Research classified by Journal of Economic Literature (JEL) codes

2020

• Kang-Soek Lee, 2020, "Macroprudential stress testing: A proposal for the Luxembourg investment fund sector," BCL working papers, Central Bank of Luxembourg, number 141, Mar.
• Tugba FÝGANKAPLAN, 2020, "The Causality Relation Between Market Value and Economic Value Added of Banks: Panel Causality Analysis," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 14, issue 1, pages 39-67.
• Luis Fernández Lafuerza & Javier Mencía, 2020, "La evolución reciente del coste de capital bancario europeo," Boletín Económico, Banco de España, issue 4/2020.
• Luis Fernández Lafuerza & Javier Mencía, 2020, "Recent developments in the cost of bank equity in Europe," Economic Bulletin, Banco de España, issue 4/2020.
• Leonardo Gambacorta & Sergio Mayordomo & José María Serena, 2020, "Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities," Working Papers, Banco de España, number 2005, Mar.
• Alberto Di Iorio & Marco Fanari, 2020, "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 578, Sep.
• Sara Cecchetti, 2020, "An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1271, Mar.
• Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020, "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1296, Sep.
• Mirco Rubin & Dario Ruzzi, 2020, "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1311, Dec.
• Lelo de Larrea Alejandra, 2020, "Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model," Working Papers, Banco de México, number 2020-01, Mar.
• Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020, "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers, Banco de México, number 2020-18, Dec.
• Rohan Kekre & Moritz Lenel, 2020, "Monetary Policy, Redistribution, and Risk Premia," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-02.
• Zhiguo He & Maggie Hu & Zhenping Wang & Vincent Yao, 2020, "Valuation of Long-Term Property Rights under Political Uncertainty," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-105.
• Lars Peter Hansen, 2020, "Uncertainty Spillovers for Markets and Policy," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-121.
• Steven J. Davis & Stephen Hansen & Cristhian Seminario-Amez, 2020, "Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-139.
• Stephen J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2020, "Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-156.
• Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2020, "Sustainable Investing in Equilibrium," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-23.
• Andreas Neuhierl & Michael Weber, 2020, "Monetary Momentum," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-39.
• Xiaohong Chen & Lars Peter Hansen & Peter G. Hansen, 2020, "Robust Identification of Investor Beliefs," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-69.
• Lubos Pastor & M. Blair Vorsatz, 2020, "Mutual Fund Performance and Flows During the COVID-19 Crisis," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-96.
• Christian Gouri roux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2020, "Disastrous Defaults," Working papers, Banque de France, number 778.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2020, "Social media and price discovery: the case of cross-listed firms," Discussion Papers, Department of Economics, University of Birmingham, number 20-05, Mar.
• Yiannis Karavias & Stella Spilioti & Elias Tzavalis, 2020, "Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals," Discussion Papers, Department of Economics, University of Birmingham, number 20-21, Aug.
• Leonardo Gambacorta & Sergio Mayordomo & Jose Maria Serena, 2020, "Dollar borrowing, firmcharacteristics, and FX-hedged funding opportunities," BIS Working Papers, Bank for International Settlements, number 843, Feb.
• Emanuel Kohlscheen & Előd Takáts, 2020, "What can commercial property performance reveal about bank valuations?," BIS Working Papers, Bank for International Settlements, number 900, Nov.
• Anna Pirogova & Antonio Roma, 2020, "Performance of value‐ and size‐based strategies in the Italian stock market," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 49, issue 1, February, DOI: 10.1111/ecno.12160.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2020, "Social media bots and stock markets," European Financial Management, European Financial Management Association, volume 26, issue 3, pages 753-777, June, DOI: 10.1111/eufm.12245.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020, "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, volume 75, issue 3, pages 1327-1370, June, DOI: 10.1111/jofi.12883.
• Valentin Haddad & David Sraer, 2020, "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2465-2502, October, DOI: 10.1111/jofi.12949.
• Yongqiang Chu & David Hirshleifer & Liang Ma, 2020, "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2631-2672, October, DOI: 10.1111/jofi.12947.
