We examine ESG-based investment performance in 48 countries using data from two providers: MSCI ESG IVA and Refinitiv ASSET4. Developed markets’ high ESG-rated portfolios underperform compared to low-rated portfolios, in line with investors’ demands for higher returns as compensation for...

This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the...

Using several million news and social media articles related to currencies, we examine the role of media tone in predicting the exchange rate returns of 12 developed and 24 emerging markets from 1998 to 2016. The text-based currency Media tone is a strong positive predictor of currency excess...

Media tone constructed from 7,000,000 articles from 2,000 global media and 800 social media sites predicts excess US dollar returns up to six months out of sample. Its predicted value contains information beyond those predicted by currency factors and business cycles. Our evidence collaborates...