wx“量化前沿速递”

文献汇总
[1] World Trade Uncertainty and the Cross Section of Returns
世界贸易不确定性与收益的横截面
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[2] Signal Strength, Conflicting Signals, and Belief Updating: Evidence from Sell-Side
Analysts’ Forecasts
信号强度、冲突信号和信念更新：来自卖方分析师预测的证据
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[3] Iraqi Stock Exchange Reactions to the Oil Price, COVID-19 Aftermath, and the Saudi Stock
Exchange Movements pre-during Vaccination Program
在疫苗接种计划期间，伊拉克证券交易所对油价、新冠肺炎疫情和沙特证券交易所走势的反应
出处:International Journal of Energy Economics and Policy, 12(5), 18–30. https://doi.org
/10.32479/ijeep.13323
[4] Private Information and Trading Speed
私人信息和交易速度
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[5] Is China's New Live Hog Futures Market Efficient?
中国新生猪期货市场有效吗？
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[6] The Tail Risk Co-Movement of Qusi-Municipal Bond: What Can We Learn from China's
Chengtou Bond Market?
曲斯市政债券的尾部风险联动：我们可以从中国的城头债券市场中学到什么？
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[7] The Predictability Power of Oil and Global Stock Markets on Saudi Stock Market:
Application of Machine Learning Techniques
石油和全球股市对沙特股市的预测力：机器学习技术的应用
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[8] Learn from Peers? The Impact of Peer Firms’ Analyst Earnings Forecasts on a Focal Firm's
Corporate Investment Efficiency
向同龄人学习？同行公司分析师盈利预测对焦点公司投资效率的影响
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[9] The Impact of Macroeconomic Announcements on Risk, Preference, and Risk Premium
宏观经济公告对风险、偏好和风险溢价的影响
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[10] A Conditional Higher-Moment CAPM
条件高阶矩CAPM
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[11] Active Portfolio Selection (II): The Information-Theoretic Principles that Harmonise
Markowitz with Investor Behaviours
主动投资组合选择（II）：协调马科维茨与投资者行为的信息理论原则
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[12] Asymptotic Normality for the Fourier Spot Volatility Estimator in the Presence of
Microstructure Noise
微结构噪声下Fourier点波动率估计的渐近正态性
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[13] Animal Behavior in Capital Markets: Herding Formation Dynamics, Collective Interest, and
the Role of a Predator
资本市场中的动物行为：羊群形成动力学、集体利益和捕食者的角色
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[14] Left-Tail Momentum, Economic Policy Uncertainty and Analyst Coverage: Evidence from
China
左尾动量、经济政策不确定性和分析师覆盖面：来自中国的证据
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[15] Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing
LOB中基于Hawkes的多元模型：欧洲、价差和一揽子期权定价
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[16] Following the Leader? Size-Dependent Herding in the Us Equity Fund Market
跟随领导者？美国股票基金市场中的规模相关羊群行为
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[17] Does Insiders’ Share Pledging Improve Stock Liquidity? Evidence from China
内部人士的股权质押是否提高了股票流动性？来自中国的证据
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[18] Financial Analytics of Inverse BTC Options in a Stochastic Volatility World
随机波动世界中反向BTC期权的财务分析
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[19] Is Institutional Buying More Informative Than Selling? Evidence From Book-to-Market
Ratios
机构购买比销售更具信息性吗？账面与市场比率的证据
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[20] The Methodology Matters: What Influences Market Reaction, and Post-issue Returns in
Seasoned Equity Offerings?
方法至关重要：什么影响市场反应，以及季节性股票发行的发行后回报？
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[21] Retail Traders and Co-movement: Evidence from Robinhood Trading Activity
零售贸易商与合作：来自罗宾汉贸易活动的证据
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[22] Model-Free Implied Dependence and the Cross-Section of Returns
无模型隐含依赖与收益的横截面
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[23] Artificial Intelligence in Financial Decision Making
财务决策中的人工智能
出处:Handbook of Financial Decision Making, Forthcoming
[24] Can Old Sin Make New Shame? Stock Market Reactions to the Release of Movies Re-
Exposing Past Corporate Scandals
旧罪能带来新耻辱吗？股票市场对再次曝光过去公司丑闻的电影的反应
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[25] Analysis of Herding Behavior in Individual Investor Portfolios Using Machine Learning
Algorithms
基于机器学习算法的个人投资者投资组合羊群行为分析
出处:Research in International Business and Finance, Volume 62, December 2022, 101740
[26] Is Capital Structure Irrelevant with ESG Investors?
