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Responsible Investing : The ESG-Efficient Frontier
Pedersen, Lasse Heje - 2020
We propose a theory in which each stock's environmental, social, and governance (ESG) score plays two roles: 1) providing information about firm fundamentals and 2) affecting investor preferences. The solution to the investor's portfolio problem is characterized by an ESG-efficient frontier,...
Persistent link: https://www.econbiz.de/10012847417
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Investment in Capital Markets
Ledenyov, Dimitri - 2017
Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets … explain the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment … interesting facts about the book: 1. It is centered on the consideration of the modern investment products, the investment …
Persistent link: https://www.econbiz.de/10012961343
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Value investing in the stock market of Thailand
Alfonso Perez, Gerardo Gerry - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-12
Value investment and growth investment have attracted a large amount of research in recent decades, but most of this … underdeveloped, particularly when compared to markets such as the U.S. Hence, its behavior regarding value versus growth investment …
Persistent link: https://www.econbiz.de/10011760317
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The Characteristics of Factor Investing
Blitz, David - 2018
We dissect the realized performance of factor-based equity portfolios using a characteristics-based multi-factor return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal because they ignore the possibility that...
Persistent link: https://www.econbiz.de/10012915593
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Strategic Investment and Industry Risk Dynamics
Bustamante, Maria Cecilia - 2015
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 strategies of its industry peers, such that the dynamics of its …
Persistent link: https://www.econbiz.de/10013039458
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Investing in the Beta Space
Pereiro, Luis E. - 2019
The beta space is a powerful way to map the investment strategies of semi-diversified investors. Three metrics define …
Persistent link: https://www.econbiz.de/10012903983
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Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10013227328
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Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following...
Persistent link: https://www.econbiz.de/10013242872
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Allocating to Thematic Investments
Somefun, Koye; Perchet, Romain; Yin, Chenyang; … - 2021
In this paper we introduce the notion of themes as an additional investment dimension beyond asset classes, regions …
Persistent link: https://www.econbiz.de/10013212526
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Risk Conscious Investment
Madan, Dilip B.; Schoutens, Wim; Wang, King - 2022
The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...
Persistent link: https://www.econbiz.de/10013492258