“量化前沿速递”文献汇总
[1] Comparing Search and Intermediation Frictions across Markets
比较不同市场的搜索和中介摩擦
出处:Bank of England Working Paper No. 974, 2022
[2] The Impact of R&D Expenditure Intensity on Stock Return Volatility
研发支出强度对股票收益波动性的影响
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[3] Vega KT for the Local Volatility Model: An AD Approach
局部波动模型的Vega-KT：一种AD方法
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[4] The Marketing Capability Premium
营销能力溢价
出处:The Review of Asset Pricing Studies, Forthcoming
[5] Quantile Coherency across Bonds, Commodities, Currencies, and Equities
债券、商品、货币和股票的分位数一致性
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[6] The Impact of Interest Rates on Different Equity Market Segments
利率对不同股票市场细分的影响
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[7] Sentiment Analysis of Economic Text: A Lexicon-based Approach
基于词典的经济文本情感分析
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[8] Markowitz Meets Technical Analysis: Building Optimal Portfolios by Exploiting Information in Trend-Following Signals
马科维茨会见技术分析：利用趋势跟踪信号中的信息建立最佳投资组合
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[9] IPO Performance and Stochastic Dominance
IPO业绩与随机优势
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[10] Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
贵金属和石油实现波动的动态溢出：来自分位数扩展联合连通性度量的证据
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[11] Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning
使用深度分布强化学习的Gamma和Vega套期保值
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[12] The Cost of Clearing Fragmentation
清除碎片的成本
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[13] Option Prices Expansions and Applications
期权价格的扩展与应用
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[14] Mandatory R&D Disclosure and Analyst Forecast Accuracy: Evidence from an Emerging Market
强制性研发披露和分析师预测准确性：来自新兴市场的证据
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[15] Examining the Impact of Quantitative and Qualitative Easing on the Link between Consumer Sentiment and Stock Prices: Evidence from Nikkei's Industry Stock Price Data
检验定量和定性宽松对消费者情绪与股价之间联系的影响：来自日经工业股价数据的证据
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[16] Forecasting Earnings and Returns: A Review of Recent Advancements
预测收益和回报：近期进展综述
出处:The Journal of Finance and Data Science, Forthcoming
[17] The Spillover Effects Following Brexit Announcements
英国脱欧宣布后的溢出效应
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[18] Investor Information Gathering and the Resolution of Uncertainty
投资者信息收集与不确定性的解决
出处:Journal of Accounting & Economics (JAE), Forthcoming
[19] Factor Exposures and Alpha of Indian Equity Schemes
印度股票计划的要素敞口和阿尔法
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[20] Artificial Intelligence Meets Computational Intelligence: Multi-Commodity Price Volatility Accuracy Forecast with Variants of Markov-Switching-GARCH-Type-Extreme Learning Machines Hybridization Framework
人工智能与计算智能的结合：马尔可夫切换GARCH型极端学习机杂交框架下的多商品价格波动精度预测
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[21] Staring Death in the Face: The Financial Impact of Corporate Exposure to Prior Disasters
直面死亡：企业遭受先前灾难的财务影响
出处:British Journal of Management, Vol. 32, 1284–1301 (2021)
[22] Financial and Statistical Measures of Asset Classes Using Python
使用Python对资产类别进行财务和统计测量
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[23] MACD-V: Volatility Normalised Momentum
MACD-V：波动率归一化动量
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[24] Striving to Promote CGB Management Towards High-Quality Development
努力推动CGB管理向高质量发展
出处:Bond Monthly, Jan. 2022, http://www.ccdc.com.cn/Channel/145609953
[25] Embarking on a New Journey in the New Era
踏上新时代的新征程
出处:Bond Monthly, Jan. 2022, http://www.ccdc.com.cn/Channel/145609953
[26] Comparative Analysis on and Implications from Models and Arrangements of Cross-border CSD Links
跨境CSD联系模式与安排的比较分析及启示
出处:Bond Monthly, Jan. 2022, http://www.ccdc.com.cn/Channel/145609953
[27] Bond Yields Went Down and Foreign Investors Continued to Increase Holdings - Chinese Bond Market Analysis for December 2021
债券收益率下降，外国投资者继续增持——2021 12月中国债券市场分析
出处:Bond Monthly, Jan. 2022, http://www.ccdc.com.cn/Channel/145609953
[28] Algorithmic Collusion in Electronic Markets: The Impact of Tick Size
电子市场中的算法共谋：刻度大小的影响
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[29] 2021 China Green Bond Market Operation Report
2021中国绿色债券市场运行报告
出处:Bond Monthly, Feb. 2022, http://www.ccdc.com.cn/Channel/145609953
[30] Are stakeholders listening? An examination of CEO podcast appearances
利益相关者在倾听吗？对CEO播客露面的审视
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[31] How Do Financial Market Outcomes Affect Gambling?
