Journal of Finance and Data Science最新文献_第6页

What do we learn from stock price reactions to China's first announcement of anti-corruption reforms? 我们从中国首次宣布反腐改革后的股价反应中学到了什么?

Journal of Finance and Data Science Pub Date : 2023-03-04 DOI: 10.1016/j.jfds.2023.100096

Chen Lin , Randall Morck , Bernard Yeung , Xiaofeng Zhao

引用次数: 1

Does one size fit all? Comparing the determinants of the FinTech market segments expansion 一个尺码适合所有人吗?比较金融科技细分市场扩张的决定因素

Journal of Finance and Data Science Pub Date : 2023-01-12 DOI: 10.1016/j.jfds.2023.01.002

Mikhail Stolbov , Maria Shchepeleva

引用次数: 0

Sustainable investing and the cross-section of returns and maximum drawdown 可持续投资和回报的横截面和最大的缩减

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2022.11.002

Lisa R. Goldberg , Saad Mouti

引用次数: 0

Accounting in an age of big data 大数据时代的会计

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2023.01.001

Kai Du

引用次数: 0

Vine copula based dependence modeling in sustainable finance 基于Vine copula的可持续金融依赖模型

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2022.11.003

Claudia Czado , Karoline Bax , Özge Sahin , Thomas Nagler , Aleksey Min , Sandra Paterlini

{"title":"Vine copula based dependence modeling in sustainable finance","authors":"Claudia Czado , Karoline Bax , Özge Sahin , Thomas Nagler , Aleksey Min , Sandra Paterlini","doi":"10.1016/j.jfds.2022.11.003","DOIUrl":"https://doi.org/10.1016/j.jfds.2022.11.003","url":null,"abstract":"<div>Climate change and sustainability have become societal focal points in the last decade. Consequently, companies have been increasingly characterized by non-financial information, such as environmental, social, and governance (ESG) scores, based on which companies can be grouped into ESG classes. While many scholars have questioned the relationship between financial performance and risks of assets belonging to different ESG classes, the question about dependence among ESG classes is still open. Here, we focus on understanding the dependence structures of different ESG class indices and the market index through the lens of copula models. After a thorough introduction to vine copula models, we explain how cross-sectional and temporal dependencies can be captured by models based on vine copulas, more specifically, using ARMA-GARCH and stationary vine copula models. Using real-world ESG data over a long period with different economic states, we find that assets with medium ESG scores tend to show weaker dependence to the market, while assets with extremely high or low ESG scores tend to show stronger, non-Gaussian dependence.</div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"8 ","pages":"Pages 309-330"},"PeriodicalIF":0.0,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405918822000162/pdfft?md5=71b8f6c64ad7740fa01252911013727d&pid=1-s2.0-S2405918822000162-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92078386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Persistence in factor-based supervised learning models 基于因素的监督学习模型的持久性

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2021.10.002

Guillaume Coqueret

引用次数: 0

Big data, accounting information, and valuation 大数据、会计信息、估值

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2022.04.003

Doron Nissim

引用次数: 0

Forecasting earnings and returns: A review of recent advancements 预测收益和回报:回顾最近的进展

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2022.04.004

Jeremiah Green , Wanjia Zhao

引用次数: 5

Credit scoring methods: Latest trends and points to consider 信用评分方法:要考虑的最新趋势和要点

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2022.07.002

Anton Markov, Zinaida Seleznyova, Victor Lapshin

引用次数: 13

Measuring tail risks 衡量尾部风险

Journal of Finance and Data Science Pub Date : 2022-11-01 DOI: 10.1016/j.jfds.2022.11.001

Kan Chen , Tuoyuan Cheng

{"title":"Measuring tail risks","authors":"Kan Chen , Tuoyuan Cheng","doi":"10.1016/j.jfds.2022.11.001","DOIUrl":"10.1016/j.jfds.2022.11.001","url":null,"abstract":"<div>Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management time frame. Unlike VaR and ES, MPMR does not require specifying a confidence level. We derive the risk measure analytically for several well-known distributions. In particular, for the case where the size of the risk event follows a power law or Pareto distribution, we show that MPMR also scales with the number of observations n (or equivalently the length of the time interval) by a power law, MPMR(n) ∝ nη, where η is the scaling exponent (SE). The scale invariance allows for reasonable estimations of long-term risks based on the extrapolation of more reliable estimations of short-term risks. The scaling relationship also gives rise to a robust and low-bias estimator of the tail index (TI) ξ of the size distribution, ξ = 1/η. We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with natural hazards (earthquakes, tsunamis, and excessive rainfall).</div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"8 ","pages":"Pages 296-308"},"PeriodicalIF":0.0,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405918822000149/pdfft?md5=22762ee9804242ec67f2a03b85dba7c0&pid=1-s2.0-S2405918822000149-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80981564","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2