Research classified by Journal of Economic Literature (JEL) codes

2019

• 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.
• Xiao, Tim, 2019, "The Valuation of Interest Rate Swap with Bilateral Counterparty Risk," SocArXiv, Center for Open Science, number cjaqv, May, DOI: 10.31219/osf.io/cjaqv.
• Xiao, Tim, 2019, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," SocArXiv, Center for Open Science, number gxwaj, Sep, DOI: 10.31219/osf.io/gxwaj.
• Mattia Osvaldo Picarelli & Aitor Erce & Xu Jiang, 2019, "The benefits of reducing holdout risk: evidence from the Euro CAC experiment, 2013–2018," Capital Markets Law Journal, Oxford University Press, volume 14, issue 2, pages 155-177.
• Jens H E Christensen & Signe Krogstrup, 2019, "Transmission of Quantitative Easing: The Role of Central Bank Reserves," The Economic Journal, Royal Economic Society, volume 129, issue 617, pages 249-272.
• Andrea Berardi & Alberto Plazzi, 2019, "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 3, pages 397-431.
• Daniela Osterrieder & Daniel Ventosa-Santaulària & J Eduardo Vera-Valdés, 2019, "The VIX, the Variance Premium, and Expected Returns," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 4, pages 517-558.
• Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith, 2019, "Option-Implied Equity Premium Predictions via Entropic Tilting," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 4, pages 559-586.
• Tarek A Hassan & Rui C Mano, 2019, "Forward and Spot Exchange Rates in a Multi-Currency World," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 134, issue 1, pages 397-450.
• Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M Taylor, 2019, "The Rate of Return on Everything, 1870–2015," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 134, issue 3, pages 1225-1298.
• Eugene F Fama, 2019, "Interest Rates and Inflation Revisited," The Review of Asset Pricing Studies, Society for Financial Studies, volume 9, issue 2, pages 197-209.
• Michael J Fleming & Giang Nguyen, 2019, "Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market," The Review of Asset Pricing Studies, Society for Financial Studies, volume 9, issue 2, pages 256-295.
• Sean Crockett & John Duffy & Yehuda Izhakian, 2019, "An Experimental Test of the Lucas Asset Pricing Model," The Review of Economic Studies, Review of Economic Studies Ltd, volume 86, issue 2, pages 627-667.
• Andra C Ghent & Walter N Torous & Rossen I Valkanov, 2019, "Complexity in Structured Finance," The Review of Economic Studies, Review of Economic Studies Ltd, volume 86, issue 2, pages 694-722.
• Johan Walden, 2019, "Trading, Profits, and Volatility in a Dynamic Information Network Model," The Review of Economic Studies, Review of Economic Studies Ltd, volume 86, issue 5, pages 2248-2283.
• Michael Bailey & Eduardo Dávila & Theresa Kuchler & Johannes Stroebel, 2019, "House Price Beliefs And Mortgage Leverage Choice," The Review of Economic Studies, Review of Economic Studies Ltd, volume 86, issue 6, pages 2403-2452.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019, "Which Factors?," Review of Finance, European Finance Association, volume 23, issue 1, pages 1-35.
• Robert Jarrow & Haitao Li & Xiaoxia Ye & May Hu, 2019, "Exploring Mispricing in the Term Structure of CDS Spreads," Review of Finance, European Finance Association, volume 23, issue 1, pages 161-198.
• Sudheer Chava & Rohan Ganduri & Chayawat Ornthanalai, 2019, "Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?," Review of Finance, European Finance Association, volume 23, issue 3, pages 471-511.
• Krista Schwarz, 2019, "Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads," Review of Finance, European Finance Association, volume 23, issue 3, pages 557-597.
• Quan Wen, 2019, "Asset Growth and Stock Market Returns: A Time-Series Analysis," Review of Finance, European Finance Association, volume 23, issue 3, pages 599-628.
• Nickolay Gantchev & Oleg R Gredil & Chotibhak Jotikasthira, 2019, "Governance under the Gun: Spillover Effects of Hedge Fund Activism," Review of Finance, European Finance Association, volume 23, issue 6, pages 1031-1068.

2018

• Yuan Wu & Taufiq Choudhry, 2018, "Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 25, issue 2, pages 111-136, June, DOI: 10.1007/s10690-018-9241-x.
