Research classified by Journal of Economic Literature (JEL) codes

2020

• Mosso-Martínez, Margarita M. & López-Herrera, Francisco, 2020, "Variables económicas y deterioro de la calidad de la cartera de hipotecas bursatilizadas en México," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 15, issue 52, pages 47-68, Primer se.
• Tortorice, Daniel L. & Bloom, David E. & Kirby, Paige & Regan, John, 2020, "A Theory of Social Impact Bonds," IZA Discussion Papers, IZA Network @ LISER, number 13431, Jun.
• Ben Cheikh, Nidhaleddine & Ben Naceur, Sami & Kanaan, Oussama & Rault, Christophe, 2020, "Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets," IZA Discussion Papers, IZA Network @ LISER, number 13853, Nov.
• Mahlstedt, Robert & Weber, Rüdiger, 2020, "Risk Sharing Within and Outside the Firm: The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns," IZA Discussion Papers, IZA Network @ LISER, number 13941, Dec.
• Prasenjit Chakrabarti & K Kiran Kumar, 2020, "High-Frequency Return-Implied Volatility Relationship: Empirical Evidence from Nifty and India VIX," Journal of Developing Areas, Tennessee State University, College of Business, volume 54, issue 3, pages 53-68, July-Sept.
• Chao Ying, 2020, "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers, Job Market Papers, number pyi149, Aug.
• Tengfei Zhang, 2020, "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers, Job Market Papers, number pzh934, Sep.
• Simmet Anastasia & Pohlmeier Winfried, 2020, "The CAPM with Measurement Error: ‘There’s life in the old dog yet!’," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 240, issue 4, pages 417-453, August, DOI: 10.1515/jbnst-2018-0089.
• Fatica, Serena & Panzica, Roberto, 2020, "Green bonds as a tool against climate change?," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2020-10, Sep.
• Zongwu Cai & Haiqiang Chen & Xiaosai Liao, 2020, "A New Robust Inference for Predictive Quantile Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202002, Feb, revised Feb 2020.
• Caio Vigo Pereira & Marcio Laurini, 2020, "Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202014, Sep, revised Sep 2020.
• Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020, "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202021, Dec, revised Dec 2020.
• Riccardo Brignone & Carlo Sgarra, 2020, "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, volume 16, issue 1, pages 101-119, March, DOI: 10.1007/s10436-019-00352-1.
• J. Lars Kirkby & Duy Nguyen, 2020, "Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models," Annals of Finance, Springer, volume 16, issue 3, pages 307-351, September, DOI: 10.1007/s10436-020-00366-0.
• David Schröder, 2020, "The role of market efficiency on implied cost of capital estimates: an international perspective," Annals of Finance, Springer, volume 16, issue 4, pages 463-499, December, DOI: 10.1007/s10436-020-00374-0.
• Kotaro Miwa, 2020, "Market Closures and Cross-sectional Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 1, pages 1-33, March, DOI: 10.1007/s10690-019-09279-z.
• Katsushi Nakajima, 2020, "Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 1, pages 35-59, March, DOI: 10.1007/s10690-019-09280-6.
• Wei Zhang & Yingxiu Zhao & Pengfei Wang & Dehua Shen, 2020, "Investor Sentiment and the Return Rate of P2P Lending Platform," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 1, pages 97-113, March, DOI: 10.1007/s10690-019-09284-2.
• Parthajit Kayal & Sayanti Mondal, 2020, "Speed of Price Adjustment in Indian Stock Market: A Paradox," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 4, pages 453-476, December, DOI: 10.1007/s10690-020-09303-7.
• Johan Knif & Dimitrios Koutmos & Gregory Koutmos, 2020, "Higher Co-Moment CAPM and Hedge Fund Returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 48, issue 1, pages 99-113, March, DOI: 10.1007/s11293-020-09659-1.

2019

• Hassan F. Gholipour & Hooi Hooi Lean & Reza Tajaddini & Anh Khoi Pham, 2019, "Foreign investment in Australian residential properties," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 12, issue 2, pages 166-180, March, DOI: 10.1108/IJHMA-05-2018-0030.
