Research classified by Journal of Economic Literature (JEL) codes

2019

• Willy Alanya & Gabriel Rodríguez, 2019, "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 01, pages 1-18, March, DOI: 10.1142/S0219091519500036.
• Zachary McGurk & Adam Nowak & Joshua C. Hall, 2019, "Stock Returns and Investor Sentiment: Textual Analysis and Social Media," Working Papers, Department of Economics, West Virginia University, number 19-03.
• Adam Golinski & Peter Spencer, 2019, "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers, Department of Economics, University of York, number 19/05, May.
• Alberto Caruso & Laura Coroneo, 2019, "Predicting interest rates in real-time," Discussion Papers, Department of Economics, University of York, number 19/18, Nov.
• Tihana Škrinjarić Patrik Barišić, 2019, "Effects of Football Match Results of Croatian National Team on Stock Returns: Evidence from Zagreb Stock Exchange," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 22, issue 1, pages 13-45, May, DOI: 10.2478/zireb-2019-0010.
• Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun, 2019, "Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 22, issue 2, pages 71-94, November, DOI: 10.2478/zireb-2019-0021.
• Chatterjee, Sris & Gu, Xian & Hasan, Iftekhar & Lu, Haitian, 2019, "Ownership structure and the cost of debt: Evidence from the Chinese corporate bond market," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 18/2019.
• Fischer, Henning & Stolper, Oscar, 2019, "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers, Deutsche Bundesbank, number 08/2019.
• Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019, "Extreme inflation and time-varying consumption growth," Discussion Papers, Deutsche Bundesbank, number 16/2019.
• Hertrich, Markus, 2019, "A novel housing price misalignment indicator for Germany," Discussion Papers, Deutsche Bundesbank, number 31/2019.
• Reitz, Stefan & Umlandt, Dennis, 2019, "Foreign exchange dealer asset pricing," Discussion Papers, Deutsche Bundesbank, number 39/2019.
• Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019, "Measuring euro area monetary policy," CFS Working Paper Series, Center for Financial Studies (CFS), number 624.
• Aubry, Mathieu & Kräussl, Roman & Manso, Gustavo & Spaenjers, Christophe, 2019, "Machine learning, human experts, and the valuation of real assets," CFS Working Paper Series, Center for Financial Studies (CFS), number 635.
• Dumitru, Ana-Maria & Holden, Thomas, 2019, "Quantifying the transmission of European sovereign default risk," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193632.
• Demir, Ishak, 2019, "Monetary Policy Autonomy and International Monetary Spillovers," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193694.
• Demir, Ishak, 2019, "International Spillovers of U.S. Monetary Policy," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193968.
• Xiao,Tim, 2019, "An Economic Examination of Collateralization in Different Financial Markets," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 200503.
• Xiao,Tim, 2019, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 201542.
• Xiao, Tim, 2019, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 204279.
• Patra, Sudip, 2019, "A quantum framework for economic science: New directions," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-20.
• Lee, Jaeram & Lee, Geul & Ryu, Doojin, 2019, "The difference in the intraday return-volume relationships of spot and futures: A quantile regression approach," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 13, pages 1-38, DOI: 10.5018/economics-ejournal.ja.2019-.
• Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2019, "Media-expressed tone, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-015.
• Chen, Cathy Yi-Hsuan & Després, Roméo & Guo, Li & Renault, Thomas, 2019, "What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-016.
• Petukhina, Alla A. & Reule, Raphael C. G. & Härdle, Wolfgang Karl, 2019, "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-020.
• Böhm, Hannes & Eichler, Stefan & Gießler, Stefan, 2019, "What drives the commodity-sovereign-risk-dependence in emerging market economies?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 23/2019.
• Demary, Markus, 2019, "IW Financial Expert Survey: Second Quarter 2019," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 15/2019.
• Voigtländer, Michael & Schuster, Florian, 2019, "European office markets, user costs and speculative bubbles," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 31/2019.
• Demary, Markus, 2019, "IW Financial Expert Survey: Fourth Quarter 2019," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 37/2019.
• Demary, Markus, 2019, "IW Financial Expert Survey: First Quarter 2019," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 4/2019.
• Hwang, Sunjoo, 2019, "Is Bail-in Debt Bail-inable?," KDI Journal of Economic Policy, Korea Development Institute (KDI), volume 41, issue 4, pages 1-44, DOI: 10.23895/kdijep.2019.41.4.1.