• Thu A. T. Pham, 2018, "Industry Concentration, Firm Efficiency and Average Stock Returns: Evidence from Australia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 25, issue 3, pages 221-247, September, DOI: 10.1007/s10690-018-9246-5.
• Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018, "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 2, pages 295-321, February, DOI: 10.1007/s10614-017-9692-6.
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018, "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 493-511, March, DOI: 10.1007/s10614-016-9615-y.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018, "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 4, pages 913-940, April, DOI: 10.1007/s10614-017-9651-2.
• Vivien Lespagnol & Juliette Rouchier, 2018, "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 4, pages 991-1020, April, DOI: 10.1007/s10614-017-9655-y.
• Daniel Kleinlercher & Thomas Stöckl, 2018, "On the provision of incentives in finance experiments," Experimental Economics, Springer;Economic Science Association, volume 21, issue 1, pages 154-179, March, DOI: 10.1007/s10683-017-9530-7.
• Jiaqi Chen & Michael L. Tindall & Wenbo Wu, 2018, "Risk measurement distortion: an improved model of return smoothing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 3, pages 297-310, August, DOI: 10.1007/s11408-018-0316-5.
• Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018, "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 4, pages 333-365, November, DOI: 10.1007/s11408-018-0318-3.
• Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018, "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, volume 20, issue 1, pages 49-67, April, DOI: 10.1007/s10818-017-9253-z.
• Franklin Allen & Itay Goldstein & Julapa Jagtiani, 2018, "The Interplay among Financial Regulations, Resilience, and Growth," Journal of Financial Services Research, Springer;Western Finance Association, volume 53, issue 2, pages 141-162, June, DOI: 10.1007/s10693-018-0291-z.
• Kei-Ichiro Inaba, 2018, "Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims," Journal of Financial Services Research, Springer;Western Finance Association, volume 54, issue 1, pages 111-143, August, DOI: 10.1007/s10693-016-0241-6.
• Giuseppe Ambrosini & Francesco Menoncin, 2018, "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, volume 54, issue 1, pages 81-109, August, DOI: 10.1007/s10693-016-0264-z.
• Qing Bai & Lu Zhu, 2018, "The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs," Journal of Financial Services Research, Springer;Western Finance Association, volume 54, issue 3, pages 293-321, December, DOI: 10.1007/s10693-016-0269-7.
• Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018, "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, volume 56, issue 3, pages 500-523, April, DOI: 10.1007/s11146-017-9646-8.
• Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018, "When Bubble Meets Bubble: Contagion in OECD Countries," The Journal of Real Estate Finance and Economics, Springer, volume 56, issue 4, pages 546-566, May, DOI: 10.1007/s11146-017-9605-4.
• Prashant Das & Patrick Smith & Paul Gallimore, 2018, "Pricing Extreme Attributes in Commercial Real Estate: the Case of Hotel Transactions," The Journal of Real Estate Finance and Economics, Springer, volume 57, issue 2, pages 264-296, August, DOI: 10.1007/s11146-017-9621-4.
• Matthias Pelster & Johannes Vilsmeier, 2018, "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, volume 21, issue 1, pages 63-118, April, DOI: 10.1007/s11147-017-9134-6.
• Sung Ik Kim & Young Shin Kim, 2018, "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, volume 21, issue 1, pages 119-148, April, DOI: 10.1007/s11147-017-9135-5.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018, "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, volume 21, issue 3, pages 253-276, October, DOI: 10.1007/s11147-017-9140-8.
• Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018, "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 1, pages 33-66, January, DOI: 10.1007/s11156-017-0622-4.
• Chunlai Ye & Lin-Hui Yu, 2018, "The effect of restatements on trading volume reactions to earnings announcements," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 1, pages 129-180, January, DOI: 10.1007/s11156-017-0626-0.
• Wonnho Choi, 2018, "Consumption-based capital asset pricing models: issues and controversies," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 1, pages 181-205, January, DOI: 10.1007/s11156-017-0627-z.
• Ding Du & Ou Hu, 2018, "The sentiment premium and macroeconomic announcements," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 1, pages 207-237, January, DOI: 10.1007/s11156-017-0628-y.
• Jullavut Kittiakarasakun & Lalatendu Misra & Sinan Yildirim, 2018, "An analysis of closed-end funds discounts viewed from a lack of redemption perspective," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 2, pages 415-440, February, DOI: 10.1007/s11156-017-0634-0.
