SSRN
SSRN
Working papers in finance and economics from SSRN. 2,771 featured so far, newest first.
- Featured
- 2,771
- Tracked on Semantic Scholar
- 712
- Cited 100+
- 1
- Since
- 24 May 2023
- 2 Oct 20264fanfare
Across the Capital Structure: Bond Signals and Equity Returns *
Signals extracted from corporate bond portfolios predict next-month equity returns of same issuers at 21 basis points higher after controlling for stock characteristics.
- 2 Oct 20263fanfare
Order Flow Imbalance and Price Discovery on Prediction Markets: Evidence from Kalshi
Order flow imbalance predicts contemporaneous mid-price changes in Kalshi binary event contracts, with explanatory power varying from 0.29 for sports to 0.02 for macroeconomic events.
- 2 Oct 20264fanfare
Banks versus Private Credit: How Capital Requirements Shape Tailored Lending
The study models how capital requirements tax banks on tailored loans, pushing riskier firms toward private credit; evidence shows that tighter leverage rules reduce bank tailoring by 25 percent in quantitative terms.
- 2 Oct 20263fanfare
What Survives an FOMC Surprise? Confounding and the Persistence of Announcement Effects in Asset Prices
Analyzing 261 FOMC announcements shows that immediate stock and yield impacts from policy surprises persist, while post-announcement drift and monetary momentum unwind within days or weeks.
- 2 Oct 20263fanfare
U.S. Monetary Policy and Global Market Liquidity
The study shows that US federal funds rate shocks widen bid-ask spreads on equities across 37 markets for up to two months, while longer-maturity yield surprises reprice equities without affecting liquidity.
- 2 Oct 20263fanfare
Credit When it's Due: Corporate Bond Factors on a Schedule
The research finds that the first five trading days of each month account for 73% of individual bond credit returns and 83% of the market credit premium, revealing a concentrated timing pattern in fixed-income compensation.
- 2 Oct 20263fanfare
Global Debt, Currency Mismatch, and the Spillovers of U.S. Monetary Policy
US monetary tightening triggers larger currency depreciation and sovereign stress in emerging markets when global public debt is high and foreign-currency debt exposure is elevated.
- 2 Oct 20263fanfare
Residual Learning in Empirical Asset Pricing
Deep residual networks outperform shallow models in asset pricing, achieving a long-short Sharpe ratio of 2.07 versus 1.92 for shallow versions by preserving and refining earlier layers.
SSRNML & AI Methods
- 2 Oct 20263fanfare
The Ant Group IPO Halt as a Natural Experiment on Chinese Fintech Regulation, Firm Valuations, and Shadow-Lending Contraction: A High-Frequency Event Study with Synthetic-Control Validation
The study exploits Ant Group's suspended IPO in November 2020 as a natural experiment, finding that highly exposed firms suffered roughly 21 percentage point abnormal returns and experienced a 42% contraction in shadow-loan balances.
- 2 Oct 20263fanfare
Market-Implied Policy-Outcome Dispersion and Long-Run Equity Volatility: Meeting-Level Evidence from Kalshi FOMC Contracts
Using Kalshi FOMC contract probabilities, the paper shows that cross-outcome variance in Federal Reserve policy expectations contains significant information about long-run stock market volatility.
- 2 Oct 20263fanfare
Dynamic Graph Neural Networks for Real Time Systemic Risk Surveillance: An Explainable AI Framework for Financial Stability
The research proposes a temporal graph neural network with explainability tools for real-time systemic risk surveillance, achieving early warning signals 3-4 quarters ahead of financial distress on bank data.
SSRNML & AI Methods
- 2 Oct 20263fanfare
Monetary Policy and Bond Return Decomposition Across Regimes
The research decomposes bond returns into real rates, risk premia, and inflation expectations, finding that forward guidance and asset purchases had opposite effects at the zero lower bound versus normal times.
- 2 Oct 20263fanfare
The Rollover Clock: Debt Maturity, the Central-Bank Balance Sheet, and the Debt Limit of a Reserve-Currency Sovereign
Rollover clock measurement of consolidated Treasury and central bank liability repricing predicts U.S. Treasury interest rates and prices inflation costs of fiscal deficits.
