Report NEP-FMK-2020-06-15

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 & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
• Christoph Huber & Jürgen Huber & Michael Kirchler, 2020. "Market shocks and professionals' investment behavior - Evidence from the COVID-19 crash," Working Papers 2020-11, Faculty of Economics and Statistics, Universität Innsbruck.
• Ehrmann, Michael & Jansen, David-Jan, 2020. "Stock return comovement when investors are distracted: more, and more homogeneous," Working Paper Series 2412, European Central Bank.
• Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
• Mamdouh Medhat & Berardino Palazzo, 2020. "Equity Financing Risk," Finance and Economics Discussion Series 2020-037, Board of Governors of the Federal Reserve System (U.S.).
• Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2020. "Burned by leverage? Flows and fragility in bond mutual funds," Working Paper Series 2413, European Central Bank.
• Sirio Aramonte & Chiara Scotti & Ilknur Zer, 2020. "Monitoring the Liquidity Profile of Mutual Funds," FEDS Notes 2020-05-29, Board of Governors of the Federal Reserve System (U.S.).
• Bastien Baldacci & Philippe Bergault & Joffrey Derchu & Mathieu Rosenbaum, 2020. "On bid and ask side-specific tick sizes," Papers 2005.14126, arXiv.org, revised May 2020.
• Renée Fry-McKibbin & Ziyu Yan, 2020. "Capital market liberalization and equity market interdependence," CAMA Working Papers 2020-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Maake, Witness & Van Zyl, Terence, 2020. "Applications of Machine Learning to Estimating the Sizes and Market Impact of Hidden Orders in the BRICS Financial Markets," MPRA Paper 99075, University Library of Munich, Germany.
• Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge, 2020. "Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets," Working papers 47, Red Investigadores de Economía.
• Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "The Extended Holiday Effect on US capital market," MPRA Paper 100463, University Library of Munich, Germany, revised 17 May 2020.
• Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Conditions," Discussion Papers 2020-4, Bank of Canada.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers 46, Red Investigadores de Economía.