Research classified by Journal of Economic Literature (JEL) codes

2020

• Pedro Pardal & Rui Dias & Petr Suler & Nuno Teixeira & Tomas Krulicky, 2020, "Integration in Central European capital markets in the context of the global COVID-19 pandemic," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 4, pages 627-650, December, DOI: 10.24136/eq.2020.027.
• Jana Kotlebova & Peter Arendas & Bozena Chovancova, 2020, "Government expenditures in the support of technological innovations and impact on stock market and real economy: the empirical evidence from the US and Germany," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 4, pages 717-734, December, DOI: 10.24136/eq.2020.031.
• Rui Dias & Nuno Teixeira & Veronika Machova & Pedro Pardal & Jakub Horak & Marek Vochozka, 2020, "Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic," Oeconomia Copernicana, Institute of Economic Research, volume 11, issue 4, pages 585-608, December, DOI: 10.24136/oc.2020.024.
• Cziglerné Erb, Edina, 2020, "The Re-emergence of the Residual Income Model in the Valuation of Firms and Investment Projects," Public Finance Quarterly, Corvinus University of Budapest, volume 65, issue 3, pages 430-442, DOI: https://doi.org/10.35551/PFQ_2020_3.
• Elain Brianne O. Balderas & Alyanna Maria Belen S.D. Bernardo, 2020, "By his words alone: the economic consequences of Rodrigo Duterte," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 57, issue 1, pages 71-100, June.
• Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020, "Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2020:22.
• Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020, "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper, University Library of Munich, Germany, number 100020, May.
• Bago, Jean-Louis & Akakpo, Koffi & Rherrad, Imad & Ouédraogo, Ernest, 2020, "Volatility Spillover and International Contagion of Housing Bubbles," MPRA Paper, University Library of Munich, Germany, number 100098, May.
• Siddiqi, Hammad, 2020, "Resource allocation in the brain and the Capital Asset Pricing Model," MPRA Paper, University Library of Munich, Germany, number 100250, Jan.
• Siddiqi, Hammad, 2020, "Resource allocation in the brain and the equity premium puzzle," MPRA Paper, University Library of Munich, Germany, number 100432, Feb.
• Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020, "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper, University Library of Munich, Germany, number 100877, Jun.
• Hamim, Md. Tanvir, 2020, "R&D Investments and Idiosyncratic Volatility," MPRA Paper, University Library of Munich, Germany, number 101330, Jun.
• Mynbaev, Kairat, 2020, "Using full limit order book for price jump prediction," MPRA Paper, University Library of Munich, Germany, number 101684, Jun.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Zong, Xiaoyu, 2020, "Asset Prices and Capital Share Risks: Theory and Evidence," MPRA Paper, University Library of Munich, Germany, number 101781, May.
• Sanna, Dario, 2020, "A Fast and Parsimonious Way to Estimate the Implied Rate of Return of Equity," MPRA Paper, University Library of Munich, Germany, number 102003, Jul.
• Sanna, Dario, 2020, "A Fast and Parsimonious Way to Estimate the Implied Rate of Return on Equity," MPRA Paper, University Library of Munich, Germany, number 102072, Jul.
• Berardi, Michele, 2020, "Learning from prices: information aggregation and accumulation in an asset market," MPRA Paper, University Library of Munich, Germany, number 102139, Apr.
• Olkhov, Victor, 2020, "Volatility Depend on Market Trades and Macro Theory," MPRA Paper, University Library of Munich, Germany, number 102434, Aug.
• Hammad, Siddiqi & Austin, Murphy, 2020, "Optimal Resource Allocation in the Brain and the Capital Asset Pricing Model," MPRA Paper, University Library of Munich, Germany, number 102705, Aug.
• De Koning, Kees, 2020, "A different economic growth strategy for the U.S," MPRA Paper, University Library of Munich, Germany, number 102949, Sep.
• Rafiq, Shuddhasattwa, 2020, "Projecting post-crisis house and equity prices since the 1870s:not all crises are alike," MPRA Paper, University Library of Munich, Germany, number 103164, Jul.
• Shahani, Rakesh & Paliwal, Riya, 2020, "An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods," MPRA Paper, University Library of Munich, Germany, number 103568, Oct.
• DAS, PIYALI & Ghate, Chetan, 2020, "Public Debt in India: A Security Level Analysis," MPRA Paper, University Library of Munich, Germany, number 103746, Oct.
• Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020, "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper, University Library of Munich, Germany, number 103870, Oct.
• Sinha, Pankaj & Sawaliya, Priya & Sinha, Prateek, 2020, "Surviving Coronavirus scare: A journey of stock market amid a slowdown in Indian Economy," MPRA Paper, University Library of Munich, Germany, number 103902, Jun, revised 20 Jun 2020.