- 2 Oct 20263fanfare
The Capacity of Equity Anomalies
Computing capacity for 35 anomalies reveals that high-alpha long legs support less than $2 billion before trading costs eliminate excess returns, while lower-alpha strategies support billions more.
- 2 Oct 20263fanfare
Why Most Stocks Underperform the Index: Idiosyncratic Variance Drag and the Geometry of Compounding
A lognormal model shows that individual stocks carry an idiosyncratic variance penalty making most underperform the index, with about one-third beating the market over five years.
- 2 Oct 20263fanfare
Spot Bitcoin ETF Flows and Bitcoin Returns: Timestamp Alignment and Asymmetric Feedback
Correcting for timestamp mismatch between ETF and Bitcoin markets, the study finds that same-day flows predict next-day returns at 1.67 percentage points per billion of inflow, while prior Bitcoin returns predict flows.
- 2 Oct 20263fanfare
Liquidity Capacity and Token Survival in Cryptocurrency Markets
The research shows that adjusted illiquidity—price impact scaled by market absorption capacity—predicts which cryptocurrency tokens survive better than volatility, improving out-of-sample forecasting of token death.
SSRNCrypto & DeFi
- 2 Oct 20263fanfare
Does Crypto Trading Activity Follow New York Time? Cross-Venue and New York-London Evidence from Clock Changes
Bitcoin and Ether trading activity on major venues increases during the UTC window aligned with New York market open, with the effect appearing on both assets.
- 2 Oct 20262fanfare
Less Is More: Forecast Granularity, Estimation Error, and Portfolio Choice
Investors using machine-learning forecasts can achieve Sharpe ratios of 1.2 by adjusting the number of portfolio groups based on the forecast's information coefficient, beating standard decile sorts.
- 2 Oct 20262fanfare
An Auditable Public-Data U.S. Equity Research Pipeline: Point-in-Time Factors, Asset Pricing, Portfolio Construction, and Walk-Forward Machine Learning
A reproducible pipeline for factor research finds no model reliably beats simple approaches after accounting for transaction costs in point-in-time factor tests.
- 2 Oct 20262fanfare
Filing Discipline: Regulatory Disclosure Behavior and the Cross-Section of Stock Returns
Filing discipline characteristics built from SEC timestamp data alone predict cross-sectional stock returns with a net Sharpe ratio of 1.27, concentrated in smaller and more volatile stocks.
- 2 Oct 20262fanfare
Market History, Rebuilt A Reproducible Synthetic U.S. Total-Return Dataset for Leverage and Duration Research ChemicalStats • Anonymous Risk Researcher
A new 234-year synthetic total-return dataset for equities and Treasuries reveals that permanent 3× leverage faces near-total loss in most reconstructions, ranking below 2× on risk-adjusted returns.
- 2 Oct 20262fanfare
Tail Risk Hedging in Equity Portfolios: Evaluating the Cost-Effectiveness of Out-of-the-Money Put Options versus Dynamic Tail-Risk Mitigation Strategies During High-Volatility Regimes
Static out-of-the-money put options provide crash protection but drag long-term returns, while dynamic tail-risk strategies adapt to market regimes and deliver superior risk-adjusted returns across cycles.
- 2 Oct 20262fanfare
The Geometry of Risk: An Integrated Monitoring Framework for Multi-Asset Systemic Stress
The research develops a four-layer diagnostic framework combining network topology, dynamic causality, tail risk, and regime classification to monitor multi-asset systemic stress in real time.
- 2 Oct 20262fanfare
Evolution of Market Microstructure in the Age of AI From Double-Sided Continuous Auctions to Agentic Markets
A survey traces how market design rules evolved from floor trading to limit order books to automated market makers to agent-based trading systems.
- 2 Oct 20262fanfare
Geopolitical Risk and Global Financial Market Integration: Dynamic Connectedness across Energy, Commodity, Carbon, and Equity Markets
Global connectedness across energy, commodity, carbon, and equity markets averages 52.4 percent and spikes to approximately 95 percent during major geopolitical disruptions.