资本结构与ESG投资者无关吗？
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[27] Horizontal Price Exchanges
横向价格交易所
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[28] Non-fungible Cash in the Stock Market
股票市场中的不可替代现金
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[29] Fund Managers’ Ownership and Informativeness of Equity Research Presented at
Investment Conferences
基金经理在投资会议上的股权所有权和股权研究的信息性
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[30] 100-Years of Dollar Factor
100年美元因素
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[31] Voluntary Disclosure and the Earnings Announcement Premium
自愿披露与盈余公告溢价
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[32] Derivative Pricing Under Model Risk
模型风险下的衍生产品定价
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[33] International Tests of the ZCAPM Asset Pricing Model
ZCAPM资产定价模型的国际检验
出处:Journal of International Financial Markets, Institutions & Money, Forthcoming
[34] Price Discovery or Overreaction? A Study on the Reaction of Asia Pacific Country Etfs to
Us Market
价格发现还是反应过度？亚太国家ETF对美国市场的反应研究
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[35] Implications of Housing Frictions for the Term Premium
住房摩擦对定期保费的影响
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[36] The Price Effect of Temporary Short-Selling Bans: Theory and Evidence
临时卖空禁令的价格效应：理论与实证
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[37] Analyst/Investor Days and Firms’ Information Environment
分析师/投资者日和公司信息环境
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[38] Intelligent Stock Prediction: A Neural Network Approach
智能股票预测：一种神经网络方法
出处:Forthcoming, International Journal of Financial Engineering. https://doi.org/10.1142
/S2424786322500165.
[39] A Structural Study of Fixed Income Securities with Intraday Data
固定收益证券的日内数据结构研究
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[40] Folly and Fantasy in Finance
金融中的愚蠢与幻想
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[41] Informed Trading and Required Returns: The Influence of Public Information
知情交易与要求回报：公共信息的影响
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[42] Small Business Equity Returns: Empirical Evidence from the Business Credit Card
Securitization Market
小企业股本回报：来自商业信用卡证券化市场的经验证据
出处:Journal of Finance, Forthcoming
[43] Is the Turn of the Month an Anomaly on Which an Investment Strategy Could Be Based?
Evidence From BitCoin and Ethereum
本月初是投资策略可以依据的异常吗？来自比特币和以太坊的证据
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[44] The Profitability of Lead-Lag Arbitrage at High-Frequency
高频提前-滞后套利的盈利能力
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[45] Social Connectedness and Local Stock Return Comovement
社会联系与地方股票收益协调
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[46] Trading Activity, Risk Aversion, and Risk Neutral Skewness: Evidence from SSE 50ETF
Option
交易活动、风险规避和风险中性偏态：来自SSE 50ETF期权的证据
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[47] Spectral Volume Models: High-Frequency Periodicities in Intraday Trading Activities
光谱交易量模型：日内交易活动的高频周期
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[48] What Do Impact Investors Do Differently?
影响投资者的不同之处是什么？
出处:Forthcoming
[49] Black-Scholes Formula with Affine Dividends
仿射红利的Black Scholes公式
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[50] Asset Pricing and Deep Learning
资产定价和深度学习
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[51] Completion of Multi-Factor Covariances and Correlations
多因素协方差和相关性的完成
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[52] Common Drivers of Commodity Futures?
商品期货的共同驱动因素？
出处:Queen’s Management School Working Paper 05, 2022
[53] Computation of Break-Even for LV and LSV Models
LV和LSV模型的盈亏平衡计算
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[54] Slow Belief Updating and the Disposition Effect
信念更新缓慢与处置效应
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[55] Salience Theory and Corporate Bond Pricing
显著性理论与公司债券定价
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[56] Communication Norms in Earnings Conference Calls: The Role of Indirect Questions
盈利电话会议中的沟通规范：间接问题的作用
出处:TRR 266 Accounting for Transparency Working Paper Series No. 102, 2022
[57] Fortunate Timing: Scheduled Insider Trades, Earnings News, and Spin
幸运时机：定期内幕交易、盈利消息和旋转
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[58] Forecasting Stock Prices with a News-Based Model
用基于新闻的模型预测股票价格
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[59] Decoding High-Volume Stock Momentum: Disagreement or Disposition?
解读高库存势头：分歧还是处置？
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[60] The Price Impact of Generalized Order Flow Imbalance: Evidence from Chinese Financial
Market
广义订单流失衡的价格影响：来自中国金融市场的证据
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[61] From Knothe-Rosenblatt Rearrangement to Distribution Mapping for Gaussian Fixed-
Income Models
从Knothe-Rosenblatt重排到高斯固定收益模型的分布映射
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[62] Impact of Macroeconomic Variables on Islamic Stock Market Returns: Evidence From
Nifty 50 Shariah Index
宏观经济变量对伊斯兰股市收益的影响：来自Nifty 50 Shariah指数的证据
出处:Habib, M., & Islam, K. U. (2017). Impact of macroeconomic variables on islamic stock
market returns: Evidence from NIFTY 50 Shariah Index. Journal of Commerce and Accounting
Research, 6(1), 37.
[63] The Resurrected Size Effect Still Sleeps in the (Monetary) Winter
重新恢复的规模效应仍在（货币）冬天沉睡
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[64] Endogenous Liquidity and Volatility
内生流动性和波动性
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[65] Institutional Investors and Market Sentiment: A Revisit
机构投资者与市场情绪：重新审视
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[66] Advisor-Hedge Fund Connections, Information Flows and Deal Outcomes in Mergers and
Acquisitions
顾问对冲基金联系、信息流和并购交易结果
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[67] Empirical Asset Pricing in Korean Stock Markets: A Review of Models and Anomalies
韩国股市实证资产定价：模型与异常综述
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