• Tobias Just & Michael Heinrich & Mark Andreas Maurin & Thomas Schreck, 2019, "Foreclosure discounts for German housing markets," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 13, issue 2, pages 143-163, August, DOI: 10.1108/IJHMA-12-2018-0106.
• Mouna Abdelhedi & Mouna Boujelbène-Abbes, 2019, "Transmission of shocks between Chinese financial market and oil market," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 15, issue 2, pages 262-286, September, DOI: 10.1108/IJOEM-07-2017-0244.
• Ahmad Hakimi Tajuddin & Rasidah Mohd Rashid & Karren Lee-Hwei Khaw & Norliza Che Yahya, 2019, "Shariah-compliant status and investors’ demand for IPOs: the effects of information asymmetry," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 12, issue 4, pages 489-508, August, DOI: 10.1108/IMEFM-01-2019-0026.
• Salman Ahmed Shaikh & Mohd Adib Ismail & Abdul Ghafar Ismail & Shahida Shahimi & Muhammad Hakimi Mohd. Shafiai, 2019, "Cross section of stock returns onShari’ah-compliant stocks: evidence from Pakistan," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 12, issue 2, pages 282-302, June, DOI: 10.1108/IMEFM-04-2017-0100.
• Youssef Riahi & Yacine Hammami, 2019, "Accounting information and financial institutions’ credit spreads: the case of Tunisia," Journal of Applied Accounting Research, Emerald Group Publishing Limited, volume 20, issue 1, pages 2-21, May, DOI: 10.1108/JAAR-06-2017-0065.
• Vikas Gupta & Shveta Singh & Surendra S. Yadav, 2019, "Impact of anchor investors on IPO returns during pre-market and aftermarket: evidence from India," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 17, issue 3, pages 351-368, November, DOI: 10.1108/JAMR-07-2019-0131.
• Silvio John Camilleri & Francelle Galea, 2019, "The determinants of securities trading activity: evidence from four European equity markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 3, issue 1, pages 47-67, June, DOI: 10.1108/JCMS-02-2019-0007.
• Halil Kiymaz, 2019, "Factors influencing SRI fund performance," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 3, issue 1, pages 68-81, June, DOI: 10.1108/JCMS-04-2019-0016.
• Alejandra Olivares Rios & Gabriel Rodríguez & Miguel Ataurima Arellano, 2019, "Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors," Journal of Economic Studies, Emerald Group Publishing Limited, volume 46, issue 3, pages 533-563, August, DOI: 10.1108/JES-04-2017-0089.
• Guglielmo Maria Caporale & Alex Plastun, 2019, "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, volume 46, issue 5, pages 1137-1155, August, DOI: 10.1108/JES-09-2018-0310.
• Serkan Karadas & William McAndrew & Minh Tam Tammy Schlosky, 2019, "Local corruption and local stock returns," Journal of Financial Crime, Emerald Group Publishing Limited, volume 26, issue 4, pages 1065-1077, October, DOI: 10.1108/JFC-01-2018-0011.
• Saji Thazhugal Govindan Nair, 2019, "Sovereign credit ratings and bond yield spreads in emerging markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 12, issue 2, pages 263-277, December, DOI: 10.1108/JFEP-04-2019-0068.
• Serdar Ongan & Ismet Gocer, 2019, "Testing fisher effect for the USA: application of nonlinear ARDL model," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 12, issue 2, pages 293-304, December, DOI: 10.1108/JFEP-09-2018-0127.
• Dharani Munusamy, 2019, "Does Ramadan influence the returns and volatility? Evidence from Shariah index in India," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, volume 10, issue 4, pages 565-579, July, DOI: 10.1108/JIABR-03-2016-0025.
• Alain Coën & Patrick Lecomte, 2019, "International listed real estate returns: evidence from the global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 37, issue 1, pages 72-91, January, DOI: 10.1108/JPIF-03-2018-0021.