• Paul Schneider & Christian Wagner & Josef Zechner, 2020, "Low‐Risk Anomalies?," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2673-2718, October, DOI: 10.1111/jofi.12910.
• Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020, "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2809-2844, October, DOI: 10.1111/jofi.12948.
• Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2020, "Stock Market Returns and Consumption," Journal of Finance, American Finance Association, volume 75, issue 6, pages 3175-3219, December, DOI: 10.1111/jofi.12968.
• David R. Haab & Thomas Nitschka, 2020, "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, volume 28, issue 2, pages 376-394, May, DOI: 10.1111/roie.12455.
• Wendy C. Y. Li & Bronwyn H. Hall, 2020, "Depreciation of Business R&D Capital," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 66, issue 1, pages 161-180, March, DOI: 10.1111/roiw.12380.
• Paul Schmelzing, 2020, "Eight centuries of global real interest rates, R-G, and the ‘suprasecular’ decline, 1311–2018," Bank of England working papers, Bank of England, number 845, Jan.
• Robert Czech & Shiyang Huang & Dong Lou & Tianyu Wang, 2020, "Informed trading in government bond markets," Bank of England working papers, Bank of England, number 871, Jun.
• Simon Lloyd & Emile Marin, 2020, "Exchange rate risk and business cycles," Bank of England working papers, Bank of England, number 872, Jun.
• Robert Czech & Gábor Pintér, 2020, "Informed trading and the dynamics of client-dealer connections in corporate bond markets," Bank of England working papers, Bank of England, number 895, Nov.
• Kazuhiro Hiraki & Wataru Hirata, 2020, "Market-based Long-term Inflation Expectations in Japan: A Refinement on Breakeven Inflation Rates," Bank of Japan Working Paper Series, Bank of Japan, number 20-E-5, Sep.
• Kakuho Furukawa & Hibiki Ichiue & Noriyuki Shiraki, 2020, "How Does Climate Change Interact with the Financial System? A Survey," Bank of Japan Working Paper Series, Bank of Japan, number 20-E-8, Dec.
• Byungsoo Koo, 2020, "Estimation of the Korean Yield Curve via Bayesian Variable Selection (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 26, issue 1, pages 84-132, March.
• Feng Dong & Jianjun Miao & Pengfei Wang, 2020, "Asset Bubbles and Monetary Policy," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-336, Apr.
• Kashyap Ravi, 2020, "The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 20, issue 2, pages 1-23, April, DOI: 10.1515/bejeap-2019-0044.
• Kashyap Ravi, 2020, "The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 20, issue 2, pages 1-23, April, DOI: 10.1515/bejeap-2019-0044.
• Francois John Nana, 2020, "Foreign official holdings of US treasuries, stock effect and the economy: a DSGE approach," The B.E. Journal of Macroeconomics, De Gruyter, volume 20, issue 1, pages 1-28, January, DOI: 10.1515/bejm-2016-0170.
• Carpio Ronaldo & Guo Meixin, 2020, "On Equilibrium Existence in a Finite-Agent, Multi-Asset Noisy Rational Expectations Economy," The B.E. Journal of Theoretical Economics, De Gruyter, volume 20, issue 1, pages 1-17, January, DOI: 10.1515/bejte-2018-0144.
• Chen Tao, 2020, "Does retail trading matter to price discovery?," German Economic Review, De Gruyter, volume 21, issue 4, pages 475-492, December, DOI: 10.1515/ger-2019-0041.
• Harrathi Nizar & Alhoshan Hamed M., 2020, "Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, volume 16, issue 1, pages 1-18, April, DOI: 10.1515/rmeef-2019-0009.
• Zhen Fang & Zhang Jin E., 2020, "Dissecting skewness under affine jump-diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 24, issue 4, pages 1-19, September, DOI: 10.1515/snde-2018-0086.
• Zhu Fumin & Bianchi Michele Leonardo & Kim Young Shin & Fabozzi Frank J. & Wu Hengyu, 2020, "Learning for infinitely divisible GARCH models in option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 3, pages 35-62, June, DOI: 10.1515/snde-2019-0088.
