wx“量化前沿速递”
文献汇总
[1] Underreaction in Macroeconomic Expectations
宏观经济预期反应不足
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[2] Inferring Robustness of Implementations of Probabilistic (Formulations of) Expected Utility Theory: Some Standard Conditions
推断概率(公式化)期望效用理论实现的稳健性:一些标准条件
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[3] Explaining Epps Effect When Bivariate Price Staleness Is Present
当存在双变量价格陈旧性时解释Epps效应
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[4] Estimating the Demand in Sovereign Sustainability
估计主权可持续性的需求
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[5] Predicting Momentum
预测动量
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[6] Applying an Endogenized PID Controller Design to Speculative Bubble Formation
内生化PID控制器设计在推测气泡形成中的应用
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[7] Economic Growth and the Stock Market
经济增长与股市
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[8] The Short-Duration Premium in the Stock Market: Risk or Mispricing?
股市短期溢价:风险还是定价失误?
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[9] An Entropy Theory of Value: With Reflections on the Arrow-Debreu Model
熵价值论:对Arrow-Debreu模型的反思
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[10] Modelling of CMS-Linked Products in an RFR framework, with Extension to Hybrids, Forward Starting and Canary Options
在RFR框架中对CMS相关产品建模,并扩展到混合动力、前向启动和金丝雀选项
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[11] Equity Premium Prediction: The Role of Informationfrom the Options Market
股票溢价预测:期权市场信息的作用
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[12] ETF Ownership and Informational Efficiency of Underlying Stocks: Evidence from China
ETF所有权与标的股票信息效率:来自中国的证据
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[13] Industry Factors in Asian Markets
亚洲市场的行业因素
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[14] Skewness in International Markets
国际市场的偏斜
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[15] Pricing the Pandemic: Evidence from the Bond Market in China
定价流行病:来自中国债券市场的证据
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[16] The Interactive Effect of Ownership Structure on the Relationship between Annual Board Report Readability and Stock Price Crash Risk
股权结构对年报可读性与股价崩盘风险关系的交互影响
出处:Journal of Risk and Financial Management, 2022, 15(6), 268; https://doi.org/10.3390/jrfm15060268 The University of Auckland Business School Research Paper Forthcoming
[17] Circuit Breakers and Market Quality
断路器和市场质量
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[18] Digital Art Valuation
数字艺术估价
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[19] A Study on Formation of Candlestick Chart Patterns with Respect to Indian Automobile Sector
印度汽车行业烛台图模式的形成研究
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[20] The Real Side of Downside Risk
下行风险的真实一面
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[21] Information Quality and IPO Underpricing: The Role of Underwriter Pricing and Allocation Powers
信息质量与IPO抑价:承销商定价和分配权的作用
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[22] Do Loosened Trading Rules Restore the Stock Index Futures Price Discovery Ability in China?
放松的交易规则是否恢复了中国股指期货的价格发现能力?
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