• Conrad, Christian & Schienle, Melanie, 2019, "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 121, DOI: 10.5445/IR/1000090371.
• Demir, Ishak, 2019, "Monetary Policy Autonomy and International Monetary Spillovers," LEAF Working Paper Series, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), number 19-01.
• Demir, Ishak, 2019, "International Spillovers of U.S. Monetary Policy," LEAF Working Paper Series, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), number 19-02.
• Demir, Ishak & Eroglu, Burak A. & Yildirim-Karaman, Secil, 2021, "Heterogeneous effects of unconventional monetary policy on bond yields across the euro area," LEAF Working Paper Series, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), number 19-06, revised 2021.
• Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2019, "Sovereign Bonds since Waterloo," Working Papers, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin, number 12, DOI: 10.18452/20586.
• Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2019, "Return Signal Momentum," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2019/04, DOI: 10.2139/ssrn.2971444.
• Belke, Ansgar & Gros, Daniel, 2019, "QE in the euro area: Has the PSPP benefited peripheral bonds?," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 803, DOI: 10.4419/86788931.
• Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Yuferova, Darya, 2020, "Designated Market Makers: Competition and Incentives," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 247, revised 2020, DOI: 10.2139/ssrn.3354400.
• Branger, Nicole & Konermann, Patrick & Schlag, Christian, 2019, "Optimists and pessimists in (in)complete markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 252, DOI: 10.2139/ssrn.2356502.
• Schlag, Christian & Zeng, Kailin, 2019, "Horizontal industry relationships and return predictability," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 256, DOI: 10.2139/ssrn.3436006.
• Ai, Hengjie & Li, Jun E. & Li, Kai & Schlag, Christian, 2019, "The collateralizability premium," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 264, DOI: 10.2139/ssrn.3474975.
• Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019, "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Computational Economics, Springer;Society for Computational Economics, volume 54, issue 1, pages 367-417, June, DOI: 10.1007/s10614-017-9742-0.
• Niyati Bhanja & Arif Billah Dar, 2019, "Stock returns and inflation: a tale of two periods in India," Economic Change and Restructuring, Springer, volume 52, issue 4, pages 413-438, November, DOI: 10.1007/s10644-018-9231-z.
• Debapriya Jojo Paul & Julia Henker & Sian Owen, 2019, "The aggregate impacts of tournament incentives in experimental asset markets," Experimental Economics, Springer;Economic Science Association, volume 22, issue 2, pages 441-476, June, DOI: 10.1007/s10683-018-9562-7.
• Samuel Xin Liang, 2019, "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 1, pages 39-69, March, DOI: 10.1007/s11408-018-0322-7.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019, "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 2, pages 109-131, June, DOI: 10.1007/s11408-019-00332-5.
• Lars Heinrich & Martin Zurek, 2019, "Alpha forecasting in factor investing: discriminating between the informational content of firm characteristics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 3, pages 243-275, September, DOI: 10.1007/s11408-019-00333-4.
• Peter S. Schmidt & Urs von Arx & Andreas Schrimpf & Alexander F. Wagner & Andreas Ziegler, 2019, "Common risk factors in international stock markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 3, pages 213-241, September, DOI: 10.1007/s11408-019-00334-3.
• Eben Otuteye & Mohammad Siddiquee, 2019, "Buffett’s alpha: further explanations from a behavioral value investing perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 4, pages 471-490, December, DOI: 10.1007/s11408-019-00339-y.
• Samir Kadiric & Arthur Korus, 2019, "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, volume 16, issue 1, pages 65-102, March, DOI: 10.1007/s10368-018-00424-z.
• Stephanie Collet & Kim Oosterlinck, 2019, "Denouncing Odious Debts," Journal of Business Ethics, Springer, volume 160, issue 1, pages 205-223, November, DOI: 10.1007/s10551-018-3865-7.
• David Barker & Kiat Ying Seah & James D. Shilling, 2019, "How Big of a Lemons Market is the Secondary Market for Private Equity Real Estate Limited Partnerships?," The Journal of Real Estate Finance and Economics, Springer, volume 59, issue 3, pages 391-418, October, DOI: 10.1007/s11146-018-9681-0.
• Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019, "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, volume 22, issue 1, pages 77-167, April, DOI: 10.1007/s11147-018-9146-x.
