Research classified by Journal of Economic Literature (JEL) codes

2019

• Zhang, Sijia & Gregoriou, Andros, 2019, "The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 191-200, DOI: 10.1016/j.ribaf.2019.05.004.
• Nguyen, Anh Duy, 2019, "Residual return reversals: European evidence," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 392-397, DOI: 10.1016/j.ribaf.2019.06.011.
• Cafferata, Alessia & Tramontana, Fabio, 2019, "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, volume 51, issue C, pages 252-259, DOI: 10.1016/j.strueco.2019.08.004.
• Tvedt, Jostein, 2019, "Transport services and the valuation of flexibility over business cycles," Transportation Research Part A: Policy and Practice, Elsevier, volume 130, issue C, pages 517-528, DOI: 10.1016/j.tra.2019.09.057.
• Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019, "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 125, issue C, pages 140-159, DOI: 10.1016/j.tre.2019.03.009.
• Basak, Suleyman & Chabakauri, Georgy & Yavuz, M. Deniz, 2019, "Investor protection and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100241, Dec.
• Makarov, Igor & Schoar, Antoinette, 2020, "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100409, Feb.
• Kondor, Peter & Pinter, Gabor, 2019, "Private information and client connections in government bond markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100931, Jan.
• Todorov, Karamfil, 2020, "Quantify the quantitative easing: impact on bonds and corporate debt issuance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101665, Feb.
• Liao, Jingchi & Peng, Cheng & Zhu, Ning, 2019, "Price and volume dynamics in bubbles," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102057, Apr.
• Kondor, Peter & Pintér, Gábor, 2019, "Clients' connections," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118933, Jul.
• Martin, Ian & Papadimitriou, Dimitris, 2019, "Sentiment and speculation in a market with heterogeneous beliefs," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118936, May.
• Lou, Dong & Polk, Christopher & Skouras, Spyros, 2019, "A tug of war: overnight versus intraday expected returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87481, Oct.
• Beaver, William H & Cascino, Stefano & Correia, Maria & McNichols, Maureen F., 2019, "Group affiliation and default prediction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 88139, Aug.
• Martin, Ian & Ross, Steve, 2019, "Notes on the yield curve," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90208, Dec.
• Petr Jakubik & Sibel Uguz, 2019, "Impact of Green Bond Policies on Insurers: Evidence from the European Equity Market," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 14, Jun.
• Stefano Battiston & Petr Jakubik & Irene Monasterolo & Keywan Riahi & Bas van Ruijven, 2019, "Climate Risk Assessment of the Sovereign Bond Portfolio of European Insurers," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 15, Dec.
• Alexandra de Jong & Alin Draghiciu & Linda Fache Rousová & Alessandro Fontana & Elisa Letizia, 2019, "Impact of Variation Margining on EU Insurers’ Liquidity: An Analysis of Interest Rate Swaps Positions," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 16, Dec.
• Raphael Espinoza & Dimitrios P. Tsomocos, 2019, "Monetary transaction costs and the term premium," Chapters, Edward Elgar Publishing, chapter 8, "Financial Regulation and Stability".
• Julien Prat & Vincent Danos & Stefania Marcassa, 2019, "Fundamental Pricing of Utility Tokens," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2019-11.
• Raheel Safdar & Mirza Sultan Sikandar & Tanveer Ahsan, 2019, "Market pricing of liquidity risk: evidence from China," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 4, pages 554-566, September, DOI: 10.1108/CFRI-01-2019-0013.
• Thomas C. Chiang, 2019, "Financial risk, uncertainty and expected returns: evidence from Chinese equity markets," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 4, pages 425-454, July, DOI: 10.1108/CFRI-09-2018-0129.
• Nurwahida Yaakub & Mohamed Sherif, 2019, "Performance of initial public offerings (IPOs): the case of Shariah-compliant companies," Islamic Economic Studies, Emerald Group Publishing Limited, volume 27, issue 1, pages 65-76, August, DOI: 10.1108/IES-06-2019-0012.
• Franzoni, Francesco & Ben-David, Itzhak & Moussawi, Rabih & Sedunov, John, 2019, "The Granular Nature of Large Institutional Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 13427, Jan.
• Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019, "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers, Centre for Economic Policy Research, number 13435, Jan.
• Bianchi, Francesco & Kung, Howard & Tirskikh, Mikhail, 2019, "The Origins and Effects of Macroeconomic Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 13450, Jan.
• Martin, Ian & Gao, Can, 2019, "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers, Centre for Economic Policy Research, number 13454, Jan.
• Basak, Suleyman & Chabakauri, Georgy & Yavuz, M. Deniz, 2019, "Investor Protection and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 13472, Jan.
• Schmeling, Maik & Wagner, Christian, 2019, "Does Central Bank Tone Move Asset Prices?," CEPR Discussion Papers, Centre for Economic Policy Research, number 13490, Jan.
• Auer, Raphael, 2019, "Beyond the doomsday economics of "proof-of-work" in cryptocurrencies," CEPR Discussion Papers, Centre for Economic Policy Research, number 13506, Feb.
• Becker, Bo & Ivashina, Victoria, 2019, "Disruption and Credit Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 13508, Feb.
• Boyarchenko, Nina & Costello, Anna & Shachar, Or, 2019, "The Long and Short of It: The Post-Crisis Corporate CDS Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 13535, Feb.
• Nyborg, Kjell, 2019, "Repo rates and the collateral spread puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 13546, Feb.
• Nyborg, Kjell & Roesler, Cornelia, 2019, "Repo rates and the collateral spread: Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 13547, Feb.
• Accominotti, Olivier & Cen, Jason & Chambers, David & Marsh, Ian W, 2019, "Currency Regimes and the Carry Trade," CEPR Discussion Papers, Centre for Economic Policy Research, number 13571, Mar.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz, 2019, "The Total Risk Premium Puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 13595, Mar.
• Ceccarelli, Marco & Ramelli, Stefano & Wagner, Alexander F., 2022, "Low-carbon mutual funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 13599, May.
• Kosowski, Robert & Joenväärä, Juha & Kaupila, Mikko & Tolonen, Pekka, 2019, "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?," CEPR Discussion Papers, Centre for Economic Policy Research, number 13618, Apr.
• Maggiori, Matteo & Ströbel, Johannes & Giglio, Stefano & Utkus, Stephen P., 2019, "Five Facts About Beliefs and Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 13657, Apr.
• Pástor, LuboÅ¡ & Stambaugh, Robert F., 2019, "Liquidity Risk After 20 Years," CEPR Discussion Papers, Centre for Economic Policy Research, number 13680, Apr.
• Rancière, Romain & Ouazad, Amine, 2019, "Market Frictions, Arbitrage, and the Capitalization of Amenities," CEPR Discussion Papers, Centre for Economic Policy Research, number 13689, Apr.
• van Wijnbergen, Sweder & Olijslagers, Stan, 2019, "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers, Centre for Economic Policy Research, number 13708, May.
• Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019, "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 13724, May.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2019, "The Maturity of Sovereign Debt Issuance in the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 13729, May.
• Van Nieuwerburgh, Stijn & Favilukis, Jack & ,, 2019, "Affordable Housing and City Welfare," CEPR Discussion Papers, Centre for Economic Policy Research, number 13758, May.
• Gürkaynak, Refet & Altavilla, Carlo & Brugnolini, Luca & Motto, Roberto & Ragusa, Giuseppe, 2019, "Measuring Euro Area Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 13759, May.
• Bacchetta, Philippe & van Wincoop, Eric, 2019, "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," CEPR Discussion Papers, Centre for Economic Policy Research, number 13839, Jul.
• Rancière, Romain & Ouazad, Amine & Heipertz, Jonas, 2019, "The Transmission of Shocks in EndogenousFinancial Networks: A Structural Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 13855, Jul.
• Martin, Ian & ,, 2019, "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers, Centre for Economic Policy Research, number 13857, Jul.
• Adam, Klaus & Merkel, Sebastian, 2019, "Stock Price Cycles and Business Cycles," CEPR Discussion Papers, Centre for Economic Policy Research, number 13866, Jul.
• Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019, "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 13873, Jul.
• Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019, "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 13874, Jul.
• Kondor, Péter & Pinter, Gabor, 2019, "Clients' Connections: Measuring the Role of Private Information in Decentralised Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 13880, Jul.