• Vladimir Michaletz & Andrey I. Artemenkov, 2019, "The transactional asset pricing approach," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 37, issue 3, pages 255-288, March, DOI: 10.1108/JPIF-10-2018-0078.
• Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2019, "Interest rates calibration with a CIR model," Journal of Risk Finance, Emerald Group Publishing Limited, volume 20, issue 4, pages 370-387, September, DOI: 10.1108/JRF-05-2019-0080.
• Christian Fieberg & Armin Varmaz & Thorsten Poddig, 2019, "Risk models vs characteristic models from an investor’s perspective," Journal of Risk Finance, Emerald Group Publishing Limited, volume 20, issue 2, pages 201-222, July, DOI: 10.1108/JRF-10-2018-0163.
• Omaima Hassan & Gianluigi Giorgioni, 2018, "The impact of corruption on analyst coverage," Managerial Auditing Journal, Emerald Group Publishing Limited, volume 34, issue 3, pages 305-323, October, DOI: 10.1108/MAJ-01-2018-1783.
• Aditya Sharma & Arya Kumar, 2019, "A review paper on behavioral finance: study of emerging trends," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 12, issue 2, pages 137-157, May, DOI: 10.1108/QRFM-06-2017-0050.
• Walid M.A. Ahmed, 2020, "Asymmetric impact of exchange rate changes on stock returns: evidence of twode factoregimes," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 19, issue 2, pages 147-173, January, DOI: 10.1108/RAF-02-2019-0039.
• Athanasios Fassas & Stephanos Papadamou & Dionisis Philippas, 2019, "Investors’ risk aversion integration and quantitative easing," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 12, issue 2, pages 170-183, August, DOI: 10.1108/RBF-02-2019-0027.
• Vighneswara Swamy & Munusamy Dharani, 2019, "Investor attention using the Google search volume index – impact on stock returns," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 11, issue 1, pages 56-70, May, DOI: 10.1108/RBF-04-2018-0033.
• Murad Harasheh & Andrea Amaduzzi, 2019, "European emission allowance and equity markets: evidence from further trading phases," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 36, issue 4, pages 616-636, July, DOI: 10.1108/SEF-02-2018-0058.
• Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2019, "A new approach to forecast market interest rates through the CIR model," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 37, issue 2, pages 267-292, September, DOI: 10.1108/SEF-03-2019-0116.
• Ako Doffou, 2019, "Testing derivatives pricing models under higher-order moment swaps," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 36, issue 2, pages 154-167, March, DOI: 10.1108/SEF-04-2018-0106.
• György Walter, 2019, "Risk-adjusted pricing of project loans," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 1, pages 13-31, June, DOI: 10.1108/SEF-05-2018-0149.
• Olfa Belhassine & Amira Ben Bouzid, 2019, "Further insights into the oil and equity market relationship," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 36, issue 2, pages 291-310, June, DOI: 10.1108/SEF-12-2017-0349.
• Allen, D.E. & McAleer, M.J., 2019, "Drawbacks in the 3-Factor Approach of Fama and French (2018)," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-20, Jan.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019, "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-47.
• Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh, 2019, "Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-48.
• Paul Simshauser, 2019, "On the impact of government-initiated CfD's in Australia's National Electricity Market," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1901, Jan.
• Paul Simshauser, 2019, "Lessons from Australia's National Electricity Market 1998-2018: the strengths and weaknesses of the reform experience," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG1927, Jul.
• Gor Khachatryan, 2019, "A Better Alternative to Conventional Bond in the Context of Risk Management," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 209-220.
• A. Maron & M. Maron, 2019, "Minimizing the Maximum Risk of Currency Conversion for a Company Buying Abroad," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3, pages 59-67.
• Ashima Goyal, 2019, "Price Discovery in Indian Government Securities Market, Monetary Management and the Cost of Government Borrowing," Working Papers, eSocialSciences, number id:13027, Mar.
• Christos Karydas & Anastasios Xepapadeas, 2019, "Pricing climate change risks: CAPM with rare disasters and stochastic probabilities," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 19/311, Jan.
