Research classified by Journal of Economic Literature (JEL) codes

2020

• Jan Jakub Szczygielski & Leon Brümmer & Hendrik Petrus Wolmarans, 2020, "An augmented macroeconomic linear factor model of South African industrial sector returns," Journal of Risk Finance, Emerald Group Publishing Limited, volume 21, issue 5, pages 517-541, November, DOI: 10.1108/JRF-09-2019-0186.
• Modisane Bennett Seitshiro & Hopolang Phillip Mashele, 2020, "Valuation of initial margin using bootstrap method," Journal of Risk Finance, Emerald Group Publishing Limited, volume 21, issue 5, pages 543-557, June, DOI: 10.1108/JRF-10-2019-0203.
• Lynn Boen & Florence Guillaume, 2020, "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, volume 23, issue 1, pages 1-39, April, DOI: 10.1007/s11147-019-09155-y.
• Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2020, "Approaching rainfall-based weather derivatives pricing and operational challenges," Review of Derivatives Research, Springer, volume 23, issue 2, pages 163-190, July, DOI: 10.1007/s11147-019-09161-0.
• Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020, "Yield curves from different bond data sets," Review of Derivatives Research, Springer, volume 23, issue 2, pages 191-226, July, DOI: 10.1007/s11147-019-09162-z.
• Hsiao-Fen Hsiao & Jiang-Chuan Huang & Zheng-Wei Lin, 2020, "Portfolio construction using bootstrapping neural networks: evidence from global stock market," Review of Derivatives Research, Springer, volume 23, issue 3, pages 227-247, October, DOI: 10.1007/s11147-019-09163-y.
• Ruanmin Cao & Lajos Horváth & Zhenya Liu & Yuqian Zhao, 2020, "A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 1, pages 335-358, January, DOI: 10.1007/s11156-019-00791-x.
• Peng-Chia Chiu & Timothy D. Haight, 2020, "Investor learning, earnings signals, and stock returns," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 2, pages 671-698, February, DOI: 10.1007/s11156-019-00803-w.
• Tao Chen & Andreas Karathanasopoulos & Stanley Iat-Meng Ko & Chia Chun Lo, 2020, "Lucky lots and unlucky investors," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 2, pages 735-751, February, DOI: 10.1007/s11156-019-00805-8.
• Monica Hussein & Zhong-guo Zhou & Qi Deng, 2020, "Does risk disclosure in prospectus matter in ChiNext IPOs’ initial underpricing?," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 3, pages 957-979, April, DOI: 10.1007/s11156-019-00812-9.
• Bingxin Li, 2020, "Option-implied filtering: evidence from the GARCH option pricing model," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 3, pages 1037-1057, April, DOI: 10.1007/s11156-019-00816-5.
• Douglas W. Blackburn & Nusret Cakici, 2020, "Tangible and intangible information in emerging markets," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 4, pages 1509-1527, May, DOI: 10.1007/s11156-019-00833-4.
• Tavy Ronen & Oleg Sokolinskiy & Ben Sopranzetti, 2020, "The risk management implications of using end of day consensus pricing for single name CDS," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 1, pages 269-304, July, DOI: 10.1007/s11156-019-00843-2.
• Spyros I. Spyrou, 2020, "Valuation ratio style investing and economic sentiment: evidence from major Eurozone markets," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 827-856, October, DOI: 10.1007/s11156-019-00861-0.
• Marie-Claude Beaulieu & Habiba Mrissa Bouden, 2020, "Does idiosyncratic risk matter in IPO long-run performance?," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 935-981, October, DOI: 10.1007/s11156-019-00864-x.
• Han-Hsing Lee, 2020, "Distress risk, product market competition, and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 1093-1135, October, DOI: 10.1007/s11156-019-00869-6.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2020, "Social media, political uncertainty, and stock markets," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 1137-1153, October, DOI: 10.1007/s11156-020-00870-4.
• Klaus Grobys & Sami Vähämaa, 2020, "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 4, pages 1459-1479, November, DOI: 10.1007/s11156-020-00880-2.
• Heejoon Han & Eunhee Lee, 2020, "Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects," Korean Economic Review, Korean Economic Association, volume 36, pages 481-509.