• Laura PANOIU & Alina VOICULET, 2020, "Financing Public Health System By Municipal Bonds – A Solution In The Current Pandemic," Contemporary Economy Journal, Constantin Brancoveanu University, volume 5, issue 2, pages 99-107.
• Paul J.J. Welfens & Kaan Celebi, 2020, "CO2 Allowance Price Dynamics and Stock Markets in EU Countries: Empirical Findings and Global CO2-Perspectives," EIIW Discussion paper, Universitätsbibliothek Wuppertal, University Library, number disbei267, Jan.
• Samir Kadiric, 2020, "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper, Universitätsbibliothek Wuppertal, University Library, number disbei271, Mar.
• Sophie Béreau & Jean-Yves Gnabo & Henri Vanhomwegen, 2020, "Making a Difference: European Mutual Funds Distinctiveness and Peers’ Performance," Finance, Presses universitaires de Grenoble, volume 41, issue 2, pages 7-51.
• Jean-Guillaume Péladan & Julie Raynaud & Peter Tankov & Olivier David Zerbib, 2020, "Indicateurs environnementaux : caractéristiques d'une mesure agrégée pertinente," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 177-192.
• Nathalie Rodes & Olivier Vietti & Stéphane Déo, 2020, "Green bonds : il est urgent de ne plus attendre," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 287-296.
• Ge, S., 2020, "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 20114, Nov.
• Ge, S., 2020, "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 20115, Nov.
• Ge, S. & Li, S. & Linton, O., 2020, "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2060, Jun.
• Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S., 2020, "Nonparametric Euler Equation Identi?cation and Estimation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2064, Jul.
• Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020, "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2066, Jul.
• Ahmed, M. F. & Gao, Y. & Satchell, S., 2020, "Modelling Demand for ESG," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2093, Oct.
• Ricardo Branco & João Pinto & Ricardo Ribeiro, 2020, "The Pricing of Bank Bonds, Sovereign Credit Risk and ECB's Asset Purchase Programmes," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 01, Jan.
• Fiedor, Pawel & Katsoulis, Petros, 2020, "Information and liquidity linkages in EFTs and underlying markets," Research Technical Papers, Central Bank of Ireland, number 08/RT/20, Oct.
• Garabedian, Garo & Inghelbrecht, Koen, 2020, "The Multiple Dimensions of Liquidity," Research Technical Papers, Central Bank of Ireland, number 11/RT/20, Dec.
• Ismet Gocer & Serdar Ongan, 2020, "The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 9, issue 3, pages 77-86.
• Glenn Boyle & Sanghyun Hong, 2020, "Systematic Liquidity Risk Premia," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 20/15, Aug.
• Sanghyun Hong, 2020, "Transactions Costs and the Equity Premium Puzzle," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 20/16, Aug.
• Moritz Wagner & Xiaopeng Wei, 2020, "Cum-Ex Trading – The Biggest Fraud in History?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 20/19, Sep.
• Roberto Marfè & Julien Pénasse, 2020, "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 621.
• Michael Hasler & Mariana Khapko & Roberto Marfè, 2020, "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 622.
• Matthijs Breugem & Raffaele Corvino & Roberto Marfè & Lorenzo Schönleber, 2020, "Pandemic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 623.
• Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020, "Dynamic Equity Slope," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 626.
• Matthijs Breugem & Roberto Marfè & Francesca Zucchi, 2020, "Corporate Policies and the Term Structure of Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 627.
• Ricardo Schefer, 2020, "Sovereign Bond Spreads and Credit Sensitivity," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 758, Oct.
• José P. Dapena & Ricardo Schefer, 2020, "Common myths on yield to maturity in bonds or IRR in corporate finance," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 764, Nov.
• Ivo Bakota, 2020, "Avoiding Root-Finding in the Krusell-Smith Algorithm Simulation," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp669, Sep.
• Daniele Bianchi & Mykola Babiak, 2020, "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp672, Sep.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2020, "The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX," CESifo Working Paper Series, CESifo, number 8196.
