MISPRICING

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相关机构：清华大学更多>>
相关期刊：《Economic and Political Studies》《China Journal of Accounting Research》《Applied Mathematics》更多>>
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Rumors and price efficiency in stock market:An empirical study of rumor verification on investor Interactive platforms
《China Journal of Accounting Research》2024年第2期164-192,共29页Wenting Zhang Chenxi Wang 
supported by the National Natural Science Foundation of China(Project Nos.71902201 and 71972189).
Using rumor verification data from investor interactive platforms,we investigate the effect of stock market rumors on price efficiency.We find favorable rumors are positively correlated with stock price synchronicity,...
关键词：RUMORS Price efficiency Stock price synchronicity MISPRICING Stock price crash risk 
No more free lunch:The increasing popularity of machine learning and financial market efficiency
《Economic and Political Studies》2024年第1期34-57,共24页Jian Feng Xin Liu 
supported by the Key Programme of National Natural Science Foundation of China(NSFC)[Grant No.72233003].
In this paper,we show that the increasing popularity of machine learning improves market efficiency.By analysing the performance of a set of popular machine learning-based investment strategies,we find that profits fr...
关键词：Machine learning market efficiency MISPRICING neural networks arbitraging activities 
Optimal Investment-Reinsurance Strategies for Insurers with Mean-Reversion and Mispricing under Variance Premium Principle
《Applied Mathematics》2018年第7期806-820,共15页Yuzhen Wen 
This paper considers a robust optimal reinsurance-investment problem for an insurer with mispricing and model ambiguity. The surplus process is described by a classical Cramér-Lunderg model and the financial market c...
关键词：Proportional REINSURANCE Robust Control Optimal INVESTMENT Strategy UTILITY Function MISPRICING 
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