Report NEP-FMK-2019-10-21

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:

• Valentin Haddad & David A. Sraer, 2019. "The Banking View of Bond Risk Premia," NBER Working Papers 26369, National Bureau of Economic Research, Inc.
• Álvaro Chamizo & Alfonso Novales, 2019. "Splitting credit risk into systemic, sectorial and idiosyncratic components," Documentos de Trabajo del ICAE 2019-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Franzoni, Francesco & Di Maggio, Marco & Egan, Mark, 2019. "The Value of Intermediation in the Stock Market," CEPR Discussion Papers 13936, C.E.P.R. Discussion Papers.
• Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
• Deli Chen & Yanyan Zou & Keiko Harimoto & Ruihan Bao & Xuancheng Ren & Xu Sun, 2019. "Incorporating Fine-grained Events in Stock Movement Prediction," Papers 1910.05078, arXiv.org.
• J. Lussange & S. Bourgeois-Gironde & S. Palminteri & B. Gutkin, 2019. "Stock price formation: useful insights from a multi-agent reinforcement learning model," Papers 1910.05137, arXiv.org.
• Guiyuan Ma & Song-Ping Zhu & Ivan Guo, 2019. "Valuation of contingent claims with short selling bans under an equal-risk pricing framework," Papers 1910.04960, arXiv.org, revised Aug 2021.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2019. "An Improved Method to Predict Assignment of Stocks into Russell Indexes," NBER Working Papers 26370, National Bureau of Economic Research, Inc.
• Bruno Scalzo Dees & Ljubisa Stankovic & Anthony G. Constantinides & Danilo P. Mandic, 2019. "Portfolio Cuts: A Graph-Theoretic Framework to Diversification," Papers 1910.05561, arXiv.org, revised Oct 2019.
• Jifei Wang & Lingjing Wang, 2019. "Residual Switching Network for Portfolio Optimization," Papers 1910.07564, arXiv.org.
• Xuanwu Yue & Jiaxin Bai & Qinhan Liu & Yiyang Tang & Abishek Puri & Ke Li & Huamin Qu, 2019. "sPortfolio: Stratified Visual Analysis of Stock Portfolios," Papers 1910.05536, arXiv.org.
• Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2019. "The impact of economic policy uncertainty and commodity prices on CARB country stock market volatility," MPRA Paper 96577, University Library of Munich, Germany.
• Apichat Pongsupatt & Tharinee Pongsupatt, 2019. "Determinants of Capital Structure: An Empirical Analysis of Listed Companies in Thailand Stock Exchange SET 100 Index," Proceedings of International Academic Conferences 9811664, International Institute of Social and Economic Sciences.
• Thorburn, Karin S & Bienz, Carsten & Walz, Uwe, 2019. "Ownership, wealth, and risk taking: Evidence on private equity fund managers," CEPR Discussion Papers 13944, C.E.P.R. Discussion Papers.
• Ann Sebastian & Tim Gebbie, 2019. "Systematic Asset Allocation using Flexible Views for South African Markets," Papers 1910.05555, arXiv.org.