• Tsung-Kang Chen & Hsien-Hsing Liao, 2018, "Suppliers’/customers’ production efficiency uncertainty and firm credit risk," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 2, pages 519-560, February, DOI: 10.1007/s11156-017-0637-x.
• Jorida Papakroni, 2018, "The dispersion anomaly and analyst recommendations," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 3, pages 861-896, April, DOI: 10.1007/s11156-017-0649-6.
• Dimitrios Koutmos & Konstantinos Bozos & Dionysia Dionysiou & Neophytos Lambertides, 2018, "The timing of new corporate debt issues and the risk-return tradeoff," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 4, pages 943-978, May, DOI: 10.1007/s11156-017-0651-z.
• Wensheng Kang & Jing Wang, 2018, "Oil shocks, policy uncertainty and earnings surprises," Review of Quantitative Finance and Accounting, Springer, volume 51, issue 2, pages 375-388, August, DOI: 10.1007/s11156-017-0674-5.
• Harnchai Eng-Uthaiwat, 2018, "Stock market return predictability: Does network topology matter?," Review of Quantitative Finance and Accounting, Springer, volume 51, issue 2, pages 433-460, August, DOI: 10.1007/s11156-017-0676-3.
• Hsiu-Lang Chen, 2018, "Information diffusion of upstream and downstream industry-wide earnings surprises and its implications," Review of Quantitative Finance and Accounting, Springer, volume 51, issue 3, pages 751-784, October, DOI: 10.1007/s11156-017-0687-0.
• Alex Petkevich & Andrew Prevost, 2018, "Managerial ability, information quality, and the design and pricing of corporate debt," Review of Quantitative Finance and Accounting, Springer, volume 51, issue 4, pages 1033-1069, November, DOI: 10.1007/s11156-017-0696-z.
• Mark Mietzner & Juliane Proelss & Denis Schweizer, 2018, "Hidden champions or black sheep? The role of underpricing in the German mini-bond market," Small Business Economics, Springer, volume 50, issue 2, pages 375-395, February, DOI: 10.1007/s11187-016-9833-7.
• Heejoon Han & Na Kyeong Lee, 2018, "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, volume 34, pages 213-235.
• Fuzuli Aliyev & Aysel Soltanli, 2018, "Empirical test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 4, issue 1, pages 74-81, March.
• Mert Demirer & Umut Gokcen & Kamil Yilmaz, 2018, "Financial Sector Volatility Connectedness and Equity Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1803, Jan.
• Boros, Péter, 2018, "A hitelértékelési kiigazítás tőketartalékolásának új szabályozása
  [New regulation of the Credit Valuation Adjustment for capital reserves]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 161-184, DOI: 10.18414/KSZ.2018.2.161.
• Musarrat SHAMSHIR & Mirza Jawwad BAIG & Khalid MUSTAFA, 2018, "Evidence of random walk in Pakistan stock exchange: An emerging stock market study," Journal of Economics Library, KSP Journals, volume 5, issue 1, pages 103-117, March.
• Anne Lundgaard Hansen, 2018, "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers, University of Copenhagen. Department of Economics, number 18-12, Dec.
• Chiaki Hara & Toshiki Honda, 2018, "ImpliedAmbiguity:Mean-Variance Efficiency andPricingErrors," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1004, Oct.
• Chiaki Hara, 2018, "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1005, Oct.
• Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018, "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2608.
• Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018, "Measuring network systemic risk contributions: A leave-one-out approach," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2708.
• Tanweer Akram & Huiqing Li, 2018, "The Dynamics of Japanese Government Bonds' Nominal Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_906, May.
• Tanweer Akram & Anupam Das, 2018, "Australian Government Bonds' Nominal Yields: An Empirical Analysis," Economics Working Paper Archive, Levy Economics Institute, number wp_910, Aug.
• Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018, "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series, Bank of Lithuania, number 9, Jun.
• Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018, "Diffusion Copulas: Identification and Estimation," Working Papers, University of Liverpool, Department of Economics, number 20184, Jul.
• Huang Yi & Yang Xiugang, 2018, "Investors’ Sentiment and Enterprise's Non-Efficient investment: The Intermediary Effect of Stock Price Volatility," International Journal of Business and Social Research, LAR Center Press, volume 8, issue 7, pages 1-14, July.
