Social responsibility investment (SRI) has attracted worldwide attention for its potential in promoting investment sustainability and stability. We developed a three-step framework by incorporating environmental, social, and governance (ESG) performance into portfolio optimization. In comparison...

We develop a Bayesian framework for estimating high quantiles of the relative return loss distribution of equity portfolios. This framework allows for the incorporation of both quantitative data via a parametric model for the loss distribution as well as qualitative information, specified...

We empirically assess the role of managerial heterogeneities in mutual fund performance. Using a sample of Chinese mutual funds with relatively high managerial turnover rates, we follow the method in Abowd, Kramarz and Margolis (1999) to explicitly estimate the time-invariant heterogeneities...

We examine the impact of social ties between mutual fund managers and auditors of public firms on mutual fund stockholdings. We find that mutual funds whose managers are socially connected with firm auditors hold more shares of these firms. In cross-sectional results consistent with...

We find that mutual funds whose managers are socially connected with firm auditors hold more shares of these firms and generate superior portfolio returns. Cross-sectional results reveal that the relation between social connections and mutual fund stockholdings is more pronounced: when the...