SSRN
SSRN
Working papers in finance and economics from SSRN. 2,801 featured so far, newest first.
- Featured
- 2,801
- Tracked on Semantic Scholar
- 712
- Cited 100+
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- Since
- 24 May 2023
- 9 Oct 20264fanfare
The Evolution of Quantitative Equity Investing: Half a Century of Alpha Research and Institutional Adaptation
Surveys fifty years of quantitative investing as a history of changing implementation boundaries from diversification through machine learning, emphasizing alpha decay and the gap between research and production systems.
- 9 Oct 20264fanfare
Does Autonomous Quant Research Improve? Leakage, Evidence Scarcity and Forward Tests in an LLM Factor-Discovery Loop
An autonomous agent evolved 940 factors over 17 days and finds that reusing backtest data inflates edge by a quarter to a third and in-sample improvement predicts worse performance.
SSRNML & AI Methods
- 9 Oct 20264fanfare
The Three Faces of Fed Surprise: Rate-Path, Information and Tone Shocks in the Equity Cross-section
The study decomposes Federal Reserve announcements into three orthogonal shocks and traces each through the equity cross-section, finding rate-path surprises dominate while standard balance-sheet characteristics carry no additional power beyond beta and size.
- 9 Oct 20264fanfare
Firm-level AI Exposure: Measurement, Determinants, and Pricing Implications
A natural-language analysis of 13,757 firms finds AI exposure surged after ChatGPT and predicts 1.37 percent higher annual returns, though the effect is concentrated after the launch and driven by firm-specific factors.
SSRNML & AI Methods
- 9 Oct 20264fanfare
Monetary-Policy Risk and Equilibrium Asset Prices
Asset prices respond to monetary policy uncertainty around FOMC announcements; a New Keynesian model shows policy risk accounts for much of equity and inflation-bond risk premia and weakens activity when elevated.
- 9 Oct 20264fanfare
Volatility Targeting, Variance Drain, and the Financialization Effect: A Century of Evidence
Analyzing 100 years of daily data, the study finds volatility scaling harmed returns before 1985 but improved them after, a shift attributed to derivatives markets and deregulation, with walk-forward Sharpe ratio of 1.01.
- 9 Oct 20264fanfare
A Multi-Strategy Quantitative Portfolio
Eleven systematic strategies across equities, futures, and currencies achieve a 1.91 Sharpe ratio net of costs from January 2012 to June 2026, with 23.6% compound annual return.
- 9 Oct 20264fanfare
Supplying Safety to an Aging World: Demographics, Debt, and Risk Premia
A two-country model attributes 251 basis points of U.S. equity premium gains and 71 basis points of global rate decline since 1980 to demographic aging.
- 9 Oct 20263fanfare
What Survives Honest Tes1ng? A Pre-registered Test of Eleven Trading Signals
Applies a strict pre-registered protocol to eleven trading signals across equity and futures markets, finding only trend survives development and hold-out periods with borderline significance after multiple-testing adjustment.
- 9 Oct 20263fanfare
Cross-Sectional Corporate Bond Returns
Constructs a characteristics-based systematic risk measure using rate jumps that predicts out-of-sample corporate bond returns, with high-minus-low decile portfolio earning 9.12% annually and 7.80% alpha.
- 9 Oct 20263fanfare
The Price of Conviction
The study shows that high-conviction beliefs exert outsized influence on prices, with a long-short portfolio exploiting conviction-weighted disagreement earning 13.2 percent annualized six-factor alpha.
- 9 Oct 20263fanfare
Agents Propose, Code Decides: An Autonomous Research Loop Framework to Build an Equity Alpha Model
An autonomous research loop in which agents propose factor candidates and code verifies them builds multi-factor alpha models, screening 212 predictors and admitting 14 that raise baseline information coefficient out-of-sample.
SSRNML & AI Methods
- 9 Oct 20263fanfare
GFlowAlpha: A Quality-Control-Aware Neuro-Symbolic Framework for White-Box Alpha Factor Mining
GFlowAlpha uses neuro-symbolic search and internalizes econometric quality control as online rewards to mine white-box factors, delivering mean out-of-sample daily ICIR of 0.485 with Fama-MacBeth t-statistics of 4.99 on Chinese stocks.
SSRNML & AI Methods
- 9 Oct 20263fanfare
Deflate by Bits, Not Trials: Why Query-Counted Deflated Sharpe Ratios Fail Under Adaptive Search, and a Sealed-Holdout Remedy
The research proves that query-counted Deflated Sharpe Ratios certify noise in adaptive research and proposes sealed-holdout verification, where validity depends on bits revealed rather than strategy count.
SSRNML & AI Methods
- 9 Oct 20263fanfare
The Credit Spread at Long Horizons
The study shows that Baa-Aaa spreads at 27-year maturity test pricing kernels better than shorter maturities, with a structural refinancing model matching observed spreads while prior kernels overpredict by 27 to 68 basis points.
