Report NEP-FMK-2024-06-17

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:

• Benjamin Iorio & Dan Li & Lubomir Petrasek, 2024. "Why Do Mutual Funds Invest in Treasury Futures?," FEDS Notes 2024-05-10-1, Board of Governors of the Federal Reserve System (U.S.).
• Beier Liu & Haiyun Zhu, 2024. "Analysis of market efficiency in main stock markets: using Karman-Filter as an approach," Papers 2404.16449, arXiv.org.
• Brown, Zach Y. & Egan, Mark & Jeon, Jihye & Jin, Chuqing & Wu, Alex A., 2024. "Why Do Index Funds Have Market Power? Quantifying Frictions in the Index Fund Market," TSE Working Papers 24-1542, Toulouse School of Economics (TSE).
• Taha Choukhmane & Tim de Silva, 2024. "What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions," NBER Working Papers 32476, National Bureau of Economic Research, Inc.
• Ali Mohammadjafari, 2024. "Comparative Study of Bitcoin Price Prediction," Papers 2405.08089, arXiv.org.
• Wenxin Du & Amy W. Huber, 2024. "Dollar Asset Holdings and Hedging Around the Globe," NBER Working Papers 32453, National Bureau of Economic Research, Inc.
• Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," BAFFI CAREFIN Working Papers 24220, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Yuan, Mingqing, 2024. "Beyond green bonds: Stock market reactions to ESG bond announcements and issuances in Japan," MPRA Paper 120943, University Library of Munich, Germany.
• Ashish Anil Pawar & Vishnureddy Prashant Muskawar & Ritesh Tiku, 2024. "Portfolio Management using Deep Reinforcement Learning," Papers 2405.01604, arXiv.org.
• Xiaowei Chen & Hong Li & Yufan Lu & Rui Zhou, 2024. "Unveiling Nonlinear Dynamics in Catastrophe Bond Pricing: A Machine Learning Perspective," Papers 2405.00697, arXiv.org, revised Aug 2024.
• Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.
• Yiluan Xing & Chao Yan & Cathy Chang Xie, 2024. "Predicting NVIDIA's Next-Day Stock Price: A Comparative Analysis of LSTM, MLP, ARIMA, and ARIMA-GARCH Models," Papers 2405.08284, arXiv.org.
• Eduardo Cavallo & Ana Cepeda & Ugo Panizza, 2024. "Environmental Damage News and Stock Returns: Evidence from Latin America," IHEID Working Papers 08-2024, Economics Section, The Graduate Institute of International Studies.