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Corporate Carbon Emissions Data for Equity and Bond Portfolios
Markwat, Thijs D.; Swinkels, Laurens - 2023
developed and emerging equity markets, as well as investment grade and high yield corporate bond markets. In contrast to …
Persistent link: https://www.econbiz.de/10014254770
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Emerging Markets Inflation-Linked Bonds
Swinkels, Laurens - 2016
-linked bonds improves the risk-return characteristics of investment portfolios. We also document that inflation-linked bond returns …
Persistent link: https://www.econbiz.de/10013008590
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Simulating Historical Inflation-Linked Bond Returns
Swinkels, Laurens - 2018
use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional …
Persistent link: https://www.econbiz.de/10012934959
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Allocating to Green Bonds
Swinkels, Laurens - 2021
Green bonds are about a decade old financial instrument with cash flows earmarked to improve the environment or combat climate change. We show the spectacular growth of the asset class over time, but note that it is currently still less than 1% of the entire fixed income market. The composition...
Persistent link: https://www.econbiz.de/10013235725
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The Capital-Protection Capacity of Emerging-Markets Inflation-Linked Bonds
de Jong, Marielle; Swinkels, Laurens - 2022
We investigate the capital-protection property of inflation-linked bonds in an international context over the period 2012 to 2022. Inflation-linked bonds compensate domestic investors for loss of local purchasing power. Whether the bonds protect foreign investors effectively depends on the...
Persistent link: https://www.econbiz.de/10013405694
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Anomalies in the China A-share Market
Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - 2021
This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading...
Persistent link: https://www.econbiz.de/10013236384
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More Powerful Tests for Anomalies in the China A-Share Market
Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - 2023
Research into asset pricing anomalies in the China A-share market is hampered given the short time series of available returns. Even when average excess returns on candidate factor portfolios are economically sizeable, conventional portfolio sorting methods lack statistical power. We apply an...
Persistent link: https://www.econbiz.de/10014254029
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Trading Carbon Credit Tokens on the Blockchain
Swinkels, Laurens - 2023
Innovative financial services may help to reduce global carbon emissions. We examine the activity in voluntary carbon credit trading on a new blockchain based carbon trading exchange, which reduces the amount of intermediation in this market. About 3.8 million tCO2e tokens have been tokenized on...
Persistent link: https://www.econbiz.de/10014254270
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Empirical evidence on the stock-bond correlation
Molenaar, Roderick; Senechal, Edouard; Swinkels, Laurens; … - 2023
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move … and magnitude of the stock-bond correlation. Our historical analyses across countries suggest that our findings are robust …. We apply these insights to analyze the implications of a shift in stock-bond correlation regime for the risk of multi …
Persistent link: https://www.econbiz.de/10014349506
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The Performance of European Index Funds and Exchange-Traded Funds
Blitz, David - 2010
European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...
Persistent link: https://www.econbiz.de/10013152102