- 9 Oct 20262fanfare
Large Language Models and Information Frictions in Corporate Bonds
Shows that large-language-model scores of default risk from earnings calls predict bond rating migration one year ahead where analysts disagreed, capturing information not yet priced in spreads.
SSRNLLMs & Text
- 9 Oct 20263fanfare
Fundamentals in Cryptocurrency Valuation: Evidence from DeFi Markets
Revenue surprises on 95 DeFi protocols predict abnormal token returns, with one-standard-deviation surprises associated with 28.8 basis points higher returns over three days when tokens have direct revenue claims.
SSRNCrypto & DeFi
- 9 Oct 20263fanfare
Predicting Crypto Contagion: Machine Learning Forecasts of Return Spillovers
The study forecasts time-varying return spillovers among cryptocurrencies using machine learning, finding monetary policy and funding rates drive connectedness and classifying events that shift spillover composition into contagion types.
SSRNCrypto & DeFi
- 9 Oct 20263fanfare
Reassessing Bitcoin’s Role under ETF-Driven Institutionalization: A Time-Frequency Connectedness Analysis
The research shows that after U.S. Bitcoin ETF approval in January 2024, return and volatility linkages between Bitcoin and equities strengthened substantially, with volatility spillovers becoming markedly asymmetric from stocks to crypto.
SSRNCrypto & DeFi
- 9 Oct 20263fanfare
Artificial Intelligence Exposure and Financial Stability: Cross-Industry Common Risk and Connectedness in U.S. Equity Markets
The study measures AI exposure across 284 U.S. firms and finds that an AI-factor explains only 18% variance alongside conventional factors, suggesting AI is a distinct cross-industry risk lens separate from traditional spillovers.
- 9 Oct 20263fanfare
Heterogeneous Estimation of the Causal Effect of Debt Restructuring Interventions: A Causal and Explainable Uplift Modeling Framework for the Economic Optimization of Credit Risk Portfolios
A causal framework compares six estimators of treatment effect to optimally assign debt restructuring interventions, revealing that targeting borrowers by predicted effect generates substantially positive value where blanket treatment fails.
- 9 Oct 20263fanfare
Exchange Rate Regimes and Term-Premium Spillovers from U.S. Monetary Policy
U.S. monetary tightening raises term premia sharply in pegged economies but not floating ones; a DSGE model shows pegs force adjustment through domestic rates, tightening leverage constraints and amplifying spillovers.
- 9 Oct 20263fanfare
Global Geopolitical Skewness Risk and Bond Risk Premia
A measure of cross-country geopolitical risk skewness predicts U.S. Treasury risk premia out-of-sample and forecasts weaker activity, adding incremental value beyond yield curves and standard macroeconomic predictors.
- 9 Oct 20263fanfare
Geoeconomic Fear and Sovereign Spreads
The study constructs a geoeconomic fear index from news articles and finds that higher fear predicts wider emerging-market sovereign spreads, especially for speculative-grade issuers.
SSRNLLMs & Text
- 9 Oct 20263fanfare
Firm's refinancing intensity, the cost of capital, and real investment
A global study of 357,630 firm-years shows firms with more short-term debt cut capital expenditure by 2.156 percentage points, mainly due to refinancing availability constraints.
- 9 Oct 20263fanfare
Common Banks, Supply Chains, and the Transmission of Real Shocks
Using Portuguese wildfire data, the research finds firms whose banks also lend to suppliers experience 10 percentage points smaller credit declines and face attenuated real losses.
- 9 Oct 20263fanfare
Delta-Guided Soft Actor-Critic for Derivative Hedgingunder Model Misspecification and Transaction Costs
A reinforcement learning method embedding Black-Scholes delta guidance cuts hedging error by 19-38% across simulated and real options data with robust statistical significance.
- 9 Oct 20263fanfare
A hybrid graph neural network for realized volatility forecasting: Multi-relation attention and dual-path fusion
A graph neural network combining temporal and cross-asset volatility patterns reduces mean squared error and quasi-likelihood loss by approximately 9.9% and 3.4% on Dow stocks.
SSRNML & AI Methods
- 9 Oct 20263fanfare
Expectations and the Transmission of Monetary Policy
Optimal rate-setting creates time-inconsistency: market expectations become too sensitive to policy surprises, amplifying real effects of central bank forecast errors; less aggressive rules cut output volatility.
- 9 Oct 20263fanfare
The Toll-Fenced Market: Documented Anomalies in Indian Equities Replicate but do Not Survive Retail Implementation Costs
Well-documented Indian equity anomalies replicate strongly in-sample but all fail to survive 12 to 32 basis point retail transaction costs; required directional accuracy reaches 72% at hourly horizons.
- 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 20253cites
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×