• Manuel Ammann & Alexander Feser, 2019, "Option-implied Value-at-Risk and the cross-section of stock returns," Review of Derivatives Research, Springer, volume 22, issue 3, pages 449-474, October, DOI: 10.1007/s11147-019-09154-z.
• Xuejing Xing & Shan Yan, 2019, "Accounting information quality and systematic risk," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 1, pages 85-103, January, DOI: 10.1007/s11156-018-0703-z.
• Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2019, "Idiosyncratic volatility puzzle: influence of macro-finance factors," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 2, pages 381-401, February, DOI: 10.1007/s11156-018-0713-x.
• Jared Egginton & Jungshik Hur & Vivek Singh, 2019, "The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 3, pages 759-780, April, DOI: 10.1007/s11156-018-0725-6.
• Patrick Bielstein & Matthias X. Hanauer, 2019, "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 3, pages 815-840, April, DOI: 10.1007/s11156-018-0727-4.
• Tyler R. Henry, 2019, "Security price formation and informed trading with constrained short selling," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 1, pages 123-151, July, DOI: 10.1007/s11156-018-0745-2.
• Natalia Matanova & Tanja Steigner & Bingsheng Yi & Qiancheng Zheng, 2019, "Going concern opinions and IPO pricing accuracy," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 1, pages 195-238, July, DOI: 10.1007/s11156-018-0747-0.
• Chen Su & Hanxiong Zhang & Kenbata Bangassa & Nathan Lael Joseph, 2019, "On the investment value of sell-side analyst recommendation revisions in the UK," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 1, pages 257-293, July, DOI: 10.1007/s11156-018-0749-y.
• Cedric Mbanga & Ali F. Darrat & Jung Chul Park, 2019, "Investor sentiment and aggregate stock returns: the role of investor attention," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 2, pages 397-428, August, DOI: 10.1007/s11156-018-0753-2.
• Wenjie Ding & Khelifa Mazouz & Qingwei Wang, 2019, "Investor sentiment and the cross-section of stock returns: new theory and evidence," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 2, pages 493-525, August, DOI: 10.1007/s11156-018-0756-z.
• Wei-Kuang Chen & Ching-Ting Lin & Cheng-Yi Shiu, 2019, "Price discovery and price leadership of various investor types: evidence from Taiwan futures markets," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 2, pages 601-631, August, DOI: 10.1007/s11156-018-0760-3.
• Ting-Kai Chou & Hsuan-Ling Feng, 2019, "Multiple directorships and the value of cash holdings," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 3, pages 663-699, October, DOI: 10.1007/s11156-018-0762-1.
• Hongrui Feng & Shu Yan, 2019, "CEO incentive compensation and stock liquidity," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 4, pages 1069-1098, November, DOI: 10.1007/s11156-018-0775-9.
• Juhász, Péter, 2019, "A súlyozott átlagos tőkeköltség alkalmazásának kihívásai
  [Challenges in applying the weighted average cost of capital]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 805-823, DOI: 10.18414/KSZ.2019.7-8.805.
• Katsutoshi WAKAI, 2019, "On Identification of Ambiguity Premium," Discussion papers, Graduate School of Economics , Kyoto University, number e-18-009, Mar.
• Chiaki Hara, 2019, "Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1009, May.
• Katsuhiro Oshima, 2019, "Subjective Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1012, Nov.
• Katsuhiro Oshima, 2019, "Heterogeneous Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1013, Nov.
• Kim Kaivanto & Peng Zhang, 2019, "Investor Sentiment as a Predictor of Market Returns," Working Papers, Lancaster University Management School, Economics Department, number 268005798.
• Kim Kaivanto & Peng Zhang, 2019, "Popular Music, Sentiment, and Noise Trading," Working Papers, Lancaster University Management School, Economics Department, number 279326509.
• José Ignacio López-Gaviria, 2019, "Colombia’s stock market predictability," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 91, pages 117-150, Julio - D, DOI: 10.17533/udea.le.n91a04.
• Jorg Bibow, 2019, "Evolving International Monetary and Financial Architecture and the Development Challenge: A Liquidity Preference Theoretical Perspective," Economics Working Paper Archive, Levy Economics Institute, number wp_935, Aug.