• Raphael A. Auer & Stijn Claessens, 2020, "Cryptocurrency Market Reactions to Regulatory News," CESifo Working Paper Series, CESifo, number 8228.
• Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020, "Risk Matters: Breaking Certainty Equivalence," CESifo Working Paper Series, CESifo, number 8250.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020, "Inside the Mind of a Stock Market Crash," CESifo Working Paper Series, CESifo, number 8334.
• Christian Fieberg & Lars Hornuf & Gerrit Liedtke & Thorsten Poddig, 2020, "Are Characteristics Covariances? A Comment on Instrumented Principal Component Analysis," CESifo Working Paper Series, CESifo, number 8377.
• Rick van der Ploeg, 2020, "Discounting and Climate Policy," CESifo Working Paper Series, CESifo, number 8441.
• Guglielmo Maria Caporale & Alex Plastun, 2020, "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series, CESifo, number 8445.
• Christoph Hambel & Holger Kraft & Rick van der Ploeg, 2020, "Asset Diversification versus Climate Action," CESifo Working Paper Series, CESifo, number 8476.
• Paymon Khorrami & Alexander K. Zentefis, 2020, "Arbitrage and Beliefs," CESifo Working Paper Series, CESifo, number 8490.
• Steven J. Davis & Stephen Hansen & Cristhian Seminario-Amez, 2020, "Firm-Level Risk Exposures and Stock Returns in the Wake of Covid-19," CESifo Working Paper Series, CESifo, number 8594.
• Robert J. Barro, 2020, "r Minus g," CESifo Working Paper Series, CESifo, number 8661.
• Nina Boyarchenko & Anna Kovner & Or Shachar, 2020, "It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," CESifo Working Paper Series, CESifo, number 8679.
• Michael Berlemann & Vera Jahn & Robert Lehmann, 2020, "Is the German Mittelstand More Resistant to Crises? Empirical Evidence from the Great Recession," CESifo Working Paper Series, CESifo, number 8777.
• Guglielmo Maria Caporale & Alex Plastun, 2020, "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series, CESifo, number 8783.
• Benjamin Born & Jonas Dovern & Zeno Enders, 2020, "Expectation Dispersion, Uncertainty, and the Reaction to News," CESifo Working Paper Series, CESifo, number 8801.
• Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2020, "Monetary policy surprises and their transmission through term premia and expected interest rates," Discussion Papers, Centre for Macroeconomics (CFM), number 2024, Nov.
• Robert Czech & Gábor Pintér, 2020, "Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets," Discussion Papers, Centre for Macroeconomics (CFM), number 2032, Dec.
• Davide La Vecchia & Alban Moor & O. Scaillet, 2020, "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-01, Jan.
• Oksana Bashchenko & Alexis Marchal, 2020, "Deep Learning for Asset Bubbles Detection," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-08, Mar.
• Mirela Sandulescu, 2020, "How Integrated Are Corporate Bond and Stock Markets?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-09, Mar.
• Nittai Bergman & Ohad Kadan & Roni Michaely & Pamela C. Moulton, 2020, "Do Proprietary Traders Provide Liquidity?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-109, Nov.
• Fabio Antoniou & Manthos D. Delis & Steven Ongena & Chris Tsoumas, 2020, "Pollution permits and financing costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-117, Dec.
• Walter Distaso & Antonio Mele & Grigory Vilkov, 2020, "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-119, Sep.
• Lorenz Kueng, 2020, "Tax News Shocks and Consumption," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-30, Apr.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2020, "The Tax Cuts and Jobs Act: Which Firms Won? Which Lost?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-48, Jun.
• Simon Glossner & Pedro Matos & Stefano Ramelli & Alexander F. Wagner, 2020, "Where Do Institutional Investors Seek Shelter when Disaster Strikes? Evidence from COVID-19," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-56, Jul.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2020, "How Integrated Are Credit and Equity Markets? Evidence From Index Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-65, Jul.
• Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2020, "Principal Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-67, Aug.
• Andrey Pankratov, 2020, "Securities lending and information transmission: a model of endogenous short-sale constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-69, Aug.
• Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020, "True Cost of Immediacy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-71, Aug.