• van Binsbergen, Jules & Diamond, William & Grotteria, Marco, 2019, "Risk-Free Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 13899, Jul.
• Koijen, Ralph & Koulischer, Francois & Nguyen, Benoît & Yogo, Motohiro, 2019, "Inspecting the Mechanism of Quantitative Easing in the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 13906, Aug.
• Benigno, Pierpaolo & Schilling, Linda & Uhlig, Harald, 2022, "Cryptocurrencies, Currency Competition, and The Impossible Trinity," CEPR Discussion Papers, Centre for Economic Policy Research, number 13943, Feb.
• Thorburn, Karin S & Bienz, Carsten & Walz, Uwe, 2019, "Ownership, wealth, and risk taking: Evidence on private equity fund managers," CEPR Discussion Papers, Centre for Economic Policy Research, number 13944, Aug.
• Fernández-Villaverde, Jesús & Mandelman, Federico & Yu, Yang & Zanetti, Francesco, 2019, "Search Complementarities, Aggregate Fluctuations, and Fiscal Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 13950, Aug.
• Nagel, Stefan & Xu, Zhengyang, 2019, "Asset Pricing with Fading Memory," CEPR Discussion Papers, Centre for Economic Policy Research, number 13973, Aug.
• Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019, "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 13974, Aug.
• Tavares, José & Leitão, Diogo & Pereira, Jaime & Pereira Dos Santos, Joao, 2019, "The War Next Door and the Reds are Coming: The Spanish Civil War and the Portuguese Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 13990, Sep.
• Hugonnier, Julien & Lester, Ben & Weill, Pierre-Olivier, 2019, "Heterogeneity in Decentralized Asset Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 14014, Sep.
• Sarno, Lucio & Colacito, Ric & Riddiough, Steven, 2019, "Business Cycles and Currency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 14015, Sep.
• Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019, "The FOMC Risk Shift," CEPR Discussion Papers, Centre for Economic Policy Research, number 14037, Oct.
• Zhang, Shengxing & Lagos, Ricardo, 2019, "On Money As a Latent Medium of Exchange," CEPR Discussion Papers, Centre for Economic Policy Research, number 14051, Oct.
• Zhang, Shengxing & Lagos, Ricardo, 2019, "The Limits of onetary Economics: On Money as a Medium of Exchange in Near-Cashless Credit Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 14057, Oct.
• Oosterlinck, Kim & Ureche-Rangau, Loredana & Vaslin, Jacques-Marie, 2019, "Aristocratic Privilege. Exploiting “Good†Institutions," CEPR Discussion Papers, Centre for Economic Policy Research, number 14071, Oct.
• Auer, Raphael, 2019, "Embedded supervision: how to build regulation into blockchain finance," CEPR Discussion Papers, Centre for Economic Policy Research, number 14095, Nov.
• Beetsma, Roel & van Spronsen, Josha, 2019, "Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt," CEPR Discussion Papers, Centre for Economic Policy Research, number 14099, Nov.
• Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019, "Benchmark interest rates when the government is risky," CEPR Discussion Papers, Centre for Economic Policy Research, number 14105, Nov.
• Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019, "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 14107, Nov.
• Taylor, Alan M. & Davis, Josh, 2019, "The Leverage Factor: Credit Cycles and Asset Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 14115, Nov.
• Pástor, LuboÅ¡ & Stambaugh, Robert F. & Taylor, Lucian, 2019, "Sustainable Investing in Equilibrium," CEPR Discussion Papers, Centre for Economic Policy Research, number 14171, Dec.
• Huang, Yi & Lin, Chen & Liu, Sibo & Tang, Heiwai, 2019, "Trade Networks and Firm Value: Evidence from the US-China Trade War," CEPR Discussion Papers, Centre for Economic Policy Research, number 14173, Dec.
• Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019, "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 14200, Dec.
• Taylor, Alan M. & Davis, Josh & Fuenzalida, Cristian, 2019, "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers, Centre for Economic Policy Research, number 14201, Dec.
• Sraer, David & Haddad, Valentin, 2019, "The Banking View of Bond Risk Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 14207, Dec.
• Franzoni, Francesco & Moussawi, Rabih & Ben-David, Itzhak, 2019, "An Improved Method to Predict Assignment of Stocks into Russell Indexes," CEPR Discussion Papers, Centre for Economic Policy Research, number 14234, Dec.
