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[1] Strengthening Monitoring and Evaluation (M&E) for Achieving the Sustainable Development Goals (SDGs)
加强监测和评估（M&E）以实现可持续发展目标（SDGs）
来源:资产定价与估值_20251016
[2] The Effects of Macroeconomic Factors, Firm-Specific Characteristics, and Corporate Governance Mechanisms on Financial Performance: Evidence from the Egyptian Exchange
宏观经济因素、企业特定特征和公司治理机制对财务绩效的影响：来自埃及交易所的证据
来源:-
[3] Skin in the Game and Securitized Commercial Mortgage Pricing Before the Global Financial Crisis
全球金融危机前的博弈皮肤与证券化商业抵押贷款定价
来源:-
[4] Market-Based Variance of Market Portfolio and of Entire Market
基于市场的市场投资组合和整个市场的方差
来源:资产定价与估值_20251017
[5] Learning the Exact SABR Model
学习精确的SABR模型
来源:资产定价与估值_20251017
[6] Market Reactions as a Macroeconomic Barometer: Evidence from the TCJA
市场反应作为宏观经济晴雨表：来自TCJA的证据
来源:资产定价与估值_20251017
[7] The market for climate technologies
气候技术市场
来源:资产定价与估值_20251017
[8] Multi-Moment Tilting for the Equity Premium
股权溢价的多时刻倾斜
来源:资产定价与估值_20251017
[9] Equilibrium Pricing of Bitcoin Options with Stochastic Volatility, Jumps, and Liquidity Risk
具有随机波动、跳跃和流动性风险的比特币期权均衡定价
来源:资产定价与估值_20251020
[10] Labor Market Frictions and Asset Prices
劳动力市场摩擦与资产价格
来源:资产定价与估值_20251020
[11] The Covenant Liquidity Index: A Framework for Rating Private Credit Liquidity and Secondary Market Discounts
契约流动性指数：私人信贷流动性和二级市场贴现评级框架
来源:资产定价与估值_20251020
[12] Benchmark Discrepancies and Performance Boost in Emerging Markets:Evidence from China’s Mutual Fund Industry
新兴市场的基准差异与业绩提升：来自中国共同基金行业的证据
来源:资产定价与估值_20251020
[13] Investor Behavior in the Pre-Opening: The Role of Price Impact and Strategic Interaction
开盘前投资者行为：价格影响和战略互动的作用
来源:资产定价与估值_20251020
[14] The Fragility of Optimization: How Estimation Risk Undermines Active Investing with Autoregressive Forecasts
优化的脆弱性：估计风险如何通过自回归预测削弱主动投资
来源:资产定价与估值_20251022
[1] Strengthening Monitoring and Evaluation (M&E) for Achieving the Sustainable Development Goals (SDGs)
标题:加强监测和评估（M&E）以实现可持续发展目标（SDGs）
作者:Faith Musabila,Abigail Kayeyi,James Mumba
来源:资产定价与估值_20251016
Abstract : Establishment of Sustainable Development Goals (SDGs) in the year 2015 was a historic global promise of sustainable and inclusive development to the world. Monitoring and Evaluation (M&E) is the linchpin that is centrally critical to tracking progress, taking accountabilities, and to enable making of informed decisions that are rooted in rigorous evidence, all for achieving these aspirational goals. The paper puts......(摘要翻译及全文见知识星球)
Keywords :
[2] The Effects of Macroeconomic Factors, Firm-Specific Characteristics, and Corporate Governance Mechanisms on Financial Performance: Evidence from the Egyptian Exchange
标题:宏观经济因素、企业特定特征和公司治理机制对财务绩效的影响：来自埃及交易所的证据
作者:Nader Alber,Ahmed Abdul Hameed
来源:-
Abstract : This chapter examines the effects of macroeconomic factors, firm-specific characteristics, and corporate governance mechanisms on the financial performance of nonfinancial companies listed on the Egyptian Exchange. The study uses a sample of 40 companies from the EGX100 index between 2016 and 2022. The findings reveal that inflation, company size, and CEO duality have a significant positive impact on financial performance, while......(摘要翻译及全文见知识星球)
Keywords : Financial Performance, Egyptian Exchange, Macroeconomic Factors, Firm-specific Factors, Corporate Governance
[3] Skin in the Game and Securitized Commercial Mortgage Pricing Before the Global Financial Crisis
标题:全球金融危机前的博弈皮肤与证券化商业抵押贷款定价
作者:Nathan Y. Godin,Akos Horvath,Xingliang Ma,Jacob S. Sagi
来源:-
Abstract : We find that the pre-Global Financial Crisis pricing of mortgages originated for placement into commercial mortgage-backed security trusts did not meaningfully depend on whether non-investment grade tranches of such trusts were sold soon after issuance into collateralized debt obligation pools.......(摘要翻译及全文见知识星球)
Keywords : Agency conflicts, Commercial mortgages, Lending standards, Risk retention