• Viktors Ajevskis, 2018, "The Natural Rate of Interest: Information Derived from a Shadow Rate Model," Working Papers, Latvijas Banka, number 2018/02, Apr.
• M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018, "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques, number 1804.
• Martin Boyer & Philippe De Donder & Claude-Denys Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018, "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1806.
• Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018, "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1807.
• E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018, "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series, Economics, The University of Manchester, number 1815.
• Joerg Schmidt, 2018, "Unconventional Monetary Policy and Bank Risk-Taking in the Euro Area," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201824.
• Carlos Manuel Pinheiro & Hugo Hilário Varela, 2018, "Do Exchange Traded Funds (ETFs) Outperform the Market? Evidence from the Portuguese Stock Index," GEE Papers, Gabinete de Estratégia e Estudos, Ministério da Economia, number 0109, Sep, revised Sep 2018.
• Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018, "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, volume 26, issue 1, pages 56-72.
• Jasman Tuyon & Zamri Ahmad, 2018, "Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework," Capital Markets Review, Malaysian Finance Association, volume 26, issue 2, pages 32-52.
• Pheng Bian Ong & Mohamed Hisham Hanifa & Mansor Mohd Isa, 2018, "Do Firm Size and Value Affect Shareholder Returns in Malaysia?," Capital Markets Review, Malaysian Finance Association, volume 26, issue 2, pages 53-69.
• Abdulilah Ibrahim Alsheikhmubarak & Evangelos Giouvris, 2018, "A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index," Multinational Finance Journal, Multinational Finance Journal, volume 22, issue 3-4, pages 119-172, September.
• Roman Mestre & Michel Terraza, 2018, "Time-Frequency Analysis of capm: Application to the cac 40," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 16, issue 2 (Summer, pages 141-157, DOI: 10.26493/1854-6935.16.141-157.
• Lorenzo Menna & Patrizio Tirelli, 2018, "Risk Premiums, Nominal Rigidities and Limited Asset Market Participation," Working Papers, University of Milano-Bicocca, Department of Economics, number 388, Oct, revised 25 Oct 2018.
• Han Hwa Goh & Lee Lee Chong & Ming Ming Lai, 2018, "Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, volume 55, issue 2, pages 285-300, December, DOI: 10.22452/MJES.vol55no2.8.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The use of option prices in order to evaluate the skewness risk premium," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0132, Sep.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The properties of a skewness index and its relation with volatility and returns," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0133, Sep.
• Francisco RUGE-MURCIA, 2018, "Asset Prices in a Small Production Network," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 02-2018.
• Juliusz Jabłecki, 2018, "Instrumenty zabezpieczone obligacjami skarbowymi: próba wyceny i analizy ryzyka," Bank i Kredyt, Narodowy Bank Polski, volume 49, issue 4, pages 379-404.
• Ye Jin Heo, 2018, "Population aging and housing prices: who are we calling old?," NBP Working Papers, Narodowy Bank Polski, number 288.
• Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018, "Global Trends in Interest Rates," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2018".
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018, "The True Cost of Social Security," NBER Chapters, National Bureau of Economic Research, Inc, "Tax Policy and the Economy, Volume 33".
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 24213, Jan.
• Pierre Collin-Dufresne & Kent D. Daniel & Mehmet Saǧlam, 2018, "Liquidity Regimes and Optimal Dynamic Asset Allocation," NBER Working Papers, National Bureau of Economic Research, Inc, number 24222, Jan.
• Matthias Fleckenstein & Francis A. Longstaff, 2018, "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 24224, Jan.
• Martin Lettau & Ananth Madhavan, 2018, "Exchange Traded Funds 101 For Economists," NBER Working Papers, National Bureau of Economic Research, Inc, number 24250, Jan.
• Daniel R. Feenberg & Clinton Tepper & Ivo Welch, 2018, "Are Interest Rates Really Low?," NBER Working Papers, National Bureau of Economic Research, Inc, number 24258, Jan.
• Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2018, "Why has Idiosyncratic Risk been Historically Low in Recent Years?," NBER Working Papers, National Bureau of Economic Research, Inc, number 24270, Jan.
