SSRN Capital Markets eJournals汇总翻译 20210429-20210503
SSRN Capital Markets eJournals汇总翻译 20210429-20210503
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文献汇总
[1] Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
自适应互补系综EMD与加密货币价格的能量频谱
出处:-
[2] Chronological Return Ordering and the Cross-Section of International Stock Returns
按时间顺序的收益排序与国际股票收益的横截面
出处:-
[3] Collective Bargaining and Strategic Disclosure in Earnings Conference Calls
财报电话会议中的集体谈判与战略披露
出处:-
[4] From Use Cases to a Big Data Benchmarking Framework in Clearing Houses and Exchanges
从用例到清算所和交易所的大数据基准框架
出处:Journal of Financial Market Infrastructures, Vol. 9, No. 1, 2021
[5] A Descriptive Analysis of the Client Clearing Network in the European Derivatives Landscape
欧洲衍生品市场客户清算网络的描述性分析
出处:Journal of Financial Market Infrastructures, Vol. 9, No. 1, 2021
[6] Real(istic) Time-Varying Probability of Consumption Disasters
消费灾害的真实时变概率
出处:-
[7] Gradient boosting for quantitative finance
数量金融的梯度推进
出处:Journal of Computational Finance, Vol. 24, No. 4, 2020
[8] 'I Just Like the Stock' versus 'Fear and Loathing on Main Street' : The Role of Reddit Sentiment in the GameStop Short Squeeze
“我就是喜欢股票”与“大街上的恐惧和厌恶”：Reddit情绪在GameStop空头挤压中的作用
出处:-
[9] The Effects of Media Co-coverage on Investors’ Perceived Relatedness between Two Firms: Evidence from Information Transfers
媒体联合报道对投资者感知的两家公司关系的影响：来自信息传递的证据
出处:-
[10] Lottery Stocks and Stop-loss Rules
彩票股票和止损规则
出处:-
[11] Does the Short Squeeze Lead to Market Abnormality and Anti-leverage Effect? Evidence From the GameStop Case
空头挤压是否会导致市场异常和反杠杆效应？GameStop案的证据
出处:-
[12] The Impact of Accounting Standard Adoption Complexity on Financial Reporting Quality and Market Outcomes: Evidence from ASC 606
会计准则采用的复杂性对财务报告质量和市场结果的影响：来自asc606的证据
出处:-
[13] Monetary Policy and the Equity Term Structure
货币政策与股权期限结构
出处:-
[14] The Effective Number of Securities in an Active Portfolio: Why a Passive Benchmark Should Be Equally Weighted
主动投资组合中证券的有效数量：为什么被动基准应该同等加权
出处:-
[15] Long-Horizon Stock Returns Are Positively Skewed
长期股票回报率正偏态
出处:-
[16] Trading Volume, Information Releases, and the Returns to Equity Option Straddles
交易量、信息发布和股票期权回报率
出处:-
[17] The Firm-Level Effects of Monetary Policy: Implications for Firm Performance
货币政策的企业层面效应：对企业绩效的影响
出处:-
[18] How Common are Return Factors in Cryptocurrencies and Equities?
加密货币和股票的回报率因素有多普遍？
出处:-
[19] Static Replication of European Multi-Asset Options with Homogeneous Payoff
具有齐次收益的欧式多资产期权的静态复制
出处:-
[20] CLO Equity Holders Should Prefer Riskier Collateral Assets
CLO股权持有人应偏好风险较高的抵押资产
出处:-
[1] Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
标题:自适应互补系综EMD与加密货币价格的能量频谱
作者:Tim Leung,Theodore Zhao
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3833262
Abstract : We study the price dynamics of cryptocurrencies using adaptive complementary ensemble empirical mode decomposition (ACE-EMD) and Hilbert spectral analysis. This is a multiscale noise-assisted approach that decomposes any time series into a number of intrinsic mode functions, along with the corresponding instantaneous amplitudes and instantaneous frequencies. The decomposition is adaptive to the time-varying volatility of each cryptocurrency price evolution. Different combinations of modes allow us to reconstruct the time series using components of different timescales. We then apply Hilbert spectral analysis to define and compute the instantaneous energy-frequency spectrum of each cryptocurrency to illustrate the properties of various timescales embedded in the original time series.
Keywords : cryptocurrency, time series, empirical mode decomposition, Hilbert spectral analysis
Abstract :我们利用自适应互补系综经验模式分解（ACE-EMD）和希尔伯特谱分析研究了加密货币的价格动态。这是一种多尺度噪声辅助方法，可将任何时间序列分解为若干固有模态函数，以及相应的瞬时振幅和瞬时频率。该分解方法能适应每种加密货币价格演化的时变波动性。不同的模式组合允许我们使用不同时间尺度的组件重建时间序列。然后利用Hilbert谱分析定义并计算了每一种加密货币的瞬时能量频谱，以说明嵌入原始时间序列的各种时间尺度的性质。
Keywords :加密货币，时间序列，经验模态分解，希尔伯特谱分析
[2] Chronological Return Ordering and the Cross-Section of International Stock Returns
标题:按时间顺序的收益排序与国际股票收益的横截面
作者:Nusret Cakici,Adam Zaremba
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3832358
Abstract : Investors often focus their attention on recent information only, underestimating the relevance of information from the distant past. In consequence, the ordering of historical returns robustly predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. A value-weighted spread portfolio of global stocks that is formed on chronological return ordering earns 0.91% per month. The effect is distinctly robust and prevails among the biggest and most liquid companies. The mispricing is particularly strong in countries that are characterized by high individualism and shareholder protection. Furthermore, the return predictability is concentrated following down markets and periods of excessive volatility.
