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...

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...

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...

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...

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...

This paper studies the relation between immediate market response to corporate earnings announcements and subsequent stock price movement. By adapting an information signal model from Holthausen and Verrecchia (1988), we develop a new measure — the immediate earnings response coefficient...

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...

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 examine to what extent the GICS sector categorization of equity securities may be systematically reconstructed from historical quarterly firm fundamental data using gradient boosted tree classification. Model complexity and performance tradeoffs are examined and relative feature importance is...

As a United Nations Sustainable Development Goal (SDG), the global community aims to provide clean and affordable energy to all people by 2030. Despite these efforts, energy poverty remains a reality for billions of people in 2022. Reducing energy poverty is a crucial impediment for public...