wx“量化前沿速递”

文献汇总
[1] Coreference Resolution for Measuring Sentiment in Financial News
衡量财经新闻情绪的共指消解
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[2] An alternative definition of market efficiency and some comments on its empirical testing
市场效率的另一种定义及其实证检验评述
出处:Bank of Greece Working Paper No. 50
[3] Incorporating the Real Options Methodology in Stock Valuation: A Literature Review
将实物期权方法纳入股票估值：文献综述
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[4] Variance Risk Premium and Expected Returns in Bull and Bear Markets
牛市和熊市中的方差风险溢价和预期收益
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[5] Bond Finance and the Leverage Ratio
债券融资与杠杆率
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[6] Measuring Liquidity in the Greek Government Securities Market
衡量希腊ZF证券市场的流动性
出处:Bank of Greece Working Paper No. 23
[7] The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates
期权头寸动态对冲对中期利率的影响
出处:Bank of Greece Working Paper No. 8
[8] Generalized Two-Barrier Proportional Step Options
广义双势垒比例步长选项
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[9] Muddy the Waters to Conceal Information?Textual Analysis of Firms' Responses to Different Types of Investors
浑水掩盖信息？企业对不同类型投资者反应的文本分析
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[10] Does Uncertainty Matter in Stock Liquidity? Evidence from the COVID-19 Pandemic
股票流动性中的不确定性重要吗？2019冠状病毒疾病大流行的证据
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[11] The Impact of the Covid-19 Pandemic on Japanese Stock Markets, Revisited
新冠肺炎大流行对日本股市的影响，重温
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[12] The Conditional Dollar-Carry FX Pricing Model
有条件美元套利外汇定价模型
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[13] Profitability, Asset Investment, and Aggregate Stock Returns
盈利能力、资产投资和股票总回报
出处:Journal of Banking and Finance, Forthcoming
[14] Proprietary Trading and the Information Advantage of Brokers in Order-Driven Markets
订单驱动市场中的自营交易和经纪人的信息优势
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[15] Is There An Equity Duration Premium?
是否存在股权期限溢价？
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[16] Deep Bellman Hedging
深度贝尔曼对冲
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[17] Valuation of Crypto Assets on Blockchain with Deep Learning Approach
用深度学习方法评估区块链上的加密资产
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[18] Option and Factor Pricing – A Unification
期权和要素定价——统一
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[19] Technology Diffusion and Currency Risk Premia
技术扩散与货币风险溢价
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[20] Corporate Payout Policy and Test of Life Cycle Theory; Evidence from Nepalese Commercial Banks
企业支出政策与生命周期理论检验；尼泊尔商业银行提供的证据
出处:Dhungana, A. and Devkota, T. P. (2022) Corporate Payout Policy and Test of Life Cycle Theory; Evidence from
Nepalese Commercial Banks, NRB Proceedings Conference Paper, 117-134
[21] Weather Sentiment and Stock Returns. Evidence from China
天气情绪和股票回报。来自中国的证据
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[22] A 2022 Primer for Crypto-Trading
2022年加密交易入门
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[23] Fundamental Characteristics, Machine Learning and Stock Price Crash Risk
基本特征、机器学习与股价暴跌风险
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[24] Option Mispricing and Alpha Portfolios
期权定价错误和阿尔法投资组合
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[25] The Green Corporate Bond Issuance Premium
绿色公司债券发行溢价
出处:International Finance Discussion Paper No. 1346
[26] Cryptocurrency Uncertainty and Volatility Forecasting of Precious Metal Futures Markets
加密货币不确定性与贵金属期货市场波动性预测
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[27] Information Shocks and the Cross-section of Expected Returns
信息冲击和预期回报的横截面
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[28] CEO Social Capital and Stock Price Informativeness: US Perspective
CEO社会资本与股价信息性：美国视角
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