• Boros, Péter, 2020, "A hitelminősítői bejelentések fertőző hatásai és a hitelértékelési kiigazítás
  [Rating migration, credit risk contagion and Credit Valuation Adjustment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 140-163, DOI: 10.18414/KSZ.2020.2.140.
• Habis, Helga & Perge, Laura, 2020, "A tőkepiaci eszközárazási modell három időszakos kiterjesztése
  [The three-period capital-asset pricing model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 4, pages 379-393, DOI: 10.18414/KSZ.2020.4.379.
• Neszveda, Gábor & Csillag, Balázs, 2020, "A gazdasági várakozások hatása a tőzsdei momentumstratégiára
  [The impact of economic expectations on the momentum trading strategy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 1093-1111, DOI: 10.18414/KSZ.2020.11.1093.
• Tanweer Akram & Huiqing Li, 2020, "The Empirics of UK Gilts' Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_969, Sep.
• Tanweer Akram, 2020, "A Note Concerning Government Bond Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_977, Nov.
• Linas Jurksas & Vitalijus Klincevicius, 2020, "Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials," Bank of Lithuania Discussion Paper Series, Bank of Lithuania, number 20, Jun.
• Valentin Jouvanceau & Ieva Mikaliunaite, 2020, "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 79, Oct.
• Michele Berardi, 2020, "Learning from Prices: Information Aggregation and Accumulation in an Asset Price Model," Economics Discussion Paper Series, Economics, The University of Manchester, number 2009, Jul.
• Peter Tillmann, 2020, "Financial Markets and Dissent in the ECB’s Governing Council," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 202048.
• J. Arismendi-Zambrano & R. Azevedo, 2020, "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n303-20.pdf.
• Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, , "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n304-20.pdf.
• Leo Julianto & Irwan Adi Ekaputra, 2020, "Max-Effect in the Indonesian Market," Capital Markets Review, Malaysian Finance Association, volume 28, issue 2, pages 19-27.
• Felicity K. Mathye & Collins C. Ngwakwe, 2020, "Women in Top Management and Corporate Share Price: The Mediating Role of Management Learning," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 18, issue 2 (Summer, pages 111-126, DOI: 10.26493/1854-6935.18.111-126.
• Gianluca Cassese, 2020, "Complete and Competitive Financial Markets in a Complex World," Working Papers, University of Milano-Bicocca, Department of Economics, number 435, Mar, revised Mar 2020.
• Christoph E. Boehm & T. Niklas Kroner, 2020, "The US, Economic News, and the Global Financial Cycle," Working Papers, Research Seminar in International Economics, University of Michigan, number 677, Sep.
• Roman Horvath & Lorant Kaszab & Ales Marsal, 2020, "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2020/3.
• Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020, "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/20.
• Harminder B. Nath & Robert D. Brooks, 2020, "Investor-herding and risk-profiles: A State-Space Model-based Assessment," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/20.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020, "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 15-2020, Apr.
• Luis García-Feijóo & Benjamin A. Jansen, 2020, "Operating Leverage and Stock Returns: International Evidence," Working Papers, Middle Tennessee State University, Department of Economics and Finance, number 202002, Jan.
• Benjamin A. Jansen, 2020, "Cash Flow Growth and Stock Return," Working Papers, Middle Tennessee State University, Department of Economics and Finance, number 202004, Mar.
• Mikhail Anufriev & Aleksei Chernulich & Jan Tuinstra, 2020, "Asset Price Volatility and Investment Horizons: An Experimental Investigation," Working Papers, New York University Abu Dhabi, Department of Social Science, number 20200053, Aug, revised Aug 2020.
• Xiaohong Chen & Lars Peter Hansen & Peter G. Hansen, 2020, "Robust identification of investor beliefs," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, volume 117, issue 52, pages 33130-33140, December.
• Katarzyna Czech, 2020, "Speculative trading and its effect on the forward premium puzzle: new evidence from Japanese yen market," Bank i Kredyt, Narodowy Bank Polski, volume 51, issue 2, pages 167-188.
• Nicolae B. Gârleanu & Stavros Panageas, 2020, "Heterogeneity and Asset Prices: A Different Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 26607, Jan.
• Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu, 2020, "Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 26706, Jan.
• James J. Choi & Kevin Zhao, 2020, "Did Mutual Fund Return Persistence Persist?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26707, Jan.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020, "Factor Timing," NBER Working Papers, National Bureau of Economic Research, Inc, number 26708, Jan.
• Matteo Leombroni & Monika Piazzesi & Martin Schneider & Ciaran Rogers, 2020, "Inflation and the Price of Real Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 26740, Feb.
• Ricardo Lagos & Shengxing Zhang, 2020, "The Limits of onetary Economics: On Money as a Latent Medium of Exchange," NBER Working Papers, National Bureau of Economic Research, Inc, number 26756, Feb.
• Hanming Fang & Yongqin Wang & Xian Wu, 2020, "The Collateral Channel of Monetary Policy: Evidence from China," NBER Working Papers, National Bureau of Economic Research, Inc, number 26792, Feb.
• Mehran Ebrahimian & Jessica Wachter, 2020, "Risks to Human Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 26823, Mar.
• Julien Pénasse & Luc Renneboog & José A. Scheinkman, 2020, "When a Master Dies: Speculation and Asset Float," NBER Working Papers, National Bureau of Economic Research, Inc, number 26831, Mar.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020, "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers, National Bureau of Economic Research, Inc, number 26945, Apr.
• Laura Alfaro & Anusha Chari & Andrew N. Greenland & Peter K. Schott, 2020, "Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time," NBER Working Papers, National Bureau of Economic Research, Inc, number 26950, Apr.
• Leonid Kogan & Dimitris Papanikolaou & Lawrence D. W. Schmidt & Jae Song, 2020, "Technological Innovation and Labor Income Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 26964, Apr.
• Patrick Bolton & Marcin Kacperczyk, 2020, "Do Investors Care about Carbon Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26968, Apr.
• Tarek Alexander Hassan & Stephan Hollander & Laurence van Lent & Markus Schwedeler & Ahmed Tahoun, 2020, "Firm-Level Exposure to Epidemic Diseases: COVID-19, SARS, and H1N1," NBER Working Papers, National Bureau of Economic Research, Inc, number 26971, Apr.
• Stavros Panageas, 2020, "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 26974, Apr.
• William Belmont & Bruce Sacerdote & Ranjan Sehgal & Ian Van Hoek, 2020, "Relief Rally: Senators As Feckless As the Rest of Us at Stock Picking," NBER Working Papers, National Bureau of Economic Research, Inc, number 26975, Apr.
• Jonathan S. Hartley & Urban Jermann, 2020, "Should the U.S. Government Issue Floating Rate Notes?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27065, Apr.
• Harrison Hong & Neng Wang & Jinqiang Yang, 2020, "Mitigating Disaster Risks in the Age of Climate Change," NBER Working Papers, National Bureau of Economic Research, Inc, number 27066, Apr.
• Sergey Chernenko & Adi Sunderam, 2020, "Measuring the Perceived Liquidity of the Corporate Bond Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 27092, May.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020, "The Variance Risk Premium in Equilibrium Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 27108, May.
• Richard K. Lyons & Ganesh Viswanath-Natraj, 2020, "What Keeps Stablecoins Stable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27136, May.
• Nicholas C. Barberis & Lawrence J. Jin & Baolian Wang, 2020, "Prospect Theory and Stock Market Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 27155, May.
• Valentin Haddad & Alan Moreira & Tyler Muir, 2020, "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers, National Bureau of Economic Research, Inc, number 27168, May.
• Jonathan T. Vu & Benjamin K. Kaplan & Shomesh Chaudhuri & Monique K. Mansoura & Andrew W. Lo, 2020, "Financing Vaccines for Global Health Security," NBER Working Papers, National Bureau of Economic Research, Inc, number 27212, May.
• Gonzalo Asis & Anusha Chari & Adam Haas, 2020, "In Search of Distress Risk in Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 27213, May.
• Harrison Hong & Neng Wang & Jinqiang Yang, 2020, "Implications of Stochastic Transmission Rates for Managing Pandemic Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 27218, May.
