Publications #

The Non-Linear ESG Premium
Runfeng Yang, Juan-Ángel Jiménez-Martín and Massimiliano Caporin
Quantitative Finance, July 2025, Pages 1–24

ESG Risk Exposure: A Tale of Two Tails
Runfeng Yang, Massimiliano Caporin and Juan-Ángel Jiménez-Martín
Quantitative Finance, June 2024, Pages 1–23

Measuring Climate Transition Risk Spillovers
Runfeng Yang, Massimiliano Caporin and Juan-Ángel Jiménez-Martín
Review of Finance, Volume 28, Issue 2, March 2024, Pages 447–481

Working Papers #

AI Technology Diffusion in the Stock Market
Runfeng Yang, Yufeng Mao, Massimiliano Caporin and Juan-Ángel Jiménez-Martín
Working Paper

Sector Structures in Digital Asset Returns
Yufeng Mao, Runfeng Yang, Massimiliano Caporin
Working Paper

Risk Factor Similarity and Economic Links
Bei Chen and Runfeng Yang
Working Paper

Is Information Risk a Determinant of Option Returns?
Bei Chen, Guanglian Hu and Runfeng Yang
Working Paper

Responsible Investing: ESG Risk Budgeting
Runfeng Yang, Massimiliano Caporin, Sandra Paterlini and Monica Billio
Working Paper