• Christos Karydas & Anastasios Xepapadeas, 2019, "Climate change risks: pricing and portfolio allocation," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 19/327, Nov.
• Daisuke MIYAKAWA & Chihiro SHIMIZU & Iichiro UESUGI, 2019, "Geography and Realty Prices: Evidence from International Transaction-Level Data," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 19011, Feb.
• Frederick DUBE & Brian BARNARD, 2019, "Equity Valuation based on a Random Process Modelling of Earnings and Equity Growth," Expert Journal of Economics, Sprint Investify, volume 7, issue 1, pages 1-31.
• Brian BARNARD, 2019, "Sovereign Credit Rating, Rating Migration, and the Risk-Free Rate: A Joint Markov Process and Random Walk Modelling of the Risk-Free Rate," Expert Journal of Economics, Sprint Investify, volume 7, issue 1, pages 32-44.
• Waheed CHICKTAY & Brian BARNARD, 2019, "Venture Capital Process: Opportunity Selection, Monitoring, Capital Rationing, and Deal Flow," Expert Journal of Finance, Sprint Investify, volume 7, issue 1, pages 22-38.
• Michal Dvorák & Zlatuše Komárková & Adam Kucera, 2019, "The Czech Government Yield Curve Decomposition at the Lower Bound," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 1, pages 2-36, February.
• Karel Janda, 2019, "Earnings Stability and Peer Company Selection for Multiple Based Indirect Valuation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 1, pages 37-75, February.
• Jovan Njegic & Milica Stankovic & Dejan Živkov, 2019, "What Wavelet-Based Quantiles Can Suggest about the Stocks-Bond Interaction in the Emerging East Asian Economies?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 1, pages 95-119, February.
• Wojciech Grabowski & Ewa Stawasz-Grabowska, 2019, "News Releases, Credit Rating Announcements, and Anti-Crisis Measures as Determinants of Sovereign Bond Spreads in the Peripheral Euro-Area Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 2, pages 149-173, April.
• Henryk Gurgul & Robert Syrek, 2019, "Dependence Structure of Volatility and Illiquidity on Vienna and Warsaw Stock Exchanges," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 3, pages 298-321, June.
• Joao Dionísio Monteiro & Ernesto Raúl Ferreira, 2019, "Revisiting Seasonality in Overnight and Daytime Returns in the U.S. Equity Markets: Mean-Variance, Sharpe Ratio and Stochastic Dominance Approaches," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 4, pages 384-414, August.
• Andrew Filardo & Paul Hubert & Phurichai Rungcharoenkitkul, 2019, "The reaction function channel of monetary policy and the financial cycle," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2019-16, Oct.
• Yinghui Chen & Lunan Jiang, 2019, "Liquidity Risk and Corporate Bond Yield Spread: Evidence from China," CFDS Discussion Paper Series, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China, number 2019/9, Nov.
• Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019, "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2019-8, Apr, DOI: 10.29338/wp2019-08.
• Jesús Fernández-Villaverde & Federico S. Mandelman & Yang Yu & Francesco Zanetti, 2019, "Search Complementarities, Aggregate Fluctuations, and Fiscal Policy," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2019-9, May, DOI: 10.29338/wp2019-09.
• Imad Chahboun & Nathaniel Hoover, 2019, "Variable Annuities: Underlying Risks and Sensitivities," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 19-1, Apr.
• Raphael Auer, 2019, "Beyond the Doomsday Economics of “Proof-of-Work” in Cryptocurrencies," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 355, Feb, DOI: 10.24149/gwp355.
• Raphael Auer, 2019, "Embedded Supervision: How to Build Regulation into Blockchain Finance," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 371, Oct, DOI: 10.24149/gwp371.
• Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2019, "Bond Flows and Liquidity: Do Foreigners Matter?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2019-08, Dec, DOI: 10.24148/wp2019-08.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019, "The Total Risk Premium Puzzle?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2019-10, Mar, DOI: 10.24148/wp2019-10.
