Report NEP-FMK-2020-12-07

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Kristian S. Blickle & Matteo Crosignani & Fernando M. Duarte & Thomas M. Eisenbach & Fulvia Fringuellotti & Anna Kovner, 2020. "How Has COVID-19 Affected Banking System Vulnerability?," Liberty Street Economics 20201116, Federal Reserve Bank of New York.
• Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
• Atilla Aras, 2020. "Solution to the Equity Premium Puzzle," Papers 2011.05458, arXiv.org, revised Mar 2021.
• Kristiansen, Kristian & Hvid, Anna Kirstine, 2020. "How news affects sectoral stock prices through earnings expectations and risk premia," Working Paper Series 2493, European Central Bank.
• Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020. "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers 29200, University of Essex, Essex Business School.
• Goutham Gopalakrishna, 2020. "Asset Pricing with Realistic Crises Dynamics," Swiss Finance Institute Research Paper Series 20-96, Swiss Finance Institute.
• Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
• Muhammad Farooq AHMAD & Oskar KOWALEWSKI & Pawel PISANY, 2020. "What determines Initial Coin Offering success: A cross-country study," Working Papers 2020-ACF-10, IESEG School of Management.
• Andreas A. Aigner & Walter Schrabmair, 2020. "Startup & Unicorn Growth Valuation," Papers 2011.05117, arXiv.org.
• Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2020. "Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis," Papers 2011.04939, arXiv.org, revised Feb 2021.
• Magdalena Tywoniuk, 2020. "CDS Central Counterparty Clearing Default Measures: Road to Recovery or Invitation to Predation?," Swiss Finance Institute Research Paper Series 20-95, Swiss Finance Institute.
• James Collin Harkrader & Michael Puglia, 2020. "Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers," Finance and Economics Discussion Series 2020-096, Board of Governors of the Federal Reserve System (U.S.).
• Nicola Borri & Giorgio Di Giorgio, 2020. "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF 2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.