January      February        March                 April                May                      June

July             August            September         October           November             December

January      February        March                 April                May                      June

July             August            September         October           November             December

December

(JFE) Monetary policy expectation errors

[by Maik Schmeling (Goethe, GER), Andreas Schrimpf (CEPR) and Sigurd A.M. Steffensen (Denmark Central Bank)]

(JFE) Liquidity in the global currency market

[by Angelo Ranaldo (SFI) and Paolo Santucci de Magistris (CREATES)]

November

(JFE) A unified model of distress risk puzzles

[by Zhiyao Chen (Lingnan, HKG), Dirk Hackbarth (Boston) and Ilya A. Strebulaev (Stanford)]

(JFE) Dissecting green returns

[by Ľuboš Pástor (Chicago), Robert F. Stambaugh (UPenn) and Lucian A. Taylor (UPenn)]

(JFE) Salience theory and the cross-section of stock returns: International and further evidence

[by Nusret Cakici (Fordham) and Adam Zaremba (Poznan, POL)]

(RFS) Macroeconomic Attention and Announcement Risk Premia

[by Adlai Fisher (UBC), Charles Martineau (Toronto) and Jinfei Sheng (UC-Irving)]

(RFS) Decision Weights for Experimental Asset Prices Based on Visual Salience

[by Devdeepta Bose (Caltech), Henning Cordes (Munster, GER), Sven Nolte (Radboud, NED), Judith C. Schneider (Lebniz, GER), Colin F. Camerer (Caltech)]

(RFS) Risk Price Variation: The Missing Half of Empirical Asset Pricing

[by Andrew J. Patton (Duke) and Brian M. Weller (Amazon)]

October

(JF) The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts

[by Jens Dick-Nielsen (Copenhagen), Jacob Gyntelberg (EBA), and Christoffer Thimsen (Aarhus)]

(JF) Commodity Financialization and Information Transmission

[by Itay Goldstein (UPenn) and Liyan Yang (Toronto)]

(JF) A Theory of Equivalent Expectation Measures for Contingent Claim Returns

[Sanjay K. Nawalkha (U-MASS), Xiaoyang Zhuo (Beijing Institute of Technology)]

(JFE) Growth forecasts and news about monetary policy

[by Nina Karnaukh (Ohio State) and Petra Vokata (Ohio State)]

(JFE) Speculative dynamics of prices and volume

[by Anthony A. DeFusco (Northwestern) , Charles G. Nathanson (Northwestern) , Eric Zwick (Chicago)]

[start here...] September

August

July

June

May

April

March

February

(JF) Predictably Unequal? The Effects of Machine Learning on Credit Markets

[by Andreas Fuster (SFI), Paul Goldsmith-Pinkham (Yale), Tarun Ramadorai (ICL) and Ansgar Walther (ICL)]

(JF) Stock Market and No-Dividend Stocks

[by Adem Atmaz (Purdue) and Suleyman Basak (LBS)]

(JF) Anomalies and Expected Market Return

[by Xi Dong (CUNY-Baruch), Yan Li (SWUFE), David Rapach (SLU) and Guofu Zhou (WUSTL)]

January

December

November

October

(RES) Interventions and Cognitive Spillovers

[by Steffen Altmann (U-Copenhagen), Andreas Grunewald (Frankfurt SoF&M) and Jonas Radbruch (IZA-Bonn)]

(RES) Information Risk Sharing with Local Information

[by Attila Ambrus (Duke), Wayne Gao (UPenn) and Pau Milan (Barcelona SoE)]

(RES) An information-based Theory of Financial Intermediation

[by Zachary Bethune (Virginia), Bruno Sultanum (Fed-Richmond) and Nicholas Trachter (Fed-Richmond)]

(RES) Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims

[by Georgy Chabakauri (LSE), Kathy Yuan (LSE) and Konstantinos E. Zachariadis (QMU-London)]

(RES) Recovering Investor Expectations from Demand for Index Funds

[by Mark Egan (Harvard), Alexander MacKay (Harvard) and Hanbin Yang (Harvard)]

(RES) Coordination and Continuous Stochastic Choice

[by Stephen Morris (MIT) and Ming Yang (UCL)]

September

(AER) Belief Elicitation and Behavioral Incentive Compatibility

[by David Danz (Pittsburgh), Lise Vesterlund (Pittsburgh) and Alistair J. Wilson (Pittsburgh)]

(ECTA) Monetary Policy, Redistribution and Risk Premia

[by Rohan Kekre (UChicago) and Moritz Lenel (Princeton)]

August

(AER) Sentiment and Speculation in a Market with Heterogeneous Beliefs

[by Ian W. R. Martin (LSE) and Dimitris Papadimitriou (KCL, UK)]

(JPE) Dissecting the Equity Premium

[by Tyler Beason (Virginia Tech) and David Schreindorfer (ASU)]

July

(AER) Belief Distortions and Macroeconomic Fluctuations

[by Francesco Bianchi (JHU), Sydney C. Ludvigson (NYU) and Sai Ma (Fed)] 

(ECTA) Optimal Dynamic Information Acquisition

[by Weijie Zhong (Stanford)]

April to June: no articles selected to share

March

(ECTA) Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

[by Xu Cheng (UPenn), Winston Wei Dou (UPenn) and Zhipeng Liao (UCLA)]

(RES) Conditional Superior Predictive Ability

      [by Jia Li (SMU), Zhipeng Liao (UCLA) and Roger Quaedvlieg (Erasmus)]

A methodology to check whether a forecasting model outperforms benchmark, uniformly conditional on all states (realizations of predictors).

