Liu, 2021, "Estimating Impact of Age Distribution on Bond Pricing: A Semiparametric Functional Data Analysis Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202102, Jan, revised Jan 2021.
• Michele Berardi, 2021, "Learning from prices: information aggregation and accumulation in an asset market," Annals of Finance, Springer, volume 17, issue 1, pages 45-77, March, DOI: 10.1007/s10436-020-00378-w.
• Katsuhiro Oshima, 2021, "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, volume 17, issue 1, pages 79-125, March, DOI: 10.1007/s10436-020-00379-9.
• Alexander Melnikov & Hongxi Wan, 2021, "On modifications of the Bachelier model," Annals of Finance, Springer, volume 17, issue 2, pages 187-214, June, DOI: 10.1007/s10436-020-00381-1.
• Joel M. Vanden, 2021, "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, volume 17, issue 2, pages 153-186, June, DOI: 10.1007/s10436-021-00383-7.
• José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2021, "A volatility smile-based uncertainty index," Annals of Finance, Springer, volume 17, issue 2, pages 231-246, June, DOI: 10.1007/s10436-021-00384-6.
• Asgar Ali & K. N. Badhani, 2021, "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 1, pages 55-78, March, DOI: 10.1007/s10690-020-09316-2.
• Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma, 2021, "Size Effect in Indian Equity Market: Myth or Reality?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 1, pages 101-119, March, DOI: 10.1007/s10690-020-09318-0.
• Cesario Mateus & Bao Trung Hoang, 2021, "Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 4, pages 499-526, December, DOI: 10.1007/s10690-021-09333-9.
• Zhou Lu & Te Bao & Xiaohua Yu, 2021, "Gender and Bubbles in Experimental Markets with Positive and Negative Expectation Feedback," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 1307-1326, April, DOI: 10.1007/s10614-020-10020-6.
• Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2021, "Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach," Computational Economics, Springer;Society for Computational Economics, volume 58, issue 2, pages 347-394, August, DOI: 10.1007/s10614-020-10031-3.
• Eftichios S. Sartzetakis, 2021, "Green bonds as an instrument to finance low carbon transition," Economic Change and Restructuring, Springer, volume 54, issue 3, pages 755-779, August, DOI: 10.1007/s10644-020-09266-9.
• Solène Collot & Tobias Hemauer, 2021, "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 1, pages 77-100, March, DOI: 10.1007/s11408-020-00358-0.
• Guglielmo Maria Caporale & Alex Plastun, 2021, "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 3, pages 353-368, September, DOI: 10.1007/s11408-021-00380-w.
• Giovanni Campisi & Silvia Muzzioli, 2021, "Designing volatility indices for Austria, Finland and Spain," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 3, pages 369-455, September, DOI: 10.1007/s11408-021-00381-9.
• Milot Hasaj & Bernd Scherer, 2021, "Covid-19 and smart beta," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 35, issue 4, pages 515-532, December, DOI: 10.1007/s11408-021-00383-7.
• Akaki Tsomaia, 2021, "Asset bubbles, financial sector, and current challenges to regulatory framework," International Economics and Economic Policy, Springer, volume 18, issue 4, pages 901-925, October, DOI: 10.1007/s10368-021-00508-3.
• Frederick Ploeg, 2021, "Carbon pricing under uncertainty," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 28, issue 5, pages 1122-1142, October, DOI: 10.1007/s10797-021-09686-x.
• Xi Fu & Xiaoxi Wu & Zhifang Zhang, 2021, "The Information Role of Earnings Conference Call Tone: Evidence from Stock Price Crash Risk," Journal of Business Ethics, Springer, volume 173, issue 3, pages 643-660, October, DOI: 10.1007/s10551-019-04326-1.
• Zhichuan Frank Li & Saurin Patel & Srikanth Ramani, 2021, "The Role of Mutual Funds in Corporate Social Responsibility," Journal of Business Ethics, Springer, volume 174, issue 3, pages 715-737, December, DOI: 10.1007/s10551-020-04618-x.
• Antje Berndt & Burton Hollifield & Patrik Sandås, 2021, "What Broker Charges Reveal About Subprime Mortgage Credit Risk," The Journal of Real Estate Finance and Economics, Springer, volume 63, issue 2, pages 280-326, August, DOI: 10.1007/s11146-020-09774-5.
