wx“量化前沿速递”

文献汇总

[1] How to Dominate the Historical Average?

如何主宰历史平均水平？

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[2] The Effect of the Credibility of Mandatory Disclosure by Credit Rating Agencies on

Managerial Learning from Stock Prices

信用评级机构强制披露的可信度对股票价格管理学习的影响

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[3] Volatility Timing Using ETF Options: Evidence from Hedge Funds

使用ETF期权进行波动计时：来自对冲基金的证据

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[4] On the Robustness of Idiosyncratic Volatility Effect

特征波动效应的稳健性研究

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[5] Timing the Factor Zoo via Deep Learning: Evidence from China

通过深度学习为Factor Zoo计时：来自中国的证据

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[6] Tiny Trades, Big Questions: Fractional Shares

小交易，大问题：零星股票

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[7] Strategic Trading With Information Acquisition and Long-Memory Stochastic Liquidity

具有信息获取和长记忆随机流动性的战略交易

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[8] Long Memory in Retail Trading Activity

零售交易活动中的长记忆

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[9] Deepvol: Volatility Forecasting from High-Frequency Data with Dilated Causal

Convolutions

Deepvol：利用扩张因果卷积从高频数据预测波动率

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[10] Financial Markets and the COVID-19 Pandemic

金融市场与新冠肺炎大流行

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[11] Social Washing or Credible Communication? An Analysis of Corporate Disclosures of

Diversity, Equity, and Inclusion in 10-K Filings

社会清洗还是可信沟通？10-K文件中多元化、股权和包容性的公司披露分析

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[12] Anxiety in Returns

回报中的焦虑

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[13] Social Ties, Comovements, and Predictable Returns

社会联系、合作和可预测回报

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[14] Does the Consolidated Feed Matter?

合并饲料重要吗？

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[15] Bond Funds Herding and Corporate Bond Issuance

债券资金羊群与公司债券发行

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[16] Optimal Trend Following Rules in Two-State Regime-Switching Models

两状态体制转换模型中的最优趋势跟踪规则

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[17] Estimating Option-Implied Risk Aversion for Indian Markets

估计印度市场隐含的风险规避期权

出处:Sinha, S., & Kamaiah, B. (2017). Estimating Option-implied Risk Aversion for Indian

Markets. IIM Kozhikode Society & Management Review, 6(1), 90-97.

[18] Market Instability, Investor Sentiment, and Probability Judgment Error in Index Option

Prices

市场不稳定性、投资者情绪与指数期权价格的概率判断误差

出处:None

[19] Multilevel Monte Carlo Simulation for Vix Options in the Rough Bergomi Model

粗糙Bergomi模型中Vix期权的多级蒙特卡罗模拟

出处:Journal of Computational Finance, Vol. 26, No. 2, 2022

[20] Do Scope 3 Carbon Emissions Impact Firms' Cost of Debt?

范围3碳排放会影响企业的债务成本吗？

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[21] The Unpriced Information in Fail-to-Deliver Short Sales: Implications for Regulation and

Identifying Limited Arbitrage

卖空失败中的未定价信息：监管和识别有限套利的意义

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[22] Understanding Bonds Pricing and the Risks ‘My Name Is Bond, James Bond’

了解债券定价和风险“我的名字是邦德，詹姆斯·邦德”

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[23] The Effect of the Tax Cuts and Jobs Act of 2017 on Corporate Investment

2017年减税和就业法案对公司投资的影响

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[24] Do Companies Redact Material Information From Confidential SEC Filings? Evidence

From the FAST Act

公司是否从美国证券交易委员会机密文件中修改重要信息？FAST法案证据

出处:The Accounting Review, Forthcoming

[25] Detecting Insider Trading in the Era of Big Data and Machine Learning

大数据和机器学习时代的内幕交易检测

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[26] Using REIT Follow-on Equity Offerings to Pay Down Credit Line Balances: Bank

Certification or Monitored Financial Flexibility?

使用房地产投资信托基金后续股权发行支付信贷额度余额：银行认证还是监控财务灵活性？

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