• Jens H. E. Christensen & Mark M. Spiegel, 2019, "Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds," Working Paper Series, Federal Reserve Bank of San Francisco, number 2019-15, Oct, DOI: 10.24148/wp2019-15.
• Jens H. E. Christensen & Nikola Mirkov, 2021, "The Safety Premium of Safe Assets," Working Paper Series, Federal Reserve Bank of San Francisco, number 2019-28, Feb, DOI: 10.24148/wp2019-28.
• Nathan Foley-Fisher & Stefan Gissler & Stéphane Verani, 2019, "Over-the-Counter Market Liquidity and Securities Lending," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-011, Feb, DOI: 10.17016/FEDS.2019.011.
• Erik Heitfield & Yang-Ho Park, 2019, "Inferring Term Rates from SOFR Futures Prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-014, Mar, DOI: 10.17016/FEDS.2019.014.
• Andrew Y. Chen, 2019, "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-016, Mar, DOI: 10.17016/FEDS.2019.016.
• Yang-Ho Park, 2019, "Information in Yield Spread Trades," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-025, Apr, DOI: 10.17016/FEDS.2019.025.
• Martin M. Andreasen & Kasper Joergensen & Andrew C. Meldrum, 2019, "Bond Risk Premiums at the Zero Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-040, May, DOI: 10.17016/FEDS.2019.040.
• Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2019, "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-054, Jul, DOI: 10.17016/FEDS.2019.054.
• Robert J. Barro & Gordon Y. Liao, 2019, "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-073, Sep, DOI: 10.17016/FEDS.2019.073.
• Juan M. Londono & Nancy R. Xu, 2019, "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1247, Jul, DOI: 10.17016/IFDP.2019.1247.
• Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019, "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1253, Jul, DOI: 10.17016/IFDP.2019.1253.
• Gordon Y. Liao, 2019, "Credit Migration and Covered Interest Rate Parity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1255, Aug, DOI: https://doi.org/10.17016/IFDP.2019..
• Ricardo Correa & Laurie Pounder DeMarco, 2019, "Dealer Leverage and Exchange Rates: Heterogeneity Across Intermediaries," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1262, Nov, DOI: 10.17016/IFDP.2019.1262.
• Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein, 2019, "Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2019-8, Sep, DOI: 10.21033/wp-2019-08.
• Brent Bundick, 2019, "The Persistent Effects of the Temporary Tightening in Financial Conditions," Economic Bulletin, Federal Reserve Bank of Kansas City, issue April 17,, pages 1-4, April.
• Kartik B. Athreya & Ryan Mather & Jose Mustre-del-Rio & Juan M. Sanchez, 2019, "Consumption in the Great Recession: The Financial Distress Channel," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 19-6, Sep, DOI: 10.18651/RWP2019-06.
• YiLi Chien & Junsang Lee, 2019, "The Real Term Premium in a Stationary Economy with Segmented Asset Markets," Review, Federal Reserve Bank of St. Louis, volume 101, issue 2, pages 115-134, DOI: 10.20955/r.101.115-34.
• Rodolfo E. Manuelli, 2019, "What Determines Debt Maturity?," Review, Federal Reserve Bank of St. Louis, volume 101, issue 3, pages 155-176, DOI: 10.20955/r.101.155-76.
• Kartik B. Athreya & Ryan Mather & Jose Mustre-del-Rio & Juan M. Sanchez, 2019, "The Effects of Macroeconomic Shocks: Household Financial Distress Matters," Working Papers, Federal Reserve Bank of St. Louis, number 2019-025, Sep, revised 11 Sep 2023, DOI: 10.20955/wp.2019.025.
• Carlos Garriga & Aaron Hedlund, 2019, "Crises in the Housing Market: Causes, Consequences, and Policy Lessons," Working Papers, Federal Reserve Bank of St. Louis, number 2019-33, Apr, DOI: 10.20955/wp.2019.033.
• Nina Boyarchenko & Anna M. Costello & Or Shachar, 2019, "The Long and Short of It: The Post-Crisis Corporate CDS Market," Staff Reports, Federal Reserve Bank of New York, number 879, Feb.
