Research classified by Journal of Economic Literature (JEL) codes

2019

• Athanasios Geromichalos & Kuk Mo Jung & Seungduck Lee & Dillon Carlos, 2019, "Asset Liquidity in Monetary Theory and Finance: A Unified Approach," Working Papers, University of California, Davis, Department of Economics, number 330, Mar.
• Aldrich, Eric M & Friedman, Daniel, 2019, "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz, number qt4938f518, Jun.
• Mykola Babiak & Roman Kozhan, 2019, "Parameter Learning in Production Economies," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp640, Apr.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019, "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp651, Dec.
• Guglielmo Maria Caporale & Daria Teterkina, 2019, "Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods," CESifo Working Paper Series, CESifo, number 7612.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019, "Five facts about beliefs and portfolios," CESifo Working Paper Series, CESifo, number 7666.
• Bernd Süssmuth, 2019, "Bitcoin and web search query dynamics: is the price driving the hype or is the hype driving the price?," CESifo Working Paper Series, CESifo, number 7675.
• Carlo Altavilla & Luca Brugnolini & Refet S. Gürkaynak & Roberto Motto & Giuseppe Ragusa, 2019, "Measuring Euro Area Monetary Policy," CESifo Working Paper Series, CESifo, number 7699.
• Marc Gronwald, 2019, "Another Look at Cryptocurrency Bubbles," CESifo Working Paper Series, CESifo, number 7743.
• Pietro Dindo & Andrea Modena & Loriana Pelizzon, 2019, "Risk Pooling, Leverage, and the Business Cycle," CESifo Working Paper Series, CESifo, number 7772.
• Stefano Carattini & Suphi Sen, 2019, "Carbon Taxes and Stranded Assets: Evidence from Washington State," CESifo Working Paper Series, CESifo, number 7785.
• Guglielmo Maria Caporale & Alex Plastun, 2019, "Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns," CESifo Working Paper Series, CESifo, number 7917.
• M. Hashem Pesaran & Ron P. Smith, 2019, "The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models," CESifo Working Paper Series, CESifo, number 7919.
• Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2019, "Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange," CESifo Working Paper Series, CESifo, number 7984.
• Thomas Gomez & Giulia Piccillo, 2019, "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series, CESifo, number 8003.
• Ian Martin & Stefan Nagel, 2019, "Market Efficiency in the Age of Big Data," CESifo Working Paper Series, CESifo, number 8015.
• Ulrich Hege & Pierre Mella-Barral, 2019, "Bond Exchange Offers or Collective Action Clauses?," EconPol Working Paper, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 32.
• Alexios Anagnostopoulos & Orhan Erem Atesagaoglu & Elisa Faraglia & Chryssi Giannitsarou, 2019, "Foreign Direct Investment as a Determinant of Cross-Country Stock Market Comovement," Discussion Papers, Centre for Macroeconomics (CFM), number 1912, Jul.
• Viral V. Acharya & Arvind Krishnamurthy, 2019, "Capital Flow Management with Multiple Instruments," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 6, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia, "Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications".
• Kjell G. Nyborg, 2019, "Repo Rates and the Collateral Spread Puzzle," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-04, Feb.
• Kjell G. Nyborg & Cornelia Rösler, 2019, "Repo Rates and the Collateral Spread: Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-05, Feb, revised Feb 2019.
• Davidson Heath & Daniele Macciocchi & Roni Michaely & Matthew Ringgenberg, 2019, "Do Index Funds Monitor?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-08, May.
• Marco Ceccarelli & Stefano Ramelli & Alexander F. Wagner, 2019, "When Investors Call for Climate Responsibility, How Do Mutual Funds Respond?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-13, Mar, revised Apr 2019.
• Piotr Orłowski & Andras Sali & Fabio Trojani, 2019, "Arbitrage Free Dispersion," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-20, Jan, revised Apr 2019.
• Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu, 2019, "Crude Awakening: Oil Prices and Bond Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-24, Apr, revised May 2019.
• Piotr Orłowski & Paul Schneider & Fabio Trojani, 2019, "On the Nature of Jump Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-31, Jun, revised Jun 2019.
• Philippe Bacchetta & Eric van Wincoop, 2019, "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-35, Jul.
• Roman Goncharenko & Steven Ongena & Asad Rauf, 2019, "The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-43, Jun.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019, "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-46, Aug.
• Hasan Fallahgoul & Julien Hugonnier & Loriano Mancini, 2019, "Risk Premia and Lévy Jumps: Theory and Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-49, Feb.
• Paul Schneider & Christian Wagner & Josef Zechner, 2019, "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-50, Sep.
• Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2019, "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-52, Sep.
• Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2019, "An Improved Method to Predict Assignment of Stocks into Russell Indexes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-56, Oct.
• Altan Pazarbasi & Paul Schneider & Grigory Vilkov, 2019, "Sentimental Recovery," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-57, Oct.
• Laurent Barras & O. Scaillet & Russ Wermers, 2019, "Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-61, Aug.
• Artem Dyachenko & Walter Farkas & Marc Oliver Rieger, 2019, "Volatility Dependent Structured Products," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-64, Dec.
• Patrick Gagliardini & Hao Ma, 2019, "Extracting Statistical Factors When Betas are Time-Varying," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-65, Jul.
• Vincent Bogousslavsky & Pierre Collin-Dufresne, 2019, "Liquidity, Volume, and Order Imbalance Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-69, Mar.
• Andrea Berardi & Alberto Plazzi, 2019, "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-73, Jun.
• Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019, "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-74, Jun.
• Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2019, "Implied Volatility Changes and Corporate Bond Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-75, Jun.
• Giovanni Barone-Adesi & Carlo Sala, 2019, "Testing Market Efficiency With the Pricing Kernel," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-77, Aug.
• Cary Deck & Maroš Servátka & Steven Tucker, 2019, "Designing Call Auction Institutions to Eliminate Price Bubbles: Is English Dutch the Best?," Working Papers, Chapman University, Economic Science Institute, number 19-06.
• Gideon Boako & Aviral Kumar Tiwari & David Roubaud, 2019, "Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market," International Economics, CEPII research center, issue 158, pages 77-90.
• John Duffy & Janet Hua Jiang & Huan Xie, 2019, "Experimental Asset Markets with An Indefinite Horizon," CIRANO Working Papers, CIRANO, number 2019s-15, Jul.
• Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, undated, "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series, Economics Department, Pomona College, number 1001, revised 12 Feb 2020.
• Julián A. Parra & Carlos Arango - Joaqu�n Bernal & Jos� E. G�mez - Javier G�mez & Carlos Le�n - Clara Machado & Daniel Osorio - Daniel Rojas & Nicol�s Su�rez - Eduardo Yanquen, 2019, "Criptoactivos: análisis y revisión de literatura," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, issue 92, pages 1-37.
• Sandoval Paucar Giovanny, 2019, "Análisis de correlacción condicional. Evidencia para el mercado colombiano," Documentos de Trabajo, Universidad del Valle, CIDSE, number 17281, Apr.
• Sandoval Paucar Giovanny, 2019, "Análisis de correlacción condicional. Evidencia para el mercado colombiano," Documentos de Trabajo, Universidad del Valle, CIDSE, number 17401, Apr.
• José Ignacio López Gaviria, 2019, "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150.
• Miguel Angel Laverde Sarmiento & Jorge Fernando Garcia Carrillo & Juan Carlos Lezama Palomino & Alejandra Pati�o Jacinto, 2019, "The importance of information upon applying IFRS in financial entities that trade at the Colombian stock market," Revista CIFE, Universidad Santo Tomás, volume 21, issue 34, pages 137-152.
• BEREAU Sophie, & GNABO Jean-Yves, & VANHOMWEGEN Henri,, 2019, "Making a difference: European mutual funds distinctiveness and peers’ performance," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2019015, Jul.