• Radwanski, Juliusz, 2020, "On the Purchasing Power of Money in an Exchange Economy," MPRA Paper, University Library of Munich, Germany, number 104244, Nov.
• Han, Gaofeng & Miao, Hui & Wang, Yabin, 2020, "Liquidity of China’s Government Bond Market: Measures and Driving Forces," MPRA Paper, University Library of Munich, Germany, number 104545, Nov.
• Tinic, Murat & Sensoy, Ahmet & Demir, Muge & Nguyen, Duc Khuong, 2020, "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," MPRA Paper, University Library of Munich, Germany, number 104719, Nov.
• Shaw, Charles, 2020, "Regimes, Non-Linearities, and Price Discontinuities in Indian Energy Stocks," MPRA Paper, University Library of Munich, Germany, number 104798, Dec.
• Lee, Sukjoon, 2020, "Liquidity Premium, Credit Costs, and Optimal Monetary Policy," MPRA Paper, University Library of Munich, Germany, number 104825, Nov.
• Ciccarone, Giuseppe & Giuli, Francesco & Marchetti, Enrico & Tancioni, Massimiliano, 2020, "Leaning against the bubble. Can theoretical models match the empirical evidence?," MPRA Paper, University Library of Munich, Germany, number 105004, Dec.
• Pincheira, Pablo & Hardy, Nicolas, 2020, "The Mean Squared Prediction Error Paradox: A summary," MPRA Paper, University Library of Munich, Germany, number 105020, Dec.
• Magnani, Jacopo & Wang, Yabin, 2020, "Bond Lending and the Law of One Price in China's Treasury Markets," MPRA Paper, University Library of Munich, Germany, number 105027, Dec.
• cianni, victor, 2020, "Pricing (almost) any used goods: a first step towards a theoretical framework," MPRA Paper, University Library of Munich, Germany, number 105053, Dec.
• Pincheira, Pablo & Jarsun, Nabil, 2020, "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 105056, Dec.
• Olkhov, Victor, 2020, "Classical Option Pricing and Some Steps Further," MPRA Paper, University Library of Munich, Germany, number 105431, Apr, revised 28 Dec 2020.
• FORTES, Roberta & Le Guenedal, Theo, 2020, "Tracking ECB's communication: Perspectives and Implications for Financial Markets," MPRA Paper, University Library of Munich, Germany, number 108746, Dec.
• Kelikume, Ikechukwu & Evans, Olaniyi & Iyoha, Faith, 2020, "Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa," MPRA Paper, University Library of Munich, Germany, number 118200.
• Theplib, Krit & Sethapramote, Yuthana & Jiranyakul, Komain, 2020, "Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand," MPRA Paper, University Library of Munich, Germany, number 98094, Jan.
• Rangoanana, Motena Sefora & Bonga-Bonga, Lumengo, 2020, "Carry trade and capital market returns in South Africa," MPRA Paper, University Library of Munich, Germany, number 98607, Feb.
• Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020, "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," MPRA Paper, University Library of Munich, Germany, number 98785, Feb.
• Tursoy, Turgut & Berk, Niyazi, 2020, "Stock Return and Risk Premium: Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 98877, Mar.
• NEIFAR, MALIKA & HarzAllah, AMIRA, 2020, "Can Canadian Stock market provide complete hedge against Inflation ?," MPRA Paper, University Library of Munich, Germany, number 99093, Mar.
• Grilli, Luca & Santoro, Domenico, 2020, "Boltzmann Entropy in Cryptocurrencies: A Statistical Ensemble Based Approach," MPRA Paper, University Library of Munich, Germany, number 99591, Apr.
• Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020, "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper, University Library of Munich, Germany, number 99597, Apr.
• Olkhov, Victor, 2020, "Classical Option Pricing and Some Steps Further," MPRA Paper, University Library of Munich, Germany, number 99918, Apr.
• Magni, Carlo Alberto & Marchioni, Andrea, 2020, "Average rates of return, working capital, and NPV-consistency in project appraisal: A sensitivity analysis approach," MPRA Paper, University Library of Munich, Germany, number 99922, Apr.
• Tweneboah Senzu, Emmanuel, 2020, "Modern currency exchange rate behaviour and proposed trend-like forecasting model," MPRA Paper, University Library of Munich, Germany, number 99933, May.
• Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2020, "Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data," Working Papers, University of Pretoria, Department of Economics, number 202006, Jan.
• Matthew W. Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020, "Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 202007, Jan.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020, "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers, University of Pretoria, Department of Economics, number 202016, Feb.
