“学海拾珠”系列之跟踪月报-20250604

• The report systematically reviews 80 new quantitative finance-related research papers in May 2025, covering areas such as equity research, fixed income, fund studies, asset allocation, machine learning applications, and ESG-related studies [1][2][3] - Equity research includes studies on fundamental factors, price-volume and alternative factors, factor research, active quantitative strategies, and other categories, exploring investor behavior biases, asset pricing models, market structure distortions, prediction model innovations, and corporate resilience mechanisms [2][10] - Fixed income research focuses on high-frequency inflation forecasting, sovereign risk premium decomposition, and stochastic interest rate model innovations, with findings such as weekly online inflation rates predicting yield curve slope factors and semi-Markov-modulated Hull-White/CIR models achieving semi-analytical pricing for zero-coupon bonds [22][23] - Fund studies investigate fund selection factors, fund style evaluation, and behavioral biases, revealing strategies like liquidity picking driving excess returns and public pension funds underperforming benchmarks due to alternative investment errors post-2008 [28][30] - Asset allocation research explores multi-asset portfolio management paradigm shifts, systematic currency management, and volatility connectedness constraints, demonstrating dynamic adaptation mechanisms and enhanced performance during crises [32][33][35] - Machine learning applications in finance include innovations in volatility forecasting, credit risk prediction using GraphSAGE models, and long-memory stochastic interval models, significantly improving prediction accuracy and economic value [36][38][40] - ESG-related studies analyze green innovation drivers, ESG evaluation distortions, and corporate environmental response strategies, highlighting mechanisms like family business constraints on green innovation and AI-driven manufacturing green transformation [42][43][45]