Results 121 to 130 of about 5,439,964 (250)
Measuring downside risk-realised semivariance [PDF]
We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility.
Neil Shephard +2 more
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Business Strategy and the Environment, EarlyView.ABSTRACT Corporate sustainability research is rich but fragmented where influential frameworks illuminate important aspects of sustainability dynamics, yet they are often used in parallel rather than connected through a shared explanatory logic of change. This paper addresses that corporate sustainability puzzle through a targeted literature review and
Omaima A. G. Hassan
wiley +1 more source
Technological diversification and resilience to systematic risk: Evidence from listed firms in China
International Review of Economics & FinanceThis paper investigates whether a firm with diversified technological bases is more resilient to systematic downside risk. By investigating Chinese listed manufacturing firms for 2015–2023, we find that diversified technological bases significantly ...
Jiaying Mo +3 more
doaj +1 more source
Do Commodity Prices and Energy Markets Drive Asymmetric Volatility in Biodiversity Finance?
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines symmetric and asymmetric volatility spillovers among biodiversity finance, commodity prices, and energy markets using daily data from 2019 to 2025. We apply the Diebold–Yilmaz time–domain connectedness model, Baruník–Křehlík frequency–domain decomposition, and an asymmetric spillover framework.
Ijaz Younis +4 more
wiley +1 more source
Risk in Transport investments [PDF]
We discuss how the standard Cost-Benefit Analysis should be modified in order to take risk (and uncertainty) into account. We propose different approaches used in finance (Value at Risk, Conditional Value at Risk, Downside Risk Measures, and Efficiency ...
Nathalie Picard +2 more
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Signalling ESG Misconduct: What Matters to Investors?
Business Strategy and the Environment, EarlyView.ABSTRACT We investigate what matters most to investors when environmental, social and governance (ESG)‐related corporate misconduct news is signalled and how these factors influence the magnitude of market value punishment. Using an event study on 44,859 corporate news items related to ESG incidents, we find that investors react negatively to such ...
Dewan Muktadir‐Al‐Mukit
wiley +1 more source
Residual Structural State and Short-Horizon Downside-Risk Forecasting in Cryptocurrency Markets
MathematicsThis paper examines whether a residual structural state extracted from cross-asset downside-risk dependence contains incremental information for forecasting next-day market downside risk beyond a strong heterogeneous autoregressive (HAR) benchmark.
Rong-Ho Lin +4 more
doaj +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT ESG ratings, and in particular environmental scores (E‐scores), are becoming increasingly relevant for financial stability and capital allocation decisions. This paper investigates the relationship between corporate environmental performance and market risk, as measured through value at risk (VaR) and expected shortfall (ES), the key metrics ...
Matilda Shini +3 more
wiley +1 more source
Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market ...
Joseph Chen, Yuhang Xing, Andrew Ang
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