Quant methods for short-term price prediction of tradable assets have been studied by academics and practitioners throughout finance. One such robust predictor of price movements is the micro-price. The micro-price “can be considered to be the ‘fair’ price of an asset, conditional on the...

Using Artificial Intelligence (AI) techniques, we quantitatively examine the mentions of ESG terms in the U.S. corporate filings with the SEC over the 2019-20 period. We find that in our sample of companies, the management tends to focus ESG discussions in corporate filings along three...