是对于lead/lag firms中的单独的公司的报道,投资者通过观察这些报告,从而加速信息的传递,导致lead lag effect没有那么显著;还是通过common coverage揭示industrial fundamental linkage。paper认为需要找这样的leading sort variables,既能够捕捉到这种lead-lag effects,又能够表征这种不同coverage的差异。前者analysts coverage...
上面的思考来源于最开始复制的时候,完全按照equal weight去考虑同一省份的公司的影响没有得到很好的效果,如果假设lead-leg effect成立,那应该想办法更精准的刻画geographic relationship strength,简单的就是value,再加一点可能是距离。金还提到了高铁开通的影响,buff得后加看看! vw确实有了不错的效果,但是这里还没有排...
Direct empirical tests of the lead-lag effects between individual stocks on the Paris Bourse provided strong support for the model. In addition to confirming the predicted pattern of leads and lags, the paper demonstrates that the cross-security correlation is higher for short-term returns than ...
athere is evidence that these second-order effects are among the most interesting impacts. 有证据证明这些第二级次的作用是在最有趣的冲击之中。[translate] aIf you start to miss me,remember,l did't walk away,you let me go... If you start to miss me, remember, l did't walk away, ...
Identifying non-linear lead–lag effects of time series data is based on the concept of causal paths. Specifically, we aim at determining the optimal relation structure of two given time series 𝑥=(𝑥(1),…,𝑥(𝑁))∈ℝ𝑁x=(x(1),…,x(N))∈RN and 𝑦=(𝑦(1),…,𝑦(...