- 2 Oct 20262fanfare
Impact of Central Bank Digital Currencies on Financial Stability
Calibrated simulations show existing central bank digital currencies remain below thresholds needed to measurably affect bank credit or financial stability.
- 2 Oct 20262fanfare
Market Attention and Information Quality in On-Chain Prediction Markets: Evidence from Polymarket
On-chain prediction market analysis finds 68.2 percent of volume sits in well-calibrated markets with average seven-day pricing error of 0.03.
- 2 Oct 20262fanfare
Order Flow Imbalance and Price Impact in Indian Equity Derivatives: Cross-Sectional Evidence from NSE F&O Markets
Multilevel order flow imbalance in Indian equity derivatives predicts mean-reverting price dynamics with information coefficients growing from -0.004 at ten seconds to -0.032 at sixty seconds.
- 2 Oct 20262fanfare
Bayesian Vector Autoregression for Joint Macroeconomic Forecasting: Pseudo-Real-Time Evidence, Density Forecasts, Structural Dynamics, Scenario Analysis, and Practical Macro-Risk Use for the United States
The research develops a compact Bayesian VAR for real-time forecasting of GDP growth, inflation, unemployment, and the federal funds rate, with evaluation emphasizing density scores and predictive-interval diagnostics.
- 25 Sep 20264fanfare
Artificial intelligence and financial markets
A survey examines how AI transforms information production, intermediation, and market structure, with implications for efficiency, competition and financial stability.
SSRNML & AI Methods
- 25 Sep 20264fanfare
Label alchemy: Target engineering for improved stock selection
Reshaping the prediction target through location, scale and shape transformations raises long-short Sharpe from 0.68 to 1.69, with label choice mattering more than model choice.
SSRNML & AI Methods
- 25 Sep 20264fanfare
Algorithmic Collusion by Reinforcement-Learning Pricing Agents: Simulation Evidence and Implications for Financial Markets and Competition Law
Q-learning pricing agents in simulated duopolies reach supracompetitive outcomes with no communication, achieving collusion indices of 0.778 and 40% profit gains over competitive benchmarks.
- 25 Sep 20264fanfare
From D&I to D&I: European Capital Markets' Regime Shift from Diversity and Inclusion to Defence and Infrastructure
European defence stocks repriced sharply starting November 2021, two to three months before Russia's invasion, delivering 26% alpha and reflecting release of ESG-exclusion constraints.
- 25 Sep 20263fanfare
Forward Guidance and the Dynamics of Bank Credit: The Bank Balance-Sheet Channel of Monetary News
High-frequency analysis reveals contractionary forward guidance immediately cuts bank lending, while expansionary guidance produces weak stimulus, driven by binding capital constraints.
- 25 Sep 20263fanfare
Memorisation or Alpha? Detecting Look-Ahead Contamination in Cross-Sectional Equity Signals
Testing whether a large language model ranks stocks by forecasting or memory, the study finds a significant information-coefficient gap of 0.185 inside versus outside its training window, suggesting substantial look-ahead contamination.
SSRNML & AI Methods
- 25 Sep 20263fanfare
Beta Recall, Alpha Recall, and a Contamination Detector that Needs No Labels * Measuring Training-data Leakage in LLM Equity Signals
The study measures recall versus forecasting in an LLM's stock rankings by comparing cross-sectional information coefficients inside and outside the training window.
SSRNML & AI Methods
- 25 Sep 20263fanfare
Incentives at Play: Fee-Induced Volume on a Regulated Perpetual Futures Venue
Analysis of Kalshi's regulated Bitcoin and Ethereum futures reveals that 39-48% of notional trades are mechanical fixed-size orders that vanish when fees are charged, indicating costless artificial volume rather than legitimate trading.
- 25 Sep 20263fanfare
LLM-Based Semantic Surprises in FOMC Communication: Asset Prices and Financial-Market Stress
Semantic surprises extracted from Federal Reserve statements predict subsequent financial-stress dynamics and reduce forecast error by up to 23%, particularly when initial stress is high or during recessions.