• Ben-David, Itzhak & Franzoni, Francesco & 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 & Stackman, Daniel & Vogt, Erik, 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.
• Gao, Can & Martin, Ian, 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 G., 2019, "Repo rates and the collateral spread puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 13546, Feb.
• Nyborg, Kjell G. & 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.
• Jordà , Oscar & Schularick, Moritz & Taylor, Alan M., 2019, "The Total Risk Premium Puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, number 13595, Mar.
• Ceccarelli, Marco & Ramelli, Stefano & Wagner, Alexander F., 2019, "Low-carbon mutual funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 13599, Mar.
• Joenväärä, Juha & Kaupila, Mikko & Kosowski, Robert & 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, Mar.
• Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & 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.
• Ouazad, Amine & Ranciere, Romain, 2019, "Market Frictions, Arbitrage, and the Capitalization of Amenities," CEPR Discussion Papers, Centre for Economic Policy Research, number 13689, Apr.
• Olijslagers, Stan & van Wijnbergen, Sweder, 2019, "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers, Centre for Economic Policy Research, number 13708, May.
• Bhambhwani, Siddharth & Delikouras, Stefanos & Korniotis, George, 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.
• Favilukis, Jack & Van Nieuwerburgh, Stijn, 2019, "Affordable Housing and City Welfare," CEPR Discussion Papers, Centre for Economic Policy Research, number 13758, May.
• Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet & 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.
• Heipertz, Jonas & Ouazad, Amine & Ranciere, Romain, 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.
• Distaso, Walter & Mele, Antonio & 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, Benoit & 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, 2019, "Cryptocurrencies, Currency Competition, and The Impossible Trinity," CEPR Discussion Papers, Centre for Economic Policy Research, number 13943, Aug.
• Bienz, Carsten & Thorburn, Karin S & 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.
• Betermier, Sebastien & Calvet, Laurent E. & Jo, Evan, 2019, "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 13974, Aug.
• Leitão, Diogo & Pereira, Jaime & Pereira Dos Santos, Joao & Tavares, José, 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.
• Colacito, Ric & Riddiough, Steven & Sarno, Lucio, 2019, "Business Cycles and Currency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 14015, Sep.
• Kroencke, Tim & Schmeling, Maik & Schrimpf, Andreas, 2019, "The FOMC Risk Shift," CEPR Discussion Papers, Centre for Economic Policy Research, number 14037, Oct.
• Lagos, Ricardo & Zhang, Shengxing, 2019, "On Money As a Latent Medium of Exchange," CEPR Discussion Papers, Centre for Economic Policy Research, number 14051, Oct.
• Lagos, Ricardo & Zhang, Shengxing, 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.
• van Spronsen, Josha & Beetsma, Roel, 2019, "Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt," CEPR Discussion Papers, Centre for Economic Policy Research, number 14099, Nov.
• Augustin, Patrick & Chernov, Mikhail & Schmid, Lukas & Song, Dongho, 2019, "Benchmark interest rates when the government is risky," CEPR Discussion Papers, Centre for Economic Policy Research, number 14105, Nov.
• Delle Monache, Davide & Petrella, Ivan & 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.
• Davis, Josh & Taylor, Alan M., 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.
• Greenwald, Dan & Lettau, Martin & Ludvigson, Sydney, 2019, "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 14200, Dec.
• Davis, Josh & Fuenzalida, Cristian & Taylor, Alan M., 2019, "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers, Centre for Economic Policy Research, number 14201, Dec.
• Haddad, Valentin & Sraer, David, 2019, "The Banking View of Bond Risk Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 14207, Dec.
• Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 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.
• Gupta, Arpit & Van Nieuwerburgh, Stijn, 2019, "Valuing Private Equity Strip by Strip," CEPR Discussion Papers, Centre for Economic Policy Research, number 14241, Dec.
• Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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.