Report NEP-FMK-2022-02-28

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:

• Lassance, Nathan, 2021. "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN 2021013, Université catholique de Louvain, Louvain Finance (LFIN).
• Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022. "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers 32331, University of Essex, Essex Business School.
• David Ardia & Keven Bluteau & Thien Duy Tran, 2022. "How easy is it for investment managers to deploy their talent in green and brown stocks?," Papers 2201.05709, arXiv.org, revised Apr 2023.
• Drerup, Tilman & Wibral, Matthias & Zimpelmann, Christian, 2022. "Skewness Expectations and Portfolio Choice," IZA Discussion Papers 15018, Institute of Labor Economics (IZA).
• Ralph S. J. Koijen & Motohiro Yogo, 2022. "Understanding the Ownership Structure of Corporate Bonds," NBER Working Papers 29679, National Bureau of Economic Research, Inc.
• Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers 2111, Faculty of Economics, University of Cambridge.
• Dorian Henricot & Thibaut Piquard, 2022. "Credit Default Swaps and Credit Risk Reallocation," Working papers 860, Banque de France.
• Kelli Francis-Staite, 2022. "Internal multi-portfolio rebalancing processes: Linking resource allocation models and biproportional matrix techniques to portfolio management," Papers 2201.06183, arXiv.org.
• Riccardo Poli & Marco Taboga, 2021. "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers) 663, Bank of Italy, Economic Research and International Relations Area.
• Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
• Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2021. "Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations," FFA Working Papers 4.001, Prague University of Economics and Business, revised 17 Jan 2022.