[4] Market-Based Variance of Market Portfolio and of Entire Market
标题:基于市场的市场投资组合和整个市场的方差
作者:Victor Olkhov
来源:资产定价与估值_20251017
Abstract : We present the unified market-based description of returns and variances of the trades with shares of a particular security, of the trades with shares of all securities in the market, and of the trades with the market portfolio. We consider the investor who doesn't trade the shares of his portfolio he collected at time t0 in the past. The investor observes......(摘要翻译及全文见知识星球)
Keywords : market-based variance, market portfolio, random market trades JEL: C0, E4, F3, G1, G12
[5] Learning the Exact SABR Model
标题:学习精确的SABR模型
作者:Marco Bianchetti,Pietro Rossi,Giorgia Rensi
来源:资产定价与估值_20251017
Abstract : The SABR model is a cornerstone of interest rate volatility modeling, but its practical application relies heavily on the analytical approximation by Hagan et al., whose accuracy deteriorates for high volatility, long maturities, and out-of-the-money options, admitting arbitrage. While machine learning approaches have been proposed to overcome these limitations, they have often been limited by simplified SABR dynamics or a lack......(摘要翻译及全文见知识星球)
Keywords : stochastic volatility, SABR, model calibration, volatility surface, interest rate derivatives, Cap, Floor, Monte Carlo, Machine learning, deep neural network
[6] Market Reactions as a Macroeconomic Barometer: Evidence from the TCJA
标题:市场反应作为宏观经济晴雨表：来自TCJA的证据
作者:Kevin Standridge,Nathan Seegert
来源:资产定价与估值_20251017
Abstract : We develop a new method to estimate the effects of the 2017 Tax Cuts and Jobs Act (TCJA) on GDP that can be applied to both past and future reforms. Evaluating such reforms is difficult because provisions are broad and interrelated. To address this challenge, we combine abnormal stock returns during TCJA legislative windows with the pre-existing geographic distribution of firms......(摘要翻译及全文见知识星球)
Keywords : Market Reactions, TCJA, Taxes, Stock Returns
[7] The market for climate technologies
标题:气候技术市场
作者:Aatish Seewoolall
来源:资产定价与估值_20251017
Abstract : This paper investigates the relationship between climate-related patent transactions and firm value, as measured by Tobin's Q. To conduct this analysis, I construct a novel firm-level panel dataset that combines patent transaction data, patent stock measures, and financial data. The results reveal that climate patent sales are associated with an immediate and persistent negative market reaction. However, climate patent acquisitions are......(摘要翻译及全文见知识星球)
Keywords : Climate patents, climate change, patent transactions, corporate strategy, option theory, signaling theory, firm value
[8] Multi-Moment Tilting for the Equity Premium
标题:股权溢价的多时刻倾斜
作者:Rainer Alexander Schüssler,Marco Kerkemeier,Norbert Fay
来源:资产定价与估值_20251017
Abstract : We propose a method to refine baseline predictive densities of the equity premium by incorporating conditional-moment targets from forward-looking option prices and tick-by-tick intraday trading data. Using multi-moment entropic tilting, we align up to the first three conditional moments with targets constructed from option-implied information and realized-variance measures computed from high-frequency returns. Jointly tilting the first and second moments yields the......(摘要翻译及全文见知识星球)
Keywords : Return predictability, Entropic tilting, Density forecasts, Variance risk premium, High-frequency data JEL: G11, G12, G17, C53, C58
[9] Equilibrium Pricing of Bitcoin Options with Stochastic Volatility, Jumps, and Liquidity Risk
标题:具有随机波动、跳跃和流动性风险的比特币期权均衡定价
作者:Jingrui Li
来源:资产定价与估值_20251020
Abstract : We introduce an equilibrium model for Bitcoin options that endogenizes stochastic volatility, correlated jumps, and liquidity risk. Investors with CRRA utility over consumption and real-money balances face an exponential penalty for illiquidity, yielding a pricing kernel with jump premia linked to a mean-reverting liquidity index. Under the risk-neutral measure, we obtain closed-form adjustments to drifts and Poisson intensities, leading to a......(摘要翻译及全文见知识星球)
