Report NEP-FMK-2019-03-25

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:

• Siddiqi, Hammad, 2019. "CAPM: A Tale of Two Versions," MPRA Paper 92798, University Library of Munich, Germany.
• David E. Allen & Michael McAleer, 2019. "Drawbacks in the 3-factor approach of Fama and French," Documentos de Trabajo del ICAE 2019-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Mustafa Disli & Koen Inghelbrecht & Koen Schoors & Hannes Stieperaere, 2019. "Stock Price Anchoring," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/966, Ghent University, Faculty of Economics and Business Administration.
• Enzo Busseti, 2019. "Risk and Return models for Equity Markets and Implied Equity Risk Premium," Papers 1903.07737, arXiv.org.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle," NBER Working Papers 25653, National Bureau of Economic Research, Inc.
• Rongju Zhang & Mark Aarons & Gregoire Loeper, 2019. "Optimal FX Hedge Tenor with Liquidity Risk," Papers 1903.06346, arXiv.org.
• Sang Il Lee & Seong Joon Yoo, 2019. "Multimodal Deep Learning for Finance: Integrating and Forecasting International Stock Markets," Papers 1903.06478, arXiv.org, revised Sep 2019.
• Podhorsky, Andrea, 2019. "Bursting the Bitcoin Bubble: Assessing the Fundamental Value and Social Costs of Bitcoin," ADBI Working Papers 934, Asian Development Bank Institute.
• Eduardo Dávila & Cecilia Parlatore, 2019. "Trading Costs and Informational Efficiency," NBER Working Papers 25662, National Bureau of Economic Research, Inc.
• Marcelo Bianconi & Federico Esposito & Marco Sammon, 2019. "Trade Policy Uncertainty and Stock Returns," Discussion Papers Series, Department of Economics, Tufts University 0830, Department of Economics, Tufts University.
• Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.
• Erik Heitfield & Yang-Ho Park, 2019. "Inferring Term Rates from SOFR Futures Prices," Finance and Economics Discussion Series 2019-014, Board of Governors of the Federal Reserve System (U.S.).
• Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.