Questions tagged [research]
For questions citing or requesting references to academic and/or professional research.
30
questions with no upvoted or accepted answers
16
votes
0
answers
394
views
Proving the asymptotic distribution of Manipulation-Proof Performance Measure (MPPM) (Paper by Goetzmann et al.)
In Goetzmann et al.'s (2007) paper, the authors derive a "Manipulation-Proof Performance Measure" (MPPM), which is a performance measure that is impervious to performance manipulation by fund managers....
- 325
11
votes
0
answers
5k
views
Bridgewater's Daily Observations
Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
- 713
7
votes
0
answers
1k
views
Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
- 121
5
votes
0
answers
304
views
Quantitative approaches to measuring the effectiveness of a Stock Option Pricing Model?
My question contains many parts, but I will try to keep it somewhat focused. I am primarily looking for a framework to evaluate the accuracy of a stock-focused Options Pricing Model. One of the ...
- 1,872
4
votes
0
answers
792
views
Monty Hall Model
Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level.
Hedge ...
- 131
3
votes
0
answers
67
views
Academic Mailing List Quantitative Finance / Machine Learning
I'm an early-stage researcher in Machine Learning for Finance. I was wondering if there are mailing lists where people post calls for papers, summer schools, conferences, open positions, and so on. ...
- 31
3
votes
0
answers
75
views
Are there any good academic articles about Feb 2018 correction?
Question pretty self-explanatory – I want to see if there have been any reputable papers released regarding the 2018 February market correction, since it happened quite recently.
I do not need the ...
- 61
3
votes
0
answers
106
views
How do I, as a student, discover whether (new) papers consist of important contributions?
I am a master's student and have just started reading research papers regularly for the first time. I usually browse articles on arXiv.
One of the main difficulties I've run into is figuring out ...
- 31
3
votes
0
answers
66
views
What study has shown that "about two thirds of acquisitions end up destroying shareholder value"?
The Best of Value Investing - Part 1 says:
Study show [sic] that about two thirds of acquisitions end up destroying shareholder value.
What study has shown that?
3
votes
0
answers
122
views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
- 1,500
2
votes
0
answers
172
views
Does Academic Research Destroy Stock Return Predictability?
McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
- 2,906
2
votes
0
answers
414
views
Fluid dynamics for order book depth modelling
Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc).
...
- 580
2
votes
0
answers
108
views
Good Environment, Social, and Governance Indicators to correlate with financial performance of PE
I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds.
Are there any suggestions ...
- 121
1
vote
0
answers
421
views
Seeking historical market cap for S&P 500 by sector
I'd like to obtain the historical market capitalization for the S&P 500. I'm seeking monthly data back to 1945. I'd like to examine only non-financial stocks, so the sector would be needed as well....
- 739
1
vote
0
answers
336
views
DGTW return adjustment
DGTW refers to the 1997 Daniel, Grinblatt, Titman, and Wermers paper available on Wermers' personal website.
The general idea from what I have understood (please correct me if you think I'm wrong!) is ...
- 263
1
vote
0
answers
48
views
What can one do with cross-sectional relationships?
This is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just left with cross-sectional relationships (...
- 707
1
vote
0
answers
154
views
Literature on realized volatility and sampling frequency?
I was looking for some papers that explicitly show how realized volatility changes as we change the sampling frequency. For example, comparing the annualized volatility estimated from daily data is ...
- 1,830
1
vote
0
answers
81
views
Searching for two papers of H.Leland with regards to capital structure
I am searching for two papers of H. Leland which I assume previously were online, as many published papers have cited them.
The first work (Lecture notes) extends the Leland(1994a) model by ...
- 1,396
1
vote
0
answers
81
views
Any papers on use of convolution neural network for predicting price and hedagability when market making
My idea:
CNN takes following input
...
- 500
1
vote
0
answers
22
views
Research on the performance of listed subsidiaries
Some countries (India, Pakistan, Nigeria, among others) seem to force multinational corporations that do business there to list the local operation on the national stock exchange and to let public ...
- 211
1
vote
0
answers
240
views
Research topic on volatility
Currently studying about volatility, VIX and implied volatility as well as option pricing via stochastic volatility models. My question is how these are used in real life except of speculation. Do ...
- 1,396
1
vote
0
answers
51
views
Quantitative Business Cycle Investing
Is there a major article or even better a comprehensive recent review article showing quantitative evidence for the existence of the business cycle and measuring the trending and mean reversion on ...
- 1,611
1
vote
0
answers
75
views
How to map shocks from VAR to news? (Academics)
I am trying to map shocks from VAR to discount-rate and cash-flows news following the paper of Campbell and Vuolteenaho (2004). It is said that news are a linear combination of shocks from VAR at (t+1)...
- 11
1
vote
0
answers
83
views
Sampling and/or asymptotic distribution of a function
Assume we have the following function:
$$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$
where
$d$ is a constant
$T$ is a constant
$X_t$ ...
- 325
0
votes
0
answers
50
views
Difference in Bloomberg and I/B/E/S earnings data
I‘m looking at monthly 12-months trailing earnings for the S&P 500 Index since 1995. Index level earnings, not individual constituents.
I got the earnings time series for the index from Bloomberg ...
- 1
0
votes
1
answer
578
views
How to compare financial statements of two companies working in two different currencies?
So I am conducting a research on applying Data Envelopment Analysis (DEA) for comparing efficiencies of different companies working in different countries and thereby publishing their financial ...
0
votes
0
answers
86
views
Help interpret an event study methodology used in a famous research paper
I wonder if someone out there familiar with reading research articles, especially finance research can help me interpret which event study methodology the author uses in her famous research article. ...
0
votes
0
answers
46
views
What share price to use to calculate forecast accuracy?
I've been reading about models like Thiel's-U but I can't figure out what I should use for the actual trading price.
The dilemma is this: the analyst reports I’m looking at are forecasting for 12-18 ...
0
votes
0
answers
28
views
What are different types of response variable we can consider while developing quant model
I was trying to understand the response variables used in the quantitative trading/investing model development. This question may not look good but I searched on google and could not find results. ...
- 141
0
votes
0
answers
75
views
CAPM test methodology
Setting
If we test the CAPM using Fama-MacBeth regressions we do the following:
First, run cross-sectional regressions to determine the beta loading
$$ R^i_t- r^f_t = a_i +\beta_i (R^M_t- r^f_t) + \...
- 624