Keywords : chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets; individualism, shareholder protection, market crashes
Abstract :投资者通常只关注最近的信息，低估了来自遥远过去的信息的相关性。因此，历史收益的排序有力地预测了未来股票在横截面上的表现。利用来自49个国家的数据，我们全面考察了国际市场上的这种反常现象。按时间顺序排列的全球股票价值加权价差投资组合每月可获得0.91%的收益。这种效应明显强劲，在规模最大、流动性最强的公司中普遍存在。这种错误定价在个人主义和股东保护主义盛行的国家尤为严重。此外，回报的可预测性集中在股市下跌和过度波动时期之后。
Keywords :按时间顺序的回报排序，最近性偏差，行为金融学，股票回报的横截面，资产定价，回报的可预测性，国际市场；个人主义，股东保护，市场崩溃
[3] Collective Bargaining and Strategic Disclosure in Earnings Conference Calls
标题:财报电话会议中的集体谈判与战略披露
作者:Matt Bjornsen,Chuong Do,Thomas C. Omer
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3818551
Abstract : Prior studies provide extensive evidence that unionized firms tend to have more negative disclosure than non-unionized firms do. These studies interpret this behavior as managers of unionized firms manipulating disclosure to gain an advantage in collective bargaining but do not directly test this assumption. An alternative explanation is that unionized firms disclose truthfully on their union-deflated prospects. Using measures that are specifically designed to capture deceptive behaviors, we find that (1) managers of unionized firms tend to script their answers in conference calls to a greater extent when union-related proprietary costs are higher, (2) unionized firm managers actively cast earnings calls with unfavorable analysts before labor negotiations, (3) when union-related proprietary costs are higher, a larger share of managers’ negative language occurs in sentences with linguistic cues of deception, (4) when the firms have weak unions and operate in states with Right-to-Work laws, managers tend to be “truth-tellers,” and (5) managers of unionized firms use scripting and deceptively negative language, but not casting, more often than managers of non-unionized firms. Our findings provide confirmatory evidence that unionized firms manipulate disclosure to mitigate union-related proprietary costs. However, we also find that there are subsets of unionized firms that disclose truthfully.
Keywords : labor unions, collective bargaining, conference calls, textual analysis.
Abstract :先前的研究提供了大量的证据表明，加入工会的公司往往比不加入工会的公司有更多的负面披露。这些研究将这种行为解释为工会企业的管理者操纵信息披露以在集体谈判中获得优势，但没有直接检验这一假设。另一种解释是，加入工会的公司如实披露其工会缩减的前景。利用专门设计来捕捉欺骗行为的措施，我们发现：（1）当工会相关的专有成本较高时，工会公司的经理更倾向于在电话会议上编写他们的答案；（2）工会公司的经理在劳资谈判前主动与不好的分析师进行收益通话，（3）当与工会相关的专有成本较高时，经理的负面语言中有很大一部分出现在带有欺骗性语言暗示的句子中；（4）当公司工会较弱，并且在有工作权法的州运营时，经理往往是“说真话的人，（5）与非工会公司的经理相比，工会公司的经理更多地使用脚本和欺骗性的负面语言，但不是铸造。我们的研究结果提供了确凿的证据，工会企业操纵披露，以减轻工会相关的专有成本。然而，我们也发现有一小部分加入工会的公司会如实披露。
Keywords :工会，集体谈判，电话会议，文本分析。
[4] From Use Cases to a Big Data Benchmarking Framework in Clearing Houses and Exchanges
标题:从用例到清算所和交易所的大数据基准框架
作者:Olga Lewandowska,Edgar Mai
出处:Journal of Financial Market Infrastructures, Vol. 9, No. 1, 2021
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3834536
Abstract : Although big data technology (BDT) is revolutionizing a variety of industries, including the financial sector, its architecture is heterogeneous: different companies apply different hardware, software and approaches. With advances in artificial intelligence and improved hardware computing power, a more holistic approach to benchmarking is needed. Comparing the extent of big data applications for a given use case within and between companies from a given sector of the economy can help us to identify the existing gaps in implementing this new technology. But how can we compare the use of BDT across companies, and what constitutes better usage or a greater extent of implementation? How can technology influence return on investment and other economic benchmarks? In this paper, we propose a conceptual framework that links the technical and business benchmarks in the domain of clearing houses and securities exchanges. The approach is as follows. First, we identify plausible use cases in the value chain of clearing houses and exchanges that are eligible for the application of BDT. We focus mostly on machine learning applications. Second, we present the eligible technical benchmarks that can be applied to those use cases. Finally, we map the economic benchmarks to the identified use cases and associated technical benchmarks in an integrated framework. We describe methodologies and tools to help assess and maximize the business benefits of BDT adoption for clearing houses and exchange operators, providing criteria for the selection of the most appropriate BDT solutions. Moreover, we present use cases in which BDT has already been implemented in leading clearing houses.
