This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies...

This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. and Lo and MacKinlay. In addition, they may be used in overlapping return variance or skewness ratio...

Recently, the sharing economy has become a significant factor in sustainable economic development (SED), and green energy plays a role in this regard, a phenomenon which requires researchers' frequent emphasis. Thus, the present research investigates the impact of a sharing economy (sharing...

Despite the unprecedented rate of urbanization throughout the world, human society is still facing the challenge of coordinating urban socioeconomic development and ecological conservation. In this article, we integrated socioeconomic data and spatial metrics to investigate the coupling...

This paper examines the relationship between a firm's risk-shifting behavior and its default risk. Using contingent-claims approaches, we estimate the market value of a firm's assets, the volatility of asset return, and the associated default risk based on the stock prices and book value of...

Mitigating climate change has become an essential issue of global concern, with the development of renewable energy being a meaningful way to do so. Subsidy policies have played a vital role in promoting renewable energy development. However, considering the limited number of subsidies,...

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The...

We frame linear factor models for asset pricing in a machine learning context and consider a numerical comparison of their performance against ordinary least squares linear regression over a dataset of anomaly portfolios. Specific regression models involved in the comparison include regularized...

We present an empirical study of stress testing for portfolios of auto loans. We find that loans aged five years or more have significantly higher default probabilities. This finding raises concerns about the increasing maturity of auto loans in recent years. A challenge in stress testing is the...

We observe that public firms are more likely to issue seasoned stocks rather than bonds when theirs boards are more socially-connected. These connected issuers experience better announcement-period stock returns and attract more institutional investors. This social-connection effect is stronger...