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We develop a continuous-time model of incentives for carbon emissive firms to exit the market based on a compensation payment identical to all firms. In our model, firms enjoy profits from production modeled as a simple geometric Brownian…
Crop yields and harvest prices are often considered to be negatively correlated, thus acting as a natural risk management hedge through stabilizing revenues. Storage theory gives reason to believe that the correlation is an increasing…
Corporate carbon emissions data is disclosed by approximately 65% of large and mid-sized companies globally, despite being a key indicator of corporate climate performance. With investors increasingly looking to integrate climate risk into…
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate…
Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filtered Graph and node2vec algorithms to construct an hedging…
In order to explore whether environmental liability insurance has an important impact on industrial emission reduction, this paper selects provincial (city) level panel data from 2010 to 2020 and constructs a two-way fixed effect model to…
We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production,…
There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks…
Carbon dioxide (CO2) increase has been well documented, and global net primary production is of importance to a variety of ecological topics. Since CO2 increases primary production in laboratory experiments, the global effects of increasing…
Credit risk rating is shown to be a relevant determinant in order to estimate good corporate governance and to self-optimize capital structure. The conclusion is argued from a study on a selected (and justified) sample of (182) companies…
Carbon futures has recently emerged as a novel financial asset in the trading markets such as the European Union and China. Monitoring the trend of the carbon price has become critical for both national policy-making as well as industrial…
This paper explores the optimal policy for using an allocated carbon emission budget over time with the objective to maximize profit, by explicitly taking into account present-biased preferences of decision-makers, accounting for…
This paper analyzes the hypothesis that returns play a risk-compensating role in the market for corporate revolving lines of credit. Specifically, we test whether borrower risk and the expected return on these debt instruments are…
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration…
Co-branding has become a widely used marketing strategy, yet little attention has been paid to its impact on a firm's stock value. Prior literature has shown that using a co-branding strategy properly helps firms leverage the brand value…
Against the backdrop of ongoing carbon peaking and carbon neutrality goals, accurate prediction of enterprise carbon emission trends constitutes an essential foundation for energy structure optimization and low-carbon transformation…
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is…
The price multiplier effect provides precious insight into the behavior of investors during episodes of speculative trading. It tells us that the higher the price of an asset is (within a set of similar assets) the more its price is likely…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…