Keywords : big data technology (BDT); big data benchmarking; machine learning; artificial intelligence (AI); digitization of clearing services; exchange operators; use of artificial intelligence in risk management.
Abstract :尽管大数据技术（big data technology，BDT）正在给包括金融业在内的多个行业带来革命性的变化，但它的体系结构是异构的：不同的公司采用不同的硬件、软件和方法。随着人工智能的进步和硬件计算能力的提高，需要一种更全面的基准测试方法。比较某个特定经济部门的公司内部和公司之间的某个特定用例的大数据应用程度，可以帮助我们确定在实施这项新技术方面存在的差距。但是，我们如何比较各个公司对BDT的使用，以及什么是更好的使用或更大程度的实现？技术如何影响投资回报率和其他经济基准？在本文中，我们提出了一个概念框架，将清算所和证券交易所领域的技术和业务基准联系起来。方法如下。首先，我们确定有资格应用BDT的清算所和交易所价值链中合理的用例。我们主要关注机器学习应用。其次，我们提出了可应用于这些用例的合格技术基准。最后，我们将经济基准映射到一个集成框架中已识别的用例和相关的技术基准。我们描述了有助于评估和最大化票据交换所和交易所运营商采用BDT的商业利益的方法和工具，为选择最合适的BDT解决方案提供了标准。此外，我们还介绍了一些用例，其中BDT已经在主要的清算所中实施。
Keywords :大数据技术；大数据对标；机器学习；人工智能；结算服务的数字化；交易所经营者；人工智能在风险管理中的应用。
[5] A Descriptive Analysis of the Client Clearing Network in the European Derivatives Landscape
标题:欧洲衍生品市场客户清算网络的描述性分析
作者:Argyris Kahros,Alessandro Pioli,Thomas Carraro,Marios Gravanis,Francesco Vacirca
出处:Journal of Financial Market Infrastructures, Vol. 9, No. 1, 2021
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3834527
Abstract : We present the findings of a detailed descriptive analysis of client clearing activity for derivatives in the euro area, as well as that of clearing members more broadly. To the best of our knowledge, this study, which covers all over-the-counter and exchange-traded asset classes and contract types, represents the first such detailed exploration and characterization of derivatives client clearing in the literature. Our findings highlight the concentrated nature of client clearing service provision, with 15 clearing members accounting for almost 90% of the total client-cleared notional. We show the magnitude, type and location of clearing carried out by members for their own house trades and on behalf of clients. Our analysis encompasses the clearing activity over 36 000 clients domiciled in over 70 countries, and over 330 clearing members from 26 countries. The data used to conduct this analysis is trade-level information on derivatives positions made available to authorities under the European Market Infrastructure Regulation, and reported by market participants to trade repositories. This big financial data set, while highly granular and rich, presents a number of challenges related to issues of data quality, as well as the effective management and analysis of the volume of information.
Keywords : client clearing; centrally cleared derivatives; OTC; ETD; central counterparties (CCPs); EMIR.
Abstract :我们对欧元区衍生品客户清算活动以及更广泛的清算成员的清算活动进行了详细的描述性分析。据我们所知，这项研究涵盖了所有场外交易和交易所交易的资产类别和合约类型，是文献中首次对衍生品客户清算进行详细的探索和描述。我们的调查结果突出了客户清算服务提供的集中性，15个清算成员几乎占名义清算客户总数的90%。我们展示了会员为自己的房屋交易和代表客户进行的清算的规模、类型和地点。我们的分析涵盖了超过36000个客户的结算活动，这些客户分布在70多个国家，超过330个结算会员来自26个国家。进行这一分析所使用的数据是根据《欧洲市场基础设施条例》向当局提供的衍生品头寸的交易层面信息，并由市场参与者向交易存储库报告。这一大的金融数据集虽然粒度高、内容丰富，但在数据质量问题以及对信息量的有效管理和分析方面存在许多挑战。
Keywords :客户清算；集中清算衍生品；场外交易；ETD；中央对手方（CCP）；埃米尔。
[6] Real(istic) Time-Varying Probability of Consumption Disasters
标题:消费灾害的真实时变概率
作者:Xiaoyu Huang,Tao Jin,Hao Zhou
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2944788
Abstract : We model the time-varying probability of consumption disasters with international risk interactions and estimate the model using national accounts data of 42 countries back to 1833. The estimated world and country-specific disaster probabilities accord well with historical macroeconomic disasters. A match of equity premium requires a relative risk aversion coefficient around 5, substantively smaller than the previous estimates. Also, the model delivers a significantly better match for the equity volatility than alternative rare disaster models. Finally, the disaster probability index estimated from the model can predict equity returns in the very long term---up to 50 years.