• Martin, Ian & Nagel, Stefan, 2019, "Market Efficiency in the Age of Big Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 14235, Dec.
• Van Nieuwerburgh, Stijn & Gupta, Arpit, 2019, "Valuing Private Equity Strip by Strip," CEPR Discussion Papers, Centre for Economic Policy Research, number 14241, Dec.
• Weill, Pierre-Olivier & Biais, Bruno & Hombert, Johan, 2019, "Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 14257, Dec.
• gracia rubio Martín, 2019, "european valuation multiples: the investors’ sentiment about size," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 119, pages 173-188, Mayo.
• Yonghwan Jo & Jihee Kim, 2019, "Revisiting the Time Series Momentum Anomaly," Annals of Economics and Finance, Society for AEF, volume 20, issue 2, pages 767-782, November.
• Zhaobo Zhu & Xinrui Duan & Jun Tu, 2019, "The Trend in Short Selling and the Cross Section of Stock Returns," Annals of Economics and Finance, Society for AEF, volume 20, issue 2, pages 565-586, November.
• Fuwei Jiang & Joshua Lee & Xiumin Martin & Guofu Zhou, 2019, "Manager sentiment and stock returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 677.
• Feunou, Bruno & Okou, Cédric, 2019, "Good Volatility, Bad Volatility, and Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 2, pages 695-727, April.
• Smajlbegovic, Esad, 2019, "Regional Economic Activity and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 3, pages 1051-1082, June.
• Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019, "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 4, pages 1539-1571, August.
• Accominotti, Olivier & Cen, Jason & Chambers, David & Marsh, Ian W., 2019, "Currency Regimes and the Carry Trade," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 5, pages 2233-2260, October.
• Nanda, Vikram & Wu, Wei & Zhou, Xing (Alex), 2019, "Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 6, pages 2543-2574, December.
• Czupryna, Marcin & Jakubczyk, Michał & Oleksy, Paweł, 2019, "On Pricing Unconventional Prepaid Forward Contracts: Evidence from en primeur Fine Wine," Journal of Wine Economics, Cambridge University Press, volume 14, issue 4, pages 400-408, November.
• Yamamoto, Ryuichi, 2019, "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 5, pages 1757-1792, July.
• Ana Fostel & John Geanakoplos & Gregory Phelan, 2019, "Global Collateral and Capital Flows," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2169, Feb.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2019, "Information, Market Power and Price Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2200, Sep.
• Mohamed Douch & Mohammed Bouaddi, 2019, "Revisiting Equity Premium Puzzles in a Data-Rich Environment," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 65, issue 4, pages 257-275, DOI: 10.3790/aeq.65.4.257.
• Nigohos Kanaryan, 2019, "Enhancing The Adjustments Of Market Multiples For Better Operating Efficiency," Economic Archive, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 4 Year 20, pages 3-20.
• Нигохос Канарян, 2019, "Прецизиране На Корекциите На Пазарните Множители За Оперативна Ефективност," Economic Archive, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 4 Year 20, pages 3-22.
• Mondher Bouattour & Isabelle Martinez, 2019, "Hypothèse d'efficience des marchés : une étude expérimentale avec incertitude et asymétrie d’information," Revue Finance Contrôle Stratégie, revues.org, volume 22, issue 4, pages 1-26, december.
• Mondher Bouattour & Isabelle Martinez, 2019, "Efficient market hypothesis: an experimental study with uncertainty and asymmetric information," Revue Finance Contrôle Stratégie, revues.org, volume 22, issue 4, pages 27-51, december.
• Chi Hyun Kim & Lars Other, 2019, "The Short-Run Effect of Monetary Policy Shocks on Credit Risk: An Analysis of the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1781.
• Kerstin Bernoth & Helmut Herwartz, 2019, "Exchange Rates, Foreign Currency Exposure and Sovereign Risk," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1792.
• Georges Prat & David Le Bris, 2019, "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-8.
• Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018, "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series, HEC Paris, number 1250, Jun, revised 29 May 2019.
