Report NEP-FMK-2024-05-13

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:

• Agustín Carstens & Nandan Nilekani, 2024. "Finternet: the financial system for the future," BIS Working Papers 1178, Bank for International Settlements.
• Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Papers 2404.08129, arXiv.org.
• Thorsten Hens & Ester Trutwin, 2024. "Modelling Sustainable Investing in the CAPM," KIER Working Papers 1104, Kyoto University, Institute of Economic Research.
• Dat Mai, 2024. "StockGPT: A GenAI Model for Stock Prediction and Trading," Papers 2404.05101, arXiv.org, revised Oct 2024.
• Cole, Brittany M. & Gullett, Nell S. Gullett, 2024. "The Value of Corporate Bond Listing," MPRA Paper 120601, University Library of Munich, Germany, revised 27 Mar 2024.
• Kirtac, Kemal & Germano, Guido, 2024. "Sentiment trading with large language models," LSE Research Online Documents on Economics 122592, London School of Economics and Political Science, LSE Library.
• David Xiao, 2024. "Hedge Fund Index Rules and Construction," Papers 2403.15925, arXiv.org.
• Luca Gelsomini, 2024. "On the Profitability of Rumors," Working Papers 2024: 06, Department of Economics, University of Venice "Ca' Foscari".
• Beverly Hirtle & Anna Kovner, 2024. "Can I Speak to Your Supervisor? The Importance of Bank Supervision," Liberty Street Economics 20240415, Federal Reserve Bank of New York.
• Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," Working Papers IES 2024/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2024.
• Onur Polat & Rangan Gupta & Oguzhan Cepni & Qiang Ji, 2024. "Can Municipal Bonds Hedge US State-Level Climate Risks?," Working Papers 202419, University of Pretoria, Department of Economics.
• Vassilios Babalos & Elie Bouri & Rangan Gupta, 2024. "Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?," Working Papers 202416, University of Pretoria, Department of Economics.
• Baptiste Lefort & Eric Benhamou & Jean-Jacques Ohana & David Saltiel & Beatrice Guez & Thomas Jacquot, 2024. "Stress index strategy enhanced with financial news sentiment analysis for the equity markets," Papers 2404.00012, arXiv.org.
• Benjamin A. Jansen, 2024. "Risk is not Sufficient to Generate a Return on Investment," Working Papers 202401, Middle Tennessee State University, Department of Economics and Finance.
• Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2024. "An unconventional FX tail risk story," Bank of England working papers 1068, Bank of England.
• Peng Liu, 2024. "Antinetwork among China A-shares," Papers 2404.00028, arXiv.org.
• Serena Merrino & Ilias Chondrogiannis, 2024. "Did Basel III reduce bank spillovers in South Africa," Working Papers 11060, South African Reserve Bank.