Interested in fundamental analysis and inspired by Bartram and Grinblatt (2018 & 2021), we apply linear regression (LR) and tree-based machine learning (ML) methods to estimate monthly peer-implied fair values of European stocks from 21 accounting variables. Comparing LR and ML models, we...

In December 2017, during the One Planet Summit in Paris, a group of eight central banks and supervisory authorities launched the "Network for Greening the Financial Sector" (NGFS) to address challenges and risks posed by climate change to the global financial system. Until 06/2023 an additional...

This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show that: (I) idiosyncratic momentum is a distinct phenomenon that exists next to conventional momentum and is not explained by it; (ii) idiosyncratic momentum is priced in the cross-section of stock returns after...