Alessia Paccagnini

Despite their increasing importance in worldwide investment plans and the key role played by the Chinese economy in the green transition worldwide, the asset pricing role of Environmental, Social, and Governance (ESG) factors in Chinese asset markets and the implications for optimal portfolio management are still understudied. This work addresses this gap by constructing an ESG-factor-mimicking portfolio and adding it as a risk factor to the traditional Fama-French three-factor model, thereby creating a four-factor risk factor pricing model for the Chinese stock market. We systematically investigate the explanatory ability of the model by building size-value and size-ESG investment portfolios. Including the ESG factor not only improves the model's capacity to account for cross-sectional variation in stock returns but also helps expose notable sector-specific effects, especially in sectors where ESG issues are most relevant.

We evaluate the impact of Krakow’s Anti-Smog Resolution, which was passed on January 15, 2016, and prohibits the use of coal and wood within the city. We use random forest, interrupted time series, and Bayesian structural time series models to assess air quality gains in terms of PM10, PM2.5, and benzo(a)pyrene concentrations, predicting pollution levels if the legislation had not been implemented. The results show significant reductions in pollutant concentrations: PM10 fell by 23% to 39%, PM2.5 by 23% to 36% and benzo(a)pyrene in PM10 by 39% to 41%, with the highest declines occurring during the heating season. These findings indicate the efficacy of Krakow's legislative strategy, offering evidence-based benchmarks for policymakers and public health officials in other cities considering similar residential heating restrictions to achieve measurable air quality improvements.

It depends. We reply to this question by providing novel empirical evidence about the US economy. We identify the impact of financial high-frequency shocks on macroeconomic variables by estimating mixed- and common frequency VARs. The results from the mixed-frequency VAR show that economic output and inflation move in opposite directions in response to detrimental financial conditions, mimicking negative aggregate supply shocks. Oppositely, the results from the common-frequency VAR show that worsening financial conditions lead to a drop in output and inflation (and in the monetary policy rate), resembling negative aggregate demand shocks.