• Lin William Cong & Ye Li & Neng Wang, 2020, "Tokenomics: Dynamic Adoption and Valuation," NBER Working Papers, National Bureau of Economic Research, Inc, number 27222, May.
• Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020, "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers, National Bureau of Economic Research, Inc, number 27227, May.
• Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020, "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers, National Bureau of Economic Research, Inc, number 27231, May.
• Xiaohong Chen & Lars P. Hansen & Peter G. Hansen, 2020, "Robust Identification of Investor Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 27257, May.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020, "Inside the Mind of a Stock Market Crash," NBER Working Papers, National Bureau of Economic Research, Inc, number 27272, May.
• Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2020, "Belief Overreaction and Stock Market Puzzles," NBER Working Papers, National Bureau of Economic Research, Inc, number 27283, May.
• Ricardo J. Caballero & Alp Simsek, 2020, "Monetary Policy with Opinionated Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 27313, Jun.
• Ralph S. J. Koijen & Motohiro Yogo, 2020, "Exchange Rates and Asset Prices in a Global Demand System," NBER Working Papers, National Bureau of Economic Research, Inc, number 27342, Jun.
• Pierre-Olivier Weill, 2020, "The search theory of OTC markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 27354, Jun.
• Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2020, "Corporate Bond Liquidity During the COVID-19 Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 27355, Jun.
• Jules H. van Binsbergen, 2020, "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 27367, Jun.
• Samuel M. Hartzmark & David H. Solomon, 2020, "Reconsidering Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 27380, Jun.
• Bryan T. Kelly & Semyon Malamud & Lasse H. Pedersen, 2020, "Principal Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 27388, Jun.
• Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020, "Biases in Long-Horizon Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 27410, Jun.
• Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2020, "Scarring Body and Mind: The Long-Term Belief-Scarring Effects of COVID-19," NBER Working Papers, National Bureau of Economic Research, Inc, number 27439, Jun.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2020, "The Tax Cuts and Jobs Act: Which Firms Won? Which Lost?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27470, Jul.
• Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020, "The Effect of Managers on Systematic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27487, Jul.
• Mikhail Chernov & Drew D. Creal & Peter Hördahl, 2020, "Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 27500, Jul.
• Andrew N. Greenland & Mihai Ion & John W. Lopresti & Peter K. Schott, 2020, "Using Equity Market Reactions to Infer Exposure to Trade Liberalization," NBER Working Papers, National Bureau of Economic Research, Inc, number 27510, Jul.
• Daniel L. Tortorice & David E. Bloom & Paige Kirby & John Regan, 2020, "A Theory of Social Impact Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 27527, Jul.
• Itay Goldstein & Shijie Yang & Luo Zuo, 2020, "The Real Effects of Modern Information Technologies: Evidence from the EDGAR Implementation," NBER Working Papers, National Bureau of Economic Research, Inc, number 27529, Jul.
• Lubos Pastor & M. Blair Vorsatz, 2020, "Mutual Fund Performance and Flows During the COVID-19 Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 27551, Jul.
• Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020, "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 27615, Jul.
• Söhnke M. Bartram & Mark Grinblatt & Yoshio Nozawa, 2020, "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 27655, Aug.
• Zhiguo He & Maggie Rong Hu & Zhenping Wang & Vincent Yao, 2020, "Valuing Long-Term Property Rights with Anticipated Political Regime Shifts," NBER Working Papers, National Bureau of Economic Research, Inc, number 27665, Aug.
• Shumiao Ouyang & Jiaheng Yu & Ravi Jagannathan, 2020, "Return to Venture Capital in the Aggregate," NBER Working Papers, National Bureau of Economic Research, Inc, number 27690, Aug.
• Ricardo J. Caballero & Alp Simsek, 2020, "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," NBER Working Papers, National Bureau of Economic Research, Inc, number 27712, Aug.
• Erol Akcay & David Hirshleifer, 2020, "Social Finance: Cultural Evolution, Transmission Bias and Market Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 27745, Aug.
• Josue Cox & Daniel L. Greenwald & Sydney C. Ludvigson, 2020, "What Explains the COVID-19 Stock Market?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27784, Sep.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2020, "Manufacturing Risk-free Government Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 27786, Sep.