• Tanweer Akram & Huiqing Li, 2019, "The Impact of the Bank of Japan's Monetary Policy on Japanese Government Bonds' Low Nominal Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_938, Oct.
• Michael Donadelli & Patrick Grüning & Steffen Hitzemann, 2019, "Understanding Macro and Asset Price Dynamics During the Climate Transition," Bank of Lithuania Discussion Paper Series, Bank of Lithuania, number 18, Dec.
• Michael Donadelli & Patrick Grüning & Aurelija Proskute, 2019, "Monetary policy, trade, and endogenous growth under different international financial market structures," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 57, Jan.
• Nathrah Yacob, 2019, "Have Sentiments Influenced Malaysia’s Stock Market Volatility During the 2008 Crisis?," Journal of Reviews on Global Economics, Lifescience Global, volume 8, pages 755-766.
• Oliver de Groot & Alexander W. Richter & Nathanial A. Throckmorton, 2019, "Valuation Risk Revalued," Working Papers, University of Liverpool, Department of Economics, number 201904, Jul.
• Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019, "Does Uncovered Interest Rate Parity Hold After All?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 24, issue 2, pages 49-72, July-Dec.
• Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019, "The Resolution of Long-Run Risk," Economics Discussion Paper Series, Economics, The University of Manchester, number 1908.
• Bernd Hayo & Kai Henseler & Marc Steffen Rapp & Johannes Zahner, 2020, "Complexity of ECB Communication and Financial Market Trading," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201919.
• Joerg Schmidt, 2019, "Risk, Asset Pricing and Monetary Policy Transmission in Europe: Evidence from a Threshold-VAR approach," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201928.
• Anastasios Demertzidis, 2019, "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201932.
• Gregory Connor & Robert A. Korajczyk, 2019, "Semi-strong factors in asset returns," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n294-19.pdf.
• Kwaku Boafo Baidoo, 2019, "The Effects of Short Selling on Financial Markets Volatilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 5, issue 2, pages 218-228, DOI: 10.11118/ejobsat.v5i2.183.
• Seojin Lee & Young Min Kim, 2019, "Inflation Expectations and Risk Premiums: Implications for Korean Exchange Rates," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 55, issue 9, pages 2072-2085, July, DOI: 10.1080/1540496X.2018.1518217.
• Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019, "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, volume 27, issue 2, pages 37-57.
• Shu Ling Chiang & Ming Shann Tsai, 2019, "The Valuation of Deposit Insurance Premiums Based on a Specific Bank's Official Default Probability," Multinational Finance Journal, Multinational Finance Journal, volume 23, issue 3-4, pages 141-167, September.
• Vasiliki Athanasakou & George Athanassakos, 2019, "Earnings Quality and Book-to-Market in the Cross Section of Expected Returns," Multinational Finance Journal, Multinational Finance Journal, volume 23, issue 3-4, pages 169-210, September.
• Joshua Mitts, 2019, "What Can we Learn from Stock Prices?: Cash Flow, Risk, and Shareholder Welfare," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 175, issue 1, pages 178-195, DOI: 10.1628/jite-2019-0009.
• Lucia Alessi & Elisa, Ossola & Roberto Panzica, 2019, "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," Working Papers, University of Milano-Bicocca, Department of Economics, number 418, Sep, revised Apr 2020.
• Kira Muratov-Szabó & Kata Váradi, 2019, "The Impact of Adverse Selection on Stock Exchange Specialists’ Price Quotation Strategy," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 18, issue 1, pages 88-124.
• Máté Fain & Helena Naffa, 2019, "Performance Measurement of Active Investment Strategies Using Pure Factor Portfolios," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 18, issue 2, pages 52-86.
• Stéphane Blemus & Dominique Guegan, 2019, "Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19004, Feb.
• Emran Hasan & Shahanawaz Sharif, 2019, "Do Macroeconomic Variables Affect Stock Market Performance? A Case Study of DSEX and DS30 Index of Dhaka Stock Exchange," Business and Economic Research, Macrothink Institute, volume 9, issue 3, pages 182-203, September.
• John Duffy & Janet Hua Jiang & Huan Xie, 2019, "Experimental Asset Markets with an Indefinite Horizon," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 08-2019, Jul.
• Thomas Lejeune & Raf Wouters, 2019, "A macroeconomic model with heterogeneous and financially-constrained intermediaries," Working Paper Research, National Bank of Belgium, number 367, Feb.
