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Report NEP-FMK-2023-05-15
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:
- Yener, Coskun & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2023, "Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence," MPRA Paper, University Library of Munich, Germany, number 117002, Apr.
- Alejandro Lopez-Lira & Yuehua Tang, 2023, "Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models," Papers, arXiv.org, number 2304.07619, Apr, revised Oct 2025.
- Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023, "Equity Term Structures without Dividend Strips Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 31119, Apr.
- Sproule, Robert & Gosselin, Gabriel, 2023, "Is the research agenda for calendar anomalies “much do about nothing”?," MPRA Paper, University Library of Munich, Germany, number 117001, Apr.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Zhenhao Tan & Stephen Utkus & Xiao Xu, 2023, "Four Facts About ESG Beliefs and Investor Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 31114, Apr.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023, "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202308, Apr.
- Soumyadip Sarkar, 2023, "Managing Portfolio for Maximizing Alpha and Minimizing Beta," Papers, arXiv.org, number 2304.05900, Apr.
- Katrin Gödker & Terrance Odean & Paul Smeets, 2023, "Disposed to Be Overconfident," CESifo Working Paper Series, CESifo, number 10357.
- Arjmandi, Nabi, 2023, "Optimal Portfolio Rebalancing with Sweep Under Transaction Cost," MPRA Paper, University Library of Munich, Germany, number 117162.
- Sebastian Jaimungal & Yuri F. Saporito & Max O. Souza & Yuri Thamsten, 2023, "Optimal Trading in Automatic Market Makers with Deep Learning," Papers, arXiv.org, number 2304.02180, Apr.
- Vadim Elenev & Tim Landvoigt, 2023, "Asset Pricing with Optimal Under-Diversification," NBER Working Papers, National Bureau of Economic Research, Inc, number 31121, Apr.
- Leonardo Gambacorta & Romina Gambacorta & Roxana Mihet, 2023, "Fintech, investor sophistication and financial portfolio choices," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 763, Apr.
- Artem Lensky & Mingyu Hao, 2023, "Learning to Predict Short-Term Volatility with Order Flow Image Representation," Papers, arXiv.org, number 2304.02472, Apr, revised Mar 2024.
- Fjærvik, Thomas, 2023, "Crash risk in the Nordic Stock Market - a cross-sectional analysis," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2023/5, Apr.
- Siddique, Maryam, 2023, "Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange," OSF Preprints, Center for Open Science, number 9b5dx, Apr, DOI: 10.31219/osf.io/9b5dx.
- Ha Nguyen, 2023, "Credit Risk and Financial Performance of Commercial Banks: Evidence from Vietnam," Papers, arXiv.org, number 2304.08217, Apr, revised Apr 2023.