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We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...
Persistent link: https://www.econbiz.de/10012897413
We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … equity returns. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We … primarily on industry tilts. We discuss multiple directions for future research on financial approaches to managing climate risk …
Persistent link: https://www.econbiz.de/10012894717
In this article, the authors document robust momentum behavior in a large collection of 65 widely studied characteristic-based equity factors around the globe. They show that, in general, individual factors can be reliably timed based on their own recent performance. A time series “factor...
Persistent link: https://www.econbiz.de/10012896840