• Oguzhan Cepni & Rangan Gupta & Cenk C. Karahan & Brian M. Lucey, 2020, "Oil Price Shocks and Yield Curve Dynamics in Emerging Markets," Working Papers, University of Pretoria, Department of Economics, number 202036, May.
• Oguzhan Cepni & Rangan Gupta, 2020, "Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment," Working Papers, University of Pretoria, Department of Economics, number 202039, May.
• Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2020, "The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach," Working Papers, University of Pretoria, Department of Economics, number 202055, Jun.
• Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2020, "The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States," Working Papers, University of Pretoria, Department of Economics, number 202063, Jul.
• Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020, "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers, University of Pretoria, Department of Economics, number 202078, Aug.
• Elie Bouri & Rangan Gupta & Anandamayee Majumdar & Sowmya Subramaniam, 2020, "Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates," Working Papers, University of Pretoria, Department of Economics, number 202098, Oct.
• Petr Musílek, 2020, "The Equity Risk Premium Puzzle
  [Hádanka akciové rizikové prémie]," Oceňování, Prague University of Economics and Business, volume 13, issue 1-2, pages 65-79, DOI: 10.18267/j.ocenovani.247.
• Veronika Staňková & Miloš Mařík, 2020, "Selecting a peer group of companies for valuation and outline of future research using machine learning
  [K problému výběru porovnatelné skupiny podniků pro ocenění a nástin budoucího výzkumu s využitím strojového učení]," Oceňování, Prague University of Economics and Business, volume 13, issue 3-4, pages 51-64, DOI: 10.18267/j.ocenovani.254.
• Jakub Jakl, 2020, "Outreach and Effects of the ECB Corporate Sector Purchase Programme," Prague Economic Papers, Prague University of Economics and Business, volume 2020, issue 3, pages 291-314, DOI: 10.18267/j.pep.729.
• Hana Hejlová & Zlatuše Komárková & Marek Rusnák, 2020, "A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards," Prague Economic Papers, Prague University of Economics and Business, volume 2020, issue 3, pages 251-273, DOI: 10.18267/j.pep.732.
• Agnieszka Marciniuk & Emília Zimková & Vlastimil Farkašovský & Colin W. Lawson, 2020, "Valuation of Equity Release Contracts in Czech Republic, Republic of Poland and Slovak Republic," Prague Economic Papers, Prague University of Economics and Business, volume 2020, issue 5, pages 505-521, DOI: 10.18267/j.pep.743.
• Peter Árendáš & Božena Chovancová & Ľuboš Pavelka, 2020, "Vplyv nemeckého akciového trhu na akciové trhy krajín V4
  [Influence of German Stock Market on Stock Markets of V4 Countries]," Politická ekonomie, Prague University of Economics and Business, volume 2020, issue 5, pages 554-568, DOI: 10.18267/j.polek.1288.
• Ernest Liu & Atif Mian & Amir Sufi, 2020, "Low Interest Rates, Market Power, and Productivity Growth," Working Papers, Princeton University. Economics Department., number 2020-18, Aug.
• Jason Allen & Jakub Kastl & Milena Wittwer, 2020, "Primary Dealers and the Demand for Government Debt," Working Papers, Princeton University. Economics Department., number 2020-27, Jul.
• Ralph S. J. Koijen & Motohiro Yogo, 2020, "Exchange Rates and Asset Prices in a Global Demand System," Working Papers, Princeton University. Economics Department., number 2020-33, Jun.
• Maryam Farboodi & Gregor Jarosch & Robert Shimer, 2020, "The Emergence of Market Structure," Working Papers, Princeton University. Economics Department., number 2020-40, May.
• Moritz Lenel, 2020, "Safe Assets, Collateralized Lending and Monetary Policy," Working Papers, Princeton University. Economics Department., number 2020-66, Jan.
• Caio Almeida & Kym Ardison & René Garcia & Piotr OrÅ‚owski, 2020, "Extracting Tail Risk from High-Frequency S&P 500 Returns," Working Papers, Princeton University. Economics Department., number 2020-78, Jan.
• Anupam Das & Tanweer Akram, 2020, "A Keynesian analysis of Canadian government securities yields," PSL Quarterly Review, Economia civile, volume 73, issue 294, pages 241-260.
• Kanis Saengchote, 2020, "Profitability, Investment and Asset Pricing: Reconciling the Valuation and the q-Theory Approaches in the Thai Stock Market," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 124, Jan.
• Shino Takayama, 2020, "Price Manipulation, Dynamic Informed Trading, and the Uniqueness of Equilibrium in Sequential Trading," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 621, May.
• Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2020, "Monetary policy surprises and their transmission through term premia and expected interest rates," Working Papers, Queen Mary University of London, School of Economics and Finance, number 917, Nov.
