This paper investigates the importance of firm dynamics, including entry and exit and the allocation of carbon emissions across firms, on the green transition. Using the 2000-2019 firm-level register data on greenhouse gas emissions matched with the Financial Statement data in the Finnish...

This paper introduces a flexible risk decomposition method for life insurance contracts embedding several risk factors. Hedging can be naturally embedded in the framework. Although the method is applied to variable annuities in this work, it is also applicable in general to other insurance or...

We reformulate and decompose the Pearson and Spearman correlation coefficients into two components. We recommend the first component for detecting linear or monotonic relationships and the second for recognizing patterns of two parallel lines, providing robust versions to outliers. Thus, we...

We employ a time-varying risk price model that allows us to track the change in risk prices. We find that the output gap generates the time-varying market and momentum risk prices, but the exposures to the output gap have the opposite signs. In contrast, we do not observe that the output gap is...

Analyzing a large sample of gross fund-level and deal-level returns in Private Equity (PE), we study systematic differences in investment skills across PE firms and what investors can learn about the true skill of PE firms from past performance. We extend the framework of Korteweg and Sorensen...

Network theory suggests that supply shocks propagate downstream whereas demand shocks propagate upstream. I propose a method to decompose return innovations to supply and demand effects based on this observation. Specifically, If a focal firm return innovation affects its supplier's sales growth...

This study examines the potential merger gains and its decomposition effects of Chinese railways. A DEA approach proposed by Bogetoft and Wang (2005) is used to estimate the effects of the ex-ante mergers of 18 Regional Railway Administrations (RRAs) during the period of 2013 to 2017. We find...

On the basis of five balance variables in bank balances (total assets, deposits, capital, operating income, and loans), the Hirschman–Herfindahl indices for period 2016–2021 (I–IX) are calculated. The indices values are decomposed by the Bajo and Salas approach, and the impacts of number...

China's high growth since the 1990s has been accompanied by the continuous increase in the supply of skilled labor, which naturally makes one question whether China's skill premium has also increased like some developed countries. Due to the lack of official statistics, we first utilize the...