股票截面情绪贝塔策略

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学术论文

情绪贝塔与股票收益的季节性

作者David Hirshleifer; Danling Jiang; Yuting Meng

机构
  • National Bureau of Economic Research
  • Marshall School of Business, USC
  • National Bureau of Economic Research (NBER)
  • Stony Brook University
  • College of Business, Stony Brook University
  • University of South Florida St. Petersburg
  • University of South Florida - Department of Finance

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、BIL。再平衡:每月。Universe: SPY, BIL. Parameters: rebalance=monthly.