• Bing Han & David Hirshleifer & Johan Walden, 2018, "Social Transmission Bias and Investor Behavior," NBER Working Papers, National Bureau of Economic Research, Inc, number 24281, Feb.
• Kenneth R. Ahern, 2018, "Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades," NBER Working Papers, National Bureau of Economic Research, Inc, number 24297, Feb.
• Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018, "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 24325, Feb.
• Grace Xing Hu & Jun Pan & Jiang Wang, 2018, "Chinese Capital Market: An Empirical Overview," NBER Working Papers, National Bureau of Economic Research, Inc, number 24346, Feb.
• Wolfgang Keller & Carol H. Shiue & Xin Wang, 2018, "Capital Markets and Grain Prices: Assessing the Storage Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 24388, Mar.
• Charles W. Calomiris & Harry Mamaysky, 2018, "How News and Its Context Drive Risk and Returns Around the World," NBER Working Papers, National Bureau of Economic Research, Inc, number 24430, Mar.
• Jessica A. Wachter & Yicheng Zhu, 2018, "The Macroeconomic Announcement Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 24432, Mar.
• Jianan Liu & Robert F. Stambaugh & Yu Yuan, 2018, "Size and Value in China," NBER Working Papers, National Bureau of Economic Research, Inc, number 24458, Mar.
• Patrick Augustin & Mikhail Chernov & Dongho Song, 2018, "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers, National Bureau of Economic Research, Inc, number 24506, Apr.
• Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018, "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 24529, Apr.
• Bryan Kelly & Seth Pruitt & Yinan Su, 2018, "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers, National Bureau of Economic Research, Inc, number 24540, Apr.
• George-Marios Angeletos & Zhen Huo, 2018, "Myopia and Anchoring," NBER Working Papers, National Bureau of Economic Research, Inc, number 24545, Apr.
• Yong Chen & Bryan Kelly & Wei Wu, 2018, "Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment," NBER Working Papers, National Bureau of Economic Research, Inc, number 24552, Apr.
• Mikhail Chernov & Drew D. Creal, 2018, "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers, National Bureau of Economic Research, Inc, number 24563, Apr.
• George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018, "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 24575, May.
• Martin Lettau & Markus Pelger, 2018, "Estimating Latent Asset-Pricing Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 24618, May.
• Jerry Tsai & Jessica A. Wachter, 2018, "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 24641, May.
• Luis M. Viceira & Zixuan (Kevin) Wang, 2018, "Global Portfolio Diversification for Long-Horizon Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 24646, May.
• David Hirshleifer & Danling Jiang & Yuting Meng, 2018, "Mood Betas and Seasonalities in Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 24676, Jun.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018, "Global Financial Cycles and Risk Premiums," NBER Working Papers, National Bureau of Economic Research, Inc, number 24677, Jun.
• David Greenlaw & James D. Hamilton & Ethan Harris & Kenneth D. West, 2018, "A Skeptical View of the Impact of the Fed’s Balance Sheet," NBER Working Papers, National Bureau of Economic Research, Inc, number 24687, Jun.
• Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2018, "Investor Experiences and Financial Market Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 24697, Jun.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2018, "q⁵," NBER Working Papers, National Bureau of Economic Research, Inc, number 24709, Jun.
• Eric Budish, 2018, "The Economic Limits of Bitcoin and the Blockchain," NBER Working Papers, National Bureau of Economic Research, Inc, number 24717, Jun.
• Nicholas C. Barberis, 2018, "Psychology-based Models of Asset Prices and Trading Volume," NBER Working Papers, National Bureau of Economic Research, Inc, number 24723, Jun.
• Andreas Neuhierl & Michael Weber, 2018, "Monetary Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 24748, Jun.
• Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2018, "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," NBER Working Papers, National Bureau of Economic Research, Inc, number 24757, Jun.
• Marcin Kacperczyk & Savitar Sundaresan & Tianyu Wang, 2018, "Do Foreign Investors Improve Market Efficiency?," NBER Working Papers, National Bureau of Economic Research, Inc, number 24765, Jun.
• Atif Mian & Amir Sufi, 2018, "Credit Supply and Housing Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 24823, Jul.
• Martin Lettau & Markus Pelger, 2018, "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 24858, Jul.
• Yukun Liu & Aleh Tsyvinski, 2018, "Risks and Returns of Cryptocurrency," NBER Working Papers, National Bureau of Economic Research, Inc, number 24877, Aug.
