New SSRN papers, March 2021
(I haven't read these, but their abstracts look interesting.)
Currency Carry Trades and Global Funding Risk
papers.ssrn.com/sol3/papers.cf…
Term Structure of Equity Yields—A Bottom-Up Approach
papers.ssrn.com/sol3/papers.cf…
Feb 2021 edition
Green and Brown Performances of Mutual Fund Portfolios
papers.ssrn.com/sol3/papers.cf…
What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?
papers.ssrn.com/sol3/papers.cf…
What Drives Closed-End Fund Discounts? Evidence from COVID-19
papers.ssrn.com/sol3/papers.cf…
Value Investing: Requiem, Rebirth or Reincarnation?
papers.ssrn.com/sol3/papers.cf…
Extrapolative beliefs in the cross-section: What can we learn
from the crowds?
www3.nd.edu/~zda/extrap.pdf
Is There a Replication Crisis in Finance? (AQR)
papers.ssrn.com/sol3/papers.cf…
Factor Forestry: Pruning using an Economic Chainsaw
papers.ssrn.com/sol3/papers.cf…
What Affects Factor Loading Uncertainty and Expected Returns? The Role of Accounting Quality
papers.ssrn.com/sol3/papers.cf…
Economic Policy Uncertainty and Hedge Fund Returns
papers.ssrn.com/sol3/papers.cf…
China-U.S. Equity Valuation Gap
papers.ssrn.com/sol3/papers.cf…
Hunt-for-Duration in the Corporate Bond Market
papers.ssrn.com/sol3/papers.cf…
Nonlinear Effect of Sentiment on Momentum
papers.ssrn.com/sol3/papers.cf…
Dynamics in the VIX Complex
papers.ssrn.com/sol3/papers.cf…
Recovering the Variance Premium
papers.ssrn.com/sol3/papers.cf…
Bitcoin is Exactly Like Gold Except When it Isn't
papers.ssrn.com/sol3/papers.cf…
Momentum? What Momentum?
papers.ssrn.com/sol3/papers.cf…
The Financial (In)Stability Real Interest Rate, R**
federalreserve.gov/econres/ifdp/f…
Intangible Capital in Factor Models
papers.ssrn.com/sol3/papers.cf…
COVID-19 and the Stock Market: Liquidity, Pricing Efficiency, and Trading
papers.ssrn.com/sol3/papers.cf…
Why Did Bank Stocks Crash during COVID-19?
papers.ssrn.com/sol3/papers.cf…
Competitors' Innovation and Informed Trading: Evidence from Weekly Patent Announcements
papers.ssrn.com/sol3/papers.cf…
Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency
papers.ssrn.com/sol3/papers.cf…
Stock Option Predictability for the Cross-Section
papers.ssrn.com/sol3/papers.cf…
Tesla Effect and the Mispricing of Special Purpose Acquisition Companies (SPACs)
papers.ssrn.com/sol3/papers.cf…
False Discoveries in the Anomaly Research: New Insights from the Stock Exchange of Melbourne (1927-1987)
papers.ssrn.com/sol3/papers.cf…
Pricing Risk Factors in Corporate Bond Returns and Yield Spreads
papers.ssrn.com/sol3/papers.cf…
Credit Rating and Stock Return Comovement
papers.ssrn.com/sol3/papers.cf…
Inflation Risk and the Finance-Growth Nexus
papers.ssrn.com/sol3/papers.cf…
Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality
papers.ssrn.com/sol3/papers.cf…
Currency Risk Premia Redux
papers.ssrn.com/sol3/papers.cf…
Shall the winning last? A Study of Recent Bubbles and Persistence
papers.ssrn.com/sol3/papers.cf…
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities
papers.ssrn.com/sol3/papers.cf…
Maximum Likelihood Estimation of the Equity Premium
papers.ssrn.com/sol3/papers.cf…
Reports of Value’s Death May Be Greatly Exaggerated (Research Affiliates)
papers.ssrn.com/sol3/papers.cf…
Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting
papers.ssrn.com/sol3/papers.cf…
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