SSRNLLMs & Text
- 25 Sep 20263fanfare
Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides
Using factor selection, the study finds mean active alpha of plus 9 basis points monthly for mutual funds, reversing the no-alpha conclusion when benchmarks are tailored to each fund.
- 25 Sep 20263fanfare
Speculative Leverage and Factor Momentum
Factor momentum strategies earn 49 basis points per month extra return following quarters of rapid margin-debt growth, a predictability that persists after publication and reflects limits to arbitrage correction.
- 25 Sep 20263fanfare
Execution-Aware Alpha Mining: Teaching LLM Factor Agents to Account for Trading Costs
The paper builds a closed-loop system where an LLM proposes equity factors penalized for execution costs and shows that accounting for trading costs dramatically improves net performance.
SSRNML & AI Methods
- 25 Sep 20263fanfare
Prices or implied volatilities? Choosing the loss function in machine learning option pricing
The paper compares machine learning option pricing trained on pricing errors versus implied-volatility errors using 8.67 million S&P 500 index-option observations from 1997 through 2025.
- 25 Sep 20263fanfare
Monetary policy transmission by securitising banks
Banks engaged in securitization contract lending more sharply after monetary tightening because their investor base demands higher returns and cuts risk exposure when rates rise.
- 25 Sep 20263fanfare
Hedge Fund Trading and Sovereign Bond Yield Sensitivity
Leveraged hedge fund positions amplify sovereign bond yield sensitivity to monetary shocks by over a quarter through directional rebalancing, with effects scaling to position intensity.
- 25 Sep 20263fanfare
Firm-Specific Price Delay and Momentum
Momentum profits concentrate among firms with high price delay, a measure of information friction, directly supporting theories that gradual information incorporation drives momentum.
- 25 Sep 20263fanfare
Industry Information and Equity Return Predictability
Using production, employment, and sales data across 426 industries, the research shows that upstream industry signals predict aggregate monthly stock returns with 23.8% out-of-sample R-squared.
- 25 Sep 20263fanfare
Expectations and the Term Structure of Interest Rates
Decomposing yield sensitivity without assuming rational expectations reveals that expectations rather than risk premia drive short- and medium-term bond yields, with systematic inconsistencies across horizons.
- 25 Sep 20263fanfare
Hedge Fund Performance and Interest Rate Conditions: Evidence from Regulatory Data
Using SEC filings from 2013-2021, the paper finds hedge fund returns show heterogeneous sensitivity to interest rates, with effects varying by strategy, leverage, and derivative exposure.
- 25 Sep 20263fanfare
Settlement Risk and Currency Markets
Hungary's 2015 adoption of payment-versus-payment settlement reduced currency excess returns by ten basis points, demonstrating settlement risk is a priced friction limiting arbitrage.
- 25 Sep 20263fanfare
Tail-Risk Forecasting with General Cubic Distributions
A cubic quantile framework forecasts Value-at-Risk and Expected Shortfall more reliably than GARCH benchmarks across eight equity indices without requiring a parametric density.
- 25 Sep 20262fanfare
MartingaleONet: Physics-Constrained Operator Learning for Real-Time Option Pricing and Volatility Calibration
A deep operator network maps volatility surfaces to option prices under the Heston model 15,000 times faster than finite-difference methods while reducing dynamic hedging variance by over 59% under transaction costs.
- 25 Sep 20262fanfare
State-dependent global banking systemic risk: An integrated framework of network connectedness, tail risk, and global financial conditions
Combining quantile-connectedness, tail-risk measures, and network analysis, the research shows tail connectedness exceeds median levels and lower-tail effects persist longer, with the VIX alone reliably predicting next-week systemic risk.
- 25 Sep 20262fanfare
The Low Return Channel of Negative Interest Rates in Bank Lending
Japan's 2016 negative-rate policy reduced lending from low-profitability banks holding reserves, consistent with lower expected returns on bank assets rather than deposit-side stress.