Keywords : consumption disasters, time-varying probability, asset pricing, risk aversion, equity-premium prediction
Abstract :我们建立了具有国际风险交互作用的消费灾害时变概率模型，并利用1833年42个国家的国民账户数据对模型进行了估计。估计的世界和国家特定灾害概率与历史宏观经济灾害符合得很好。股票溢价的匹配需要相对风险规避系数在5左右，大大小于先前的估计。此外，与其他罕见灾害模型相比，该模型对股票波动性的匹配性显著提高。最后，根据该模型估计出的灾害概率指数可以预测非常长期的股票收益率——最长50年。
Keywords :消费灾害、时变概率、资产定价、风险规避、股票溢价预测
[7] Gradient boosting for quantitative finance
标题:数量金融的梯度推进
作者:Jesse Davis,Laurens Devos,Sofie Reyners,Wim Schoutens
出处:Journal of Computational Finance, Vol. 24, No. 4, 2020
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3829891
Abstract : In this paper, we discuss how tree-based machine learning techniques can be used in the context of derivatives pricing. Gradient boosted regression trees are employed to learn the pricing map for a couple of classical, time-consuming problems in quantitative finance. In particular, we illustrate this methodology by reducing computation times for pricing exotic derivatives products and American options. Once the gradient boosting model is trained, it is used to make fast predictions of new prices. We show that this approach leads to speed-ups of several orders of magnitude, while the loss of accuracy is very acceptable from a practical point of view. In addition to the predictive performance of these methods, we acknowledge the importance of interpretability of pricing models. For both applications, we therefore look under the hood of the gradient boosting model and elaborate on how the price is constructed and interpreted.
Keywords : machine learning; regression trees; derivatives pricing; exotic options; computation time
Abstract :本文讨论了基于树的机器学习技术在衍生品定价中的应用。利用梯度增强回归树来学习数量金融中几个经典的、耗时的问题的定价图。特别是，我们通过减少计算时间来说明这种方法的定价奇异衍生品产品和美式期权。一旦梯度推进模型被训练，它被用来快速预测新的价格。我们表明，这种方法导致了几个数量级的加速，而从实际角度来看，精度损失是可以接受的。除了这些方法的预测性能外，我们还认识到定价模型可解释性的重要性。因此，对于这两个应用程序，我们将在梯度推进模型的框架下进行研究，并详细说明如何构建和解释价格。
Keywords :机器学习；回归树；衍生品定价；异国情调的选择；计算时间
[8] 'I Just Like the Stock' versus 'Fear and Loathing on Main Street' : The Role of Reddit Sentiment in the GameStop Short Squeeze
标题:“我就是喜欢股票”与“大街上的恐惧和厌恶”：Reddit情绪在GameStop空头挤压中的作用
作者:Cheng Long,Brian M. Lucey,Larisa Yarovaya
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3822315
Abstract : This paper investigates the role, if any, played by the social media platform Reddit, in the events around the GameStop short squeeze in early 2021. In particular, we analyse the impact of discussions on the r/WallStreetBets subreddit on the price dynamics of the American online retailer GameStop. We perform textual analysis on 10.8m comments and surface the relationships between the comment sentiments and 1-min GameStop returns. Results indicate that both tone and number of comments influence GME intraday returns. Sentiments extracted from longer threads have a greater influence. Fear is the dominant sentiment in all comments, while comments that express a Sad sentiment show the most significant impact. While investors may just like the stock, it appears that fear and loathing also are important.
Keywords : Gamestop, Reddit, Robinhood, media sentiments, short squeeze, Herding, textual analysis
Abstract :本文调查了社交媒体平台Reddit在2021年初GameStop卖空事件中所扮演的角色（如果有的话）。特别是，我们分析了讨论对美国在线零售商GameStop价格动态的影响。我们对1080万条评论进行了文本分析，揭示了评论情绪与1分钟GameStop返回之间的关系。结果表明，语气和评论数都会影响GME的日内收益率。从长线中提取的情感影响更大。恐惧是所有评论中的主导情绪，而表达悲伤情绪的评论则显示出最显著的影响。虽然投资者可能喜欢这只股票，但恐惧和厌恶似乎也很重要。
Keywords :Gamestop，Reddit，Robinhood，媒体情绪，短期挤压，放牧，文本分析
[9] The Effects of Media Co-coverage on Investors’ Perceived Relatedness between Two Firms: Evidence from Information Transfers
标题:媒体联合报道对投资者感知的两家公司关系的影响：来自信息传递的证据
作者:Jingjing Xia
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3832443
Abstract : This study examines the effects of media co-coverage—a phenomenon where multiple firms are simultaneously mentioned in the same news article—on investors’ perceived relatedness between the co-covered firms. Using the setting of information transfers during two co-covered firms’ earnings announcements, I find evidence consistent with co-coverage increasing the firms’ perceived relatedness. Specifically, the announcement return of an early-announcing co-covered peer negatively predicts the announcement return of the subsequently-announcing focal firm, suggesting that focal firm investors overreact to the peer’s earnings news. The negative return predictability is stronger when investors are more likely to pay attention to the article where the two firms were co-covered and when the peer’s earnings are more relevant to the focal firm’s upcoming earnings announcement. These findings shed light on an unintended consequence of journalists’ co-coverage practice on the efficiency with which equity investors use peer information.
