The liquidity of exchange traded funds is of utmost importance for regulators, investors and providers. However, the study of liquidity is still in its infancy. In this work, we show some stylised facts of liquidity statistics (daily/intraday spread, trading volume, etc.). We also propose a new...

Fund selection is an important issue for investors. This topic has spawned abundant academic literature. Nonetheless, most of the time, these works concern only active management, whereas many investors, such as institutional investors, prefer to invest in index funds. The tools developed in the...

This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this, the primary task is to develop a brown-minus-green (or...

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years. It considerably changes portfolio...