This paper develops and applies an equilibrium model that accounts for ESG demand supply dynamics. In equilibrium, preference shocks represent a novel risk source characterized by diminishing marginal utility positive premium. Expected green asset returns are negatively associated with time-varying convenience yield, while exposure of unexpected to imply Augmenting these conflicting forces contemporaneous effects on realized returns, the green-minus-brown portfolio can deliver large payoffs...

This paper investigates spatial pricing and fleet management strategies for an integrated platform that provides both ride-sourcing intracity parcel delivery services, leveraging the idle time of drivers across a transportation network. Specifically, simultaneously offers on-demand services passengers multiple modes customers, including (1) delivery, where immediately pick up deliver parcels upon receiving request; (2) flexible (or drop off) only when they are waiting next order. A...

Do “real” assets protect against inflation? Core inflation betas of stocks are negative while energy positive; currencies, commodities, and real estate also mostly hedge but not core. These hedging properties reflected in the prices risks: only core carries a risk premium, its magnitude is consistent both within across asset classes, uniquely among macroeconomic factors. While high tends to be followed by low output, consumption, dividend payouts, it impacts through cash-flow discount rate...

Connections to world markets facilitate local developments support more efficient capital allocation and greater investment growth opportunities. Under the framework of cross-market rebalancing theory, in this study, we aim systematically examine market connections among financial, energy, renewable energy European carbon by measuring return spillovers from 2008 2021. We find that is closely connected financial sense transmission, while less them. However, due improved regulations...

Abstract We develop a novel measure of volatility pass-through to assess international propagation output shocks macroeconomic aggregates, equity prices, and currencies. An increase in country’s is associated with decrease its output, consumption, net exports. The average consumption 50% (a 1% increases by 0.5%) it 70% for originating smaller countries. larger the order 90%. A channel risk sharing risks can explain our empirical findings.

Abstract This paper examines the effects of different types private debt on firm cash balances, equity risk, and investment. Firms with more bank loans have investment, but lower risk. nonbank cash, less unused credit lines greater Results suggest that financial intermediaries' monitoring intensity increases loan size. Depending type, mitigates information asymmetry or asset substitution, both. Deposit relations associated borrowing also contribute to banks' advantage.

In the study ways that economic environment and personality influence investment decision making are investigated with an emphasis on experience of regret. Eighty-four Chinese college students completed questionnaire NEO-FFI (Costa & McCrae, 1992). Results indicated mainly affects willingness to invest. Participants exhibited a strong desire save their money when macroeconomic situation was pessimistic; in optimistic more invested. It also found influences investment-related regret than...

PLEASE REFER TO:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2695343

We propose and estimate a quantitative model of exchange rates in which participants the foreign market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, require higher returnsto hold assets. Therefore, currency is expected appreciate. The quantitatively resolves Backus-Smith puzzle, forward premium rate puzzle explains deviations from covered interest parity. Moreover,the implies both contemporaneous predictive...

Abstract Rapeseed is the dominant feedstock for biodiesel production in Germany; however, significant decline crop yields observed during 2018 drought Europe poses economic and environmental risks its sustained use as a fuel crop. Many Life Cycle Assessment (LCA) studies were conducted to quantify potential impacts of production; only few have considered spatial temporal heterogeneities studied regions. Furthermore, previous usually focused on greenhouse gas (GHG) savings ignored burden...

This paper examines the drivers of liquidity shortages in Mexican government bond market.We use unique transaction-and quote level data with information on end-investors to construct an index market liquidity.We find that remained stable recent years, although temporary arose amid domestic and global stress.The analysis suggests largest liqudity squeezes have tended be driven by foreign investors, whose sell-offs were especially pronounced less liquid segments.While banks often absorbed part...

In this study, we systematically examine earnings expectations, proxied by consensus analyst forecast errors (EFEs), about stocks in green energy and clean technology sectors. We find that the EFEs of are generally positive from 1992 to 2016, indicating a predominance optimism. However, optimism is significantly less strong than market portfolio. addition, observe segment-varying pattern stocks. Moreover, it observed investors become more optimistic when forecasting period 2008 while exhibit...

This paper examines the drivers of liquidity shortages in Mexican government bond market. We use unique transaction- and quote level data with information on end-investors to construct an index market liquidity. find that remained stable recent years, although temporary arose amid domestic global stress. The analysis suggests largest squeezes have tended be driven by foreign investors, whose sell-offs were especially pronounced less liquid segments. While banks often absorbed part shock,...