Report NEP-FMK-2021-02-01
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2021. "Stock Prices and Economic Activity in the Time of Coronavirus," NBER Working Papers 28320, National Bureau of Economic Research, Inc.
- Söylemez, Arif Orçun, 2020. "How Do Volatility and Return Series Interact?," MPRA Paper 104687, University Library of Munich, Germany.
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19," Working Papers 1-2021, Copenhagen Business School, Department of Economics.
- Pedro Cadenas & Henryk Gzyl & Hyun Woong Park, 2020. "How dark is the dark side of diversification?," Papers 2012.12154, arXiv.org.
- Julien Ciccone & Luca Marchiori & Romuald Morhs, 2021. "The flow-performance relationship of global investment Funds," BCL working papers 151, Central Bank of Luxembourg.
- Jagannathan, Murali & Jiao, Wei & Wermers, Russ, 2020. "International characteristic-based asset pricing," CFR Working Papers 20-13, University of Cologne, Centre for Financial Research (CFR).
- Hendriock, Mario, 2020. "Implied cost of capital and mutual fund performance," CFR Working Papers 20-11, University of Cologne, Centre for Financial Research (CFR).
- Rebecaa Pham & Marcel Ausloos, 2020. "Insider trading in the run-up to merger announcements. Before and after the UK's Financial Services Act 2012," Papers 2012.11594, arXiv.org.
- Marco Di Maggio & Mark Egan & Francesco A. Franzoni, 2021. "The Value of Intermediation in the Stock Market," Swiss Finance Institute Research Paper Series 21-01, Swiss Finance Institute.
- Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
- Gang Huang & Xiaohua Zhou & Qingyang Song, 2020. "Deep reinforcement learning for portfolio management," Papers 2012.13773, arXiv.org, revised Apr 2022.
- Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020. "A general framework for a joint calibration of VIX and VXX options," Papers 2012.08353, arXiv.org, revised Jun 2021.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2020. "Are hedge funds' charitable donations strategic?," CFR Working Papers 20-14, University of Cologne, Centre for Financial Research (CFR).
- Andrew Papanicolaou, 2021. "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers 2101.00299, arXiv.org, revised Mar 2021.
- Marlene Amstad & Leonardo Gambacorta & Chao He & Dora Xia, 2021. "Trade sentiment and the stock market: new evidence based on big data textual analysis of Chinese media," BIS Working Papers 917, Bank for International Settlements.