J.P.摩根2017学术论文摘要整理｜金融量化策略参考

报告摘要

本报告由J.P.摩根全球量化与衍生品策略团队整理，汇集2017年七大顶级金融期刊（如Journal of Finance、Journal of Financial Economics等）发表的学术论文摘要，涵盖对冲基金回报、股票收益、资产配置、信用违约互换等前沿研究。核心亮点：1）收录超过100篇论文摘要；2）覆盖量化策略、资产定价、风险管理等关键领域；3）由J.P.摩根首席量化策略师Dubravko Lakos-Bujas领衔。适合量化研究员、金融学者、投资经理及衍生品交易员快速把握学术动态，提升策略开发效率。

核心要点

1. Summary
2. Journal of Financial and Quantitative Analysis
3. February (2017)
4. Strategic Delays and Clustering in Hedge Fund Reported Returns
5. Industrial Electricity Usage and Stock Returns
6. Seasonal Asset Allocation: Evidence from Mutual Fund Flows
7. The Dynamics of Performance Volatility and Firm Valuation
8. Short-Term Reversals: The Effects of Past Returns and Institutional Exits
9. Key Human Capital
10. Real Options, Idiosyncratic Skewness, and Diversification
11. What Drives the Commonality between Credit Default S

报告信息