Méthodologie · econometrics
Can Intraday Financial Markets Detect Corporate Deterioration Before Accounting Disclosures?
Do one-minute financial markets see a firm's forthcoming accounting deterioration before daily markets do? This paper builds a strictly point-in-time panel of 3,796 U.S. listed firms and 102,522 firm-quarters (2013–2026) from 6.7 billion raw one-minute bars and quarterly statements with filing and release dates, and…
This paper measures the information content of the implied volatility surface for returns and realized variance in a panel of 69 liquid US underlyings (49 large stocks, 17 ETFs and three equity indices) over 2010–2025, built from 3.83 billion end-of-day option records and 5-minute prices. Option-implied features…
This paper measures artificial-intelligence (AI) engagement in the SEC filings of some 2,500 U.S. listed firms (the current S&P 500 constituents and the holdings of the iShares Russell 3000 ETF) by embedding every passage of their Form 10-K, 10-Q and 8-K filings of 2010–2026 with a sentence transformer and scoring it…