Report NEP-FMK-2025-09-08

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:

• Agrawal, Sonakshi & Liu, Lisa Yao & Rajgopal, Shivaram & Sridharan, Suhas A. & Yan, Yifan & Yohn, Teri Lombardi, 2025. "ESG ratings of ESG index providers," Working Papers 363, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
• Bingyang Wang & Grant Johnson & Maria Hybinette & Tucker Balch, 2025. "Is All the Information in the Price? LLM Embeddings versus the EMH in Stock Clustering," Papers 2509.01590, arXiv.org.
• Haojie Liu & Zihan Lin & Randall R. Rojas, 2025. "Enhancing Trading Performance Through Sentiment Analysis with Large Language Models: Evidence from the S&P 500," Papers 2507.09739, arXiv.org.
• Marianne Andries & Maxime Bonelli & David Sraer, 2025. "Financial Advisors and Investors' Bias," NBER Working Papers 34130, National Bureau of Economic Research, Inc.
• Valentin Haddad & Tyler Muir, 2025. "Intermediaries and Asset Prices," NBER Working Papers 34146, National Bureau of Economic Research, Inc.
• Wenhao Li & Yiming Ma & Yang Zhao, 2025. "The Passthrough of Treasury Supply to Bank Deposit Funding," NBER Working Papers 34154, National Bureau of Economic Research, Inc.
• Carlo Nicolini & Matteo Manzi & Hugo Delatte, 2025. "skfolio: Portfolio Optimization in Python," Papers 2507.04176, arXiv.org, revised Jul 2025.
• Kuntal K. Das & Mona Yaghoubi, 2025. "Climate Sentiment-Induced Stock Liquidity," Working Papers in Economics 25/12, University of Canterbury, Department of Economics and Finance.
• Shanyan Lai, 2025. "Is attention truly all we need? An empirical study of asset pricing in pretrained RNN sparse and global attention models," Papers 2508.19006, arXiv.org.
• Qizhao Chen & Hiroaki Kawashima, 2025. "Adaptive Alpha Weighting with PPO: Enhancing Prompt-Based LLM-Generated Alphas in Quant Trading," Papers 2509.01393, arXiv.org.
• Yufei Sun, 2025. "Performance of Pairs Trading Strategies Based on Renko and Kagi Charts," Working Papers 2025-20, Faculty of Economic Sciences, University of Warsaw.
• Gonzalo Ramirez-Carrillo & David Ortiz-Mora & Alex Aguilar-Larrotta, 2025. "Hierarchical Risk Parity for Portfolio Allocation in the Latin American NUAM Market," Papers 2509.03712, arXiv.org.