A particle filter approach for general mixed-frequency state-space models is considered. It employs a backward smoother to filter high-frequency state variables from low-frequency observations. Moreover, it preserves the sequential nature of particle filters, allows for non-Gaussian shocks and...

This paper takes innovative enterprises as the research object and explores the relationship between resource integration and synergistic innovation effect. This paper first defines and analyzes the related concepts, then proposes a synergistic innovation effect analysis framework based on the...

Factor momentum returns do not stem from momentum in factor returns. To study the source of returns, this paper decomposes the stock factor momentum portfolio into a factor timing portfolio and a static portfolio, where the former dynamically collects the return due to serial correlations of...

Stock factor returns exhibit greater predictability from the weighted least squares (WLS) estimator of autoregressions with time-varying volatility. The predictability transmits into superior mean-variance optimal portfolio performance that is hardly achieved by other strategies that utilize...

If behavioral biases explain asset pricing anomalies, they should also materialize in cryptocurrency markets. I test more than 20 stock return anomalies based on daily cryptocurrency data, and document strong evidence of price momentum. Controlling for market and size, price momentum remains...

This paper explores the impact of industrial management incubation centers on the commercialization of innovative enterprises. The research results show that incubation centers can promote the commercialization of innovative enterprises by providing various forms of resource support. Among them,...

We explore the performance of mixed-frequency predictive regressions for stock returns from the perspective of a Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions. Empirically, we find that mixed-frequency models...