Report NEP-FMK-2022-08-15

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:

• Rui Albuquerque & Yrjo Koskinen & Raffaele Santioni, 2022. "Mutual fund trading and ESG stock resilience during the Covid-19 stock market crash," Temi di discussione (Economic working papers) 1371, Bank of Italy, Economic Research and International Relations Area.
• Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," ESRB Working Paper Series 134, European Systemic Risk Board.
• William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2022. "Crash Narratives," NBER Working Papers 30195, National Bureau of Economic Research, Inc.
• Raghunandan, Aneesh & Rajgopal, Shiva, 2022. "Do ESG funds make stakeholder-friendly investments?," LSE Research Online Documents on Economics 115234, London School of Economics and Political Science, LSE Library.
• John Caramichael & Andreas Rapp, 2022. "The Green Corporate Bond Issuance Premium," International Finance Discussion Papers 1346, Board of Governors of the Federal Reserve System (U.S.).
• Donghan Kim, 2022. "Market-to-book Ratio in Stochastic Portfolio Theory," Papers 2206.03742, arXiv.org.
• Mark Jansen & Fabian Nagel & Constantine Yannelis & Anthony Lee Zhang, 2022. "Data and Welfare in Credit Markets," NBER Working Papers 30235, National Bureau of Economic Research, Inc.
• Winston Wei Dou & Leonid Kogan & Wei Wu, 2022. "Common Fund Flows: Flow Hedging and Factor Pricing," NBER Working Papers 30234, National Bureau of Economic Research, Inc.
• Alfred V. Guender, 2022. "Bond Finance and the Leverage Ratio," Working Papers in Economics 22/11, University of Canterbury, Department of Economics and Finance.
• Yichen Feng & Ming Min & Jean-Pierre Fouque, 2022. "Deep Learning for Systemic Risk Measures," Papers 2207.00739, arXiv.org.
• Mark Joseph Bennett, 2022. "Accelerating Machine Learning Training Time for Limit Order Book Prediction," Papers 2206.09041, arXiv.org.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2022. "The Virtue of Complexity in Return Prediction," NBER Working Papers 30217, National Bureau of Economic Research, Inc.
• Bilan, Andrada & Gündüz, Yalın, 2022. "CDS market structure and bond spreads," Discussion Papers 24/2022, Deutsche Bundesbank.
• Wenxin Du & Benjamin M. Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," NBER Working Papers 30222, National Bureau of Economic Research, Inc.
• Pat Tong Chio, 2022. "A comparative study of the MACD-base trading strategies: evidence from the US stock market," Papers 2206.12282, arXiv.org.
• Charles W. Calomiris & Joanna Harris & Harry Mamaysky & Cristina Tessari, 2022. "Fed Implied Market Prices and Risk Premia," NBER Working Papers 30210, National Bureau of Economic Research, Inc.
• Kotovskaia, Anastasia & Meier, Nicola, 2022. "BigTech cryptocurrencies - European regulatory solutions in sight," SAFE Policy Letters 97, Leibniz Institute for Financial Research SAFE.
• Andrey Shternshis & Piero Mazzarisi & Stefano Marmi, 2022. "Efficiency of the Moscow Stock Exchange before 2022," Papers 2207.10476, arXiv.org, revised Jul 2022.