• Marcin Dec, 2019, "Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 2, pages 107-148.
• Paweł Radwański, 2019, "Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 3, pages 265-294.
• Jordi Galí & Kenneth West, 2019, "NBER International Seminar on Macroeconomics 2018," NBER Books, National Bureau of Economic Research, Inc, number gali-2, January.
• Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2019, "Investor Experiences and International Capital Flows," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2019".
• Urban Jermann, 2019, "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 25422, Jan.
• Pietro Veronesi, 2019, "Heterogeneous Households under Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 25448, Jan.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019, "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 25481, Jan.
• Ernest Liu & Atif Mian & Amir Sufi, 2019, "Low Interest Rates, Market Power, and Productivity Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 25505, Jan.
• John B. Donaldson & Rajnish Mehra, 2019, "Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 25519, Jan.
• Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2019, "Sovereign Bonds since Waterloo," NBER Working Papers, National Bureau of Economic Research, Inc, number 25543, Feb.
• Sina Ehsani & Juhani T. Linnainmaa, 2019, "Factor Momentum and the Momentum Factor," NBER Working Papers, National Bureau of Economic Research, Inc, number 25551, Feb.
• John Gathergood & David Hirshleifer & David Leake & Hiroaki Sakaguchi & Neil Stewart, 2019, "Naïve *Buying* Diversification and Narrow Framing by Individual Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 25567, Feb.
• Hui Chen & Scott Joslin & Sophie X. Ni, 2019, "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 25573, Feb.
• Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2019, "Long-Term Discount Rates Do Not Vary Across Firms," NBER Working Papers, National Bureau of Economic Research, Inc, number 25579, Feb.
• Ana Fostel & John Geanakoplos & Gregory Phelan, 2019, "Capital Flows and the Global Collateral Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 25583, Feb.
• Hongye Guo & Jessica A. Wachter, 2019, ""Superstitious" Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 25603, Feb.
• M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019, "The Leading Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 25633, Mar.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019, "The Total Risk Premium Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 25653, Mar.
• Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019, "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 25673, Mar.
• Amine Ouazad & Romain Rancière, 2019, "Market Frictions, Arbitrage, and the Capitalization of Amenities," NBER Working Papers, National Bureau of Economic Research, Inc, number 25701, Mar.
• Itzhak Ben-David & Pascal Towbin & Sebastian Weber, 2019, "Inferring Expectations from Observables: Evidence from the Housing Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 25702, Mar.
• Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost, 2019, "Policy News and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 25720, Mar.
• Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel, 2019, "Hedging Climate Change News," NBER Working Papers, National Bureau of Economic Research, Inc, number 25734, Apr.
• Kelly Shue & Richard R. Townsend, 2019, "Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 25751, Apr.
• Eric T. Swanson, 2019, "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 25764, Apr.
• Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019, "How the Wealth Was Won: Factor Shares as Market Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 25769, Apr.
• Lubos Pastor & Robert F. Stambaugh, 2019, "Liquidity Risk After 20 Years," NBER Working Papers, National Bureau of Economic Research, Inc, number 25774, Apr.
• Aydoğan Alti & Sheridan Titman, 2019, "A Dynamic Model of Characteristic-Based Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 25777, Apr.
• Lars Peter Hansen & Thomas J. Sargent, 2019, "Macroeconomic Uncertainty Prices when Beliefs are Tenuous," NBER Working Papers, National Bureau of Economic Research, Inc, number 25781, Apr.
• Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019, "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 25817, May.
• Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019, "Common Risk Factors in Cryptocurrency," NBER Working Papers, National Bureau of Economic Research, Inc, number 25882, May.
• Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2019, "Affordable Housing and City Welfare," NBER Working Papers, National Bureau of Economic Research, Inc, number 25906, May.
• Andra C. Ghent, 2019, "What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration," NBER Working Papers, National Bureau of Economic Research, Inc, number 25966, Jun.
• Sida Li & Xin Wang & Mao Ye, 2019, "Who Provides Liquidity, and When?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25972, Jun.
• Jennie Bai & Turan G. Bali & Quan Wen, 2019, "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 25995, Jun.
• Wenxin Du & Benjamin M. Hébert & Amy Wang Huber, 2019, "Are Intermediary Constraints Priced?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26009, Jun.
• Robert F. Stambaugh, 2019, "Skill and Profit in Active Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 26027, Jun.