• Stanimira Milcheva & Yildiray Yildirim & Bing Zhu, 2021, "Distance to Headquarter and Real Estate Equity Performance," The Journal of Real Estate Finance and Economics, Springer, volume 63, issue 3, pages 327-353, October, DOI: 10.1007/s11146-020-09767-4.
• Jianhua Gang & Liang Peng & Jinfan Zhang, 2021, "Are Pricier Houses Less Risky? Evidence from China," The Journal of Real Estate Finance and Economics, Springer, volume 63, issue 4, pages 662-677, November, DOI: 10.1007/s11146-020-09792-3.
• Hannes Mohrschladt & Judith C. Schneider, 2021, "Idiosyncratic volatility, option-based measures of informed trading, and investor attention," Review of Derivatives Research, Springer, volume 24, issue 3, pages 197-220, October, DOI: 10.1007/s11147-021-09175-7.
• Nusret Cakici & Sris Chatterjee & Yi Tang & Lin Tong, 2021, "Alternative profitability measures and cross-section of expected stock returns: international evidence," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 1, pages 369-391, January, DOI: 10.1007/s11156-020-00897-7.
• Nancy L. Harp & Kevin H. Kim & Derek K. Oler, 2021, "A bold move or biting off more than they can chew: examining the performance of small acquirers," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 2, pages 393-422, February, DOI: 10.1007/s11156-020-00893-x.
• Vitor Azevedo & Patrick Bielstein & Manuel Gerhart, 2021, "Earnings forecasts: the case for combining analysts’ estimates with a cross-sectional model," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 2, pages 545-579, February, DOI: 10.1007/s11156-020-00902-z.
• A. Hachicha & F. Hachicha, 2021, "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 2, pages 647-673, February, DOI: 10.1007/s11156-020-00905-w.
• Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 2021, "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 3, pages 849-889, April, DOI: 10.1007/s11156-020-00911-y.
• Mohamed S. Ahmed & John A. Doukas, 2021, "Revisiting disposition effect and momentum: a quantile regression perspective," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 3, pages 1087-1128, April, DOI: 10.1007/s11156-020-00919-4.
• Sonnan Chen & Yuchi Gu, 2021, "Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 4, pages 1357-1397, May, DOI: 10.1007/s11156-020-00925-6.
• Yiannis Karavias & Stella Spilioti & Elias Tzavalis, 2021, "Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 4, pages 1593-1621, May, DOI: 10.1007/s11156-020-00937-2.
• Cheng Jiang & Kose John & David Larsen, 2021, "R&D investment intensity and jump volatility of stock price," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 1, pages 235-277, July, DOI: 10.1007/s11156-020-00944-3.
• Gurdip Bakshi & Charles Cao & Zhaodong (Ken) Zhong, 2021, "Assessing models of individual equity option prices," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 1, pages 1-28, July, DOI: 10.1007/s11156-020-00951-4.
• Yashu Dong & Danqing Young & Yinglei Zhang, 2021, "Familiarity bias and earnings-based equity valuation," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 2, pages 795-818, August, DOI: 10.1007/s11156-020-00949-y.
• Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021, "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 3, pages 929-958, October, DOI: 10.1007/s11156-021-00966-5.
• Prodosh Simlai, 2021, "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 4, pages 1487-1517, November, DOI: 10.1007/s11156-021-00985-2.
• Sam-Ho Lee, 2021, "Credit Constraint and Excess Return: The Case of Chonsei Leases in Korea," Korean Economic Review, Korean Economic Association, volume 37, pages 157-197.
• Jinyong Kim & Kun Ho Kim & Jeong Hwan Lee, 2021, "Efficient Mimicking Portfolios in Asset Pricing Tests," Korean Economic Review, Korean Economic Association, volume 37, pages 399-417.
• Shigenori Shiratsuka, 2021, "Monetary Policy Effectiveness under the Ultra-Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number 2021-012, Jun.
• Neszveda, Gábor & Vágó, Ákos, 2021, "A likviditásnyújtás kereskedési stratégiájának hozamvizsgálata a magyar részvénypiacon
  [Examining trade-strategy results of liquidity provision on the Hungarian stock market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 794-814, DOI: 10.18414/KSZ.2021.7-8.794.
• Till, Gábor, 2021, "Az árfolyam-nyereség arány szerepe a német tőzsdei kereskedésben
  [The role of the P/E ratio in trading on the German stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 815-846, DOI: 10.18414/KSZ.2021.7-8.815.
• Rüdiger Weber & Annika Weber & Christine Laudenbach & Johannes Wohlfart, 2021, "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," CEBI working paper series, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI), number 21-17, Nov.
• Maya Jalloul & Mirela Miescu, 2021, "Equity Market Connectedness across Regimes of Geopolitical Risks," Working Papers, Lancaster University Management School, Economics Department, number 324219805.
• Matthieu PICAULT & Julien PINTER & Thomas RENAULT, 2021, "Media sentiment on monetary policy: determinants and relevance for inflation expectations," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2895.
• Tanweer Akram & Syed Al-Helal Uddin, 2021, "The Empirics of Long-Term Mexican Government Bond Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_984, Feb.
• Tanweer Akram, 2021, "A Keynesian Approach to Modeling the Long-Term Interest Rate," Economics Working Paper Archive, Levy Economics Institute, number wp_988, Jun.
• Tanweer Akram, 2021, "Multifactor Keynesian Models of the Long-Term Interest Rate," Economics Working Paper Archive, Levy Economics Institute, number wp_991, Jul.
• Rokas Kaminskas & Modestas Stukas & Linas Jurksas, 2021, "ECB Communication: What Is It Telling Us?," Bank of Lithuania Discussion Paper Series, Bank of Lithuania, number 25, May.
• Soroosh Soofi-Siavash & Emanuel Moench, 2021, "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 88, Mar.
• Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021, "The political reception of innovations," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 2107.
• Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2021, "Does it Matter where you Search? Twitter versus Traditional News Media," Discussion Paper Series, Department of Economics, University of Macedonia, number 2021_04, Feb, revised Feb 2021.
• Josef Pavlata & Petr Strejček & Peter Albrecht & Martin Širůček, 2021, "The Empirical Linkage between Oil Prices and the Stock Returns of Oil Companies," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 7, issue 2, pages 186-197, DOI: 10.11118/ejobsat.2021.016.
• Jan Hanousek & Christos Pantzalis & Jung Chul Park, 2021, "Political Insider Trading: A narrow versus comprehensive approach," MENDELU Working Papers in Business and Economics, Mendel University in Brno, Faculty of Business and Economics, number 2021-77, Apr.
• Klaudia Radoczy & Akos Toth-Pajor, 2021, "Investors' Reactions to Extreme Events in the Hungarian Stock Market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 20, issue 3, pages 5-30.
• Marek Sojka, 2021, "PEAD na polskim rynku akcji," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 2, pages 143-166.
• Agata Gniadkowska-Szymańska, 2021, "Liquidity of assets and liquidity of shares: the example of the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 1, pages 1-22.
• Jędrzej Białkowski & Anna Sławik, 2021, "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 4, pages 319-338.
• Szymon Stereńczak, 2021, "Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 6, pages 545-576.
• Michael Barnett & William Brock & Lars Peter Hansen, 2021, "Climate Change Uncertainty Spillover in the Macroeconomy," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2021, volume 36".
• Pierpaolo Benigno & Linda M. Schilling & Harald Uhlig, 2021, "Cryptocurrencies, Currency Competition, and the Impossible Trinity," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2021".
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2021".
• Itay Goldstein & Chester S Spatt & Mao Ye, 2021, "Big Data in Finance," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Hedi Benamar & Thierry Foucault & Clara Vega, 2021, "Demand for Information, Uncertainty, and the Response of US Treasury Securities to News," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Stefano Giglio & Yuan Liao & Dacheng Xiu, 2021, "Thousands of Alpha Tests," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2021, "Stock Prices and Economic Activity in the Time of Coronavirus," NBER Working Papers, National Bureau of Economic Research, Inc, number 28320, Jan.
• Kerry Back & Bruce I. Carlin & Seyed Mohammad Kazempour, 2021, "The Asset Pricing Implications of Plausible Deniability," NBER Working Papers, National Bureau of Economic Research, Inc, number 28348, Jan.
• Aifan Ling & Jianjun Miao & Neng Wang, 2021, "Robust Financial Contracting and Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 28367, Jan.
• Itzhak Ben-David & Francesco Franzoni & Byungwook Kim & Rabih Moussawi, 2021, "Competition for Attention in the ETF Space," NBER Working Papers, National Bureau of Economic Research, Inc, number 28369, Jan.
• Pooya Molavi & Alireza Tahbaz-Salehi & Andrea Vedolin, 2021, "Model Complexity, Expectations, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 28408, Jan.
• Joseph E. Stiglitz, 2021, "Economic Fluctuations and Pseudo-Wealth," NBER Working Papers, National Bureau of Economic Research, Inc, number 28415, Jan.
• Alp Simsek, 2021, "The Macroeconomics of Financial Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 28426, Feb.
• Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021, "Is There A Replication Crisis In Finance?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28432, Feb.
• Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2021, "The Price and Quantity of Interest Rate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28444, Feb.
• Gaetano Gaballo & Guillermo Ordoñez, 2021, "The Two Faces of Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 28489, Feb.
• Patrick Bolton & Marcin Kacperczyk, 2021, "Global Pricing of Carbon-Transition Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28510, Feb.
• John H. Cochrane, 2021, "Portfolios for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 28513, Feb.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 28568, Mar.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28569, Mar.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28570, Mar.
• Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021, "The Voice of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 28592, Mar.
• Harrison Hong & Neng Wang & Jinqiang Yang, 2021, "Welfare Consequences of Sustainable Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 28595, Mar.
• Kris James Mitchener & Christoph Trebesch, 2021, "Sovereign Debt in the 21st Century," NBER Working Papers, National Bureau of Economic Research, Inc, number 28598, Mar.
• Peter M. DeMarzo & Zhiguo He & Fabrice Tourre, 2021, "Sovereign Debt Ratchets and Welfare Destruction," NBER Working Papers, National Bureau of Economic Research, Inc, number 28599, Mar.
• Itay Goldstein & Chester S. Spatt & Mao Ye, 2021, "Big Data in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 28615, Mar.
• Arpit Gupta & Vrinda Mittal & Jonas Peeters & Stijn Van Nieuwerburgh, 2021, "Flattening the Curve: Pandemic-Induced Revaluation of Urban Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 28675, Apr.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021, "What Triggers Stock Market Jumps?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28687, Apr.
• Valentin Haddad & Tyler Muir, 2021, "Do Intermediaries Matter for Aggregate Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28692, Apr.
• Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021, "Risky Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 28693, Apr.
• Gikas Hardouvelis & Georgios Karalas & Dimitri Vayanos, 2021, "The Distribution of Investor Beliefs, Stock Ownership and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28697, Apr.
• Ana Babus & Cecilia Parlatore, 2021, "Strategic Fragmented Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 28729, Apr.
• Sean Cao & Wei Jiang & Junbo L. Wang & Baozhong Yang, 2021, "From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses," NBER Working Papers, National Bureau of Economic Research, Inc, number 28800, May.
• Nicolae B. Gârleanu & Stavros Panageas & Geoffery X. Zheng, 2021, "A Long and a Short Leg Make For a Wobbly Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 28824, May.
• Rohan Kekre & Moritz Lenel, 2021, "Monetary Policy, Redistribution, and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 28869, May.
• David Hirshleifer & Jinfei Sheng, 2021, "Macro News and Micro News: Complements or Substitutes?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28931, Jun.
• Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2021, "Dissecting Green Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28940, Jun.
• Christopher L. Culp & Mihir Gandhi & Yoshio Nozawa & Pietro Veronesi, 2021, "Option-Implied Spreads and Option Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 28941, Jun.
• Michael D. Bauer & Mikhail Chernov, 2021, "Interest Rate Skewness and Biased Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 28954, Jun.
• David Backus & Mikhail Chernov & Stanley E. Zin & Irina Zviadadze, 2021, "Monetary Policy Risk: Rules vs. Discretion," NBER Working Papers, National Bureau of Economic Research, Inc, number 28983, Jul.
• Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021, "Test Assets and Weak Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 29002, Jul.
• George M. Constantinides, 2021, "Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 29009, Jul.
• Matteo Aquilina & Eric Budish & Peter O'Neill, 2021, "Quantifying the High-Frequency Trading "Arms Race"," NBER Working Papers, National Bureau of Economic Research, Inc, number 29011, Jul.
• Tobias J. Moskowitz & Robert F. Stambaugh, 2021, "Pricing Without Mispricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 29016, Jul.
• Michael Barnett & William Brock & Lars P. Hansen, 2021, "Climate Change Uncertainty Spillover in the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 29064, Jul.
• Klakow Akepanidtaworn & Rick Di Mascio & Alex Imas & Lawrence Schmidt, 2021, "Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 29076, Jul.
• Matthias Fleckenstein & Francis A. Longstaff, 2021, "Treasury Richness," NBER Working Papers, National Bureau of Economic Research, Inc, number 29081, Jul.
• Clemens Sialm & Qifei Zhu, 2021, "Currency Management by International Fixed Income Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29082, Jul.
• Mikhail Chernov & Lars A. Lochstoer & Dongho Song, 2021, "The Real Channel for Nominal Bond-Stock Puzzles," NBER Working Papers, National Bureau of Economic Research, Inc, number 29085, Jul.
• Adam Copeland & Darrell Duffie & Yilin Yang, 2021, "Reserves Were Not So Ample After All," NBER Working Papers, National Bureau of Economic Research, Inc, number 29090, Jul.
• Annette Vissing-Jorgensen, 2021, "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," NBER Working Papers, National Bureau of Economic Research, Inc, number 29128, Aug.
• Vadim Elenev & Tim Landvoigt & Patrick J. Shultz & Stijn Van Nieuwerburgh, 2021, "Can Monetary Policy Create Fiscal Capacity?," NBER Working Papers, National Bureau of Economic Research, Inc, number 29129, Aug.
• Johannes Stroebel & Jeffrey Wurgler, 2021, "What Do You Think About Climate Finance?," NBER Working Papers, National Bureau of Economic Research, Inc, number 29136, Aug.
• Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021, "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 29195, Aug.
• Sheridan Titman & Chishen Wei. Wei & Bin Zhao, 2021, "Corporate Actions and the Manipulation of Retail Investors in China: An Analysis of Stock Splits," NBER Working Papers, National Bureau of Economic Research, Inc, number 29212, Sep.
• Alexandra M. Tabova & Francis E. Warnock, 2021, "Foreign Investors and US Treasuries," NBER Working Papers, National Bureau of Economic Research, Inc, number 29313, Sep.
• Ulrike Malmendier, 2021, "Exposure, Experience, and Expertise: Why Personal Histories Matter in Economics," NBER Working Papers, National Bureau of Economic Research, Inc, number 29336, Oct.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021, "What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark," NBER Working Papers, National Bureau of Economic Research, Inc, number 29351, Oct.
• Matthias Buechner & Bryan T. Kelly, 2021, "A Factor Model For Option Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 29369, Oct.
• Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021, "Predicting the Oil Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 29379, Oct.
• Igor Makarov & Antoinette Schoar, 2021, "Blockchain Analysis of the Bitcoin Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 29396, Oct.
• Larry Cordell & Michael R. Roberts & Michael Schwert, 2021, "CLO Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 29410, Oct.
• Andy C.W. Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2021, "Momentum, Reversals, and Investor Clientele," NBER Working Papers, National Bureau of Economic Research, Inc, number 29453, Nov.
• Leland Farmer & Emi Nakamura & Jón Steinsson, 2021, "Learning About the Long Run," NBER Working Papers, National Bureau of Economic Research, Inc, number 29495, Nov.
• Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021, "Sovereign Risk and Financial Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 29501, Nov.
• Jennie Bai & Massimo Massa, 2021, "Is Human-Interaction-based Information Substitutable? Evidence from Lockdown," NBER Working Papers, National Bureau of Economic Research, Inc, number 29513, Nov.
• Turan G. Bali & David Hirshleifer & Lin Peng & Yi Tang & Qiguang Wang, 2021, "Social Interactions and Lottery Stock Mania," NBER Working Papers, National Bureau of Economic Research, Inc, number 29543, Dec.
• Mark L. Egan & Alexander MacKay & Hanbin Yang, 2021, "What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 29604, Dec.
• Constantinides, George M. & Lian, Lei, 2021, "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, volume 10, issue 1, pages 1-20, April, DOI: 10.1561/104.00000064.
• Constantinides, George M. & Czerwonko, Michal & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2021, "Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply," Critical Finance Review, now publishers, volume 10, issue 1, pages 57-63, April, DOI: 10.1561/104.00000090.
• Andreou, Panayiotis C. & Kagkadis, Anastasios & Maio, Paulo & Philip, Dennis, 2021, "Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns," Critical Finance Review, now publishers, volume 10, issue 1, pages 65-81, April, DOI: 10.1561/104.00000091.
• Andrew Y. Chen & Fabian Winkler & Rebecca Wasyk, 2021, "In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less," Critical Finance Review, now publishers, volume 10, issue 3, pages 329-381, August, DOI: 10.1561/104.00000092.
• Samuel Kruger, 2021, "High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model," Critical Finance Review, now publishers, volume 10, issue 3, pages 383-408, August, DOI: 10.1561/104.00000093.
• Chaehyun Pyun, 2021, "Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect," Critical Finance Review, now publishers, volume 10, issue 3, pages 419-427, August, DOI: 10.1561/104.00000095.
• Philip Gray & Thanh Huynh, 2021, "Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989)," Critical Finance Review, now publishers, volume 10, issue 3, pages 429-444, August, DOI: 10.1561/104.00000096.
• Hodrick, Robert J. & Tomunen, Tuomas, 2021, "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," Critical Finance Review, now publishers, volume 10, issue 1, pages 83-123, April, DOI: 10.1561/104.00000107.
• Megginson, William & Fotak, Veljko, 2021, "Government Equity Investments in Coronavirus Bailouts: Why, How, When?," Journal of Law, Finance, and Accounting, now publishers, volume 6, issue 1, pages 1-49, May, DOI: 10.1561/108.00000050.
• Dimiter Nenkov, 2021, "The S&P 500 Index and the “Super 6†Technology Stocks in the Pandemic Crisis," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 169-187, April.
• Jeko Milev, 2021, "The Pandemic Crisis and the Resulted Risks for the Fully Funded Pension Funds in Central and Eastern Europe," Nauchni trudove, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 203-216, April.
• Guoxi Duan & Hisashi Tanizaki, 2021, "A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 21-22, Dec.
• Joseph E Stiglitz & Martin M Guzman, 2021, "Economic fluctuations and pseudo-wealth
  [Emerging market business cycles: the cycle is the trend]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 30, issue 2, pages 297-315.
• Jose Apesteguia & Miguel A Ballester, 2021, "Separating Predicted Randomness from Residual Behavior," Journal of the European Economic Association, European Economic Association, volume 19, issue 2, pages 1041-1076.
• Martin Ellison & Andreas Tischbirek, 2021, "Beauty Contests and the Term Structure
  [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, volume 19, issue 4, pages 2234-2282.
• Zeno Enders & Hendrik Hakenes, 2021, "Market Depth, Leverage, and Speculative Bubbles," Journal of the European Economic Association, European Economic Association, volume 19, issue 5, pages 2577-2621.
• Stoyan V Stoyanov & Francesco A Fabozzi, 2021, "Dynamics of Equity Factor Returns and Asset Pricing
  [Dynamic Conditional Correlation: On Properties and Estimation]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 178-201.
• Simon Scheidegger & Adrien Treccani, 2021, "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations
  [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 258-290.
• Fuchun Li, 2021, "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
  [Testing Continuous-Time Models of the Spot Interest Rate]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 789-822.
• Adam Goliński & Peter Spencer, 2021, "Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem
  [Term Structure Persistence]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 960-984.
• Ansgar Belke & Daniel Gros & Farzaneh Shamsfakhr, 2021, "Central bank purchases of sovereign bonds in the euro area, the random walk hypothesis, and different measures of risk," Oxford Economic Papers, Oxford University Press, volume 73, issue 4, pages 1471-1492.
• Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021, "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 136, issue 3, pages 1719-1781.
• John H Cochrane, 2021, "Rethinking Production under Uncertainty
  [Valuation risk and asset pricing]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 1-59.
• Eugene F Fama & Kenneth R French, 2021, "The Value Premium
  [Fundamentals and stock returns in Japan]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 105-121.
• Robert A Connolly & David Dubofsky & Chris Stivers, 2021, "Economic-State Variation in Uncertainty-Yield Dynamics
  [Do macro variables, asset markets, or surveys forecast inflation better?]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 1, pages 60-104.
• N Aaron Pancost, 2021, "Zero-Coupon Yields and the Cross-Section of Bond Prices
  [Pricing the term structure with linear regressions]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 209-268.
• Yashar H Barardehi & Dan Bernhardt & Thomas G Ruchti & Marc Weidenmier, 2021, "The Night and Day of Amihud’s (2002) Liquidity Measure
  [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 269-308.
• Christopher C Geczy & Robert F Stambaugh & David Levin, 2021, "Investing in Socially Responsible Mutual Funds
  [Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 309-351.
• Jongsub Lee & Andy Naranjo & Stace Sirmans, 2021, "CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers
  [Insider trading in credit derivatives]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 352-401.
• Ilan Cooper & Liang Ma & Paulo Maio & Dennis Philip, 2021, "Multifactor Models and Their Consistency with the APT
  [Eigenvalue ratio test for the number of factors]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 2, pages 402-444.
• Anastassia Fedyk, 2021, "Disagreement after News: Gradual Information Diffusion or Differences of Opinion?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 3, pages 465-501.
• Andrey Ermolov, 2021, "When and Where Is It Cheaper to Issue Inflation-Linked Debt?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 3, pages 610-653.
• Jussi Keppo & Tyler Shumway & Daniel Weagley, 2021, "Are Monthly Market Returns Predictable?
  [Conditional market timing with benchmark investors]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 806-836.
• Anisha Ghosh & George M Constantinides, 2021, "What Information Drives Asset Prices?
  [Information quality and long-run risk: Asset pricing implications]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 837-885.
• Lei Shi & Yajun Xiao, 2021, "Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints
  [Multiplicity in general financial equilibrium with portfolio constraints]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 11, issue 4, pages 886-923.
• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2021, "Short-Selling Bans and Bank Stability," The Review of Corporate Finance Studies, Society for Financial Studies, volume 10, issue 1, pages 158-187.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2021, "An Augmented q-Factor Model with Expected Growth
  [Abnormal returns to a fundamental analysis strategy]," Review of Finance, European Finance Association, volume 25, issue 1, pages 1-41.
• Xudong An & Yongheng Deng & Stuart A Gabriel, 2021, "Default Option Exercise over the Financial Crisis and beyond
  [Predatory lending and the subprime crisis]," Review of Finance, European Finance Association, volume 25, issue 1, pages 153-187.
• Juha Joenväärä & Robert Kosowski, 2021, "The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
  [Large sample properties of matching estimators for average treatment effects]," Review of Finance, European Finance Association, volume 25, issue 1, pages 189-233.
• Óscar Arce & Sergio Mayordomo & Ricardo Gimeno, 2021, "Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE
  [Whatever it takes: the real effects of unconventional monetary policy]," Review of Finance, European Finance Association, volume 25, issue 1, pages 43-84.
• Fahiz Baba Yara & Martijn Boons & Andrea Tamoni, 2021, "Value Return Predictability across Asset Classes and Commonalities in Risk Premia
  [Financial intermediaries and the cross-section of asset returns]," Review of Finance, European Finance Association, volume 25, issue 2, pages 449-484.
• Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021, "Equilibrium Asset Pricing in Directed Networks
  [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, volume 25, issue 3, pages 777-818.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2021, "Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
  [Does realized skewness predict the cross-section of equity returns?]," Review of Finance, European Finance Association, volume 25, issue 4, pages 1261-1298.
• David C Brown & Shaun William Davies & Matthew C Ringgenberg, 2021, "ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
  [The equity share in new issues and aggregate stock returns]," Review of Finance, European Finance Association, volume 25, issue 4, pages 937-972.
• Ulrike Malmendier, 2021, "Experience Effects in Finance: Foundations, Applications, and Future Directions
  [X-capm: an extrapolative capital asset pricing model]," Review of Finance, European Finance Association, volume 25, issue 5, pages 1339-1363.
• Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2021, "Sovereign Credit Quality and Violations of the Law of One Price
  [Asset pricing and the bid-ask spread]," Review of Finance, European Finance Association, volume 25, issue 5, pages 1581-1607.
• Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021, "The TIPS Liquidity Premium
  [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1639-1675.
• Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021, "Disastrous Defaults
  [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1727-1772.