• Aubry, Mathieu & Kräussl, Roman & Manso, Gustavo & Spaenjers, Christophe, 2019, "Machines and Masterpieces: Predicting Prices in the Art Auction Market," HEC Research Papers Series, HEC Paris, number 1332, Mar, DOI: 10.2139/ssrn.3347175.
• Boneva, Lena & Böninghausen, Benjamin & Letizia, Elisa & Rousová, Linda, 2019, "Derivatives transactions data and their use in central bank analysis," Economic Bulletin Articles, European Central Bank, volume 6.
• Boneva, Lena & Kidd, Gregory & Van Robays, Ine, 2019, "Exploring the factors behind the 2018 widening in euro area corporate bond spreads," Economic Bulletin Boxes, European Central Bank, volume 3.
• Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019, "Measuring euro area monetary policy," Working Paper Series, European Central Bank, number 2281, May.
• Breckenfelder, Johannes, 2019, "Competition among high-frequency traders, and market quality," Working Paper Series, European Central Bank, number 2290, Jun.
• Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Radde, Sören & Vladu, Andreea Liliana, 2019, "Tracing the impact of the ECB’s asset purchase programme on the yield curve," Working Paper Series, European Central Bank, number 2293, Jul.
• Giuzio, Margherita & Rousová, Linda, 2019, "Insurers’ investment strategies: pro- or countercyclical?," Working Paper Series, European Central Bank, number 2299, Jul.
• Adam, Klaus & Merkel, Sebastian, 2019, "Stock price cycles and business cycles," Working Paper Series, European Central Bank, number 2316, Sep.
• Pablos Nuevo, Irene, 2019, "Has the new bail-in framework increased the yield spread between subordinated and senior bonds?," Working Paper Series, European Central Bank, number 2317, Sep.
• Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2019, "Sovereign Bonds since Waterloo," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp19-009, Feb.
• Li, Ye, 2019, "Fragile New Economy: The Rise of Intangible Capital and Financial Instability," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-19, Jan.
• Birru, Justin & Gokkaya, Sinan & Liu, Xi & Stulz, Rene M., 2019, "Are Analyst Trade Ideas Valuable?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-15, Jul.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2019, "Security Analysis: An Investment Perspective," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-16, Jul.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2019, "Why is There a Secular Decline in Idiosyncratic Risk in the 2000s?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-19, Sep.
• Birru, Justin & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2019, "Attention and Biases: Evidence from Tax-Inattentive Investors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-22, Sep.
• Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2019, "An Improved Method to Predict Assignment of Stocks into Russell Indexes," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-24, Oct.
• Bai, Hang & Li, Erica X. N. & Xue, Chen & Zhang, Lu, 2019, "Does Costly Reversibility Matter for U.S. Public Firms?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-25, Oct.
• Stulz, Rene M., 2019, "Public versus Private Equity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-27, Nov.
• Zhang, Lu, 2019, "Q-factors and Investment CAPM," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-30, Dec.
• Ben-David, Itzhak & Li, Jiacui & Rossi, Andrea & Song, Yang, 2019, "What Do Mutual Fund Investors Really Care About?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-5, Mar.
• Ben-David, Itzhak & Towbin, Pascal & Weber, Sebastian, 2019, "Expectations During the U.S. Housing Boom: Inferring Beliefs from Actions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-8, Mar.
• Larcker, David F. & Watts, Edward M., 2019, "Where's the Greenium?," Research Papers, Stanford University, Graduate School of Business, number 3766, Feb.
• Du, Wenxin & Hebert, Benjamin & Wang, Amy, 2019, "Are Intermediary Constraints Priced?," Research Papers, Stanford University, Graduate School of Business, number 3770, Mar.
• Namitha K. Cheriyan & Lazar Daniel, 2019, "Relationship between Liquidity, Volatility and Trading Activity: An Intraday Analysis of Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 1, pages 17-22.
• Fatma Ben Moussa & Mariem Talbi, 2019, "Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 3, pages 48-64.
• N. S. Nanayakkara & P. D. Nimal & Y. K. Weerakoon, 2019, "Behavioural Asset Pricing: A Review," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 4, pages 101-108.
• Nidhi Malhotra & Saumya Gupta, 2019, "Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 6, pages 208-215.
• Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019, "Influence Oil Price towards Macroeconomic Indicators in Russia," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 1, pages 123-129.
• Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019, "Oil Price Factors: Forecasting on the Base of Modified Auto-regressive Integrated Moving Average Model," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 1, pages 149-159.
• Adedoyin Isola Lawal & Adeniyi Olayanju & Afeez Adebare Salisu & Abiola John Asaleye & Olatunde Dahunsi & Oluwasogo Dada & Oluwasola Emmanel Omoju & Olabisi Rasheedat Popoola, 2019, "Examining Rational Bubbles in Oil Prices: Evidence From Frequency Domain Estimates," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 166-173.
• Jaehyung An & Alexey Mikhaylov & Nikita Moiseev, 2019, "Oil Price Predictors: Machine Learning Approach," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 5, pages 1-6.
• Shabbir Ahmad, 2019, "The Impact of Oil Price Uncertainty on Stock Returns in Gulf Countries," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 6, pages 447-452.
• Shanaev, Savva & Ghimire, Binam, 2019, "Is all politics local? Regional political risk in Russia and the panel of stock returns," Journal of Behavioral and Experimental Finance, Elsevier, volume 21, issue C, pages 70-82, DOI: 10.1016/j.jbef.2018.11.002.
• Dash, Saumya Ranjan & Maitra, Debasish, 2019, "The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis," Journal of Behavioral and Experimental Finance, Elsevier, volume 22, issue C, pages 135-150, DOI: 10.1016/j.jbef.2019.02.006.
• Shestakova, Natalia & Powell, Owen & Gladyrev, Dmitry, 2019, "Bubbles, experience and success," Journal of Behavioral and Experimental Finance, Elsevier, volume 22, issue C, pages 206-213, DOI: 10.1016/j.jbef.2019.02.011.
• Arbaa, Ofer & Varon, Eva, 2019, "The performance and fund flows of name-change funds," Journal of Behavioral and Experimental Finance, Elsevier, volume 22, issue C, pages 7-13, DOI: 10.1016/j.jbef.2019.01.003.
• Axén, Gustav & Cortis, Dominic, 2019, "Extending the price constraints of betting markets," Journal of Behavioral and Experimental Finance, Elsevier, volume 23, issue C, pages 181-188, DOI: 10.1016/j.jbef.2019.07.001.
• Vo, Xuan Vinh & Phan, Dang Bao Anh, 2019, "Herding and equity market liquidity in emerging market. Evidence from Vietnam," Journal of Behavioral and Experimental Finance, Elsevier, volume 24, issue C, DOI: 10.1016/j.jbef.2019.02.002.
• Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019, "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, volume 24, issue C, DOI: 10.1016/j.jbef.2019.07.004.
• McMillan, David G., 2019, "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, volume 51, issue 4, pages 333-351, DOI: 10.1016/j.bar.2019.04.001.
• Bekiros, Stelios & Kouloumpou, Dimitra, 2019, "On the pricing of exotic options: A new closed-form valuation approach," Chaos, Solitons & Fractals, Elsevier, volume 122, issue C, pages 153-162, DOI: 10.1016/j.chaos.2019.03.012.
• Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019, "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, volume 123, issue C, pages 309-319, DOI: 10.1016/j.chaos.2019.04.025.
• Zaevski, Tsvetelin S., 2019, "A new form of the early exercise premium for American type derivatives," Chaos, Solitons & Fractals, Elsevier, volume 123, issue C, pages 338-340, DOI: 10.1016/j.chaos.2019.04.024.
• Hoque, Hafiz & Mu, Shaolong, 2019, "Partial private sector oversight in China's A-share IPO market: An empirical study of the sponsorship system," Journal of Corporate Finance, Elsevier, volume 56, issue C, pages 15-37, DOI: 10.1016/j.jcorpfin.2019.01.002.
• Li, Xiaorong & Wang, Steven Shuye & Wang, Xue, 2019, "Trust and IPO underpricing," Journal of Corporate Finance, Elsevier, volume 56, issue C, pages 224-248, DOI: 10.1016/j.jcorpfin.2019.02.006.
• Chen, Jiun-Lin & Sanger, Gary C. & Song, Wei-Ling, 2019, "The relationship insurance role of financial conglomerates: Evidence from earnings announcements," Journal of Corporate Finance, Elsevier, volume 58, issue C, pages 505-527, DOI: 10.1016/j.jcorpfin.2019.06.006.
