Report NEP-FMK-2023-05-15

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:

• Yener, Coskun & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2023. "Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence," MPRA Paper 117002, University Library of Munich, Germany.
• Alejandro Lopez-Lira & Yuehua Tang, 2023. "Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models," Papers 2304.07619, arXiv.org, revised Sep 2024.
• Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023. "Equity Term Structures without Dividend Strips Data," NBER Working Papers 31119, National Bureau of Economic Research, Inc.
• Sproule, Robert & Gosselin, Gabriel, 2023. "Is the research agenda for calendar anomalies “much do about nothing”?," MPRA Paper 117001, University Library of Munich, Germany.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Zhenhao Tan & Stephen Utkus & Xiao Xu, 2023. "Four Facts About ESG Beliefs and Investor Portfolios," NBER Working Papers 31114, National Bureau of Economic Research, Inc.
• Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
• Soumyadip Sarkar, 2023. "Managing Portfolio for Maximizing Alpha and Minimizing Beta," Papers 2304.05900, arXiv.org.
• Katrin Gödker & Terrance Odean & Paul Smeets, 2023. "Disposed to Be Overconfident," CESifo Working Paper Series 10357, CESifo.
• Arjmandi, Nabi, 2023. "Optimal Portfolio Rebalancing with Sweep Under Transaction Cost," MPRA Paper 117162, University Library of Munich, Germany.
• Sebastian Jaimungal & Yuri F. Saporito & Max O. Souza & Yuri Thamsten, 2023. "Optimal Trading in Automatic Market Makers with Deep Learning," Papers 2304.02180, arXiv.org.
• Vadim Elenev & Tim Landvoigt, 2023. "Asset Pricing with Optimal Under-Diversification," NBER Working Papers 31121, National Bureau of Economic Research, Inc.
• Leonardo Gambacorta & Romina Gambacorta & Roxana Mihet, 2023. "Fintech, investor sophistication and financial portfolio choices," Questioni di Economia e Finanza (Occasional Papers) 763, Bank of Italy, Economic Research and International Relations Area.
• Artem Lensky & Mingyu Hao, 2023. "Learning to Predict Short-Term Volatility with Order Flow Image Representation," Papers 2304.02472, arXiv.org, revised Mar 2024.
• Fjærvik, Thomas, 2023. "Crash risk in the Nordic Stock Market - a cross-sectional analysis," Discussion Papers 2023/5, Norwegian School of Economics, Department of Business and Management Science.
• Siddique, Maryam, 2023. "Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange," OSF Preprints 9b5dx, Center for Open Science.
• Ha Nguyen, 2023. "Credit Risk and Financial Performance of Commercial Banks: Evidence from Vietnam," Papers 2304.08217, arXiv.org, revised Apr 2023.