Keywords : media co-coverage, economically related firms, perceived relatedness, information transfers
Abstract :本研究探讨了媒体联合报道（一种多家公司同时出现在同一篇新闻文章中的现象）对投资者感知的联合报道公司之间关系的影响。利用两个共同覆盖公司的收益公告中的信息传递设置，我发现与共同覆盖一致的证据增加了公司的感知关联性。具体而言，提前宣布的共同覆盖同行的公告回报率对随后宣布的焦点公司的公告回报率有负面预测，表明焦点公司投资者对同行的盈利消息反应过度。当投资者更可能关注这两家公司被共同报道的文章时，以及当同行的收益与焦点公司即将发布的收益公告更相关时，负收益的可预测性更强。这些发现揭示了新闻记者共同报道股票投资者利用同行信息的效率的一个意外结果。
Keywords :媒体共同报道，经济相关公司，感知关联性，信息传递
[10] Lottery Stocks and Stop-loss Rules
标题:彩票股票和止损规则
作者:Bochuan Dai,Ben R. Marshall,Nhut H. Nguyen,Nuttawat Visaltanachoti
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3836739
Abstract : We show that stop-loss rules increase the returns to investment in stocks with lottery features. These stocks, which are popular with individual investors, typically have sporadic big gains and frequent small losses. However, stop-loss rules can reduce losses and allow investors to receive the gains from large price increases. We also highlight the sell signals of popular technical rules are like stop-loss rules and are effective at increasing lottery stock risk-adjusted returns. These rules could help investors avoid instances of major historical drawdowns, are particularly beneficial in declining markets, and are robust to the inclusion of transaction costs.
Keywords : Lottery Stocks, Stop-loss Rules, Trading Strategies, Individual Investors
Abstract :我们证明了止损规则增加了对具有彩票特征的股票的投资收益。这些受到个人投资者欢迎的股票，一般都有零星的大涨和频繁的小跌。不过，止损规则可以减少损失，让投资者从大幅涨价中获得收益。我们还强调了流行的技术规则的卖出信号就像止损规则一样，能够有效地提高彩票股票的风险调整收益。这些规则有助于投资者避免出现重大历史性资金缩减的情况，在市场衰退时尤其有益，而且对纳入交易成本也很有利。
Keywords :彩票股票，止损规则，交易策略，个人投资者
[11] Does the Short Squeeze Lead to Market Abnormality and Anti-leverage Effect? Evidence From the GameStop Case
标题:空头挤压是否会导致市场异常和反杠杆效应？GameStop案的证据
作者:Evangelos Vasileiou
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3831619
Abstract : This study examines the GME short squeeze in early 2021. Using intraday data from the period 4/1/2021 - 5/2/2021, we show that the GME stock price exhibited abnormal behavior. The Runs-test confirms that the GME returns were not randomly distributed, which is an indication of a violation of the Efficient Market Hypothesis (EMH). Moreover, we employ the asymmetry EGARCH(1,1,1) model and we provide evidence that an exceptional time series feature emerged during the examined period: the anti-leverage effect. In contrast to what the time series normally show, volatility increased when the GME prices increase. The combination of the short squeeze and the investors’ coordination may be the appropriate conditions for the anti-leverage effect to emerge, which may be a new way to econometrically show violation of the EMH. The outcome of this analysis is useful for scholars and regulators because coordination among investors is easier than ever in the internet era and such events may happen again in the future; even under normal conditions (not during a short squeeze) this could lead to market instability.