Keywords : Cryptocurrency Options, Stochastic Volatility, Jumps, Liquidity Risk, Implied Volatility, Option Pricing
[10] Labor Market Frictions and Asset Prices
标题:劳动力市场摩擦与资产价格
作者:Frederico Belo,Jack Y Favilukis,Xiaoji Lin
来源:资产定价与估值_20251020
Abstract : We survey research on labor market frictions and their implications for asset pricing. Starting from a neoclassical, frictionless labor model as the benchmark, we introduce labor adjustment costs and wage rigidity to examine how these frictions shape firm value, risk, and expected returns. Labor adjustment costs make a firm's installed labor force a quasi-fixed asset that directly contributes to valuation, while......(摘要翻译及全文见知识星球)
Keywords :
[11] The Covenant Liquidity Index: A Framework for Rating Private Credit Liquidity and Secondary Market Discounts
标题:契约流动性指数：私人信贷流动性和二级市场贴现评级框架
作者:Elham Saeidinezhad
来源:资产定价与估值_20251020
Abstract : This paper introduces the Covenant Liquidity Index (CLI), a quantitative framework for rating contractual liquidity in private credit and linking it to secondary-market discounting. Building on the theoretical foundation established in The Covenant Structure of Private Credit Yield (Saeidinezhad, 2025), the paper moves from theory to measurement. It argues that liquidity in private markets is not discovered through trading but engineered through covenant design—by defining when, how,......(摘要翻译及全文见知识星球)
Keywords : Covenant Liquidity Index, Contractual Liquidity, Commitment Pacing, Private Credit, Secondary Markets
[12] Benchmark Discrepancies and Performance Boost in Emerging Markets:Evidence from China’s Mutual Fund Industry
标题:新兴市场的基准差异与业绩提升：来自中国共同基金行业的证据
作者:Xiaomeng Liu,Rolf Poulsen
来源:资产定价与估值_20251020
Abstract : The benchmark discrepancy phenomenon occurs when fund managers deviate from their stated benchmarks. We investigate benchmark discrepancy in China's mutual fund market by analyzing holdings data from all actively managed funds and reveal its widespread prevalence. Although benchmark discrepancy in China generally contributes to fund performance and increase capital inflow, this effect exhibits a nonlinear pattern. We also examine the characteristics......(摘要翻译及全文见知识星球)
Keywords : Mutual Funds, Benchmark Discrepancy, Capital Inflow, Fund Manager Characteristics, Performance Boost
[13] Investor Behavior in the Pre-Opening: The Role of Price Impact and Strategic Interaction
标题:开盘前投资者行为：价格影响和战略互动的作用
作者:Giuliano Curatola
来源:资产定价与估值_20251020
Abstract : This paper proposes a framework for analyzing the portfolio strategies of investors who participate in the pre-opening and regular market sessions. Investors act strategically, recognizing that their pre-opening orders influence the asset's opening price. I examine the roles of key factors, such as the characteristics of price impact, number of market participants, investor heterogeneity, risk aversion, and the presence of retail......(摘要翻译及全文见知识星球)
Keywords : Portfolio Choice, Pre-Opening Session, Price Impact, Strategic Interaction
[14] The Fragility of Optimization: How Estimation Risk Undermines Active Investing with Autoregressive Forecasts
标题:优化的脆弱性：估计风险如何通过自回归预测削弱主动投资
作者:Valeriy Zakamulin
来源:资产定价与估值_20251022
Abstract : This paper investigates the performance of two active investment strategies based on autoregressive return forecasts, with a particular focus on the role of estimation risk. We consider a realistic setting in which return predictability is weak, as commonly observed in financial data, and analyze two strategies: a simple trend-following rule and an optimal capital allocation strategy that maximizes the Sharpe ratio.......(摘要翻译及全文见知识星球)
Keywords : Trend-Following Strategy, Optimal Capital Allocation, Active Investment Strategies, Estimation Risk, Forecast-Return Correlation, Sharpe Ratio, Autoregressive Return Forecasts, Portfolio Performance