• Lubos Pastor & Pietro Veronesi, 2018, "Inequality Aversion, Populism, and the Backlash Against Globalization," NBER Working Papers, National Bureau of Economic Research, Inc, number 24900, Aug.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2018, "Frictional Intermediation in Over-the-counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 24956, Aug.
• Hengjie Ai & Anmol Bhandari, 2018, "Asset Pricing with Endogenously Uninsurable Tail Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 24972, Aug.
• Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018, "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," NBER Working Papers, National Bureau of Economic Research, Inc, number 25016, Sep.
• Anna Cieslak & Andreas Schrimpf, 2018, "Non-Monetary News in Central Bank Communication," NBER Working Papers, National Bureau of Economic Research, Inc, number 25032, Sep.
• Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018, "Global Trends in Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 25039, Sep.
• Efraim Benmelech & Nittai Bergman, 2018, "Debt, Information, and Illiquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 25054, Sep.
• Lauren Cohen & Christopher Malloy & Quoc Nguyen, 2018, "Lazy Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 25084, Sep.
• Robert J. Hodrick & Tuomas Tomunen, 2018, "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 25092, Sep.
• Sergey Chernenko & Adi Sunderam, 2018, "Do Fire Sales Create Externalities?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25104, Sep.
• Ricardo Lagos & Shengxing Zhang, 2018, "Turnover Liquidity and the Transmission of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 25106, Sep.
• Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan I. Simester, 2018, "Belief Disagreement and Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 25108, Sep.
• Simon Oh & Jessica A. Wachter, 2018, "Cross-sectional Skewness," NBER Working Papers, National Bureau of Economic Research, Inc, number 25113, Sep.
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018, "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25122, Oct.
• Jordan Brooks & Michael Katz & Hanno Lustig, 2018, "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 25127, Oct.
• Malcolm Baker & Daniel Bergstresser & George Serafeim & Jeffrey Wurgler, 2018, "Financing the Response to Climate Change: The Pricing and Ownership of U.S. Green Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 25194, Oct.
• Usman Ali & David Hirshleifer, 2018, "Shared Analyst Coverage: Unifying Momentum Spillover Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 25201, Oct.
• Mikhail Chernov & Drew D. Creal, 2018, "International Yield Curves and Currency Puzzles," NBER Working Papers, National Bureau of Economic Research, Inc, number 25206, Nov.
• Matthias Fleckenstein & Francis A. Longstaff, 2018, "Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes," NBER Working Papers, National Bureau of Economic Research, Inc, number 25216, Nov.
• Ricardo Lagos & Shengxing Zhang, 2018, "A Monetary Model of Bilateral Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 25239, Nov.
• Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018, "Volatility Risk Pass-through," NBER Working Papers, National Bureau of Economic Research, Inc, number 25276, Nov.
• Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018, "Low Inflation: High Default Risk AND High Equity Valuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 25317, Nov.
• Anil K. Kashyap & Natalia Kovrijnykh & Jian Li & Anna Pavlova, 2018, "The Benchmark Inclusion Subsidy," NBER Working Papers, National Bureau of Economic Research, Inc, number 25337, Dec.
• Kent Daniel & Alexander Klos & Simon Rottke, 2018, "The Dynamics of Disagreement," NBER Working Papers, National Bureau of Economic Research, Inc, number 25346, Dec.
• Samuel P. Fraiberger & Do Lee & Damien Puy & Romain Rancière, 2018, "Media Sentiment and International Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 25353, Dec.
• Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018, "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers, National Bureau of Economic Research, Inc, number 25361, Dec.
• Martin Lettau & Sydney C. Ludvigson & Paulo Manoel, 2018, "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25381, Dec.
• Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018, "The Origins and Effects of Macroeconomic Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 25386, Dec.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018, "Empirical Asset Pricing via Machine Learning," NBER Working Papers, National Bureau of Economic Research, Inc, number 25398, Dec.
• Pedro Bordalo & Nicola Gennaioli & Spencer Yongwook Kwon & Andrei Shleifer, 2018, "Diagnostic Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 25399, Dec.
• Hong, Harrison & Jiang, Wenxi, 2018, "Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: Fund Industry: What Do the Outliers in the Data Tell Us?: A Response," Critical Finance Review, now publishers, volume 7, issue 2, pages 373-377, December, DOI: 10.1561/104.00000066.