Keywords : Short Squeeze; Anti-leverage Effect; Efficient Market Hypothesis; Runs-test
Abstract :本研究考察了2021年初GME的短期挤压。利用2021年4月1日至2021年5月2日的盘中数据，我们发现GME股价表现出异常行为。游程检验证实，GME收益并非随机分布，这表明违反了有效市场假说（EMH）。此外，我们采用了非对称EGARCH（1,1,1）模型，并证明了在研究期间出现了一个特殊的时间序列特征：反杠杆效应。与时间序列通常显示的相反，当GME价格上涨时，波动性增加。空头挤压和投资者协调的结合可能是反杠杆效应产生的适当条件，这可能是一种从计量角度揭示有效市场假说违背的新方法。这一分析的结果对学者和监管者是有用的，因为在互联网时代，投资者之间的协调比以往任何时候都更容易，而且这种事件在未来可能再次发生；即使在正常情况下（不是在短时间内），这也可能导致市场不稳定。
Keywords :短挤压；反杠杆效应；有效市场假说；运行测试
[12] The Impact of Accounting Standard Adoption Complexity on Financial Reporting Quality and Market Outcomes: Evidence from ASC 606
标题:会计准则采用的复杂性对财务报告质量和市场结果的影响：来自asc606的证据
作者:Jaehan Ahn,Udi Hoitash,Roy Schmardebeck
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3835849
Abstract : This study examines the impact of accounting standard adoption complexity on financial reporting quality and market outcomes. We capture adoption complexity by uniquely using adoption-related disclosures required under Staff Accounting Bulletin (SAB) 74. We examine the adoption outcomes of the new revenue recognition standard under Accounting Standards Codification (ASC) 606. This standard is one of the most significant changes to accounting standards in recent times. Among materially impacted companies, we find that those with greater adoption complexity experience lower revenue-related financial reporting quality and lower information asymmetry in the post-adoption period. Importantly, we find that reductions in information asymmetry only occur for companies with complex adoptions and higher adoption quality, suggesting that the market discerns between high- and low-quality adopters. Overall, our results suggest that while the adoption of ASC 606 is challenging, it is associated with market benefits. Notably, they underscore the importance for future research and market participants that evaluate adoption outcomes to consider adoption complexity and adoption quality. Otherwise, they could miss an important facet of the adoption and may attribute adoption outcomes less precisely.
Keywords : Revenue recognition, financial statement misstatements, SEC comment letters, information asymmetry, SAB 74, ASC 606, accounting standard adoption
Abstract :本研究探讨会计准则采用之复杂性对财务报告品质及市场结果之影响。我们通过独特地使用员工会计公告（SAB）74中要求的与收养相关的披露来捕捉收养的复杂性。我们研究了会计准则法典（ASC）606下新收入确认标准的采用结果。本准则是近年来会计准则最重大的变化之一。在受到重大影响的公司中，我们发现，采用复杂度较高的公司，在采用后的时期，收入相关的财务报告质量较低，信息不对称程度较低。重要的是，我们发现信息不对称的减少只发生在采用复杂和采用质量较高的公司，这表明市场区分高质量和低质量的采用者。总的来说，我们的结果表明，虽然ASC606的采用具有挑战性，但它与市场效益相关。值得注意的是，它们强调了未来研究和市场参与者评估采纳结果以考虑采纳复杂性和采纳质量的重要性。否则，他们可能会错过领养的一个重要方面，并可能对领养结果作出不太准确的评价。
Keywords :收入确认、财务报表错报、SEC意见函、信息不对称、SAB 74、ASC 606、会计准则采用
[13] Monetary Policy and the Equity Term Structure
标题:货币政策与股权期限结构
作者:Benjamin Golez,Ben Matthies
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3836206
Abstract : We study the impact of monetary policy on the term structure of equity prices. We find that short-term and long-term equity prices respond in opposite ways to changes in monetary policy. Following an unanticipated cut in the target federal funds rate, short-term equity prices fall while long-term equity prices rise on average. This pattern could arise if policy decisions signal information about economic conditions. We examine this mechanism and find that the price change of the short-term equity asset in the 30-minute window around an FOMC announcement significantly predicts both macroeconomic growth and professional forecast errors over subsequent quarters.
Keywords : Keywords: Equity term structure, Monetary policy, Asset pricing
Abstract :本文研究了货币政策对股票价格期限结构的影响。我们发现短期和长期股票价格对货币政策变化的反应是相反的。在联邦基金目标利率意外下调后，短期股票价格下跌，而长期股票价格平均上涨。如果政策决定传达有关经济状况的信息，这种模式就可能出现。我们检验了这一机制，发现围绕联邦公开市场委员会（FOMC）公告的30分钟窗口内，短期股权资产的价格变化显著预测了随后几个季度的宏观经济增长和专业预测误差。
Keywords :关键词：股权期限结构、货币政策、资产定价
[14] The Effective Number of Securities in an Active Portfolio: Why a Passive Benchmark Should Be Equally Weighted
标题:主动投资组合中证券的有效数量：为什么被动基准应该同等加权
作者:J.B. Heaton
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3836117
Abstract : If an active equity manager's task is to pick stocks from a benchmark index, then only equal weighting reflects an appropriate benchmark reflecting no prior knowledge of which stocks will outperform others. I use Shannon's entropy to formalize this idea and show how any deviation from equal weighting reflects a smaller effective number of securities than contained in the benchmark, even if each security receives some weight, an appealing notion of the stock picker's task.