• Richard K. Crump & Nikolay Gospodinov, 2019, "Deconstructing the yield curve," Staff Reports, Federal Reserve Bank of New York, number 884, Apr.
• Michael J. Fleming & Giang Nguyen & Francisco Ruela, 2019, "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Staff Reports, Federal Reserve Bank of New York, number 886, Apr.
• Marco Cipriani & Ana Fostel & Daniel Houser, 2019, "Endogenous Leverage and Default in the Laboratory," Staff Reports, Federal Reserve Bank of New York, number 900, Nov.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2019, "Frictional Intermediation in Over-the-Counter Markets," Working Papers, Federal Reserve Bank of Philadelphia, number 19-10, Jan, DOI: 10.21799/frbp.wp.2019.10.
• Patrick Greenfield & Arden Hall, 2019, "Financial Characteristics of Cost of Funds Indexed Loans," Working Papers, Federal Reserve Bank of Philadelphia, number 19-25, May, DOI: 10.21799/frbp.wp.2019.25.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2019, "Heterogeneity in Decentralized Asset Markets," Working Papers, Federal Reserve Bank of Philadelphia, number 19-44, Nov, DOI: 10.21799/frbp.wp.2019.44.
• Lauren Lambie-Hanson & Wenli Li & Michael Slonkosky, 2019, "Institutional Investors and the U.S. Housing Recovery," Working Papers, Federal Reserve Bank of Philadelphia, number 19-45, Nov, DOI: 10.21799/frbp.wp.2019.45.
• Kartik B. Athreya & Ryan Mather & Jose Mustre-del-Rio & Juan M. Sanchez, 2019, "Consumption in the Great Recession: The Financial Distress Channel," Working Paper, Federal Reserve Bank of Richmond, number 19-13, Aug.
• Marcin Dec, 2019, "From point through density valuation to individual risk assessment in the discounted cash flows method," GRAPE Working Papers, GRAPE Group for Research in Applied Economics, number 35.
• Leonardo Bargigli, 2019, "A Model of Market Making with Heterogeneous Speculators," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2019_01.rdf.
• Abramov Alexander & Chernova Maria, 2019, "Fundamental characteristics of Russia’s equity market in 2018," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2019-962, revised 2019.
• Peter G. Dunne, 2019, "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," JRFM, MDPI, volume 12, issue 2, pages 1-25, April.
• Chiara Limongi Concetto & Francesco Ravazzolo, 2019, "Optimism in Financial Markets: Stock Market Returns and Investor Sentiments," JRFM, MDPI, volume 12, issue 2, pages 1-14, May.
• Miguel Sarmiento, 2019, "The Impact of Exogenous Liquidity Shocks on Banks Funding Costs: Microevidence from the Unsecured Interbank Market," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 01-2019, Jan.
• Aakriti Mathur & Rajeswari Sengupta, 2019, "Analysing monetary policy statements of the Reserve Bank of India," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 08-2019, May.
• Mario Cerrato & Zhekai Zhang, 2019, "Can we predict currency momentum crashes?," Working Papers, Business School - Economics, University of Glasgow, number 2019_12, Nov.
• António Afonso & Pedro Cardoso, 2019, "Exchange-traded funds as an alternative investment option," Notas Económicas, Faculty of Economics, University of Coimbra, issue 48, pages 7-37, Julho, DOI: 10.14195/2183-203X_48_1.
• Michael Greinecker & Christoph Kuzmics, 2019, "Limit Orders under Knightian Uncertainty," Graz Economics Papers, University of Graz, Department of Economics, number 2019-03, Mar.
• Chong-Meng, 2019, "Effect of Stock Price Information on Timing of Share Repurchases," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr155, Mar.
• Han Han & Benoit Julien & Asgerdur Petursdottir & Liang Wang, 2019, "Asset Liquidity and Indivisibility," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201909, Jun.
• Xavier Raurich & Thomas Seegmuller, 2019, "On the interplay between speculative bubbles and productive investment," Post-Print, HAL, number hal-02010648, Jan, DOI: 10.1016/j.euroecorev.2018.11.002.