• Jonas Heipertz & Amine Ouazad & Romain Rancière, 2019, "The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 26049, Jul.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019, "Security Analysis: An Investment Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 26060, Jul.
• Justin Birru & Sinan Gokkaya & Xi Liu & René M. Stulz, 2019, "Are Analyst Trade Ideas Valuable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26062, Jul.
• John H. Cochrane, 2019, "The Value of Government Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 26090, Jul.
• Moritz Lenel & Monika Piazzesi & Martin Schneider, 2019, "The Short Rate Disconnect in a Monetary Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 26102, Jul.
• Frederico Belo & Vito Gala & Juliana Salomao & Maria Ana Vitorino, 2019, "Decomposing Firm Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 26112, Jul.
• Jules H. van Binsbergen & William F. Diamond & Marco Grotteria, 2019, "Risk-Free Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 26138, Aug.
• Ralph S. J. Koijen & Francois Koulischer & Benoit Nguyen & Motohiro Yogo, 2019, "Inspecting the Mechanism of Quantitative Easing in the Euro Area," NBER Working Papers, National Bureau of Economic Research, Inc, number 26152, Aug.
• Lucian A. Bebchuk & Alon Brav & Wei Jiang & Thomas Keusch, 2019, "Dancing With Activists," NBER Working Papers, National Bureau of Economic Research, Inc, number 26171, Aug.
• Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019, "Predicting Returns With Text Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 26186, Aug.
• Jessica A. Wachter & Michael Jacob Kahana, 2019, "A Retrieved-Context Theory Of Financial Decisions," NBER Working Papers, National Bureau of Economic Research, Inc, number 26200, Aug.
• Jesús Fernández-Villaverde & Federico Mandelman & Yang Yu & Francesco Zanetti, 2019, "Search Complementarities, Aggregate Fluctuations, and Fiscal Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 26210, Aug.
• Pierpaolo Benigno & Linda M. Schilling & Harald Uhlig, 2019, "Cryptocurrencies, Currency Competition, and the Impossible Trinity," NBER Working Papers, National Bureau of Economic Research, Inc, number 26214, Aug.
• Stefan Nagel & Zhengyang Xu, 2019, "Asset Pricing with Fading Memory," NBER Working Papers, National Bureau of Economic Research, Inc, number 26255, Sep.
• Philippe Bacchetta & Eric van Wincoop, 2019, "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," NBER Working Papers, National Bureau of Economic Research, Inc, number 26259, Sep.
• Richard Holden & Anup Malani, 2019, "The ICO Paradox: Transactions Costs, Token Velocity, and Token Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 26265, Sep.
• Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019, "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 26290, Sep.
• Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019, "Business Cycles and Currency Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 26299, Sep.
• Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019, "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 26323, Sep.
• Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019, "Cross-Sectional Dispersion of Risk in Trading Time," NBER Working Papers, National Bureau of Economic Research, Inc, number 26329, Sep.
• Ravi Jagannathan, 2019, "On Frequent Batch Auctions for Stocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 26341, Oct.
• Valentin Haddad & David A. Sraer, 2019, "The Banking View of Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 26369, Oct.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2019, "An Improved Method to Predict Assignment of Stocks into Russell Indexes," NBER Working Papers, National Bureau of Economic Research, Inc, number 26370, Oct.
• Hang Bai & Erica X.N. Li & Chen Xue & Lu Zhang, 2019, "Firm-level Irreversibility," NBER Working Papers, National Bureau of Economic Research, Inc, number 26372, Oct.
• Hui Chen & Winston Wei Dou & Leonid Kogan, 2019, "Measuring “Dark Matter” in Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 26418, Nov.
• Huaizhi Chen & Lauren Cohen & Umit Gurun, 2019, "Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 26423, Nov.
• Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019, "Benchmark Interest Rates When the Government is Risky," NBER Working Papers, National Bureau of Economic Research, Inc, number 26429, Nov.
• Josh Davis & Alan M. Taylor, 2019, "The Leverage Factor: Credit Cycles and Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 26435, Nov.
• Zhiguo He & Paymon Khorrami & Zhaogang Song, 2019, "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," NBER Working Papers, National Bureau of Economic Research, Inc, number 26494, Nov.
• Christina Atanasova & Eduardo S. Schwartz, 2019, "Stranded Fossil Fuel Reserves and Firm Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 26497, Nov.