• Andrey Pankratov, 2020, "Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-76, Aug.
• Efe Çötelioğlu, 2020, "Do Mutual Funds and ETFs Affect the Commonality in Liquidity of Corporate Bonds?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-81, Sep.
• David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020, "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-82, Sep, revised May 2023.
• Goutham Gopalakrishna, 2020, "Asset Pricing with Realistic Crises Dynamics," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-96, Nov.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020, "Halloween Effect in developed stock markets: A historical perspective," International Economics, CEPII research center, issue 161, pages 130-138.
• Hajer Dachraoui & Mounir Smida & Maamar Sebri, 2020, "Role of capital flight as a driver of sovereign bond spreads in Latin American countries," International Economics, CEPII research center, issue 162, pages 15-33.
• Francisco Jareño & María de la O González & Alba M. Escolástico, 2020, "Extension of the Fama and French model: A study of the largest European financial institutions," International Economics, CEPII research center, issue 164, pages 115-139.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020, "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," CIRANO Working Papers, CIRANO, number 2020s-30, May.
• De Pace, Pierangelo & Rao, Jayant, 2020, "Comovement and Instability in Cryptocurrency Markets," Economics Department, Working Paper Series, Economics Department, Pomona College, number 1012, Jan, revised 14 Jan 2020.
• Contessi, Silvio & De Pace, Pierangelo, 2020, "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series, Economics Department, Pomona College, number 1013, Jun, revised 25 Jun 2020.
• Martin Casta, 2021, "Deriving Equity Risk Premium Using Dividend Futures," Working Papers, Czech National Bank, Research and Statistics Department, number 2021/1, May.
• C Castro & M Romero & S VÔøΩlez, 2020, "Empirical evidence of jump behaviour in the Colombian intraday bond market," Documentos de Trabajo, Universidad del Rosario, number 18098, Apr.
• 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.
• Huang, Shiyang & Qiu, Zhigang & Yang, Liyan, 2020, "Institutionalization, delegation, and asset prices," Journal of Economic Theory, Elsevier, volume 186, issue C, DOI: 10.1016/j.jet.2019.104977.
• Izhakian, Yehuda, 2020, "A theoretical foundation of ambiguity measurement," Journal of Economic Theory, Elsevier, volume 187, issue C, DOI: 10.1016/j.jet.2020.105001.
• Lebeau, Lucie, 2020, "Credit frictions and participation in over-the-counter markets," Journal of Economic Theory, Elsevier, volume 189, issue C, DOI: 10.1016/j.jet.2020.105100.
• Jacobs, Heiko & Müller, Sebastian, 2020, "Anomalies across the globe: Once public, no longer existent?," Journal of Financial Economics, Elsevier, volume 135, issue 1, pages 213-230, DOI: 10.1016/j.jfineco.2019.06.004.
• Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri, 2020, "Earnings, retained earnings, and book-to-market in the cross section of expected returns," Journal of Financial Economics, Elsevier, volume 135, issue 1, pages 231-254, DOI: 10.1016/j.jfineco.2019.05.013.
• Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020, "Shrinking the cross-section," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 271-292, DOI: 10.1016/j.jfineco.2019.06.008.
• Makarov, Igor & Schoar, Antoinette, 2020, "Trading and arbitrage in cryptocurrency markets," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 293-319, DOI: 10.1016/j.jfineco.2019.07.001.
• Ozdagli, Ali & Velikov, Mihail, 2020, "Show me the money: The monetary policy risk premium," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 320-339, DOI: 10.1016/j.jfineco.2019.06.012.
• Todorov, Karamfil, 2020, "Quantify the quantitative easing: Impact on bonds and corporate debt issuance," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 340-358, DOI: 10.1016/j.jfineco.2019.08.003.
• Langlois, Hugues, 2020, "Measuring skewness premia," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 399-424, DOI: 10.1016/j.jfineco.2019.06.002.
• Gao, Pengjie & Lee, Chang & Murphy, Dermot, 2020, "Financing dies in darkness? The impact of newspaper closures on public finance," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 445-467, DOI: 10.1016/j.jfineco.2019.06.003.
