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Record W2993690193 · doi:10.25394/pgs.11328641.v1

Essays on Empirical Asset Pricing

2019· dissertation· en· W2993690193 on OpenAlexaboutno aff
Prasad Hegde

Bibliographic record

VenuePurdue e-Pubs (Purdue University System) · 2019
Typedissertation
Languageen
FieldDecision Sciences
TopicStock Market Forecasting Methods
Canadian institutionsnot available
Fundersnot available
KeywordsTransaction dataPrice discoveryEquity (law)BondCorporate bondVolatility (finance)Database transactionBusinessFinancial economicsQuarter (Canadian coin)EconomicsStock (firearms)EconometricsFinanceDatabaseComputer scienceGeographyPolitical science

Abstract

fetched live from OpenAlex

In the first chapter, our empirical tests use data from three sources. First, we obtain the Loughran and McDonald’s (hereafter LM wordlist) positive/negative wordlist and from the authors’ website. Second, we obtain the monthly Fama and French (1993 and 2015) factors (i.e. SMB, HML, Rm-Rf, CMA, and RMW) and momentum factor (MOM) from Kenneth French’s website for the sample period January 1994 through December 2016. Third, we obtain the monthly stock returns, monthly index returns, month end market value from the Center for Research in Security Prices (CRSP) as well as accounting information such as annual bookI the second chapter, we utilize five main datasets in this study. The first dataset is the stock market transaction level data for S&amp;P 500 stocks, obtained from Trades and Quote (TAQ). The second dataset is the corporate bond transaction data from Trade Reporting and Compliance Engine (TRACE) through Wharton Research Data Services (WRDS) for the S&amp;P 500 firms. The TRACE data provides over the counter (OTC) corporate bond market real-time prices.To examine the price discovery of bonds in equity prices we use a sample period of over 1,000 trading days from January 2004 through December 2008.Our third data source is the institutional level transaction data from ANcerno, which provides transactional level trade data for corporate bonds and stocks for the first quarter of 2006 through the third quarter of 2010. Several studies have used equity transaction dataset to examine the ANcerno institutional trading behavior. See for example Puckett and Yan (2011), Bethel, Hu and Wang (2009), Chemmanur, He and Hu (2009), Goldstein, Irvine, Kandel and Wiener (2009). Additionally, Hu, Jo, Wang and Xie (2018) provide a comprehensive review of ANcerno dataset. The fourth source of data comes from Mergent Fixed Income Security Database (FISD), which provides details of bond characteristics and credit ratings from standard and poor’s (S&amp;P) and Moody’s. Finally, we obtain the daily stock returns data from center for security prices (CRSP) database and match it with the daily bond returns to examine the lead-lag relationships.<br>

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.010
metaresearch head score (Gemma)0.009
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMetaresearch, Meta-epidemiology (narrow), Research integrity, Insufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Not applicable · Consensus signal: Not applicable
GenreCandidate signal: Other · Consensus signal: none
Teacher disagreement score0.332
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0100.009
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0020.001
Bibliometrics0.0030.003
Science and technology studies0.0010.000
Scholarly communication0.0010.001
Open science0.0040.000
Research integrity0.0010.002
Insufficient payload (model declined to judge)0.0010.004

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.097
GPT teacher head0.379
Teacher spread0.282 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designNot applicable
Domainnot available
GenreOther

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2019
Admission routes1
Has abstractyes

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