This paper investigates the extent to which voluntary disclosure quality (VDQ) of firms is reflected in equity prices. As a novel contribution, we explore the idea that the speed with which equity prices reflect any benefits or costs of VDQ varies across firms. We find that in environments where...

The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit...

Systematic, rules-based investment strategies are where academia and practice are currently interacting strongly. My objective in this editorial is to offer some thoughts on research on systematic investing, including three articles in this issue, that can provide significant practical benefits...

The article deals with the psychological determinants of investment decisions made by an individual investor on the capital market. The purpose of this article is to try to assess the relationship between capital involvement and selected personality traits and how individuals perceive...

We customize factor attribution for quantitative equity portfolios to better align the measurement of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical argument for including the absolute value of factor exposures in the attribution to account for the...

This paper characterizes how firms' strategic interaction in product markets affects the industry dynamics of investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is jointly affected by its own investment strategy and the investment...

This paper investigates the risk versus mispricing explanation of superior returns to contrarian strategies using the interactions between value-to-market indicators and corporate financing transactions that increase or decrease a firm's outstanding equity. Portfolio-level analyses and...

This study provides a first consistent answer to the important question of whether decarbonizing institutional portfolios affects the stock prices of carbon-intensive companies and if it contributes to the reduction of carbon emissions. With a new method to identify decarbonization trades in a...