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雷达卡
wx“量化前沿速递”
文献汇总
[1] Shrinking beta
收缩β
出处:Journal of Risk, Vol. 24, No. 6, 2022
[2] How Do Corporate Factors Affect Price Discovery Process between Equity and Credit
Markets?
公司因素如何影响股票和信贷市场之间的价格发现过程？
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[3] High-Dimensional Portfolio Optimization Based on Tree-Structured Factor Model
基于树结构因子模型的高维投资组合优化
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[4] CEO Risk Incentives and Innovation Premium
CEO风险激励与创新溢价
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[5] Foreign Portfolio Investment and the Us Macroeconomic Conditions
外国证券投资与美国宏观经济状况
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[6] Stock Liquidity and Firm-Level Political Risk
股票流动性与公司级政治风险
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[7] Investment Strategy Based on Time-Varying Volatility Spillover
基于时变波动溢出的投资策略
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[8] Financial Institutional Ownership and Reporting Quality: Evidence from International Listed
Firms
金融机构所有权与报告质量：来自国际上市公司的证据
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[9] Is There a Green Premium for Green Bond Issuance? Evidence from China
绿色债券发行是否有绿色溢价？来自中国的证据
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[10] Optimal Interventions on Strategic Fails in Repo Markets
回购市场战略失败的最佳干预
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[11] Stock Liquidity, Company Size and the Choice of External Financing Source
股票流动性、公司规模与外部融资来源选择
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[12] Intentional and Spurious Herding Behavior: A Sentiment Driven Analysis
有意和虚假羊群行为：情绪驱动分析
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[13] A Vaccine for Volatility? Financial Market Reactions to the Arrival of the Covid-19 Vaccine
波动性疫苗？金融市场对新冠疫苗到来的反应
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[14] The Effect of Air Pollution on Chinese Green Bond Market: The Mediation Role of Public
Concern
空气污染对中国绿色债券市场的影响：公众关注的中介作用
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[15] Natural Gas and the Utility Sector Nexus in the U.S.: Quantile Connectedness and
Portfolio Implications
美国天然气与公用事业部门的关系：分位数连通性和投资组合影响
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[16] Commodities Failing in Auctions: The Story of Unsold Cod in Norway
拍卖失败的商品：挪威未售出Cod的故事
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[17] Investor Sentiment and Stock Market Crashes: A Heliobiological Perspective
投资者情绪与股市崩盘：太阳生物学视角
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[18] The Impact of the First-Year Covid-19 Vaccination on U.S. Stock Markets
第一年新冠肺炎疫苗接种对美国股市的影响
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[19] Dynamic Trading with Markov Liquidity Switching
具有马尔可夫流动性切换的动态交易
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[20] A (Sub)penny For Your Thoughts: Tracking Retail Investor Activity in TAQ
一分钱的想法：跟踪TAQ中的散户投资者活动
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[21] The Limits of Multi-Dealer Platforms
多经销商平台的限制
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[22] Fed Put in the Equity Options Markets
美联储在股票期权市场的看跌期权
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[23] Equity Value and Volatility
股权价值和波动性
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[24] Systemic Risk Spillovers Across Chinese Energy Companies: Evidence from a Tail-Event
Driven Network Analysis
中国能源公司的系统性风险溢出：来自尾部事件驱动网络分析的证据
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[25] Climate Uncertainty and Information Transmissions Across the Conventional and ESG
Assets
气候不确定性和常规和ESG资产的信息传输
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[26] A Comparative Analysis of the Impact of Chinese and Us Economic Policy Uncertainty on
Stock Volatility: Evidence from Major Global Markets
中美经济政策不确定性对股市波动影响的比较分析：来自全球主要市场的证据
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[27] Stock-Oil Comovement: Fundamentals or Financialization?
股票-石油共同运动：基本面还是金融化？
出处:Fisher College of Business Working Paper No. 2022-03-08 Charles A. Dice Center
Working Paper No. 2022-8
[28] Stock Market Volatility in Zimbabwe Stock Exchange during Pandemic Period
疫情期间津巴布韦证券交易所的股票市场波动
出处:Eurasian Journal of Economics and Finance, 10(2), 68-82 (2022)
[29] Is the Cash-Returns Relationship Risk Induced?
现金回报关系是否存在风险？
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[30] Stock Price Prediction Using Statistical and Machine Learning Techniques
基于统计和机器学习技术的股票价格预测
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[31] Can Digital Transformation Improve the Quality of Corporate Information Disclosure?
数字化转型能否提高公司信息披露的质量？
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[32] When Positive Sentiment is Not so Positive: Textual Analytics and Bank Failures
当积极情绪不那么积极时：文本分析和银行倒闭
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[33] 환율과 기초여건 간 괴리에 대한 연구: 시장심리를 중심으로 (Exchange Rate Predictability Based
on Market Sentiments)
汇率与基础条件之间背离的研究：以市场心理为中心（Exchange Rate Predictability Based on
Market Sentiments）
出处:KIEP Research Paper, 연구보고서 21-32
[34] Generalized Disappointment Aversion and the Variance Term Structure
广义失望厌恶与方差项结构
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[35] Promoting the High-Quality Development of Green Bonds
促进绿色债券高质量发展
出处:Bond Monthly, Jun. 2022, http://www.ccdc.com.cn/Channel/145609953
[36] Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data
Scarcity
金融中的转移排名：在数据稀缺的横截面动量中的应用
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[37] Illiquid bitcoin options
非流动比特币期权
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[38] 150 Years of Return Predictability Around the World: A Holistic View Across Assets
全球150年的回报可预测性：跨资产的整体观点
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[39] Practical Solution of Partial Differential Equations in Finance With Numerical Examples
and Python Code
金融学中偏微分方程的实用解法——数值示例和Python代码
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[40] Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked
Economics
为什么经济理论和政策失败？未被注意的变量和被忽视的经济学
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[41] Equity Fund Flows, Market Returns, and Market Risk: Evidence From China
股票基金流动、市场收益和市场风险：来自中国的证据
出处:Qureshi, F., Kutan, A. M., Khan, H. H., & Qureshi, S. (2019). Equity fund flows, market
returns, and market risk: Evidence from China. Risk Management, 21(1), 48-71.
[42] Mutual Funds and Market Performance: New Evidence From ASEAN Markets
共同基金与市场绩效：来自东盟市场的新证据
出处:Qureshi, F., Ismail, I., & Gee Chan, S. (2017). Mutual funds and market performance: New
evidence from ASEAN markets. Investment Analysts Journal, 46(1), 61-79.
[43] A Five-Factor Asset Pricing Model: Preliminary Evidence from India
五因素资产定价模型：来自印度的初步证据
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[44] Issuing Bonds During the Covid-19 Pandemic is There an ESG Premium?
在新冠肺炎大流行期间发行债券是否存在ESG溢价？
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