wx“量化前沿速递”
文献汇总
[1] Measuring the Performance of Government Bond Portfolios with Index-Based Level, Slope,
and Curvature Factors
用基于指数的水平、斜率和曲率因子衡量ZF债券投资组合的绩效
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[2] Timing is Key: When Does the Market React to Unionization Efforts?
时机是关键:市场何时对工会行动作出反应?
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[3] Family Competition Via Divergence in the Trading of Funds
通过基金交易中的分歧实现家族竞争
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[4] Dynamic Time Warping: S&P 500 Sector ETF Pattern Matching Trading Strategy
动态时间扭曲:标准普尔500指数行业ETF模式匹配交易策略
出处:The Journal of Financial Data Science Winter 2021, 3 (1) 93-110; DOI: https://doi.org
/10.3905/jfds.2021.1.055
[5] Bank Capital Regulation and Derivatives Clearing
银行资本监管和衍生品清算
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[6] Salience Theory and Cryptocurrency Returns
显著性理论与加密货币回报
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[7] Ambiguous Monetary Policy Communication and Asset Pricing: Evidence from a Policy-
Driven Market
模糊货币政策沟通与资产定价:来自政策驱动市场的证据
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[8] The Role of Managerial Optimism: Perspectives of Operational Efficiency and Market
Reaction
管理乐观主义的作用:运营效率和市场反应的视角
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[9] Management Friendship and Insider Opportunism
管理友谊与内部机会主义
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[10] On Joint Distribution of Bids in Some k-th Price Auction Model
关于某些k次价格拍卖模型中的联合出价分配
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[11] Long Horizon Multifactor Investing with Reinforcement Learning
强化学习的长期多因素投资
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[12] Insider Trading in Cryptocurrency Markets
加密货币市场中的内幕交易
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[13] The Role of Net Income Growth in Explaining Long-Horizon Stock Returns
净收入增长在解释长期股票回报中的作用
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[14] Identifying Transitory Components of Earnings
识别收益的临时组成部分
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[15] Not on the Same Page - (Text-)Complexity in European Securitizations
欧洲证券化的复杂性不同
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[16] Active Fund Management when ESG Matters: An Equilibrium Perspective
ESG重要时的主动基金管理:均衡视角
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[17] Dissecting Developed and Emerging Stock Market: Which Characteristic Matters?
剖析发达和新兴股市:哪些特征很重要?
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[18] Firm Characteristics, Return Predictability, and Long-Run Abnormal Returns in Global
Stock Markets
全球股市中的公司特征、回报可预测性和长期异常回报
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[19] A Three-Factor Hazard Rate Model for Single-Name Credit Default Swap Pricing
单名称信用违约互换定价的三因素风险率模型
出处:Journal of Credit Risk, Vol. 18, No. 2, 2022
[20] How a Credit Run Affects Asset Correlation
信贷挤兑如何影响资产相关性
出处:Journal of Credit Risk, Vol. 18, No. 2, 2022