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...
Lead-lag effects in a competitive REE market This paper introduces and analyses a model of cross-security information aggregation in a rational expectations equilibrium (REE). The model predicts a well-defined lead-lag structure between securities returns as a result of Bayesian in... P Säfven...
We test for lead-lag effects in the mean and variance among size-sorted portfolios for the UK stock market. We construct three sets of portfolios, namely a set of size-sorted equally-weighted portfolios of different capitalization size, a set of size-sorted value-weighted portfolios of different...
In step two, lag burst thresholds were obtained for noise burst Materials and methods If higher lag burst thresholds in reverberation are a result of masking effects, it is possible that interactions in both peripheral and central auditory areas contribute. The purpose of Experiment 2 was to ...
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,...
a• Provided details and guidance to address technology specific measurement effects[translate] athe firms' decisions are interdependent so that the expected reaction of other firms is an important consideration 公司的決定是相互依賴的,以便其他企業的期望的反應是重要考慮[translate] ...
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 ...
Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis Recent developments in the energy markets, and the surge and dip in crude oil prices over the last few years, have renewed the interest in the workings of ... Sharon Xiao wen Lin,MN Tamvakis - 《Energy ...
Intraday, firm level, lead/lag effects in stock and option markets are examined using vector error correction models, which include lagged levels and differenced data. For the five firms examined, results indicate that stock market leading behavior is generally predominant. In particular, the levels...