"Sustainable investing has recently gained traction throughout the world. This trend has multiple sources, which span from genuine ethical concerns to hopes of performance boosting, and also encompass risk mitigation. The resulting appetite for green assets is impacting the decisions of many...

Chapter 1 ESG dataChapter 2 Investors & SRIChapter 3 ESG investing and financial performanceChapter 4 Quantitative portfolio construction with ESG data and criteriaChapter 5 Climate change riskChapter 6 SRI in economic equilibriaChapter 7 Conclusion

In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform best when they are trained on long samples, with long-term returns as dependent variables. In addition, we...

In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We come to three empirical conclusions. First, the pure out-of-sample fit of the models is often poor: we find that most R^2 measures are negative,...