• Quintana, Derry & Chicama, Diego & Cisneros, Alex & Nivín, Rafael & Sánchez, Elmer & Yamunaqué, Diego, 2020, "Mapa de calor para el mercado financiero peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 39, pages 21-58.
• Nivín, Rafael & Sánchez, Elmer & Quintana, Derry & Chicana, Diego & Cisneros, Alex & Yamunaqué, Diego, 2020, "Mapa de calor para el mercado financiero peruano," Revista Moneda, Banco Central de Reserva del Perú, issue 181, pages 17-22.
• Quintana, Derry & Chicana, Diego & Cisneros, Alex & Nivín, Rafael & Sánchez, Elmer & Yamunaqué, Diego, 2020, "Mapa de calor para el mercado financiero," Working Papers, Banco Central de Reserva del Perú, number 2020-010, Nov.
• Robert Barro & Tao Jin, 2020, "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices, Review of Economic Dynamics, number 18-485.
• Robert Barro & Tao Jin, 2020, "Code and data files for "Rare Events and Long-Run Risks"," Computer Codes, Review of Economic Dynamics, number 18-485, revised .
• Feng Dong & Jianjun Miao & Pengfei Wang, 2020, "Code and data files for "Asset Bubbles and Monetary Policy"," Computer Codes, Review of Economic Dynamics, number 20-155, revised .
• Sreèko Devjak, 2020, "Integrity of the benchmark price for price testing of US municipal bonds," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 38, issue 1, pages 215-235.
• Abdul Wahid & Muhammad Zubair Mumtaz, 2020, "Long-run price performance of local and dual class IPOs in alternative investment market," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 38, issue 1, pages 71-100.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020, "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers, Red Investigadores de Economía, number 46, Jun.
• David P. Brown & Chen-Hao Tsai & Chi-Keung Woo & Jay Zarnikau & Shuangshuang Zhu, 2020, "Residential Electricity Pricing in Texas’s Competitive Retail Market," Working Papers, University of Alberta, Department of Economics, number 2020-04, Apr.
• Nikita Artamonov & Anna Voronina & Nikita Emelyanov & Aleksei Kurbatskii, 2020, "Estimation of interest rates’ impact on mutual funds’ performance in the USA," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 58, pages 55-75.
• Venkata Naga Satya Surendra Chimakurthi, 2020, "Digital Asset Management in the Communication of Product Promotional Activities," Asian Business Review, Asian Business Consortium, volume 10, issue 3, pages 177-186.
• Fitri Astuti & Anggi Setya Prayoga, 2020, "Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, volume 4, issue 1, pages 340-352.
• Nuriatullah Nuriatullah, 2020, "Does Financial Ratios and Company Size Affect Dividend Payout Ratio?," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, volume 4, issue 1, pages 393-412.
• Tyler Salathe & James McDonald, 2020, "Wealth management in the age of digital assets: How financial advisors can find opportunities amongst disruption," Journal of Financial Transformation, Capco Institute, volume 51, pages 28-33.
• José Ferreira & Ana Gama, 2020, "The Relationship Between The Factors Of Risk In Asset Evaluation Models And Future Economic Growth: Evidence From Three Regional Markets," Journal of Tourism, Sustainability and Well-being, CinTurs - Research Centre for Tourism, Sustainability and Well-being, University of Algarve, volume 8, issue 4, pages 300-319.
• Andrei S. Galkin & Ilya N. Gurov & Sergey S. Studnikov, 2020, "Accounting mechanism for information signals about the imposition of sanctions in valuation of a company," Economic Consultant, Scientific and Educational Initiative LLC, volume 29, issue 1, pages 57-64.
• Chamil W SENARATHNE & Wei JIANGUO, 2020, "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 73-91, July.
• Karam KIM & Doojin RYU, 2020, "Predictive ability of investor sentiment for the stock market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 33-46, December.
• Zura Kakushadze & Willie Yu, 2020, "Machine Learning Treasury Yields," Bulletin of Applied Economics, Risk Market Journals, volume 7, issue 1, pages 1-65.
• Zura Kakushadze, 2020, "Option Pricing: Channels, Target Zones and Sideways Markets," Bulletin of Applied Economics, Risk Market Journals, volume 7, issue 2, pages 25-33.
• Marianna Brunetti & Roberta De Luca, 2020, "Pre-selection in Cointegration-based Pairs Trading," CEIS Research Paper, Tor Vergata University, CEIS, number 500, Jun, revised 10 Mar 2021.
• Nicolas Soenen & Rudi Vander Vennet, 2020, "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 20/997, May.
• Zhifeng Cai, 2020, "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers, Rutgers University, Department of Economics, number 202002, Jan.