February

(JPE) Learning before Trading: On the Inefficiency of Ignoring Free Information

[by Doron Ravid (Chicago), Anne-Katrin Roesler (Toronto) and Balazs Szentes (LSE)]

Uncertain to the value of object, buyers are better off with significant cost of learning signal rather than having cheap access to it.

(QJE) Efficient Coding and Risky Choice 

[by Cary Frydman (USC) and Lawrence J. Jin (Caltech)]

Decision makers' risk-taking choice systematically depends on the lottery she recently adapts to.

     -  Increase in certain option is more attractive when the volatility of lottery is small. More willing to bet when lottery becomes more volatile

       -  when the large potential payoff is more possible, agents can perceive it more precisely and be more willing to take risk

January

(ECTA) Dynamically Aggregating Diverse Information

[by Annie Liang (Northwestern), Xiaosheng Mu (Princeton) and Vasilis Syrgkanis (Microsoft)]

An agent with limited attention can optimally acquires information from different parts of latent state by

   start with ONLY looking at the most informative source, begin learning and give attention to additional source and use all eventually

, before deciding on the latent state at an endogenously given time.

(ECTA) Media Competition and Social Disagreement

[by Jacopo Perego (Columbia) and Sevgi Yuksel (UCSB)]

- competition makes media less informative on common issues, more informative on what agents evaluate differently.

- people just acquire information matters to them most, which leads to social disagreement and worse-off status for everyone

- direct and indirect effects on welfare of information is studied too!

(ECTA) On the Factor Structure of Bond Returns

[by Richard K. Crump (Fed-NY) and Nikolay Gospodinov (Fed-Atlanta)]

determine min. dimension of DGP is much more difficult than simply using PCA, due to strong cross-sectional dependence across maturities

January      February        March                 April                May                      June

July             August            September         October           November             December

January      February        March                 April                May                      June

July             August            September         October           November             December

• Asset Pricing: Theory [sample] (This version: Jan. 19, 2022)

Source: (SMU)  FNCE 705 Investments (Instructor: Dashan Huang)

   (Duke) MATH 582 - Financial Derivatives (Instructor: Xavier Mela)

 ECON 690 - Continuous-Time Finance (Instructor: Jia Li)

                              ECON 702 - Macroeconomic Analysis I (Part 2) (Instructor: Cosmin L. Ilut)

                              ECON 882.08 - Asset Prices and Macroeconomy (Instructor: Kyle Jurado)

• Asset Pricing: Empirics [sample]

        Source: (SMU)  FNCE 704 Market Microstructure (instructor: Ekkehart Boehmer)

  FNCE 629 Empirical Finance (instructor: Jun Tu)

  FNCE 708 Research Topics in Finance (instructor: Jianfeng Hu, Frank Weikai Li)

   (Duke) ECON 571 Financial Markets and Investments (Instructor: Tim Bollerslev)

 ECON 676 Empirical Asset Pricing (Instructor: Brian M. Weller)

Table of Contents

• Part I Probability and Statistics: [sample]

Source: (SMU)  ECON 611 - Econometrics I (Instructor: Yichong Zhang)

                      (Duke) ECON 703 - Econometrics I (Instructor: Federico A. Bugni)

 ECON 883.06 - Econometrics III, Part 1 (Instructor: Adam M. Rosen)

• Part II Time-Series Econometrics: [sample] (This version: Oct. 4, 2020)

       Source: (SMU)  ECON 623 - Econometrics II (Instructor: Jun Yu)

  ECON 746 - High-Frequency Econometrics (Instructor: Jia Li)

  (Duke) ECON 672 - High-Frequency Financial Econometrics (Instructor: Guilherme Salome)

              ECON 623 - Forecasting Financial Markets (Instructor: Andrew J. Patton)

ECON 612 - Time Series Econometrics (Instructor: A. Craig Burnside)

ECON 707 - Econometrics II, Part 2 (Instructor: Andrew J. Patton)   

• Part III Microeconometrics

      Source: (SMU)  ECON 739 - Microeconometrics (Instructor: Yichong Zhang)

 (Duke) ECON 883.06 - Econometrics III, Part 2 (Instructor: Federico A. Bugni)

                                 ECON 707 - Econometrics II, Part 1 (Instructor: Matthew A. Masten)

Math Preliminaries for Economists: [sample] (This version: Jan. 19, 2022)

Part 5 Real Analysis

• Point Sets in Euclidean Spaces

• Basic Measure Theory and Measurable Functions

• Lebesgue measure-based Calculus

• L^p Space

Part 8 Continuous-Time Stochastic Processes