In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...

A decent budgetary portfolio is nothing more, and nothing less, than an accumulation of advantages that develop in quality and produce abundance money for the financial specialist to spend or reinvest. Markowitz (1959) is one of the pioneers of present day portfolio hypothesis. Generally, the...

This literature overview conducts a systematic study of how the climate related risks from global warming may affect financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic climate risk and the climate policy risk, which all of...

Using a novel multivariate microstructure model and time varying estimation framework we analyse the change in the information structure of the segmented Shanghai A and B share listed stocks after a significant set of regulatory reforms in 2001, nicknamed the 'year of regulation' by...

This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and...

Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...

This paper examines the role of innovation in firm performance by drawing empirical evidence from the capital market. The current study analyzes risk premiums and risk-adjusted excess returns of a portfolio of the most innovative firms in the United States from 2006 to 2010. The results show...

We show that institutional portfolio rules induce regression discontinuity experiments in stock markets using the Russell indices. Stocks are ranked each May 31st based on their market capitalization. Those ranked above the 1000 cut-off are in the Russell 1000. Those below the 1000 cut-off and...

This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather...