All Outputs (2)

Analyzing the dynamic relationship between ESG scores and firm value in Chinese listed companies: insights from generalized cross-lagged panel model (2024)
Journal Article
Wedajo, A. D., Salah, A. A., Bhat, M. A., Iqbal, R., & Khan, S. T. (in press). Analyzing the dynamic relationship between ESG scores and firm value in Chinese listed companies: insights from generalized cross-lagged panel model. Discover Sustainability, 5(1), Article 336. https://doi.org/10.1007/s43621-024-00546-2

The relationship between a company’s Environment, Social and Governance (ESG) scores and market value dynamics has been the focus of extensive research. Our study aimed to provide insights into this relationship and its implications for Chinese inves... Read More about Analyzing the dynamic relationship between ESG scores and firm value in Chinese listed companies: insights from generalized cross-lagged panel model.

Multiday expected shortfall under generalized t distributions: evidence from global stock market (2020)
Journal Article
Iqbal, R., Sorwar, G., Baker, R., & Choudhry, T. (2020). Multiday expected shortfall under generalized t distributions: evidence from global stock market. Review of Quantitative Finance and Accounting, 55(3), 803-825. https://doi.org/10.1007/s11156-019-00860-1

We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (in Twin t distribution, University of Sa... Read More about Multiday expected shortfall under generalized t distributions: evidence from global stock market.