wx"量化前沿速递"
文献汇总
[1] Does Politically Sentiment Affect Default Probabilities? Evidence from Mutual Fund Fire
Sale Episodes
政治情绪是否影响违约概率?共同基金火灾销售事件的证据
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[2] One for the Money, Two for the Show?The Number of Designated Market Makers and
Liquidity
一个是为了钱,两个是为了表演?指定做市商的数量和流动性
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[3] Are There Listing Effects of Single Stock Futures in the Derivatives Market on Firms’
Accounting Behavior? Evidence from Korea
衍生品市场单一股票期货的上市对公司会计行为是否有影响?来自韩国的证据
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[4] One for the Money, Two for the Show?The Number of Designated Market Makers and
Liquidity
一个是为了钱,两个是为了表演?指定做市商的数量和流动性
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[5] CDS Market Structure and Bond Spreads
CDS市场结构与债券利差
出处:Deutsche Bundesbank Discussion Paper No. 242022
[6] Foreign Exchange Interventions and Their Impact on Expectations: Evidence from the
Usd/Ils Options Market
外汇干预及其对预期的影响:来自美元/Ils期权市场的证据
出处:Deutsche Bundesbank Discussion Paper No. 202022
[7] Do Institutional Ownership and Innovation Influence Idiosyncratic Risk?
机构所有权和创新是否影响特质风险?
出处:Duppati, G., Kijkasiwat, P., Hunjra. A.I., Liew, C.Y. (2022). Do Institutional Ownership And
Innovation Influence Idiosyncratic Risk ? Global Finance Journal (Article In Press)
[8] Modelling the Dynamics of Investors’ Behavioural Biases & Asset Volatility with Structural
Breaks: New Evidence from Garch-Midas Model
投资者行为偏差和资产波动的动态建模:来自Garch-Midas模型的新证据
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[9] Private Equity Fund Valuation Management During Fundraising
私募股权基金募集期间的估值管理
出处:Harvard Business School Accounting & Management Unit Working Paper No. 23-013
Harvard Business School Finance Working Paper No. 23-013
[10] Influence of Market and Economic Factors on the US Stock Market Performance during
the COVID-19 Crisis
新冠肺炎危机期间市场和经济因素对美国股市表现的影响
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[11] The Green Corporate Bond Issuance Premium
绿色公司债券发行溢价
出处:International Finance Discussion Paper No. 1346
[12] News Selection and Asset Pricing Implications
新闻选择和资产定价含义
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[13] Are Equity Option Returns Abnormal? IPCA Says No
股票期权回报是否异常?IPCA说不
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[14] Decomposing Exchange Rate Risk in the Consumption Model: a Present Value Approach
消费模型中的汇率风险分解:现值法
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[15] ESG and Protection Against Systematic Downside Risks
ESG和防范系统性下行风险
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[16] Sovereign Default Risk and Climate Change: Is it Hot Enough ?
主权违约风险与气候变化:够热吗?
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[17] Investigating Intertrade Durations Using Copulas: An Experiment with NASDAQ Data
使用Copulas调查交易间持续时间:纳斯达克数据的实验
出处:Algorithmic Finance, Vol. 9, No. 3-4, Pp. 81-102, 2022
[18] Stock Exchange Governance and Stock Liquidity: International Evidence
证券交易所治理与股票流动性:国际证据
出处:Journal of Multinational Financial Management, Forthcoming
[19] Bitcoin and Ethereum -- A Decade of Risk/Return Analysis
比特币和以太坊——风险/回报分析的十年
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[20] Asset Allocation with Private Equity
私募股权资产配置
出处:Arthur Korteweg and Mark M. Westerfield (2022), "Asset Allocation with Private Equity",
Foundations and Trends® in Finance: Vol. 13: No. 2, pp 95-204. http://dx.doi.org/10.1561
/0500000062
[21] Internalizing Peer Firm Proprietary Costs: Evidence from Supply Chain Relations
同行企业所有权成本内部化:来自供应链关系的证据
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[22] The Moderating Influence of Corporate Debt on the Relationship between Free-Floating
Shares and Stock Market Liquidity: Is the Effect Asymmetric?
公司债务对自由浮动股票与股票市场流动性关系的调节作用:效应不对称吗?
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[23] The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume
DEX的费用需求:费用增加如何增加DEX交易量
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[24] Multi-Scaling in the Sovereign Bond Yields
主权债券收益率的多重标度
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[25] How Do Assessed Values Affect the Transaction Prices of Homes?
评估价值如何影响房屋交易价格?
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