• Harrison Hong & Jeffrey D. Kubik & Neng Wang & Xiao Xu & Jinqiang Yang, 2020, "Pandemics, Vaccines and an Earnings Damage Function," NBER Working Papers, National Bureau of Economic Research, Inc, number 27829, Sep.
• Jules H. van Binsbergen & Xiao Han & Alejandro Lopez-Lira, 2020, "Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases," NBER Working Papers, National Bureau of Economic Research, Inc, number 27843, Sep.
• Kimberly A. Berg & Nelson C. Mark, 2020, "Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 27844, Sep.
• Tarek Alexander Hassan & Tony Zhang, 2020, "The Economics of Currency Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27847, Sep.
• Carolin Pflueger & Gianluca Rinaldi, 2020, "Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 27856, Sep.
• Milton Harris & Christian Opp & Marcus Opp, 2020, "The Aggregate Demand for Bank Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 27858, Sep.
• Ravi Jagannathan & Yang Zhang, 2020, "A Return Based Measure of Firm Quality," NBER Working Papers, National Bureau of Economic Research, Inc, number 27859, Sep.
• Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020, "Does Fiscal Policy Matter for Stock-Bond Return Correlation?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27861, Sep.
• Steven J. Davis & Stephen Hansen & Cristhian Seminario-Amez, 2020, "Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19," NBER Working Papers, National Bureau of Economic Research, Inc, number 27867, Sep.
• Derek Lemoine, 2020, "Incentivizing Negative Emissions Through Carbon Shares," NBER Working Papers, National Bureau of Economic Research, Inc, number 27880, Oct.
• Itamar Drechsler & Alan Moreira & Alexi Savov, 2020, "Liquidity and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 27959, Oct.
• Svetlana Bender & James J. Choi & Danielle Dyson & Adriana Z. Robertson, 2020, "Millionaires Speak: What Drives Their Personal Investment Decisions?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27969, Oct.
• Hang Bai & Lu Zhang, 2020, "Searching for the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 28001, Oct.
• Robert J. Barro, 2020, "r Minus g," NBER Working Papers, National Bureau of Economic Research, Inc, number 28002, Oct.
• Anil K Kashyap & Natalia Kovrijnykh & Jian Li & Anna Pavlova, 2020, "Is There Too Much Benchmarking in Asset Management?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28020, Oct.
• Jonathan A. Parker & Antoinette Schoar & Yang Sun, 2020, "Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 28028, Oct.
• Matthias Fleckenstein & Francis A. Longstaff, 2020, "The Market Risk Premium for Unsecured Consumer Credit Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28029, Oct.
• Justin Birru & Sinan Gokkaya & Xi Liu & René M. Stulz, 2020, "Who Benefits from Analyst “Top Picks”?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28038, Oct.
• Andrea L. Eisfeldt & Edward Kim & Dimitris Papanikolaou, 2020, "Intangible Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 28056, Nov.
• Kaiji Chen & Qing Wang & Tong Xu & Tao Zha, 2020, "Aggregate and Distributional Impacts of LTV Policy in China," NBER Working Papers, National Bureau of Economic Research, Inc, number 28092, Nov.
• Michael D. Bordo & John V. Duca, 2020, "How New Fed Corporate Bond Programs Dampened the Financial Accelerator in the Covid-19 Recession," NBER Working Papers, National Bureau of Economic Research, Inc, number 28097, Nov.
• Lars A. Lochstoer & Tyler Muir, 2020, "Volatility Expectations and Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28102, Nov.
• Sebastian Infante & Guillermo Ordoñez, 2020, "The Collateral Link between Volatility and Risk Sharing," NBER Working Papers, National Bureau of Economic Research, Inc, number 28119, Nov.
• Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2020, "The Value of a Cure: An Asset Pricing Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 28127, Nov.
• Matthias Fleckenstein & Francis A. Longstaff, 2020, "Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 28134, Nov.
• Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu, 2020, "Inference on Risk Premia in Continuous-Time Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 28140, Nov.
• Jie Cao & Sheridan Titman & Xintong Zhan & Weiming Zhang, 2020, "ESG Preference, Institutional Trading, and Stock Return Patterns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28156, Nov.
• Anna Cieslak & Hao Pang, 2020, "Common Shocks in Stocks and Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 28184, Dec.
