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Report NEP-FMK-2021-02-01
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2021, "Stock Prices and Economic Activity in the Time of Coronavirus," NBER Working Papers, National Bureau of Economic Research, Inc, number 28320, Jan.
- Söylemez, Arif Orçun, 2020, "How Do Volatility and Return Series Interact?," MPRA Paper, University Library of Munich, Germany, number 104687, Sep.
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2020, "Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19," Working Papers, Copenhagen Business School, Department of Economics, number 1-2021, Oct.
- Pedro Cadenas & Henryk Gzyl & Hyun Woong Park, 2020, "How dark is the dark side of diversification?," Papers, arXiv.org, number 2012.12154, Dec.
- Julien Ciccone & Luca Marchiori & Romuald Morhs, 2021, "The flow-performance relationship of global investment Funds," BCL working papers, Central Bank of Luxembourg, number 151, Jan.
- Jagannathan, Murali & Jiao, Wei & Wermers, Russ, 2020, "International characteristic-based asset pricing," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-13.
- Hendriock, Mario, 2020, "Implied cost of capital and mutual fund performance," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-11.
- Rebecaa Pham & Marcel Ausloos, 2020, "Insider trading in the run-up to merger announcements. Before and after the UK's Financial Services Act 2012," Papers, arXiv.org, number 2012.11594, Dec.
- Marco Di Maggio & Mark Egan & Francesco A. Franzoni, 2021, "The Value of Intermediation in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-01, Jan.
- Bali, Turan G. & Weigert, Florian, 2021, "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-01.
- Gang Huang & Xiaohua Zhou & Qingyang Song, 2020, "Deep Reinforcement Learning for Long-Short Portfolio Optimization," Papers, arXiv.org, number 2012.13773, Dec, revised Mar 2025.
- Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020, "A general framework for a joint calibration of VIX and VXX options," Papers, arXiv.org, number 2012.08353, Dec, revised Jun 2021.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2020, "Are hedge funds' charitable donations strategic?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-14.
- Andrew Papanicolaou, 2021, "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers, arXiv.org, number 2101.00299, Jan, revised Mar 2021.
- Marlene Amstad & Leonardo Gambacorta & Chao He & Dora Xia, 2021, "Trade sentiment and the stock market: new evidence based on big data textual analysis of Chinese media," BIS Working Papers, Bank for International Settlements, number 917, Jan.