Keywords : investment management, active, passive, performance
Abstract :如果一个活跃的股票经理的任务是从一个基准指数中挑选股票，那么只有相等的权重反映了一个适当的基准，而不是事先知道哪些股票会跑赢其他股票。我使用Shannon熵来形式化这个想法，并展示任何偏离等权重的情况如何反映出比基准中包含的证券数量更小的有效证券数量，即使每个证券都获得了一些权重，这是选股者任务的一个吸引人的概念。
Keywords :投资管理，主动，被动，绩效
[15] Long-Horizon Stock Returns Are Positively Skewed
标题:长期股票回报率正偏态
作者:Adam Farago,Erik Hjalmarsson
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3835813
Abstract : At long horizons, multiplicative compounding induces strong-to-extreme positive skewness into stock returns; the magnitude of the effect is primarily determined by single-period volatility. Consequently, at horizons greater than five years, returns --individual or portfolio-- will be positively skewed under reasonable parametrizations. From an investor perspective, the strong positive skewness implies that the mean compound return will serve as a poor guide for typical long-horizon outcomes. Moreover, the large effects of compounding on higher-order moments are shown to affect the validity of Taylor expansions used to approximate preferences for skewness, when applied to returns of annual or longer horizons.
Keywords : Compound returns, Long-run returns, Portfolio choice, Skewness
Abstract :在长视野下，乘法复合会导致股票收益从强到极端的正偏态；影响的大小主要由单周期波动性决定。因此，在超过五年的期限内，在合理的参数化下，个人或投资组合的回报率将出现正偏差。从投资者的角度来看，强正偏态意味着平均复合回报率对于典型的长期结果将起不到很好的指导作用。此外，当应用于年度或更长期限的回报时，复合对高阶矩的巨大影响会影响泰勒展开式用于近似偏度偏好的有效性。
Keywords :复合回报，长期回报，投资组合选择，偏度
[16] Trading Volume, Information Releases, and the Returns to Equity Option Straddles
标题:交易量、信息发布和股票期权回报率
作者:Thaddeus Neururer,George Papadakis
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3736127
Abstract : In this paper we investigate the relationship between past trading volume and variance risk premiums (VRPs) around earnings announcement (EAs). Theoretical models suggest opposing relationships between trading volume and VRPs. Using a large sample of straddle returns, we find higher VRPs for firms around EAs with higher trading volume. This relationship holds conditional to other factors suggested to predict VRPs and appears specific to the EA period. Further tests reveal that the result is driven by excess options trading and options trading continues to predict straddle returns conditional on excess stock trading, option open interest, analyst dispersion, and realized earnings surprises. Our main results suggest a one-standard deviation increase in abnormal log options trading volume is associated with a 170 to 190 basis points drop in realized straddle returns around EAs. Finally, we find excess option trading is a stronger predictor of EA option returns for smaller firms and firms with tighter equity bid-ask spreads.
Keywords : Volatility, earnings announcements, options, trading volume, variance risk premiums
Abstract :本文研究了过去交易量与盈余公告前后方差风险溢价（vrp）之间的关系。理论模型表明，成交量和VRP之间存在相反的关系。利用一个跨座回报的大样本，我们发现交易量较高的东亚地区公司的VRP较高。这种关系有条件的其他因素，建议预测VRPs和似乎具体到EA时期。进一步的检验表明，这一结果是由超额期权交易驱动的，期权交易继续预测超额股票交易、期权未平仓利率、分析师分散度和实现收益惊喜等条件下的跨座收益。我们的主要结果表明，异常对数期权交易量的一个标准差增加与EAs周围已实现的多头回报率下降170至190个基点有关。最后，我们发现，对于规模较小的公司和股权买卖价差较紧的公司，超额期权交易对EA期权收益有较强的预测作用。
Keywords :波动性、收益公告、期权、交易量、差异风险溢价
[17] The Firm-Level Effects of Monetary Policy: Implications for Firm Performance
标题:货币政策的企业层面效应：对企业绩效的影响
作者:Oliver Binz,Matthew Kubic,Peter R. Joos
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3835653
Abstract : We study the dynamic transmission of monetary policy shocks into firm profitability. By gauging the net effect of consumers’ and managers’ responses to these shocks, we find an initial negative association between the shocks and firm revenues and expenses. The revenue response is consistent with a consumer substitution effect, while the expense response is consistent with a firm cost of capital effect. In subsequent quarters, the expense effect exceeds the revenue effect, yielding a positive relation between the shocks and profitability. Using cross-sectional tests, we show that substitution (cost of capital) effects are a function of consumers’ (firms’) financing constraints, firms’ industry membership, and the scope of firms’ international activities.
Keywords : Monetary Policy, Consumption, Investment, Revenues, Expenses, Earnings
Abstract :我们研究了货币政策冲击对企业盈利能力的动态传导。通过衡量消费者和管理者对这些冲击的反应的净效应，我们发现冲击与公司收入和支出之间存在着最初的负相关关系。收入反应与消费者替代效应一致，而费用反应与企业资本成本效应一致。在随后的几个季度，支出效应超过了收入效应，在冲击和盈利能力之间产生了正相关关系。通过横截面检验，我们发现替代（资本成本）效应是消费者（企业）融资约束、企业行业成员和企业国际活动范围的函数。
Keywords :货币政策、消费、投资、收入、支出、收益
[18] How Common are Return Factors in Cryptocurrencies and Equities?