• Li, Yiwei & Zeng, Yeqin, 2019, "The impact of top executive gender on asset prices: Evidence from stock price crash risk," Journal of Corporate Finance, Elsevier, volume 58, issue C, pages 528-550, DOI: 10.1016/j.jcorpfin.2019.07.005.
• Feng, Xunan & Johansson, Anders C., 2019, "Top executives on social media and information in the capital market: Evidence from China," Journal of Corporate Finance, Elsevier, volume 58, issue C, pages 824-857, DOI: 10.1016/j.jcorpfin.2019.04.009.
• Lee, Charles M.C. & Qu, Yuanyu & Shen, Tao, 2019, "Going public in China: Reverse mergers versus IPOs," Journal of Corporate Finance, Elsevier, volume 58, issue C, pages 92-111, DOI: 10.1016/j.jcorpfin.2019.04.003.
• Madison, Florian, 2019, "Frictional asset reallocation under adverse selection," Journal of Economic Dynamics and Control, Elsevier, volume 100, issue C, pages 115-130, DOI: 10.1016/j.jedc.2018.09.008.
• Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2019, "Trading under market impact: Crossing networks interacting with dealer markets," Journal of Economic Dynamics and Control, Elsevier, volume 100, issue C, pages 131-151, DOI: 10.1016/j.jedc.2018.09.009.
• Amaya, Diego & Boudreault, Mathieu & McLeish, Don L., 2019, "Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias," Journal of Economic Dynamics and Control, Elsevier, volume 100, issue C, pages 297-313, DOI: 10.1016/j.jedc.2018.11.005.
• Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019, "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, volume 100, issue C, pages 86-114, DOI: 10.1016/j.jedc.2018.12.001.
• Zhu, Zhaobo & Duan, Xinrui & Sun, Licheng & Tu, Jun, 2019, "Momentum and reversal: The role of short selling," Journal of Economic Dynamics and Control, Elsevier, volume 104, issue C, pages 95-110, DOI: 10.1016/j.jedc.2019.05.001.
• Du, Kai, 2019, "Investor expectations, earnings management, and asset prices," Journal of Economic Dynamics and Control, Elsevier, volume 105, issue C, pages 134-157, DOI: 10.1016/j.jedc.2019.06.002.
• Guidolin, Massimo & Pedio, Manuela, 2019, "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103723.
• Li, Kai, 2019, "Portfolio selection with inflation-linked bonds and indexation lags," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103727.
• Dillschneider, Yannick & Maurer, Raimond, 2019, "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103750.
• Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019, "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103755.
• Kopányi, Dávid & Rabanal, Jean Paul & Rud, Olga A. & Tuinstra, Jan, 2019, "Can competition between forecasters stabilize asset prices in learning to forecast experiments?," Journal of Economic Dynamics and Control, Elsevier, volume 109, issue C, DOI: 10.1016/j.jedc.2019.103770.
• Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019, "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, volume 109, issue C, DOI: 10.1016/j.jedc.2019.103777.
• Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019, "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, volume 98, issue C, pages 1-22, DOI: 10.1016/j.jedc.2018.11.002.
• Huber, Samuel & Kim, Jaehong, 2019, "The role of trading frictions in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 99, issue C, pages 1-18, DOI: 10.1016/j.jedc.2018.08.012.
• Naufa, Ahmad Maulin & Lantara, I Wayan Nuka & Lau, Wee-Yeap, 2019, "The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries," Economic Analysis and Policy, Elsevier, volume 64, issue C, pages 221-235, DOI: 10.1016/j.eap.2019.09.002.
• Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019, "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, volume 76, issue C, pages 319-329, DOI: 10.1016/j.econmod.2018.08.009.
• Oh, Sekyung & Kee, Hyukdo & Park, Kinam, 2019, "Tail risk under price limits," Economic Modelling, Elsevier, volume 77, issue C, pages 113-123, DOI: 10.1016/j.econmod.2018.12.002.
• Chundakkadan, Radeef & Sasidharan, Subash, 2019, "Liquidity pull-back and predictability of government security yield volatility," Economic Modelling, Elsevier, volume 77, issue C, pages 124-132, DOI: 10.1016/j.econmod.2018.07.018.