• Yang, Yung Chiang & Zhang, Bohui & Zhang, Chu, 2020, "Is information risk priced? Evidence from abnormal idiosyncratic volatility," Journal of Financial Economics, Elsevier, volume 135, issue 2, pages 528-554, DOI: 10.1016/j.jfineco.2019.06.013.
• Eisenthal-Berkovitz, Yael & Feldhütter, Peter & Vig, Vikrant, 2020, "Leveraged buyouts and bond credit spreads," Journal of Financial Economics, Elsevier, volume 135, issue 3, pages 577-601, DOI: 10.1016/j.jfineco.2019.07.007.
• Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020, "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, volume 135, issue 3, pages 629-652, DOI: 10.1016/j.jfineco.2019.07.003.
• Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020, "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, volume 135, issue 3, pages 725-753, DOI: 10.1016/j.jfineco.2019.07.006.
• Choi, Yong Seok & Doshi, Hitesh & Jacobs, Kris & Turnbull, Stuart M., 2020, "Pricing structured products with economic covariates," Journal of Financial Economics, Elsevier, volume 135, issue 3, pages 754-773, DOI: 10.1016/j.jfineco.2019.08.002.
• Huang, Dashan & Li, Jiangyuan & Wang, Liyao & Zhou, Guofu, 2020, "Time series momentum: Is it there?," Journal of Financial Economics, Elsevier, volume 135, issue 3, pages 774-794, DOI: 10.1016/j.jfineco.2019.08.004.
• Duarte, Jefferson & Hu, Edwin & Young, Lance, 2020, "A comparison of some structural models of private information arrival," Journal of Financial Economics, Elsevier, volume 135, issue 3, pages 795-815, DOI: 10.1016/j.jfineco.2019.08.005.
• Dahlquist, Magnus & Hasseltoft, Henrik, 2020, "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, volume 136, issue 1, pages 152-167, DOI: 10.1016/j.jfineco.2019.09.002.
• Muravyev, Dmitriy & Ni, Xuechuan (Charles), 2020, "Why do option returns change sign from day to night?," Journal of Financial Economics, Elsevier, volume 136, issue 1, pages 219-238, DOI: 10.1016/j.jfineco.2018.12.006.
• Conrad, Jennifer & Wahal, Sunil, 2020, "The term structure of liquidity provision," Journal of Financial Economics, Elsevier, volume 136, issue 1, pages 239-259, DOI: 10.1016/j.jfineco.2019.09.008.
• Pitkäjärvi, Aleksi & Suominen, Matti & Vaittinen, Lauri, 2020, "Cross-asset signals and time series momentum," Journal of Financial Economics, Elsevier, volume 136, issue 1, pages 63-85, DOI: 10.1016/j.jfineco.2019.02.011.
• Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020, "OTC premia," Journal of Financial Economics, Elsevier, volume 136, issue 1, pages 86-105, DOI: 10.1016/j.jfineco.2019.09.010.
• Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020, "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, volume 136, issue 2, pages 379-406, DOI: 10.1016/j.jfineco.2019.09.011.
• Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020, "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, volume 136, issue 2, pages 444-470, DOI: 10.1016/j.jfineco.2019.09.012.
• Mäkinen, Taneli & Sarno, Lucio & Zinna, Gabriele, 2020, "Risky bank guarantees," Journal of Financial Economics, Elsevier, volume 136, issue 2, pages 490-522, DOI: 10.1016/j.jfineco.2019.10.005.
• Malmendier, Ulrike & Pouzo, Demian & Vanasco, Victoria, 2020, "Investor experiences and financial market dynamics," Journal of Financial Economics, Elsevier, volume 136, issue 3, pages 597-622, DOI: 10.1016/j.jfineco.2019.11.002.
• Ali, Usman & Hirshleifer, David, 2020, "Shared analyst coverage: Unifying momentum spillover effects," Journal of Financial Economics, Elsevier, volume 136, issue 3, pages 649-675, DOI: 10.1016/j.jfineco.2019.10.007.