• Bernard Dumas & Marcel Savioz, 2020, "A Theory of the Nominal Character of Stock Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 28186, Dec.
• Akshaya Jha & Stephen A. Karolyi & Nicholas Z. Muller, 2020, "Polluting Public Funds: The Effect of Environmental Regulation on Municipal Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 28210, Dec.
• Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020, "Pricing Currency Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 28260, Dec.
• Roger Farmer & Jean-Philippe Bouchaud, 2020, "Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality," NBER Working Papers, National Bureau of Economic Research, Inc, number 28261, Dec.
• Annette Vissing-Jorgensen, 2020, "Informal Central Bank Communication," NBER Working Papers, National Bureau of Economic Research, Inc, number 28276, Dec.
• Panageas, Stavros, 2020, "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends(R) in Finance, now publishers, volume 12, issue 3, pages 199-275, November, DOI: 10.1561/0500000057.
• Baker, Andrew & Gelbach, Jonah B., 2020, "Machine Learning and Predicted Returns for Event Studies in Securities Litigation," Journal of Law, Finance, and Accounting, now publishers, volume 5, issue 2, pages 231-272, September, DOI: 10.1561/108.00000047.
• Mihir Dash, 2020, "Firm-Level Determinants of Cost Structure of the Indian Sugar Industry," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 9, issue 2, pages 55-62, June.
• Berardino Palazzo & Ram Yamarthy, 2020, "Credit Risk and the Transmission of Interest Rate Shocks," Working Papers, Office of Financial Research, US Department of the Treasury, number 20-05, Dec.
• LĂCĂTUŞ (BELE) Alexandra Maria, 2020, "Green Bonds: The Most Innovative Financial Instruments On The Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 264-273, July.
• Xiao, Tim, 2020, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org, Center for Open Science, number ep9dn, Jun, DOI: 10.31219/osf.io/ep9dn.
• Huber, Christoph & Rose, Julia, 2020, "Do individual attitudes towards imprecision survive in experimental asset markets?," OSF Preprints, Center for Open Science, number bw8fc, Sep, DOI: 10.31219/osf.io/bw8fc.
• Xiao, Tim, 2020, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv, Center for Open Science, number jc43a, Jun, DOI: 10.31219/osf.io/jc43a.
• Cookson, J. Anthony & Engelberg, Joseph E. & Mullins, William, 2020, "Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic," SocArXiv, Center for Open Science, number rwhse, Jun, DOI: 10.31219/osf.io/rwhse.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020, "High-Frequency Jump Analysis of the Bitcoin Market," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 209-232.
• Patrick Gagliardini & Diego Ronchetti, 2020, "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 333-394.
• Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tédongap & Lai Xu, 2020, "The Term Structures of Expected Loss and Gain Uncertainty," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 473-501.
• Jennifer Conrad & Robert F Dittmar & Allaudeen Hameed, 2020, "Implied Default Probabilities and Losses Given Default from Option Prices," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 629-652.
• Bastian von Beschwitz & Donald B Keim & Massimo Massa, 2020, "First to “Read” the News: News Analytics and Algorithmic Trading," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 1, pages 122-178.
• Brad M Barber & Yi-Tsung Lee & Yu-Jane Liu & Terrance Odean & Ke Zhang, 2020, "Learning, Fast or Slow," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 1, pages 61-93.
• Pierluigi Balduzzi & I-Hsuan Ethan Chiang, 2020, "Real Exchange Rates and Currency Risk Premiums," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 1, pages 94-121.
• Andrew Y Chen & Tom Zimmermann & Jeffrey Pontiff, 2020, "Publication Bias and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 2, pages 249-289.
• Chris Kirby & Nikolai Roussanov, 2020, "Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 2, pages 290-334.
• Chunhua Lan & Nikolai Roussanov, 2020, "Stock Price Movements: Business-Cycle and Low-Frequency Perspectives," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 2, pages 335-395.
• Jan Bena & Lorenzo Garlappi, 2020, "Corporate Innovation and Returns
  [Last-in first-out oligopoly dynamics]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 2, pages 340-383.