• Zhou, Liyun & Yang, Chunpeng, 2019, "Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals," Economic Modelling, Elsevier, volume 79, issue C, pages 130-140, DOI: 10.1016/j.econmod.2018.10.008.
• Hu, Yingyi & Prigent, Jean-Luc, 2019, "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 80, issue C, pages 11-22, DOI: 10.1016/j.econmod.2018.04.001.
• Fall, Malick & Louhichi, Waël & Viviani, Jean Laurent, 2019, "Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach," Economic Modelling, Elsevier, volume 80, issue C, pages 75-86, DOI: 10.1016/j.econmod.2018.06.008.
• Pavlidis, Efthymios & Martínez-García, Enrique & Grossman, Valerie, 2019, "Detecting periods of exuberance: A look at the role of aggregation with an application to house prices," Economic Modelling, Elsevier, volume 80, issue C, pages 87-102, DOI: 10.1016/j.econmod.2018.07.021.
• Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019, "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, volume 81, issue C, pages 136-147, DOI: 10.1016/j.econmod.2018.12.017.
• Bu, Hui & Tang, Wenjin & Wu, Junjie, 2019, "Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method," Economic Modelling, Elsevier, volume 81, issue C, pages 181-204, DOI: 10.1016/j.econmod.2019.03.002.
• Girardin, Eric & Salimi Namin, Fatemeh, 2019, "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, volume 81, issue C, pages 422-439, DOI: 10.1016/j.econmod.2019.07.021.
• Koubaa, Yosra & Slim, Skander, 2019, "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, volume 82, issue C, pages 168-184, DOI: 10.1016/j.econmod.2019.01.003.
• Adewuyi, Adeolu O. & Ogebe, Joseph O., 2019, "The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC)," Economic Modelling, Elsevier, volume 82, issue C, pages 229-249, DOI: 10.1016/j.econmod.2019.01.008.
• Hervé, Fabrice & Zouaoui, Mohamed & Belvaux, Bertrand, 2019, "Noise traders and smart money: Evidence from online searches," Economic Modelling, Elsevier, volume 83, issue C, pages 141-149, DOI: 10.1016/j.econmod.2019.02.005.
• Sha, Yezhou & Gao, Ran, 2019, "Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry," Economic Modelling, Elsevier, volume 83, issue C, pages 8-16, DOI: 10.1016/j.econmod.2019.09.016.
• Rao, Lanlan & Zhou, Liyun, 2019, "The role of stock price synchronicity on the return-sentiment relation," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 119-131, DOI: 10.1016/j.najef.2018.12.008.
• Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019, "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 184-209, DOI: 10.1016/j.najef.2018.12.005.
• Li, Jinfang, 2019, "Sentiment trading, informed trading and dynamic asset pricing," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 210-222, DOI: 10.1016/j.najef.2018.11.015.
• Umutlu, Mehmet, 2019, "Does idiosyncratic volatility matter at the global level?," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 252-268, DOI: 10.1016/j.najef.2018.12.015.
• Cafiso, Gianluca, 2019, "Sovereign bond markets when auctions take place: Evidence from Italy," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 406-430, DOI: 10.1016/j.najef.2018.06.004.
• Qadan, Mahmoud & Kliger, Doron & Chen, Nir, 2019, "Idiosyncratic volatility, the VIX and stock returns," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 431-441, DOI: 10.1016/j.najef.2018.06.003.
• Jung Park, Yuen & Kutan, Ali M. & Ryu, Doojin, 2019, "The impacts of overseas market shocks on the CDS-option basis," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 622-636, DOI: 10.1016/j.najef.2018.07.003.
• Kang, Hankil & Ryu, Doojin, 2019, "Information in mispricing factors for future investment opportunities," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 657-668, DOI: 10.1016/j.najef.2018.07.006.
• Kim, See-Woo & Kim, Jeong-Hoon, 2019, "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 149-169, DOI: 10.1016/j.najef.2019.01.018.
• Camilleri, Silvio John & Scicluna, Nicolanne & Bai, Ye, 2019, "Do stock markets lead or lag macroeconomic variables? Evidence from select European countries," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 170-186, DOI: 10.1016/j.najef.2019.01.019.