• Bozhidar Nedev, 2018, "Short-term Predictability on the International Capital Markets – Momentum Effect," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 121-135, April.
• Dimitar Nenkov & Diyana Miteva-Boncheva, 2018, "Comparative Analysis of the Methods for Determining the Price of Personal Funds," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 5-18, October.
• G. V. Satya Sekhar, 2018, "Measuring Models and Trends in International Factoring: 2009-2018," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 7, issue 4, pages 236-245, November.
• Jean-Marc Fournier & Jakob Lehr, 2018, "Issuing GDP-linked bonds: Supply and demand can match," OECD Economics Department Working Papers, OECD Publishing, number 1500, Aug, DOI: 10.1787/1da2253f-en.
• Alexander Borodin & Vadim Shamin & Irina Shamina, 2018, "A Method For Calculating The Real Value Of Equity By Identifying Toxic Assets In The Reports Of Professional Participants Of The Securities Market," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, volume 13, issue 4, pages 387-396, November, DOI: https://doi.org/10.31648/oej.2779.
• Jana Šimáková, 2018, "The Study of the Effects of Exchange Rates on the Stock Companies in the Eurozone's Petrochemical Industry," Working Papers, Silesian University, School of Business Administration, number 0053, Aug.
• Stefán B. Gunnlaugsson, 2018, "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 46-55, March.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org, Center for Open Science, number 5uxef, Jun, DOI: 10.31219/osf.io/5uxef.
• Xiao, Tim, 2018, "An Economic Examination of Collateralization in Different Financial Markets," arabixiv.org, Center for Open Science, number b7uvg, Jun, DOI: 10.31219/osf.io/b7uvg.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv, Center for Open Science, number 5hf4b, Jun, DOI: 10.31219/osf.io/5hf4b.
• Xiao, Tim, 2018, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv, Center for Open Science, number ds7zj, Aug, DOI: 10.31219/osf.io/ds7zj.
• Xiao, Tim, 2018, "An Economic Examination of Collateralization in Different Financial Markets," FrenXiv, Center for Open Science, number j32fu, Jun, DOI: 10.31219/osf.io/j32fu.
• Xiao, Tim, 2018, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv, Center for Open Science, number kzbxf, Jun, DOI: 10.31219/osf.io/kzbxf.
• Xiao, Tim, 2018, "An Economic Examination of Collateralization in Different Financial Markets," SocArXiv, Center for Open Science, number zw6xq, Jun, DOI: 10.31219/osf.io/zw6xq.
• Xiaodong Du & David A Hennessy & Hongli Feng & Gaurav Arora, 2018, "Land Resilience and Tail Dependence among Crop Yield Distributions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 100, issue 3, pages 809-828.
• Jan Novotný & Giovanni Urga, 2018, "Testing for Co-jumps in Financial Markets," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 118-128.
• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018, "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 34-62.
• Frank Kleibergen & Zhaoguo Zhan, 2018, "Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 2, pages 155-190.
• Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018, "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 341-383.
• Christos S Savva & Panayiotis Theodossiou, 2018, "The Risk and Return Conundrum Explained: International Evidence," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 486-521.
• Stefano Giglio & Bryan Kelly, 2018, "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 133, issue 1, pages 71-127.
• Paul Ehling & Alessandro Graniero & Christian Heyerdahl-Larsen, 2018, "Asset Prices and Portfolio Choice with Learning from Experience," The Review of Economic Studies, Review of Economic Studies Ltd, volume 85, issue 3, pages 1752-1780.
• Tim Bollerslev & Jia Li & Yuan Xue, 2018, "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, volume 85, issue 4, pages 2005-2041.
• Marc Arnold & Dirk Hackbarth & Tatjana Xenia Puhan, 2018, "Financing Asset Sales and Business Cycles
  [Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries]," Review of Finance, European Finance Association, volume 22, issue 1, pages 243-277.
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia
  [Fallen angels and price pressure]," Review of Finance, European Finance Association, volume 22, issue 2, pages 419-454.
• Michael W Brandt & David A Chapman, 2018, "Linear Approximations and Tests of Conditional Pricing Models
  [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, volume 22, issue 2, pages 455-489.
• Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018, "Dynamic Dependence and Diversification in Corporate Credit
  [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, volume 22, issue 2, pages 521-560.