- 25 Sep 20262fanfare
Banking-System Heterogeneity and Monetary Policy Transmission in the Euro Area: High-Frequency Shocks, Local Projections, and Regime Dependence
A 100-basis-point contractionary monetary shock lowers inflation and sales across 20 euro-area economies, with transmission strength varying by bank asset-risk exposure and assets-to-GDP ratio rather than a simple weak-strong taxonomy.
- 25 Sep 20262fanfare
Fedspeak, LLM-Derived Signals, and High-Frequency Trading
Semantic and tonal shifts across sequential Federal Reserve communications generate significant intraday price movements and abnormal volume, revealing incomplete information absorption at initial announcement.
- 25 Sep 20262fanfare
Crossing the Zero Lower Bound: Negative Interest Rates and Corporate Valuation
Comparing firms across the ECB's 2014 negative rate adoption shows treated European firms had higher valuations but reduced leverage, suggesting cash-flow and discount-rate channels dominate tax-shield effects.
- 25 Sep 20262fanfare
Signature-Based Structural Models and Applications in Credit Markets
The study develops a time-varying signature asset model for structural credit that improves calibration across CDS maturities and equity option prices, especially for high-yield firms.
- 25 Sep 20262fanfare
Data-Driven Minimax-Regret Portfolio Optimization under Tail-Risk Ambiguity
The research proposes a data-driven portfolio method that blends tail-risk models and projects onto valid mixtures, providing bounds on Expected Shortfall regret without Wasserstein assumptions.
- 25 Sep 20263fanfare
Sell, Hold Out, or Accept: The Creditor's Trilemma in Distressed Debt Exchanges
Analysis of 284 distressed exchanges from 2009-2022 reveals over 50% of firms face subsequent default, with large illiquid creditors trapped in a prisoner's dilemma explaining high acceptance rates.
- 28 Dec 20251cites
Analysis of Fundamental and Technical Financial Ford Motor Company with The Arrangements of Implication Black Volatility
The study shows that Ford Motor Company had its smallest earnings per share payout gap in 2020 compared to previous years.
SSRNDerivatives & VolatilityFeatured 2×
- 28 Dec 20255cites
Gingado: A Machine Learning Library Focused on Economics and Finance
ML for Economics: Gingado is a developing Python library that helps incorporate machine learning into economic research by enhancing datasets and evaluating models.
SSRNML & AI MethodsFeatured 2×
- 28 Dec 20252cites
Investigating the Corporate Governance and Sustainability Relationship A Bibliometric Analysis Using Keyword-Ensemble Community Detection
The paper explores how corporate governance relates to sustainability, emphasizing the need to consider stakeholder interests in long-term responsibility practices.
SSRNCorporate FinanceFeatured 2×
- 28 Dec 202545shares
Cash vs. Crypto in DeFi
The article discusses how cryptocurrencies can improve societal functions compared to traditional currencies and emphasizes the innovations needed to build confidence in decentralized finance.
SSRNCrypto & DeFiFeatured 2×
- 28 Dec 20250cites
Factors Undermining Quality of Medical-Care Services Delivered by a Physician in Today’s Medical-Care Market Country-Wise: Statistical Analysis
This study examines the factors affecting the quality of medical services in Bangladesh, utilizing patient feedback and statistical analysis to pinpoint crucial influences on care quality.
SSRNOtherFeatured 2×
- 28 Dec 20253cites
Asset Prices, Collateral and Bank Lending: The Case of COVID-19 and Real Estate
The paper investigates the euro area's banking system's role in transmitting asset price shocks to credit during the Covid-19 crisis, highlighting significant frictions and a decrease in lending related to real estate collateral.
SSRNRisk, Credit & BankingFeatured 2×
- 28 Dec 2025105shares
Twitter Sentiment and Financial Trends
A new financial sentiment index derived from Twitter data shows strong links to market conditions and can forecast stock market returns, particularly in response to changes in U.S. monetary policy.