标题:加密货币和股票的回报率因素有多普遍？
作者:Guo Feng,Yulong Sun
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3835627
Abstract : Finance research contributes to finding factors to explain the cross-sectional expected equity and cryptocurrency returns. In this paper, we implement the statistical methods to evaluate the common factor structure of these two markets and aim to identify the possible common factors across two markets. By considering the comprehensive dataset covering cryptocurrencies and the U.S. equity universe, we find that there are no common pervasive factors that govern the returns for both cryptocurrencies and equities before 2019, but there arises one common factor post-2020. The identified common factor is significantly related to the standard equity factors but not the crypto factors, which suggests that equity factors can help explain the common variations in returns across equities and cryptocurrencies. The documented pattern is robust across different U.S. equity market classifications, return specifications, and implemented statistical methods. Moreover, we find this pattern holds at the international equity market level. Our results point to the arising of common factors driving the returns on these two markets. Specifically, it's the equity factors that contribute to explaining the cross-sectional cryptocurrency returns recently.
Keywords : Asset pricing; Cryptocurreny; Common subspace; Equity market; Factor structure.
Abstract :金融研究有助于找到解释股票和加密货币横向预期收益的因素。在本文中，我们运用统计方法来评估这两个市场的共同因素结构，并试图找出这两个市场可能存在的共同因素。通过考虑涵盖加密货币和美国股票领域的综合数据集，我们发现，2019年之前，不存在控制加密货币和股票回报的普遍性共同因素，但2020年之后出现了一个共同因素。确定的共同因素与标准股票因素显著相关，但与加密因素无关，这表明股票因素有助于解释股票和加密货币之间收益的共同变化。记录在案的模式在不同的美国股市分类、回报率规范和实施的统计方法中都是稳健的。此外，我们发现这种模式在国际股票市场层面上是成立的。我们的结果指出，共同因素的出现推动这两个市场的回报。具体来说，股票因素有助于解释最近的跨部门加密货币回报率。
Keywords :资产定价；隐咖喱；公共子空间；股票市场；要素结构。
[19] Static Replication of European Multi-Asset Options with Homogeneous Payoff
标题:具有齐次收益的欧式多资产期权的静态复制
作者:Sebastien Bossu
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3835464
Abstract : The replication of any European contingent claim by a static continuous portfolio of calls and puts, formally proven by Carr and Madan (1998), extends to multi-asset claims with absolutely homogeneous payoff. Using sophisticated tools from integral geometry, we show how such claims may be replicated with a continuum of vanilla basket calls and derive closed-form solutions to replicate two-asset best-of and worst-of options. We also derive a novel mathematical formula to invert the Radon transform which we apply to obtain a tractable expression of the joint implied distribution. Consequently, a large class of multi-asset options admit a model-free price enforced by arbitrage, just as single-asset European claims do.
Keywords : option replication, Breeden-Litzenberger, Radon transform, worst-of, best-of, exotic option, multi-asset, integral equation
Abstract :Carr和Madan（1998）正式证明的静态连续看涨期权和看跌期权组合对任何欧洲未定权益的复制，扩展到具有绝对同质收益的多资产债权。利用积分几何中的复杂工具，我们展示了如何用一系列普通的一揽子买入期权来复制这类债权，并导出了复制两种资产最佳和最差期权的封闭式解。我们还推导了一个新的数学公式来反演Radon变换，我们应用它来获得联合隐含分布的一个易于处理的表达式。因此，一大类多资产期权承认套利实施的无模型价格，就像单一资产欧洲债权一样。
Keywords :期权复制，Breeden-Litzenberger，Radon变换，最坏的，最好的，奇异期权，多资产，积分方程
[20] CLO Equity Holders Should Prefer Riskier Collateral Assets
标题:CLO股权持有人应偏好风险较高的抵押资产
作者:Douglas Lucas
出处:-
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3835312
Abstract : Option pricing theory explains why collateralized loan obligation (CLO) equity holders should prefer riskier CLO collateral asset portfolios with greater cashflow volatility. The degree to which CLO equity holders are better off with riskier portfolios depends on how well CLO equity is performing or, in option terms, whether CLO equity is in-the-money, at-the-money, or out-of-the-money.
Keywords : collateralized loan obligation, clo, collateralized loan obligation equity, clo equity, option pricing theory
Abstract :期权定价理论解释了为什么抵押贷款债务（CLO）股权持有人应该选择风险更高、现金流波动性更大的CLO抵押资产组合。CLO股权持有人在风险较高的投资组合中的境况如何，取决于CLO股权的表现，或者，就期权而言，取决于CLO股权是在钱里，在钱里，还是在钱外。
Keywords :贷款抵押债券，clo，贷款抵押债券权益，clo权益，期权定价理论