• Arpit Gupta & Stijn Van Nieuwerburgh, 2019, "Valuing Private Equity Strip by Strip," NBER Working Papers, National Bureau of Economic Research, Inc, number 26514, Nov.
• Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019, "Text Selection," NBER Working Papers, National Bureau of Economic Research, Inc, number 26517, Nov.
• Hui Chen & Zhuo Chen & Zhiguo He & Jinyu Liu & Rengming Xie, 2019, "Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 26520, Nov.
• John H. Cochrane, 2019, "Rethinking Production Under Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 26535, Dec.
• Lu Zhang, 2019, "Q-factors and Investment CAPM," NBER Working Papers, National Bureau of Economic Research, Inc, number 26538, Dec.
• Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2019, "Sustainable Investing in Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 26549, Dec.
• Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019, "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers, National Bureau of Economic Research, Inc, number 26560, Dec.
• Zhe Geng & Jun Pan, 2019, "The SOE Premium and Government Support in China's Credit Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 26575, Dec.
• Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2019, "The U.S. Public Debt Valuation Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 26583, Dec.
• Ian Martin & Stefan Nagel, 2019, "Market Efficiency in the Age of Big Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 26586, Dec.
• Brychykova, A., 2019, "Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market," Journal of the New Economic Association, New Economic Association, volume 43, issue 3, pages 58-77, DOI: 10.31737/2221-2264-2019-43-3-3.
• Drienko, Jozef & Smith, Tom & von Reibnitz, Anna, 2019, "A Review of the Return—Illiquidity Relationship," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 127-171, December, DOI: 10.1561/104.00000052.
• Harris, Larry & Amato, Andrea, 2019, "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 173-202, December, DOI: 10.1561/104.00000058.
• Holden, Craig W. & Nam, Jayoung, 2019, "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 29-71, December, DOI: 10.1561/104.00000071.
• Kazumori, Eiichiro & Sharman, Raj & Takeda, Fumiko & Yu, Hong, 2019, "Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 73-110, December, DOI: 10.1561/104.00000072.
• Amihud, Yakov, 2019, "Illiquidity and Stock Returns: A Revisit," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 203-221, December, DOI: 10.1561/104.00000073.
• Pástor, LuboÅ¡ & Stambaugh, Robert F., 2019, "Liquidity Risk After 20 Years," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 277-299, December, DOI: 10.1561/104.00000074.
• Li, Hongtao & Novy-Marx, Robert & Velikov, Mihail, 2019, "Liquidity Risk and Asset Pricing," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 223-255, December, DOI: 10.1561/104.00000076.
• Harvey, Campbell R., 2019, "Editorial: Replication in Financial Economics," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 1-9, December, DOI: 10.1561/104.00000080.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2019, "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 111-125, December, DOI: 10.1561/104.00000083.
• Shashi Kant Chaudhary, PhD & Kiran Raj Pandit, 2019, "Price Elasticity of Sectoral Lending in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 31, issue 2, pages 1-24, October.
• Bozhidar Nedev & Boryana Bogdanova, 2019, "Analyzing the Cyclical Components of the S&P 500 Stock Index through Wavelet Transformation," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 95-110, December.
• Alexis Anagnostopoulos & Orhan Erem Atesagaoglu & Elisa Faraglia & Chryssi Giannitsarou, 2019, "Foreign Direct Investment as a Determinant of Cross-Country Stock~Market Comovement," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 19-03.
• Stephan Barisitz, 2019, "Nonperforming loans in CESEE – a brief update on their definitions and recent developments," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/19, pages 61-74.
• Xiao, Tim, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org, Center for Open Science, number 86xhw, Nov, DOI: 10.31219/osf.io/86xhw.
• Xiao, Tim, 2019, "The Valuation of Interest Rate Swap with Bilateral Counterparty Risk," arabixiv.org, Center for Open Science, number rb6md, May, DOI: 10.31219/osf.io/rb6md.
• Xiao, Tim, 2019, "The Valuation of Interest Rate Swap with Bilateral Counterparty Risk," FrenXiv, Center for Open Science, number 8b9p4, May, DOI: 10.31219/osf.io/8b9p4.
• Xiao, Tim, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv, Center for Open Science, number ej7nz, Nov, DOI: 10.31219/osf.io/ej7nz.
• Xiao, Tim, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv, Center for Open Science, number 84xjn, Nov, DOI: 10.31219/osf.io/84xjn.