金融市场的结果如何影响赌博？
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[32] Explaining Return Anomalies with a Two-factor ICAPM Model
用双因素ICAPM模型解释收益率异常
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[33] Do Spot Market Auction Data Help Price Discovery?
现货市场拍卖数据有助于价格发现吗？
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[34] Counterfactual Thinking, Trading, and Market Inefficiency
反事实思维、交易和市场效率低下
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[35] Political Costs and Strategic Corporate Communication
政治成本与企业战略沟通
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[36] Unexpected Inflation and Real Stock Returns
意外的通货膨胀和真实的股票回报
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[37] The Financial Cost of Carbon
碳排放的财务成本
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[38] Strengthening FMI Development and Promoting High-level Opening-up of Bond Market
加强FMI发展促进债券市场高水平开放
出处:Bond Monthly, Feb. 2022
[39] Supply Chain Climate Exposure
供应链气候风险
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[40] A Review of China's Financial Markets
中国金融市场回顾
出处:Annu. Rev. Financ. Econ. 14. In press
[41] ESG Spillovers
ESG溢出
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[42] Analysts' Underreaction and Momentum Strategies
分析师的反应不足和动量策略
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[43] Intraday Return Predictability in the Cryptocurrency Markets: Momentum, Reversal, or Both
加密货币市场中的日内收益可预测性：动量、反转或两者兼而有之
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[44] Analyzing the Analysts: Evidence from their Bloomberg Usage
分析分析师：来自他们使用彭博社的证据
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[45] A Stochastic Analysis of Stock Market Price Fluctuations for Capital Market
资本市场股价波动的随机分析
出处:Journal of Applied Mathematics and Computation, 2022, 6(1), 85-95
[46] Portfolio Similarity: Institutional Ownership and Asset Prices
投资组合相似性：机构所有权和资产价格
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[47] On the Robustness of Second-Price Auctions in Prior-Independent Mechanism Design
先验独立机制设计中二次价格拍卖的鲁棒性
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[48] The Influence of Macroeconomic Variables on the Stock Market Performance
宏观经济变量对股票市场绩效的影响
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[49] Asset Growth and Stock Returns in European Equity Markets: Implications of Investment and Accounting Distortions
欧洲股市的资产增长和股票回报：投资和会计扭曲的影响
出处:Journal of Corporate Finance, April 2022, Vol. 73
[50] Asymmetries in the Persistence and Pricing of Cash Flows: Evidence from the United Kingdom
现金流持续性和定价的不对称性：来自英国的证据
出处:Journal of Economic Asymmetries, 2019,  Vol.19
[51] Percent Accruals and the Accrual Anomaly: Evidence from the UK
应计百分比和应计异常：来自英国的证据
出处:Accounting Forum, 2020,  Vol.44, pp. 287-310.
[52] Bloated Balance Sheets and Stock Returns: Asymmetries between Profit and Loss Firms
臃肿的资产负债表和股票回报：盈亏公司之间的不对称
出处:Economics and Business Letters, 2019, Vol.8, pp.50-58
[53] The Implications of Cash Flows for Future Earnings and Stock Returns Within Profit and Loss Firms
现金流对盈亏公司未来收益和股票收益的影响
出处:International Journal of Finance and Economics, 2021, Vol.26, pp.2927-2945
[54] New Insights on the Asset Growth Anomaly: Evidence from Europe
关于资产增长异常的新见解：来自欧洲的证据
出处:European Journal of Finance, Forthcoming
[55] Dispersed Ownership and Asset Pricing: An Unpriced Premium Associated with Free Float
分散所有权和资产定价：与自由浮动相关的未定价溢价
出处:European Corporate Governance Institute – Finance Working Paper No. 826, 2022
[56] Stock Pledging by Individual Shareholders and Abnormal Returns: Evidence from China
个人股东质押股票与超额收益：来自中国的证据
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