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Report NEP-FMK-2024-06-17
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:
- Benjamin Iorio & Dan Li & Lubomir Petrasek, 2024, "Why Do Mutual Funds Invest in Treasury Futures?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2024-05-10-1, May, DOI: 10.17016/2380-7172.3488.
- Beier Liu & Haiyun Zhu, 2024, "Analysis of market efficiency in main stock markets: using Karman-Filter as an approach," Papers, arXiv.org, number 2404.16449, Apr.
- Brown, Zach Y. & Egan, Mark & Jeon, Jihye & Jin, Chuqing & Wu, Alex A., 2024, "Why Do Index Funds Have Market Power? Quantifying Frictions in the Index Fund Market," TSE Working Papers, Toulouse School of Economics (TSE), number 24-1542, May.
- Taha Choukhmane & Tim de Silva, 2024, "What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 32476, May.
- Ali Mohammadjafari, 2024, "Comparative Study of Bitcoin Price Prediction," Papers, arXiv.org, number 2405.08089, May.
- Wenxin Du & Amy W. Huber, 2024, "Dollar Asset Holdings and Hedging Around the Globe," NBER Working Papers, National Bureau of Economic Research, Inc, number 32453, May.
- Massimo Guidolin & Monia Magnani, 2024, "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 24220.
- Yuan, Mingqing, 2024, "Beyond green bonds: Stock market reactions to ESG bond announcements and issuances in Japan," MPRA Paper, University Library of Munich, Germany, number 120943.
- Ashish Anil Pawar & Vishnureddy Prashant Muskawar & Ritesh Tiku, 2024, "Portfolio Management using Deep Reinforcement Learning," Papers, arXiv.org, number 2405.01604, May.
- Xiaowei Chen & Hong Li & Yufan Lu & Rui Zhou, 2024, "Unveiling Nonlinear Dynamics in Catastrophe Bond Pricing: A Machine Learning Perspective," Papers, arXiv.org, number 2405.00697, Apr, revised Aug 2024.
- Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024, "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers, Bank of Canada, number 24-12, Apr, DOI: 10.34989/swp-2024-12.
- Yiluan Xing & Chao Yan & Cathy Chang Xie, 2024, "Predicting NVIDIA's Next-Day Stock Price: A Comparative Analysis of LSTM, MLP, ARIMA, and ARIMA-GARCH Models," Papers, arXiv.org, number 2405.08284, May.
- Eduardo Cavallo & Ana Cepeda & Ugo Panizza, 2024, "Environmental Damage News and Stock Returns: Evidence from Latin America," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 08-2024, May.