“学海拾珠”系列之跟踪月报

证券研究报告 2/12正文目录1权益类研究文献综述（非ESG）..................................................................................................................................31.1基本面类研究.......................................................................................................................................................31.2量价与另类研究....................................................................................................................................................31.3高频交易类...........................................................................................................................................................41.4股票择时类...........................................................................................................................................................41.5主动量化类研究....................................................................................................................................................42固收类研究文献综述.....................................................................................................................................................52.1利率债研究...........................................................................................................................................................52.2信用债研究...........................................................................................................................................................62.3可转债研究...........................................................................................................................................................62.4债券组合管理研究................................................................................................................................................63基金研究文献综述.........................................................................................................................................................63.1选基因子研究.......................................................................................................................................................63.2其他基金类的研究................................................................................................................................................64资产配置类研究文献综述..............................................................................................................................................74.1投资组合优化与风险管理.....................................................................................................................................75机器学习类文献............................................................................................................................................................75.1资产配置..............................................................................................................................................................75.2大模型在风险管理领域的应用..............................................................................................................................75.3时间序列研究.......................................................................................................................................................86权益-ESG类研究文献综述...........................................................................................................................................97附录：文献来源说明...................................................................................................................................................11风险提示：.....................................................................................................................................................................11 敬请参阅末页重要声明及评级说明证券研究报告 3/121权益类研究文献综述（非ESG）1.1基本面类研究文献研究聚焦于企业财务决策、市场行为及信息传递等方面，探讨了多种因素对企业政策、投资者行为和市场效率的影响。研究揭示了多重大股东对企业现金持有政策的影响，机构投资者现场调研决策的驱动因素，网络风险与企业股票回购之间的关系，供应链集中度与内部控制对企业风险承担的影响，共同投资者关系代表对资本市场的影响，卖方分析师与共同基金经理的互补性，股票估值比率的横截面离散度解释因素，以及投资者对碳风险的定价机制。相关论文如下：（1）Multiple large shareholders and cashholdings: Evidence from China(Yinghui Chen, Miao Chen, Yong Huang)（2）What drives institutional investors' site visit decisions: The role of localbusiness environment in China (Xiaofang Xu, Qi Wan, Jingru Ma, QilinPeng)（3）Cyber risk and corporate share repurchases (Chien-Chiang Lee, Chih-Wei Wang, Weizheng Lin, En-Jia Chen)（4）Concentration of supply chain, internal control, and corporate risk-taking(Yu Li, Tianpeng Bai, Ya Sha, Zitong Xu)（5）Common Investor Relations Representation (DAVID VOLANT)（6）Sell-side analysts and mutual fund managers:Complements orsubstitutes? (Haerang Park, Byungmin Oh)（7）The return of return dominance: Decomposing the cross-section ofprices (Ricardo Delao, Xiao Han, Sean Myers)（8）Do Investors Care About Offsetting Carbon Risk?(Yumeng Gao,Andreas G. F. Hoepner, Florent Rouxelin, Tushar Saini)1.2量价与另类研究本期新增文献覆盖了金融市场中的投资行为、企业决策、市场效率和信息传播等多个方面，深入探讨了“投资后悔”与股票收益的关系、所有者经营者的行为特征、交易执行与知情交易的互动、金融泡沫与市场崩溃的模型、企业信息披露的主题分析、社交媒体对股票流动性的影响、宏观经济政策新闻的市场影响、企业自愿性信息披露的渠道选择以及新闻公告对资产定价的动态效应。相关论文如下：（1）Re