Research classified by Journal of Economic Literature (JEL) codes

2020

• Shi, Yongjing & Tiwari, Aviral Kumar & Gozgor, Giray & Lu, Zhou, 2020, "Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model," Research in International Business and Finance, Elsevier, volume 53, issue C, DOI: 10.1016/j.ribaf.2020.101231.
• de Jesus, Diego Pitta & Lenin Souza Bezerra, Bruno Felipe & da Nóbrega Besarria, Cássio, 2020, "The non-linear relationship between oil prices and stock prices: Evidence from oil-importing and oil-exporting countries," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101229.
• Ahmed, Walid M.A., 2020, "Stock market reactions to domestic sentiment: Panel CS-ARDL evidence," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101240.
• Zhang, Wei & Wang, Pengfei & Li, Yi, 2020, "Intraday momentum in Chinese commodity futures markets," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101278.
• Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020, "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101298.
• Shi, Jinyan & Yu, Conghui & Liu, Xiangkun & Li, Yanxi, 2020, "Predicting firm stock returns with customer stock returns: Moderating effects of customer characteristics," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101280.
• Dierkes, Maik & Germer, Stephan & Sejdiu, Vulnet, 2020, "Probability distortion, asset prices, and economic growth," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 84, issue C, DOI: 10.1016/j.socec.2019.101476.
• David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020, "To decrease or not to decrease: The impact of zero and negative interest rates on investment decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 87, issue C, DOI: 10.1016/j.socec.2020.101571.
• Bregu, Klajdi, 2020, "Overconfidence and (Over)Trading: The Effect of Feedback on Trading Behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 88, issue C, DOI: 10.1016/j.socec.2020.101598.
• Su, Chi-Wei & Qin, Meng & Tao, Ran & Umar, Muhammad, 2020, "Financial implications of fourth industrial revolution: Can bitcoin improve prospects of energy investment?," Technological Forecasting and Social Change, Elsevier, volume 158, issue C, DOI: 10.1016/j.techfore.2020.120178.
• Su, Chi-Wei & Qin, Meng & Tao, Ran & Shao, Xue-Feng & Albu, Lucian Liviu & Umar, Muhammad, 2020, "Can Bitcoin hedge the risks of geopolitical events?," Technological Forecasting and Social Change, Elsevier, volume 159, issue C, DOI: 10.1016/j.techfore.2020.120182.
• Juan Arismendi-Zambrano & Massimo Guidolin & Alessia Paccagnini, 2020, "Federal Reserve Chair Communication Sentiments' Heterogeneity, Personal Characteristics and their Impact on Target Rate Discovery," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-105, Dec.
• Markus Brueckner & Joaquin Vespignani, 2020, "Covid-19 Infections and the Performance of the Stock Market: An Empirical Analysis for Australia," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-56, Jun.
• Eli Remolona & James Yetman, 2020, "De Jure Benchmark Bonds," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-84, Sep.
• Cho, Thummim, 2020, "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102085, Aug.
• Chabakauri, Georgy & Yueyang Han, Brandon, 2020, "Collateral constraints and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102699, Dec.
• Phelan, C. E. & Marazzina, D. & Germano, G., 2020, "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103780, Jun.
• 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.
• Tarun Chordia & Amit Goyal & Alessio Saretto, 2020, "Anomalies and False Rejections," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2134-2179.
• Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020, "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2274-2325.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020, "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2326-2377.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu & Stijn Van Nieuwerburgh, 2020, "Impediments to Financial Trade: Theory and Applications," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 6, pages 2697-2727.
• Valentina Raponi & Cesare Robotti & Paolo Zaffaroni & Andrew Karolyi, 2020, "Testing Beta-Pricing Models Using Large Cross-Sections," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 6, pages 2796-2842.
• Ambrogio Cesa-Bianchi & M Hashem Pesaran & Alessandro Rebucci & Stijn Van Nieuwerburgh, 2020, "Uncertainty and Economic Activity: A Multicountry Perspective," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3393-3445.
• Alexis Akira Toda & Kieran James Walsh & Stijn Van Nieuwerburgh, 2020, "The Equity Premium and the One Percent," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3583-3623.
• Andrea Ajello & Luca Benzoni & Olena Chyruk & Stijn Van Nieuwerburgh, 2020, "Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3719-3765.
• Markus Brunnermeier & Simon Rother & Isabel Schnabel & Itay Goldstein, 2020, "Asset Price Bubbles and Systemic Risk," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 9, pages 4272-4317.
• 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," Economics and Business Letters, Oviedo University Press, volume 9, issue 3, pages 167-177.
• Rick Van der Ploeg, 2020, "Discounting And Climate Policy," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford, number 244, Jul.
• Rick Van der Ploeg & Christoph Hambel & Holger Kraft, 2020, "Asset Pricing and Decarbonization: Diversification versus Climate Action," Economics Series Working Papers, University of Oxford, Department of Economics, number 901, Feb.
• Caro Barrera, José Rafael, 2020, "Insurance Options: Beating the Benchmark. Are Catastrophe Bonds more profitable than Corporate Bonds? || Opciones de seguros: superando la referencia. ¿Son más rentables los bonos catástrofe que los bonos corporativos?," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 29, issue 1, pages 3-17, June.
• Benjamin Hübel & Hendrik Scholz, 2020, "Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 1, pages 52-69, February, DOI: 10.1057/s41260-019-00139-z.
• Friedrich-Carl Franz, 2020, "Forecasting index changes in the German DAX family," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 135-153, March, DOI: 10.1057/s41260-020-00153-6.
• Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020, "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 154-165, March, DOI: 10.1057/s41260-020-00154-5.
• André Höck & Christian Klein & Alexander Landau & Bernhard Zwergel, 2020, "The effect of environmental sustainability on credit risk," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 85-93, March, DOI: 10.1057/s41260-020-00155-4.
• Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020, "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 94-105, March, DOI: 10.1057/s41260-020-00156-3.
• Bernd Scherer, 2020, "Alternative risk premia: contagion and portfolio choice," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 3, pages 178-191, May, DOI: 10.1057/s41260-020-00158-1.
• Tobias Götze & Marc Gürtler & Eileen Witowski, 2020, "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 5, pages 428-446, September, DOI: 10.1057/s41260-020-00167-0.
• Philippe Oster, 2020, "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, volume 21, issue 4, pages 343-381, December, DOI: 10.1057/s41261-019-00122-z.
• Daniel Felix Ahelegbey & Paolo Giudici & Shatha Qamhieh Hashem, 2020, "Network VAR models to Measure Financial Contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 178, Jan.
• Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020, "Tail Risk Measurement In Crypto-Asset Markets," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 186, Mar.
• Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 188, May.
• Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 189, May.
• Daniel Felix Ahelegbey & Paolo Giudici, 2020, "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 192, Sep.
• Daniel Felix Ahelegbey, 2020, "Statistical Modelling of Downside Risk Spillovers," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 193, Oct.
• Daniel Felix Ahelegbey, 2020, "A Statistical Measure of Global Equity Market Risk," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 194, Nov.
• Hanming Fang & Yongqin Wang & Xian Wu, 2020, "The Collateral Channel of Monetary Policy: Evidence from China," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-008, Feb.
• Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020, "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-019, May.
• 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.
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• 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 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.
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• 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.
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• 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.
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• Zhifeng Cai, 2020, "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers, Rutgers University, Department of Economics, number 202002, Jan.
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• 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.