• Fabrice Hervé & Mohamed Zouaoui & Bertrand Belvaux, 2019, "Noise traders and smart money: Evidence from online searches," Post-Print, HAL, number hal-02065042, Dec, DOI: 10.1016/j.econmod.2019.02.005.
• Christophe Boucher & Sessi Tokpavi, 2019, "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print, HAL, number hal-02067096.
• Roman Matkovskyy & Akanksha Jalan, 2019, "From financial markets to Bitcoin markets: A fresh look at the contagion effect," Post-Print, HAL, number hal-02131637, Dec, DOI: 10.1016/j.frl.2019.04.007.
• David Le Bris & William Goetzmann & Sébastien Pouget, 2019, "The present value relation over six centuries: The case of the Bazacle company," Post-Print, HAL, number hal-02281530, Apr, DOI: 10.1016/j.jfineco.2017.03.011.
• Eric Girardin & Fatemeh Salimi Namin, 2019, "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Post-Print, HAL, number hal-02314156, Sep, DOI: 10.1016/j.econmod.2019.07.021.
• Gazi Salah Uddin & Jose Arreola Hernandez & Chiraz Labidi & Victor Troster & Seong-Min Yoon, 2019, "The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories," Post-Print, HAL, number hal-02468303, Dec, DOI: 10.1016/j.mulfin.2019.100607.
• Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Yahia Salhi, 2019, "Le prix du risque de longévité," Post-Print, HAL, number hal-02471990, DOI: 10.3917/ecofi.133.0129.
• Marianne Andries, 2019, "L’aversion au risque, composante essentielle du prix du risque, est-elle stable dans le temps ?," Post-Print, HAL, number hal-02476104, Jan.
• Deniz Erdemlioglu & Robert Joliet, 2019, "Long-term asset allocation, risk tolerance and market sentiment," Post-Print, HAL, number hal-02510242, Sep, DOI: 10.1016/j.intfin.2019.04.004.
• Charles Chevalier & Serge Darolles, 2019, "Trends everywhere? The case of hedge fund styles," Post-Print, HAL, number hal-02573075, DOI: 10.1057/s41260-019-00141-5.
• Sandrine Jacob Leal & Mauro Napoletano, 2019, "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Post-Print, HAL, number hal-03403589, Jan, DOI: 10.1016/j.jebo.2017.04.013.
• Yingyi Hu & Jean-Luc Prigent, 2019, "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Post-Print, HAL, number hal-03679410, Aug, DOI: 10.1016/j.econmod.2018.04.001.
• Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019, "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Post-Print, HAL, number hal-03679690, Jun, DOI: 10.1007/s10614-017-9742-0.
• Malick Fall & Waël Louhichi & Jean-Laurent Viviani, 2019, "Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach," Post-Print, HAL, number halshs-01910218, Aug, DOI: 10.1016/j.econmod.2018.06.008.
• Olivier David Zerbib, 2019, "The effect of pro-environmental preferences on bond prices: Evidence from green bonds," Post-Print, HAL, number halshs-02008641, Jan.
• Ilyes Abid & Khaled Guesmi & Stéphane Goutte & Christian Urom & Julien Chevallier, 2019, "Commodities risk premia and regional integration in gas-exporting countries," Post-Print, HAL, number halshs-02148921, May, DOI: 10.1016/j.eneco.2018.12.027.
• Andrew Filardo & Paul Hubert & Phurichai Rungcharoenkitkul, 2019, "The reaction function channel of monetary policy and the financial cycle," Sciences Po Economics Publications (main), HAL, number hal-03403260, Oct.
• Sandrine Jacob Leal & Mauro Napoletano, 2019, "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Sciences Po Economics Publications (main), HAL, number hal-03403589, Jan, DOI: 10.1016/j.jebo.2017.04.013.
• Tim Xiao, 2019, "An Economic Examination of Collateralization in Different Financial Markets," Working Papers, HAL, number hal-02024144, Feb.
