Report NEP-FMK-2024-08-26

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:

• Antonio Gil de Rubio Cruz & Steven A. Sharpe, 2024. "Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns using Macroeconomic Data and Nowcasts," Finance and Economics Discussion Series 2024-049, Board of Governors of the Federal Reserve System (U.S.).
• Natalia Roszyk & Robert 'Slepaczuk, 2024. "The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models," Papers 2407.16780, arXiv.org.
• Tian Guo & Emmanuel Hauptmann, 2024. "Fine-Tuning Large Language Models for Stock Return Prediction Using Newsflow," Papers 2407.18103, arXiv.org, revised Aug 2024.
• Yuriy Gorodnichenko & Xiao Yin, 2024. "Higher-Order Beliefs and Risky Asset Holdings," NBER Working Papers 32680, National Bureau of Economic Research, Inc.
• Yacine Aït-Sahalia & Chen Xu Li & Chenxu Li, 2024. "So Many Jumps, So Few News," NBER Working Papers 32746, National Bureau of Economic Research, Inc.
• Hélène Rey & Adrien Rousset Planat & Vania Stavrakeva & Jenny Tang, 2024. "Elephants in Equity Markets," NBER Working Papers 32756, National Bureau of Economic Research, Inc.
• David Bowman & Yesol Huh & Sebastian Infante, 2024. "Balance-Sheet Netting in U.S. Treasury Markets and Central Clearing," Finance and Economics Discussion Series 2024-057, Board of Governors of the Federal Reserve System (U.S.).
• An Pham Ngoc Nguyen & Thomas Conlon & Martin Crane & Marija Bezbradica, 2024. "Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs," Papers 2407.08069, arXiv.org.
• Ingomar Krohn & Mariel Maguiña, 2024. "Foreign Exchange Risk Premiums and Global Currency Factors," Staff Analytical Notes 2024-20, Bank of Canada.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Sakiru A. Solarin & OlaOluwa S. Yaya, 2024. "Testing for Persistence in German Green and Brown Stock Market Indices," CESifo Working Paper Series 11207, CESifo.