• Infante, Sebastian, 2020, "Private money creation with safe assets and term premia," Journal of Financial Economics, Elsevier, volume 136, issue 3, pages 828-856, DOI: 10.1016/j.jfineco.2019.11.007.
• Bebchuk, Lucian A. & Brav, Alon & Jiang, Wei & Keusch, Thomas, 2020, "Dancing with activists," Journal of Financial Economics, Elsevier, volume 137, issue 1, pages 1-41, DOI: 10.1016/j.jfineco.2020.01.001.
• Guo, Li & Li, Frank Weikai & John Wei, K.C., 2020, "Security analysts and capital market anomalies," Journal of Financial Economics, Elsevier, volume 137, issue 1, pages 204-230, DOI: 10.1016/j.jfineco.2020.01.002.
• Hirshleifer, David & Jiang, Danling & DiGiovanni, Yuting Meng, 2020, "Mood beta and seasonalities in stock returns," Journal of Financial Economics, Elsevier, volume 137, issue 1, pages 272-295, DOI: 10.1016/j.jfineco.2020.02.003.
• Crego, Julio A., 2020, "Why does public news augment information asymmetries?," Journal of Financial Economics, Elsevier, volume 137, issue 1, pages 72-89, DOI: 10.1016/j.jfineco.2019.05.020.
• Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020, "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 297-319, DOI: 10.1016/j.jfineco.2020.02.009.
• Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020, "Prime (information) brokerage," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 371-391, DOI: 10.1016/j.jfineco.2020.02.010.
• Corradin, Stefano & Maddaloni, Angela, 2020, "The importance of being special: Repo markets during the crisis," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 392-429, DOI: 10.1016/j.jfineco.2020.02.006.
• Patton, Andrew J. & Weller, Brian M., 2020, "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 515-549, DOI: 10.1016/j.jfineco.2020.02.012.
• Cho, Thummim, 2020, "Turning alphas into betas: Arbitrage and endogenous risk," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 550-570, DOI: 10.1016/j.jfineco.2020.02.011.
• Hibbert, Ann Marie & Kang, Qiang & Kumar, Alok & Mishra, Suchi, 2020, "Heterogeneous beliefs and return volatility around seasoned equity offerings," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 571-589, DOI: 10.1016/j.jfineco.2020.03.003.
• Fleckenstein, Matthias & Longstaff, Francis A., 2020, "The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?," Journal of Financial Economics, Elsevier, volume 137, issue 3, pages 637-658, DOI: 10.1016/j.jfineco.2020.04.006.
• Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020, "Business cycles and currency returns," Journal of Financial Economics, Elsevier, volume 137, issue 3, pages 659-678, DOI: 10.1016/j.jfineco.2020.04.005.
• Kozak, Serhiy & Santosh, Shrihari, 2020, "Why do discount rates vary?," Journal of Financial Economics, Elsevier, volume 137, issue 3, pages 740-751, DOI: 10.1016/j.jfineco.2020.04.004.
• Bae, Kyounghun & Kim, Daejin, 2020, "Liquidity risk and exchange-traded fund returns, variances, and tracking errors," Journal of Financial Economics, Elsevier, volume 138, issue 1, pages 222-253, DOI: 10.1016/j.jfineco.2019.02.012.
• Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020, "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, volume 138, issue 1, pages 53-73, DOI: 10.1016/j.jfineco.2020.04.010.
• Branikas, Ioannis & Hong, Harrison & Xu, Jiangmin, 2020, "Location choice, portfolio choice," Journal of Financial Economics, Elsevier, volume 138, issue 1, pages 74-94, DOI: 10.1016/j.jfineco.2019.10.010.
• Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020, "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, volume 138, issue 1, pages 95-117, DOI: 10.1016/j.jfineco.2020.04.015.
• Chen, Yong & Kelly, Bryan & Wu, Wei, 2020, "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 316-341, DOI: 10.1016/j.jfineco.2020.06.004.
• Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020, "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 388-414, DOI: 10.1016/j.jfineco.2020.04.013.
• Choi, Jaewon & Hoseinzade, Saeid & Shin, Sean Seunghun & Tehranian, Hassan, 2020, "Corporate bond mutual funds and asset fire sales," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 432-457, DOI: 10.1016/j.jfineco.2020.05.006.