SSRNLLMs & TextFeatured 2×
- 28 Dec 202577shares
Global Liquidity and Volatility
Global liquidity from banks impacts responses to crises and eases funding strains internationally.
SSRNDerivatives & VolatilityFeatured 2×
- 28 Dec 20251,044shares
ESG in Auto Loans
Higher ESG scores in auto loan securitizations lower costs and consumer interest rates, despite environmental concerns.
SSRNMacro-Finance & RatesFeatured 2×
- 28 Dec 2025108shares
Vaccine Innovation Funding Strategy
A portfolio approach to drug development may improve investment returns and speed up vaccine creation.
SSRNPortfolio & AllocationFeatured 2×
- 28 Dec 2025456shares
Robert C. Merton's Contributions
Robert C. Merton is a significant finance scholar known for his work on derivatives pricing and finance theories.
SSRNDerivatives & VolatilityFeatured 2×
- 28 Dec 20250cites
Low Volatility Asset Valuation in Brazilian Stock Market: Lower Risk with Higher Returns
Lower volatility Brazilian stocks have consistently outperformed high-volatility stocks in annual returns from 2003 to 2021.
SSRNDerivatives & VolatilityFeatured 2×
- 28 Dec 2025181shares
Twitter and Monetary Policy
Online discussions about central bank policies correlate strongly with market volatility, especially around ECB announcements.
SSRNMacro-Finance & RatesFeatured 2×
- 28 Dec 20251cites
Stochastic Social Preferences and Corporate Investment Decisions
Investor preferences affect firms' green investments, potentially slowing down the transition to sustainable practices.
SSRNCorporate FinanceFeatured 2×
- 28 Dec 20253,698shares
Corporate Bond Pricing Challenges
The effectiveness of multifactor models for corporate bond returns is debated, with a preference for the bond CAPM in analyses.
SSRNMacro-Finance & RatesFeatured 2×
- 28 Dec 2025881shares
Global Dollar Holdings Trends
Foreign institutional investors significantly increased their USD security holdings, influenced by varying currency hedging demands.
SSRNDerivatives & VolatilityFeatured 2×
- 28 Dec 20253cites
Regulating Cash Holdings: Assessing Lost Returns in Mutual Funds
Israeli mutual funds hold excessive cash, indicating a need for better liquidity management to reduce redemption risks.
SSRNPortfolio & AllocationFeatured 2×
- 28 Dec 20250cites
Bitcoin's Price Alchemy: Unraveling the Influence of Macro Announcements on Volatility and Trading Volume in an Era of Rising Inflation
Bitcoin's price volatility significantly reacts to FOMC and CPI announcements, showing unique patterns during inflation.
SSRNCrypto & DeFiFeatured 2×
- 28 Dec 2025447shares
Bias in Credit Ratings
Subscription-based credit rating agencies may have biases that lead to overly optimistic ratings, complicating conflict resolution.
SSRNRisk, Credit & BankingFeatured 2×
- 28 Dec 20250cites
Decoding the Unique Price Behavior in the Japanese Stock Market with Convolutional Neural Networks
Analyzing Japanese stock charts with CNN reveals predictive patterns for returns, independent of common momentum trends.
SSRNML & AI MethodsFeatured 2×
- 28 Dec 20252cites
Carbon Risk and Equity Prices
Carbon transition risk is adversely affecting equity prices in the US and Europe, driving fund flows to greener investments.
SSRNOtherFeatured 2×
- 28 Dec 202566shares
Sustainable Investment in Climate
Global investments in environmental and climate projects are diversifying as investors integrate more green initiatives into their portfolios.
SSRNPortfolio & AllocationFeatured 2×
- 28 Dec 20255cites
Interpretable Machine Learning for Asset Pricing
The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics.
SSRNAsset Pricing & FactorsFeatured 2×
- 28 Dec 20250cites
Sparse Risk Parity Enhanced Index Tracking Portfolio
It tackles a sparse risk parity portfolio problem for index tracking while managing asset risks, with successful results on the SP 500.
