We aim to provide a comprehensive overview of the past, present, and future development of environmental related topics in Economics and Finance. In this regard, Environmental Finance (EF)- and Environmental, Social, and Governance (ESG)-related literature is collected and analysed. The paper...

We explore how polluting firms alter their dividend policy in response to pressure from green policy. The green credit guidelines that China adopted in 2012 aim to promote credit supply in sustainable development. Meanwhile, this green policy forced polluting firms to access restricted credit...

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it does not provide good fit for younger aged...

This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model...

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and...

Recent studies have shown that most financial market anomalies exhibit a momentum effect. Based on a dataset covering 20 factors, we find that the factor momentum effect is weak in general. Six factors exhibit strong return continuation and dominate the factor momentum portfolio, while the...

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced...

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced...

This paper contributes to the development of recent literature on the explanation power and calibration issue of heterogeneous asset pricing models by presenting a simple stochastic market fraction asset pricing model of two types of traders (fundamentalists and trend followers) under a market...