综合金融
This study employs the annual unbalanced panel data of 42 listed banks in China from 2006 to 2021, adopts the non-radial and non-oriented super-efficiency Data envelopment analysis (Super-SBM-UND-VRS based DEA) model considering NPL as…
The global momentum towards establishing sustainable energy systems has become increasingly prominent. Hydrogen, as a remarkable carbon-free and renewable energy carrier, has been endorsed by 39 countries at COP28 in the UAE, recognizing…
The European Union Emission Trading System is a prominent market-based mechanism to reduce emissions. While the theory is well understood, we are the first to study the whole cap-and-trade mechanism as a financial market. Analyzing the…
Securities issuance through intermediaries is subject to agency problems and informational frictions. We examine these effects using SPAC data. We identify ``premium'' investors whose participation is linked to lower liquidation risk,…
We exploit a city-level panel comprised of individual house price estimates to estimate the impact of COVID-19 on both small and big real-estate markets in California USA. Descriptive analysis of spot house price estimates, including…
This paper expands on the concepts presented in Applying the Nash Bargaining Solution for a Reasonable Royalty ( arXiv:2005.10158 ). The goal is to refine the process for determining a reasonable royalty using statistical methods in cases…
This paper posits the decline in market capitalization following a monopoly breakup serves as a means to gauge how financial markets assess market power. Our research, which employs univariate structural time series models to estimate the…
Central Bank Digital Currency (CBDC) can be defined as a virtual currency based on node network and digital encryption algorithm issued by a country which has a legal credit protection. CBDCs are supported by Distributed Ledger Technologies…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
Recent advances in large language models (LLMs) have opened new possibilities for artificial intelligence applications in finance. In this paper, we provide a practical survey focused on two key aspects of utilizing LLMs for financial…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
This paper provides the first causal evidence that credit supply expansion caused the 1999-2010 U.S. business cycle mainly through the channel of household leverage (debt-to-income ratio). Specifically, induced by net export growth, credit…
The evolution of cryptocurrency and decentralized finance (DeFi) marks a significant shift in the financial landscape, making it more accessible, inclusive, and participative for various societal groups. However, this transition from…
Entropy is a very useful concept from physics that tries to explain how a system behaves from a point of view of the thermodynamics. However, there are two ways to explain entropy, and it depends on if we are studying a microsystem or a…
Whereas traditional credit scoring tends to employ only individual borrower- or loan-level predictors, it has been acknowledged for some time that connections between borrowers may result in default risk propagating over a network. In this…
I examine whether the imposition of fiduciary duty on municipal advisors affects bond yields and advising fees. Using a difference-in-differences analysis, I show that bond yields reduce by $\sim$9\% after the imposition of the SEC…
The dissertation consists of three essays on responsible and sustainable finance. I show that local communities should be seen as stakeholders to decisions made by corporations. In the first essay, I examine whether the imposition of…
Recent advances in large language models (LLMs) have unlocked novel opportunities for machine learning applications in the financial domain. These models have demonstrated remarkable capabilities in understanding context, processing vast…
One approach to reducing greenhouse gas (GHG) emissions is to incentivize carbon capturing and carbon reducing projects while simultaneously penalising excess GHG output. In this work, we present a novel market framework and characterise…
Complex adaptive learning is intelligent. It is adaptive, learns in feedback loops, and generates hidden patterns as many individuals, elements or particles interact in complex adaptive systems (CAS). CAS highlights adaptation in life and…