Geographic Lead-Lag Effects, Parsons et. al (2019) 结论性质的大概就这几条:倒叙 1. Geographic Lead-Lag Effects年化收益率5%-6%(industry lead-lag effects的1/2) 2. 行业领先滞后效应在小市值、交易数量少、分析师报道较少的股票中表现很强,但是地理上的领先滞后效应与上述投资者关注(scrutiny审查)的代理...
我准备把在中国replicate geographic lead-leg effect的一些想法抄上来: 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...
lead-lag effectsIn this paper we extend an analysis by Lo and Wang (1995), who showed that predictability of asset returns affects derivatives prices through its impact on instantaneous volatility. We investigate how the whole instantaneous variance-covariance matrix of two assets returns is affected...
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,发现沪市A股存在与美国股市不同的互自相关关系和领先滞后结构。 4) lead-lag relationship 领先-滞后关系 5) lead lag effects 领先-滞后效应 6) Price lead-lag relationship 价格领先滞后关系 ...
We document lead-lag effects in stock returns between co-headquartered firms operating in different sectors. Such geographic lead-lags yield risk-adjusted returdoi:10.2139/ssrn.2780139Parsons, Christopher A.Sabbatucci, RiccardoTitman, SheridanSocial Science Electronic Publishing...
Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric inference on such model provides: (i) a unified statistical...
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...
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 ...
1) lead lag effects 领先-滞后效应 2) hysteresis effect 滞后效应 1. Numerical simulation of near-miscible flooding of water alternating gas considered hysteresis effect; 考虑滞后效应的水气交替近混相驱数值模拟 2. Theoretical analysis and experimental results have showed that the mutual relationships...