• Banerjee, Snehal & Breon-Drish, Bradyn, 2020, "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 458-482, DOI: 10.1016/j.jfineco.2020.05.007.
• Liao, Gordon Y., 2020, "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 504-525, DOI: 10.1016/j.jfineco.2020.06.002.
• Grullon, Gustavo & Kaba, Yamil & Núñez-Torres, Alexander, 2020, "When low beats high: Riding the sales seasonality premium," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 572-591, DOI: 10.1016/j.jfineco.2020.06.003.
• Hendershott, Terrence & Livdan, Dmitry & Rösch, Dominik, 2020, "Asset pricing: A tale of night and day," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 635-662, DOI: 10.1016/j.jfineco.2020.06.006.
• Ai, Hengjie & Li, Kai & Yang, Fang, 2020, "Financial intermediation and capital reallocation," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 663-686, DOI: 10.1016/j.jfineco.2020.06.017.
• Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020, "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 700-724, DOI: 10.1016/j.jfineco.2020.07.002.
• Chabakauri, Georgy & Han, Brandon Yueyang, 2020, "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 754-776, DOI: 10.1016/j.jfineco.2020.06.012.
• Liu, Bibo & Wang, Huijun & Yu, Jianfeng & Zhao, Shen, 2020, "Time-varying demand for lottery: Speculation ahead of earnings announcements," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 789-817, DOI: 10.1016/j.jfineco.2020.06.016.
• Kaviani, Mahsa S. & Kryzanowski, Lawrence & Maleki, Hosein & Savor, Pavel, 2020, "Policy uncertainty and corporate credit spreads," Journal of Financial Economics, Elsevier, volume 138, issue 3, pages 838-865, DOI: 10.1016/j.jfineco.2020.07.001.
• Martínez-García, Enrique & Grossman, Valerie, 2020, "Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world," Journal of International Money and Finance, Elsevier, volume 101, issue C, DOI: 10.1016/j.jimonfin.2019.102103.
• Gandré, Pauline, 2020, "US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath," Journal of International Money and Finance, Elsevier, volume 104, issue C, DOI: 10.1016/j.jimonfin.2020.102165.
• Andreou, Christoforos K. & Lambertides, Neophytos & Savvides, Andreas, 2020, "Sovereign credit risk and global equity fund returns in emerging markets," Journal of International Money and Finance, Elsevier, volume 107, issue C, DOI: 10.1016/j.jimonfin.2020.102218.
• Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2020, "Procyclical leverage in Europe and its role in asset pricing," Journal of International Money and Finance, Elsevier, volume 107, issue C, DOI: 10.1016/j.jimonfin.2020.102220.
• Schmidt, Jörg, 2020, "Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach," Journal of International Money and Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jimonfin.2020.102235.
• Kondo, Yoshihiro & Nakazono, Yoshiyuki & Ota, Rui & Sui, Qing-Yuan, 2020, "Heterogeneous impacts of Abenomics on the stock market: A Fund flow analysis," Journal of the Japanese and International Economies, Elsevier, volume 55, issue C, DOI: 10.1016/j.jjie.2019.101053.
• Tang, Yang & Zeng, Ting & Zhu, Shenghao, 2020, "Bubbles and house price dispersion in the United States during 1975–2017," Journal of Macroeconomics, Elsevier, volume 63, issue C, DOI: 10.1016/j.jmacro.2019.103163.
• Caines, Colin, 2020, "Can learning explain boom-bust cycles in asset prices? An application to the US housing boom," Journal of Macroeconomics, Elsevier, volume 66, issue C, DOI: 10.1016/j.jmacro.2020.103256.
• Lai, Karen M.Y. & Saffar, Walid & Zhu, Xindong (Kevin) & Liu, Yiye, 2020, "Political institutions, stock market liquidity and firm dividend policy: Some international evidence," Journal of Contemporary Accounting and Economics, Elsevier, volume 16, issue 1, DOI: 10.1016/j.jcae.2019.100180.