• Daan Steenkamp & Hylton Hollander & Roy Havemann, , "The macroeconomics of establishing a basic income grant in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 04.
• Daniel Cahill & Kingsley Fong & Marvin Wee & Joey Wenling Yang, 2020, "The role of implied volatility in liquidity provision," Australian Journal of Management, Australian School of Business, volume 45, issue 1, pages 45-71, February, DOI: 10.1177/0312896219833423.
• Adrian Melia & Paul Docherty & Steve Easton, 2020, "The impact of regulation on the seasoned equity offering decision," Australian Journal of Management, Australian School of Business, volume 45, issue 1, pages 94-113, February, DOI: 10.1177/0312896219833724.
• Aravind Sampath & Arun Kumar Gopalaswamy, 2020, "Intraday Variability and Trading Volume: Evidence from National Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 19, issue 3, pages 271-295, December, DOI: 10.1177/0972652720930586.
• Zubair Ali Raja & William J. Procasky & Renee Oyotode-Adebile, 2020, "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 19, issue 3, pages 296-325, December, DOI: 10.1177/0972652720932772.
• V. Minasyan B. & В. Минасян Б., 2020, "Новые способы измерения катастрофических финансовых рисков: меры «VaR в степени t» и их вычисление // New Ways to Measure Catastrophic Financial Risks: “VaR to the power of t” Measures and How to Calculate Them," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, volume 24, issue 3, pages 92-109.
• V. Minasyan B & В. Минасян Б., 2020, "Новые меры рисков «VaR в степени t» и «ES в степени t» и меры риска искажения // New Risk Measures “VaR to the Power of t” and “ES to the Power of t” and Distortion Risk Measures," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, volume 24, issue 6, pages 92-107.
• Marco Pagano & Christian Wagner & Josef Zechner, 2020, "Disaster Resilience and Asset Prices," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 563, May.
• López Herrera, Francisco & Macías Trejo, Luis Guadalupe & De la Torre Torres, Oscar Valdemar, 2020, "Desempeño de ocho de las criptomonedas de mayor capitalización de mercado / Performance of Eight of the Cryptocurrencies of Greater Market Capitalization," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 10, issue 1, pages 103-128, enero-jun.
• Martínez Escobar, Juan Andrés & González Brambila, Silvia Beatriz & Mora Gutiérrez, Román Anselmo & Caudillo Félix, Rubén, 2020, "Desarrollo de una metodología para el análisis y el pronóstico de acciones de la Bolsa Mexicana de Valores basada en optimización / Development of a methodology for the analysis and forecasting for stocks of the Mexican Stock Exchange," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 10, issue 2, pages 129-162, julio-dic.
• Lucas Herrenbrueck, 2020, "Why a pandemic recession should boost asset prices (. . . according to standard economic theory)," Discussion Papers, Department of Economics, Simon Fraser University, number dp20-07, Aug.
• Tomasz Piotr Kostyra & Michał Rubaszek, 2020, "Forecasting the Yield Curve for Poland," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 5, issue 2, pages 103-117, December, DOI: 10.2478/erfin-2020-0006.
• İsmet Göçer & Serdar Ongan, 2020, "Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 5, issue 2, pages 143-157, December, DOI: 10.2478/erfin-2020-0008.
• Jacek Karasiñski, 2020, "Changing Weak-Form Informational Efficiency: A Study on the World’s Stock Markets," Problemy Zarzadzania, University of Warsaw, Faculty of Management, volume 18, issue 90, pages 48-61.
• Jacek Karasiñski & Patryk Zduñczak, 2020, "Outstandingly High Values of the Market Value Ratios as a Symptom of Market Informational Inefficiency: A Study on the Warsaw Stock Exchange (Wyj¹tkowo wysokie wartoœci wskaŸników wartoœci rynkowej jako przejaw rynkowej nieefektywnoœci informacyjnej:," Problemy Zarzadzania, University of Warsaw, Faculty of Management, volume 18, issue 90, pages 78-91.
• In Choi & Rui Lin & Yongcheol Shin, 2020, "Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 2008.
• In Choi & Rui Lin & Yongcheol Shin, 2020, "Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 2009.
• Arhan Sabri ERTAN & Cenk Cevat KARAHAN & Ahmet Musa KÖSELİ, 2020, "Financial Value of Analyst Recommendations: Talent or Risk Factor? Abstract: Financial analysts not only contribute to the informational efficiency of stock markets with their detailed reports, they also have the power to influence portfolio decision," Sosyoekonomi Journal, Sosyoekonomi Society.
• Fernando Moraes & Rodrigo De-Losso, 2020, "Risk Factor Centrality and the Cross-Section of Expected Returns," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2020_17, Sep.