SSRNPortfolio & AllocationFeatured 2×
- 28 Dec 2025132shares
Chinese Bond Dynamics During COVID-19
The study examines the changes in the Chinese government bond yield curve during the pandemic, highlighting new behaviors and arbitrage potential.
SSRNMacro-Finance & RatesFeatured 2×
- 28 Dec 2025630shares
Optimal Trading with Costs and Predictability
It establishes optimal trading rules for multiple assets with predictable returns, showing performance benefits through simulations.
SSRNTrading, Microstructure & ExecutionFeatured 2×
- 28 Dec 20251cites
The Banker in Your Social Network
The research indicates that social financial advice significantly boosts stock market participation, especially through close social ties.
SSRNML & AI MethodsFeatured 2×
- 28 Dec 202589shares
Asset Pricing and Stochastic Discount Factors
The paper outlines the required conditions for modeling stock prices with characteristics-based factor portfolios, addressing covariate structure issues.
SSRNAsset Pricing & FactorsFeatured 2×
- 28 Dec 20251cites
A probabilistic method for reconstructing the Foreign Direct Investments network in search of ultimate host economies
It introduces Ultimate Host Economies for Foreign Direct Investment (FDI), reexamining the global FDI network through a probabilistic analysis of Italy.
SSRNOtherIn Adv. Data Anal. Classif.Featured 2×
- 28 Dec 20258cites
Financial Intermediation and New Technology: Theoretical and Regulatory Implications of Digital Financial Markets
The study highlights how technological changes are reshaping financial intermediaries, necessitating regulatory updates.
SSRNOtherFeatured 2×
- 28 Dec 20251cites
Financial Fragilities and Risk-taking of Corporate Bond Funds in the Aftermath of Central Bank Policy Interventions
It finds that central bank asset purchases during the pandemic led corporate bond fund managers to take more risks, affecting market stability.
SSRNRisk, Credit & BankingFeatured 2×
- 28 Dec 2025543shares
ESG Impact on Stock Prices
The paper reveals that green firms experience smaller stock price declines than brown firms when interest rates rise due to sustainability preferences.
SSRNMacro-Finance & RatesFeatured 2×
- 28 Dec 2025440shares
Tail Risk-Managed Portfolio Strategies
It develops real-time Tail Risk-Managed portfolios that minimize tail risks and enhance risk-return profiles compared to standard strategies.
SSRNPortfolio & AllocationFeatured 2×
- 28 Dec 2025300shares
Sample Size Issues in Finance Research
The study promotes the use of Bayesian statistics in finance to better analyze large AI-generated datasets and mitigate misleading significance from traditional methods.
SSRNEconometrics & ForecastingFeatured 2×
- 19 Dec 2025518shares
Myopic Stock Pricing
US. stock analysts' short-term focus leads to inaccurate price predictions due to varying expectations over different time frames.
SSRNOtherFeatured 2×
- 19 Dec 20257cites
The Cross-Section of Factor Returns
Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns.
SSRNAsset Pricing & FactorsFeatured 2×
- 19 Dec 20253cites
Romania's Roadmap to a Greener Financial System: An analysis of Environmental, Social and Governance Reporting on the Bucharest Exchange Trading Index
Romania struggles to attract sustainable investments because its major companies have low transparency and high greenhouse gas emissions.
SSRNTrading, Microstructure & ExecutionFeatured 2×
- 19 Dec 20251cites
Financial Instruments for Decarbonization: Likely Pathways for the Romanian Economy
The study highlights key financial tools in Romania, like green bonds and loans, which can help transition to a low-carbon economy, with banks playing a major role.
SSRNRisk, Credit & BankingFeatured 2×
- 19 Dec 20252cites
Asymptotic Expansions for High-Frequency Option Data
A new method for analyzing financial data helps test for sudden volatility changes, with evidence from SP500 options indicating significant variation.
SSRNDerivatives & VolatilityFeatured 2×
- 1 Dec 202530shares
Satellite Census for Climate Risk in Housing
The article suggests using open-source satellite data to map residential buildings worldwide, aiming to evaluate their vulnerability to climate risks and their environmental effects.
SSRNOtherFeatured 3×