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Report NEP-FMK-2022-02-28
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:
- Lassance, Nathan, 2021, "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021013, Dec.
- Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022, "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 32331, Feb.
- David Ardia & Keven Bluteau & Thien Duy Tran, 2022, "How easy is it for investment managers to deploy their talent in green and brown stocks?," Papers, arXiv.org, number 2201.05709, Jan, revised Apr 2023.
- Drerup, Tilman & Wibral, Matthias & Zimpelmann, Christian, 2022, "Skewness Expectations and Portfolio Choice," IZA Discussion Papers, Institute of Labor Economics (IZA), number 15018, Jan.
- Ralph S. J. Koijen & Motohiro Yogo, 2022, "Understanding the Ownership Structure of Corporate Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29679, Jan.
- Ding, Y., 2021, "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers, Faculty of Economics, University of Cambridge, number 2111, Nov.
- Dorian Henricot & Thibaut Piquard, 2022, "Credit Default Swaps and Credit Risk Reallocation," Working papers, Banque de France, number 860.
- Kelli Francis-Staite, 2022, "Internal multi-portfolio rebalancing processes: Linking resource allocation models and biproportional matrix techniques to portfolio management," Papers, arXiv.org, number 2201.06183, Jan.
- Riccardo Poli & Marco Taboga, 2021, "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 663, Dec.
- Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022, "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia), number 139.
- Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2021, "Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations," FFA Working Papers, Prague University of Economics and Business, number 4.001, Nov, revised 17 Jan 2022.