• Fernando Moraes & Rodrigo De-Losso, 2020, "Risk Factors’ CPDAG Roots and the Cross-Section of Expected Returns," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2020_18, Sep.
• Fabio Cereda & Fernando Chague & Rodrigo De Losso & Alan De Genaro & Bruno Giovannetti, 2020, "Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2020_22, Oct.
• Eurilton Araujo & Ricardo D. Brito & Antonio Z. Sanvicente, 2020, "Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2020_06, Jun.
• Dimitrios Koutmos, 2020, "Market risk and Bitcoin returns," Annals of Operations Research, Springer, volume 294, issue 1, pages 453-477, November, DOI: 10.1007/s10479-019-03255-6.
• Stefan Dierkes & Imke de Maeyer, 2020, "Valuation with mixed financing strategies," Business Research, Springer;German Academic Association for Business Research, volume 13, issue 3, pages 1317-1341, November, DOI: 10.1007/s40685-020-00126-w.
• Yuehao Lin & Thorsten Lehnert, 2020, "A note on Stein’s overreaction puzzle," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 43, issue 1, pages 269-276, June, DOI: 10.1007/s10203-019-00244-z.
• Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su, 2020, "Pricing and hedging defaultable participating contracts with regime switching and jump risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 43, issue 1, pages 303-339, June, DOI: 10.1007/s10203-020-00276-w.
• David Iheke Okorie, 2020, "Could stock hedge Bitcoin risk(s) and vice versa?," Digital Finance, Springer, volume 2, issue 1, pages 117-136, September, DOI: 10.1007/s42521-019-00011-0.
• David Iheke Okorie, 2020, "Correction to: Could stock hedge Bitcoin risk(s) and vice versa?," Digital Finance, Springer, volume 2, issue 1, pages 137-142, September, DOI: 10.1007/s42521-019-00013-y.
• Thomas Renault, 2020, "Sentiment analysis and machine learning in finance: a comparison of methods and models on one million messages," Digital Finance, Springer, volume 2, issue 1, pages 1-13, September, DOI: 10.1007/s42521-019-00014-x.
• Sergey Nasekin & Cathy Yi-Hsuan Chen, 2020, "Deep learning-based cryptocurrency sentiment construction," Digital Finance, Springer, volume 2, issue 1, pages 39-67, September, DOI: 10.1007/s42521-020-00018-y.
• Arianna Agosto & Paolo Giudici, 2020, "COVID-19 contagion and digital finance," Digital Finance, Springer, volume 2, issue 1, pages 159-167, September, DOI: 10.1007/s42521-020-00021-3.
• André Meyer & Lennart Ante, 2020, "Effects of initial coin offering characteristics on cross-listing returns," Digital Finance, Springer, volume 2, issue 3, pages 259-283, December, DOI: 10.1007/s42521-020-00025-z.
• Ha Nguyen & Bin Liu & Nirav Y. Parikh, 2020, "Exploring the short-term momentum effect in the cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, volume 17, issue 2, pages 425-443, July, DOI: 10.1007/s40844-020-00176-z.
• Wei Zhang & Pengfei Wang, 2020, "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, volume 17, issue 2, pages 445-468, July, DOI: 10.1007/s40844-020-00182-1.
• Hongwei Chuang, 2020, "The impacts of institutional ownership on stock returns," Empirical Economics, Springer, volume 58, issue 2, pages 507-533, February, DOI: 10.1007/s00181-018-1519-3.
• Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020, "Expiration day effects on European trading volumes," Empirical Economics, Springer, volume 58, issue 4, pages 1603-1638, April, DOI: 10.1007/s00181-019-01627-2.
• Wali Ullah, 2020, "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, volume 59, issue 3, pages 1243-1284, September, DOI: 10.1007/s00181-019-01710-8.
• Patrizia Perras & Niklas Wagner, 2020, "On the pricing of overnight market risk," Empirical Economics, Springer, volume 59, issue 3, pages 1307-1327, September, DOI: 10.1007/s00181-019-01714-4.
• Imad A. Moosa, 2020, "The bitcoin: a sparkling bubble or price discovery?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 93-113, March, DOI: 10.1007/s40812-019-00135-9.
• Dean Fantazzini & Stephan Zimin, 2020, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 19-69, March, DOI: 10.1007/s40812-019-00136-8.
• Pierre Chaigneau & Louis Eeckhoudt, 2020, "Downside risk-neutral probabilities," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 8, issue 1, pages 65-77, April, DOI: 10.1007/s40505-019-00165-5.
• Ralph Sonenshine, 2020, "Merger waves: are buyers following the herd or responding to structural queues?," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 10, issue 2, pages 287-308, June, DOI: 10.1007/s40821-019-00136-7.