• Tim Xiao, 2019, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," Working Papers, HAL, number hal-02024145, Feb.
• Tim Xiao, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers, HAL, number hal-02024147, Feb.
• Tim Xiao, 2019, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers, HAL, number hal-02165501, Jun.
• Tim Xiao, 2019, "The Valuation of Interest Rate Swap with Bilateral Counterparty Risk," Working Papers, HAL, number hal-02169144, Jun.
• Julien Prat & Vincent Danos & Stefania Marcassa, 2019, "Fundamental Pricing of Utility Tokens," Working Papers, HAL, number hal-03096284, Nov.
• Andrew Filardo & Paul Hubert & Phurichai Rungcharoenkitkul, 2019, "The reaction function channel of monetary policy and the financial cycle," Working Papers, HAL, number hal-03403260, Oct.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019, "The Memory of Beta Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-661, Sep.
• Hubert J. Kiss & Laszlo A. Koczy & Agnes Pinter & Balazs R. Sziklai, 2019, "Does risk sorting explain bubbles?," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1905, Feb.
• Monika Matušovičová & Denis Matušovič, 2019, "Recovery Of The European Asset Management Ten Years After The Financial Crisis," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 70, issue 5, pages 782-801, DOI: 10.32910/ep.70.5.6.
• Hjalmarsson, Erik & Kiss, Tamás, 2019, "Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog," Working Papers in Economics, University of Gothenburg, Department of Economics, number 768, Jun.
• Femg, Xunan & Johansson, Anders C., 2019, "News or Noise? The Information Content of Social Media in China," Stockholm School of Economics Asia Working Paper Series, Stockholm School of Economics, Stockholm China Economic Research Institute, number 2019-52, Nov.
• Byström, Hans, 2019, "Internet Searches, Household Sentiment and Credit Spreads," Working Papers, Lund University, Department of Economics, number 2019:15, Oct.
• Aase, Knut K. & Bjerksund, Petter, 2019, "The optimal extraction rate versus the expected real return of a sovereign wealth fund: Some simulations," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2019/7, Sep, revised 03 Feb 2021.
• Bjerksund, Petter & Schjelderup, Guttorm, 2019, "Does a Wealth Tax Discriminate against Domestic Investors?," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2019/16, Nov.
• Knezevic, David & Krüger, Niclas & Nordström, Martin, 2019, "A Guarantee – Does the Obligee Agree? A Risk Premium Decomposition of Sub-Sovereign Bond Spreads," Working Papers, Örebro University, School of Business, number 2019:12, Dec.
• de Oliveira Souza, Thiago, 2019, "A critique of momentum anomalies," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 5/2019, Feb.
• de Oliveira Souza, Thiago, 2019, "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 7/2019, May.
• de Oliveira Souza, Thiago, 2019, "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 8/2019, Jun.
• Kumamoto, Masao & 熊本, 方雄 & Zhuo, Juanjuan, 2019, "Integration and Market Discipline of ASEAN Government Bond Markets," Working Paper Series, Hitotsubashi University Center for Financial Research, number king Paper Series ; No.G-, Oct.
• Hamidreza FAALJOU & Kiumars SHAHBAZI & Ebrahim NASIRIAN, 2019, "Optimal Portfolio Selection With Value At Risk Criterion In Selected Tehran Stock Exchange Companies (Pso And Mpso Approaches)," Regional Science Inquiry, Hellenic Association of Regional Scientists, volume 0, issue 1, pages 45-54, June.
• Nataliya Trusova & Nataliya Tanklevska & Oleksandr Prystemskyi, 2019, "Venture Financing of the Subjects of Agrarian Business," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 99-108, June.
• Yanfu Li, 2019, "Improving Analyst Target Price Performance Through Enhanced Valuation Techniques," Global Journal of Business Research, The Institute for Business and Finance Research, volume 13, issue 2, pages 1-12.
• Michael G. Marsh & Marc Muchnick, 2019, "Asset Pricing Model Estimation Errors During Rational And Irrational Investor Behavior Periods," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 13, issue 2, pages 45-69.