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Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, … - 2020

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

Persistent link: https://www.econbiz.de/10012421461

Managing inventory with proportional transaction costs

Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon; … - 2016 - This version: June 2, 2016

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process, and allows us to link the optimal policy to the moment-generating...

Persistent link: https://www.econbiz.de/10011519051

Deconstructing ESG scores: how to invest with your own criteria

Ehlers, Torsten; Elsenhuber, Ulrike Barbara; … - 2022

Environmental, Social, and Governance (ESG) scores are the main tool for asset managers in designing and implementing ESG investment strategies. They amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the signals of higher or lower ESG scores. We...

Persistent link: https://www.econbiz.de/10013169159

ESG screening in the fixed-income universe

Alessandriniy, Fabio; Baptista Balula, David; Jondeau, Eric - 2021

This paper evaluates the impact of a screening process based on Environment, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that this filtering leads to a substantial improvement of the targeted ESG score without...

Persistent link: https://www.econbiz.de/10012800004

Building benchmarks portfolios with decreasing carbon footprints

Jondeau, Eric; Mojon, Benoît; Silva, Luiz A. Pereira da - 2021

In this paper, we build portfolios with decreasing carbon footprint, which passive investors can use as new Paris-consistent (PC) benchmarks and have the same risk- adjusted returns as business as usual (BAU) benchmarks. As the distribution of firms' carbon intensity is very skewed, excluding a...

Persistent link: https://www.econbiz.de/10012800458

Can the government be an effective venture capital investor?

Fraschini, Martina; Maino, Andrea; Somoza, Luciano - 2022 - This version: April 2022

In recent years, governments have allocated increasing capital to direct startup funding through Government …

Persistent link: https://www.econbiz.de/10013192216

ICO investors

Fahlenbrach, Rüdiger; Frattaroli, Marc - 2019

We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4,700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed. Large presale investors obtain tokens...

Persistent link: https://www.econbiz.de/10012052417

Lured by the consensus

Michaely, Roni; Rubin, Amir; Segal, Dan; Vedrashko, … - 2019

We find that investors are fixated on analysts' consensus outputs (earnings forecasts, recommendations, and forecast dispersion), which can be inferior signals compared to the corresponding outputs provided by high-quality analysts, especially when a large number of high-quality analysts follow...

Persistent link: https://www.econbiz.de/10012003008

The impact of venture capital screening

Abuzov, Rustam - 2019

I study the effect of limited attention on resource allocation by venture capitalists. Using engagement in the IPO process as a measure of distraction, I document that investments made by distracted venture capitalists into new portfolio companies tend to underperform. Such companies are 7% less...

Persistent link: https://www.econbiz.de/10012003141

The agency of CoCos : why contingent convertible bonds aren't for everyone

Goncharenko, Roman; Ongena, Steven; Rauf, Asad - 2019

Most regulators grant contingent convertible bonds (CoCos) the status of equity. Theory, however, suggests that CoCos can induce debt overhang, thereby, increasing the cost of issuing equity. First, we theoretically investigate how the extent of this debt overhang varies with bank...

Persistent link: https://www.econbiz.de/10012100896

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