• Rui Albuquerque & Yrjo Koskinen & Shuai Yang & Chendi Zhang, 2020, "Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 3, pages 593-621.
• Stefano Ramelli & Alexander F Wagner, 2020, "Feverish Stock Price Reactions to COVID-19," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 3, pages 622-655.
• David Berger & Ian Dew-Becker & Stefano Giglio, 2020, "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 1, pages 40-76.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2020, "Frictional Intermediation in Over-the-Counter Markets," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 3, pages 1432-1469.
• Anna Scherbina & Bernd Schlusche, 2020, "Follow the Leader: Using the Stock Market to Uncover Information Flows between Firms
  [Trade credit and cross-country predictable firm returns]," Review of Finance, European Finance Association, volume 24, issue 1, pages 189-225.
• Aaron L Bodoh-Creed, 2020, "Mood, Memory, and the Evaluation of Asset Prices
  [Option pricing by students and professional traders: a behavioural investigation]," Review of Finance, European Finance Association, volume 24, issue 1, pages 227-262.
• Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020, "Specification Analysis of Structural Credit Risk Models
  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, volume 24, issue 1, pages 45-98.
• Francesca Brusa & Pavel Savor & Mungo Wilson, 2020, "One Central Bank to Rule Them All," Review of Finance, European Finance Association, volume 24, issue 2, pages 263-304.
• Florian Nagler, 2020, "Yield Spreads and the Corporate Bond Rollover Channel," Review of Finance, European Finance Association, volume 24, issue 2, pages 345-379.
• Teodor Dyakov & Hao Jiang & Marno Verbeek, 2020, "Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds," Review of Finance, European Finance Association, volume 24, issue 3, pages 677-731.
• Prachi Deuskar & Nitin Kumar & Jeramia Allan Poland, 2020, "Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions," Review of Finance, European Finance Association, volume 24, issue 5, pages 1039-1077.
• Rajna Gibson Brandon & Songtao Wang, 2020, "Earnings Belief Risk and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, volume 24, issue 5, pages 1107-1158.
• George Panayotov, 2020, "Global Risks in the Currency Market," Review of Finance, European Finance Association, volume 24, issue 6, pages 1237-1270.
• Philipp Adämmer & Rainer A Schüssler, 2020, "Forecasting the Equity Premium: Mind the News!," Review of Finance, European Finance Association, volume 24, issue 6, pages 1313-1355.
• Matthias Fleckenstein & Francis A Longstaff & Stijn Van Nieuwerburgh, 2020, "Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 11, pages 5051-5091.
• Hengjie Ai & Jun E Li & Kai Li & Christian Schlag, 2020, "The Collateralizability Premium," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 12, pages 5821-5855.
• Michael Gofman & Gill Segal & Youchang Wu & Stijn Van Nieuwerburgh, 2020, "Production Networks and Stock Returns: The Role of Vertical Creative Destruction," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 12, pages 5856-5905.
• Alexandre Corhay & Howard Kung & Lukas Schmid & Stijn Van Nieuwerburgh, 2020, "Competition, Markups, and Predictable Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 12, pages 5906-5939.
• Urban J Jermann, 2020, "Negative Swap Spreads and Limited Arbitrage," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 1, pages 212-238.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020, "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 2, pages 689-746.
• Michael Barnett & William Brock & Lars Peter Hansen & Harrison Hong, 2020, "Pricing Uncertainty Induced by Climate Change," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1024-1066.
• Darwin Choi & Zhenyu Gao & Wenxi Jiang, 2020, "Attention to Global Warming," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1112-1145.
• Jawad M Addoum & David T Ng & Ariel Ortiz-Bobea & Harrison Hong, 2020, "Temperature Shocks and Establishment Sales," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1331-1366.
• Kent Daniel & David Hirshleifer & Lin Sun, 2020, "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 4, pages 1673-1736.
• Stijn Van Nieuwerburgh, 2020, "New Methods for the Cross-Section of Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1879-1890.
• Eugene F Fama & Kenneth R French, 2020, "Comparing Cross-Section and Time-Series Factor Models," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1891-1926.
• Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2020, "The Cross-Section of Risk and Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1927-1979.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020, "Factor Timing," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 1980-2018.