ge nuctuati ng.Bycon"ol l 【“ g param etershave beenproperl y cha“ gedexceedi ng8Ll aggi ngof LEAD LAG andgavethe appl i cati on exam pl e.useo{the functi ons ofexceedi “ g8L 1399i “ g of LEAD LAG ,t he courset and the effecti sdi sti nct.Thi 5 paper studl ed ...
lead-lag effectnetworksIn many settings, the literature argues monthly long-short portfolio alphas of up to 1.5% from a lead-lag sort method provide evidence that information diffusesBurt, AaronHrdlicka, Christopher MSocial Science Electronic Publishing...
The lead-lag effect is related to the post-announcement drift of small firms following the earnings releases of big firms within the industry.doi:10.2139/ssrn.463005Kewei HouS&P Global Market Intelligence Research Paper SeriesHou, K., 2007, Industry information diffusion and the lead-lag effect ...
PERTTUNEN, P. YLI-OLLI AND A. GUNASEKARAN, 1994c, Modelling the Lead- Lag Effect betweeen Dual Class Shares: Evidence from Finland, International Journal of Systems Science, 25, 1205-1211.Modelling the lead-lag effect between dual-class shares - Martikainen, Perttunen, et al. - 1994...
This study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the methodology proposed by Shih Chen and Hsiao (2008). Among the results the research emphasizes, we analyzed that the Brazilian market is leading others stock ...
2) lead-lag effect 领先-滞后 3) lead-lag structure 领先滞后结构 1. The different cross-autocorrelation andlead-lag structurein Shanghai stock market is found compared with those in US stock market reported by Lo et al. 采用反转交易策略的方法,构建了沪市A股滞后1～8周的互自相关系数矩阵,发现沪...
Trading Volume and Cross-Autocorrelations in Stock Returns This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volu... Tarun,Chordia,Bhaskaran,... - 《Journal of Finance》 被引量: 1197发表: ...
前者analysts coverage导致lead-lag effect减弱时generally,但是后者只会对industrial factor有影响(如果假设这样的former & latter调整模型:Model:Earnings = Industry factor+ Location Factor+ Firm-specific Factor, the industry & location factors of the former can predict the latter announcement separately)。
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!
Moderate impact of ERPS on management accounting: a lag or permanent outcome? The currently most advanced administrative corporate IT solutions have emerged in the form of enterprise resource planning systems (ERPS). The number of ad... Markus Granlund a,Teemu Malmi b - 《Management Accounting ...