Journal of Finance and Data Science最新文献_第10页

Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning 通过机器学习量化库存对VSTOXX期货价格动态的影响

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2021-07-08 DOI: 10.1016/j.jfds.2021.06.001

Daniel Guterding

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引用次数: 2

Negative conversion premium 负转换溢价

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2020-12-30 DOI: 10.1016/j.jfds.2020.11.001

Zhijian (James) Huang , Li Xu

{"title":"Negative conversion premium","authors":"Zhijian (James) Huang , Li Xu","doi":"10.1016/j.jfds.2020.11.001","DOIUrl":"https://doi.org/10.1016/j.jfds.2020.11.001","url":null,"abstract":"<div><p>We document frequent occurrences of negative conversion premium (NCP) events in the Chinese convertible bond market, when the bond is convertible and the underlying stock can be freely sold. This implies that when an NCP event occurs, existing stock holders can earn a riskless profit through a long-short strategy which sells the underlying stock and buys the convertible bond at the same time, then converts the bond into stocks. Facing short sale constraints, traders not holding any position in the underlying stock can still profit from an overnight trading strategy which buys the convertible bond at the NCP event day <em>t</em>, then sells the converted stock on day <em>t</em> + 1. We also find that the next-day opening prices following NCP events are significantly lower, which is evidence for the stock selling from the overnight trading strategy. Overall, our findings show that investors in China are aware of the NCP events and they earn abnormal returns through active trading. However, it remains as a puzzle why existing stock holders such as institutional investors do not trade away the negative conversion premium through the riskless long-short strategy.</p></div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"7 ","pages":"Pages 1-21"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfds.2020.11.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91709764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Enhanced PD-implied ratings by targeting the credit rating migration matrix 通过针对信用评级迁移矩阵增强pd隐含评级

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2021-05-13 DOI: 10.1016/j.jfds.2021.05.001

Jin-Chuan Duan , Shuping Li

引用次数: 4

How does the creditor conflict affect bond IPO underpricing? 债权人冲突如何影响债券IPO抑价?

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2021-03-31 DOI: 10.1016/j.jfds.2021.03.002

Susheng Wang , Xinjie Wang , Yuan Wang , Xueying Zhang

引用次数: 1

Pairwise acquisition prediction with SHAP value interpretation 用SHAP值解释两两采集预测

Journal of Finance and Data Science Pub Date : 2021-11-01 Epub Date: 2021-03-09 DOI: 10.1016/j.jfds.2021.02.001

Katsuya Futagami , Yusuke Fukazawa , Nakul Kapoor , Tomomi Kito

{"title":"Pairwise acquisition prediction with SHAP value interpretation","authors":"Katsuya Futagami , Yusuke Fukazawa , Nakul Kapoor , Tomomi Kito","doi":"10.1016/j.jfds.2021.02.001","DOIUrl":"https://doi.org/10.1016/j.jfds.2021.02.001","url":null,"abstract":"<div><p>Predicting future pairs of the acquirer and acquiree companies is important for acquisition or investment strategy. This prediction is a challenging problem due to the following requirements: to incorporate various non-financial factors and to address the lack of negative samples. Concerning the former, we proposed including a network feature that represented the importance of an acquirer and an acquiree in the investment and category networks, as well as a company relation feature associated with their similarity and closeness. Considering the latter requirement, as negative examples, we set the pairs of acquirers and acquirees with the features that were similar to those of positive examples. This allowed learning minor differences between the companies selected for acquisition and the candidate ones. We evaluated our proposed prediction model using 2000–2018 acquisition logs collected from CrunchBase. Based on the analysis of the high SHapley additive explanation (SHAP) value features, we found that the newly considered network and company relation features had high significance (10 out of 22 top key features). We also clarified how these novel features contributed to the prediction of acquisition occurrence by interpreting the SHAP value.</p></div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"7 ","pages":"Pages 22-44"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfds.2021.02.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91747220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Deep deterministic portfolio optimization 深度确定性投资组合优化

Journal of Finance and Data Science Pub Date : 2020-11-01 Epub Date: 2020-07-09 DOI: 10.1016/j.jfds.2020.06.002

Ayman Chaouki , Stephen Hardiman , Christian Schmidt , Emmanuel Sérié , Joachim de Lataillade

引用次数: 12

Fuel up with OATmeals! The case of the French nominal yield curve 用燕麦片补充能量!法国名义收益率曲线的例子

Journal of Finance and Data Science Pub Date : 2020-11-01 Epub Date: 2020-08-07 DOI: 10.1016/j.jfds.2020.07.001

Olesya V. Grishchenko , Franck Moraux , Olga Pakulyak

引用次数: 1

Should asset managers pay for economic research? A machine learning evaluation 资产管理公司应该为经济研究付费吗?机器学习评估

Journal of Finance and Data Science Pub Date : 2020-11-01 Epub Date: 2020-08-18 DOI: 10.1016/j.jfds.2020.08.001

Krzysztof Rybinski

{"title":"Should asset managers pay for economic research? A machine learning evaluation","authors":"Krzysztof Rybinski","doi":"10.1016/j.jfds.2020.08.001","DOIUrl":"10.1016/j.jfds.2020.08.001","url":null,"abstract":"<div><p>This paper presents the first-ever comparison of the forecasting power of two types of narratives: articles in a major daily newspaper and regular research reports released by professional forecasters. The applied testing methodology developed in <sup>22</sup> and extended in this paper includes two natural language processing (NLP) techniques – the sentiment analysis and the wordscores model – that are used to convert the text corpora into the NLP indices. These indices are explanatory variables in linear regression, Granger causality test, vector autoregressive model and random forest model. The paper extends this methodology by applying Latent Dirichlet Allocation (LDA) to the newspaper corpus to filter out articles that discuss topics not relevant for economic and financial analysis. The forecasting test is conducted for two major banks in Poland – BZ WBK and mbank and for major daily newspaper Rzeczpospolita, in Polish. It is shown that mbank narratives have the best forecasting power, while BZ WBK and Rzeczpospolita trade second and third place depending on the model applied. In the vast majority of analyzed cases adding an NLP index to the model improves the forecast accuracy. The answer to the title question is – it depends. Before paying for economic research asset managers are advised to apply methods such as presented in this paper to evaluate whether sell-side research offers any forecasting value in comparison with a newspaper.</p></div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"6 ","pages":"Pages 31-48"},"PeriodicalIF":0.0,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfds.2020.08.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117330867","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Rollover risk and credit spreads in the financial crisis of 2008 2008年金融危机中的展期风险和信贷息差

Journal of Finance and Data Science Pub Date : 2020-11-01 Epub Date: 2020-07-08 DOI: 10.1016/j.jfds.2020.06.001

Grace Xing Hu

引用次数: 13

Forecasting multinomial stock returns using machine learning methods 使用机器学习方法预测多项股票收益

Journal of Finance and Data Science Pub Date : 2020-11-01 Epub Date: 2020-09-10 DOI: 10.1016/j.jfds.2020.09.001

Lauri Nevasalmi

引用次数: 0