• Imran Yousaf & Shoaib Ali, 2020, "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 6, issue 1, pages 1-18, December, DOI: 10.1186/s40854-020-00213-1.
• Damien Ackerer & Damir Filipović, 2020, "Linear credit risk models," Finance and Stochastics, Springer, volume 24, issue 1, pages 169-214, January, DOI: 10.1007/s00780-019-00409-z.
• Michael R. Tehranchi, 2020, "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, volume 24, issue 1, pages 1-38, January, DOI: 10.1007/s00780-019-00410-6.
• Ioannis Karatzas & Donghan Kim, 2020, "Trading strategies generated pathwise by functions of market weights," Finance and Stochastics, Springer, volume 24, issue 2, pages 423-463, April, DOI: 10.1007/s00780-019-00414-2.
• Kim Weston & Gordan Žitković, 2020, "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, volume 24, issue 2, pages 359-382, April, DOI: 10.1007/s00780-020-00415-6.
• Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020, "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, volume 24, issue 2, pages 465-511, April, DOI: 10.1007/s00780-020-00416-5.
• Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020, "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, volume 24, issue 2, pages 309-333, April, DOI: 10.1007/s00780-020-00419-2.
• Paolo Guasoni & Gu Wang, 2020, "Consumption in incomplete markets," Finance and Stochastics, Springer, volume 24, issue 2, pages 383-422, April, DOI: 10.1007/s00780-020-00420-9.
• Paolo Guasoni & Kwok Chuen Wong, 2020, "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, volume 24, issue 4, pages 939-980, October, DOI: 10.1007/s00780-020-00433-4.
• Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020, "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 14266, Jan.
• Weill, Pierre-Olivier & Hugonnier, Julien & Lester, Benjamin, 2020, "Heterogeneity in Decentralized Asset Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 14274, Jan.
• Chambers, David & , & Spaenjers, Christophe, 2020, "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers, Centre for Economic Policy Research, number 14357, Jan.
• ÅžimÅŸek, Alp & Iachan, Felipe Saraiva & Nenov, Plamen T., 2020, "The Choice Channel of Financial Innovation," CEPR Discussion Papers, Centre for Economic Policy Research, number 14361, Jan.
• Gambacorta, Leonardo & Mayordomo, Sergio & Serena Garralda, Jose-Maria, 2020, "Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities," CEPR Discussion Papers, Centre for Economic Policy Research, number 14419, Feb.
• Opp, Marcus & Harris, Milton & Opp, Christian, 2020, "The aggregate demand for bank capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 14524, Mar.
• Braggion, Fabio & Frehen, Rik & Jerphanion, Emiel, 2020, "Credit Provision and Stock Trading: Evidence from the South Sea Bubble," CEPR Discussion Papers, Centre for Economic Policy Research, number 14532, Mar.
• Kacperczyk, Marcin & Bolton, Patrick, 2020, "Carbon Premium around the World," CEPR Discussion Papers, Centre for Economic Policy Research, number 14567, Apr.
• Kacperczyk, Marcin & Bolton, Patrick, 2020, "Do Investors Care about Carbon Risk?," CEPR Discussion Papers, Centre for Economic Policy Research, number 14568, Apr.
• Zechner, Josef & Chaderina, Maria & Weiss, Patrick, 2020, "The Maturity Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 14570, Apr.
• Kaniel, Ron & Israeli, Doron & Sridharan, Suhas A., 2020, "The Real Side of the High-Volume Return Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 14587, Apr.
• de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020, "Valuation Risk Revalued," CEPR Discussion Papers, Centre for Economic Policy Research, number 14588, Apr.
• Auer, Raphael & Claessens, Stijn, 2020, "Cryptocurrency market reactions to regulatory news," CEPR Discussion Papers, Centre for Economic Policy Research, number 14602, Apr.
• Albuquerque, Rui & Koskinen, Yrjo & Yang, Shuai & Zhang, Chendi, 2020, "Love in the Time of COVID-19: The Resiliency of Environmental and Social Stocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 14661, Apr.
• Cieslak, Anna & Pang, Hao, 2020, "Common shocks in stocks and bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 14708, May.
• Ehrmann, Michael & Jansen, David-Jan, 2020, "Stock Return Comovement when Investors are Distracted: More, and More Homogeneous," CEPR Discussion Papers, Centre for Economic Policy Research, number 14713, May.
• Van Nieuwerburgh, Stijn & Landvoigt, Tim & Elenev, Vadim, 2020, "Can the Covid Bailouts Save the Economy?," CEPR Discussion Papers, Centre for Economic Policy Research, number 14714, May.
• Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020, "Disaster Resilience and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 14773, May.
• Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020, "The term structure of CIP violations," CEPR Discussion Papers, Centre for Economic Policy Research, number 14774, May.
• Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Utkus, Stephen P., 2020, "Inside the Mind of a Stock Market Crash," CEPR Discussion Papers, Centre for Economic Policy Research, number 14813, May.
• Caballero, Ricardo & Simsek, Alp, 2022, "Monetary Policy with Opinionated Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 14830, Jun.
• Rebucci, Alessandro & Hartley, Jonathan, 2020, "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 14841, Jun.
• Weill, Pierre-Olivier, 2020, "The search theory of OTC markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 14847, Jun.
• van der Ploeg, Frederick & Hambel, Christoph & Kraft, Holger, 2020, "Asset diversification versus climate action," CEPR Discussion Papers, Centre for Economic Policy Research, number 14863, Jun.
• Koijen, Ralph & Yogo, Motohiro, 2020, "Exchange Rates and Asset Prices in a Global Demand System," CEPR Discussion Papers, Centre for Economic Policy Research, number 14874, Jun.
• Koijen, Ralph & Gormsen, Niels Joachim, 2020, "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers, Centre for Economic Policy Research, number 14875, Jun.
• Wagner, Alexander F. & Zeckhauser, Richard & Ziegler, Alexandre, 2020, "The Tax Cuts and Jobs Act: Which Firms Won? Which Lost?," CEPR Discussion Papers, Centre for Economic Policy Research, number 14950, Jun.
• Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020, "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 14986, Jul.
• Weber, Martin & Mueller-Dethard, Jan, 2020, "The Portfolio Composition Effect," CEPR Discussion Papers, Centre for Economic Policy Research, number 15012, Jul.
• Pástor, LuboÅ¡ & Vorsatz, Blair, 2020, "Mutual Fund Performance and Flows During the COVID-19 Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 15033, Jul.
• Taylor, Mark & Filippou, Ilias & Gozluklu, Arie & Nguyen, My, 2020, "U.S. Populist Rhetoric and Currency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 15054, Jul.
• Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano & Wagner, Alexander F., 2022, "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers, Centre for Economic Policy Research, number 15070, May.
• Bergemann, Dirk & Morris, Stephen & Heumann, Tibor, 2020, "Information, Market Power and Price Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 15104, Jul.
• Cao, Shuo & Crump, Richard K. & ,, 2020, "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 15122, Aug.
• Caballero, Ricardo & Simsek, Alp, 2022, "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CEPR Discussion Papers, Centre for Economic Policy Research, number 15163, Jun.
• Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2020, "True Cost of Immediacy," CEPR Discussion Papers, Centre for Economic Policy Research, number 15205, Aug.
• Weill, Pierre-Olivier & Kargar, Mahyar & Lester, Benjamin & Lindsay, David & Liu, Shuo & Zúñiga, Diego, 2020, "Corporate Bond Liquidity During the COVID-19 Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 15231, Aug.
• Giglio, Stefano & Dew-Becker, Ian & Kelly, Bryan, 2020, "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 15239, Aug.
• Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2020, "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," CEPR Discussion Papers, Centre for Economic Policy Research, number 15258, Sep.
• Taylor, Mark & Filippou, Ilias & Rapach, David & Zhou, Guofu, 2020, "Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio," CEPR Discussion Papers, Centre for Economic Policy Research, number 15305, Sep.
• Taylor, Mark & Xu, Qi & Kozhan, Roman, 2020, "Prospect Theory and Currency Returns: Empirical Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 15306, Sep.
• Hassan, Tarek & Zhang, Tony, 2020, "The Economics of Currency Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 15313, Sep.
• Hansen, Stephen & Davis, Steven & Seminario-Amez, Cristhian, 2020, "Firm-level Risk Exposures and Stock Returns in the Wake of COVID-19," CEPR Discussion Papers, Centre for Economic Policy Research, number 15314, Sep.
• Korniotis, George & Bonaparte, Yosef & Kumar, Alok, 2020, "Income Risk and Stock Market Entry/Exit Decisions," CEPR Discussion Papers, Centre for Economic Policy Research, number 15370, Oct.
• Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2020, "It’s what you say and what you buy: A holistic evaluation of the Corporate Credit Facilities," CEPR Discussion Papers, Centre for Economic Policy Research, number 15432, Nov.
• van Wijnbergen, Sweder & Olijslagers, Stan & de Vette, Nander, 2020, "Debt sustainability when r - g," CEPR Discussion Papers, Centre for Economic Policy Research, number 15478, Nov.
• Dumas, Bernard & Savioz, Marcel René, 2020, "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers, Centre for Economic Policy Research, number 15507, Dec.