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The present paper proposes an overview of the existing literature covering several aspects related to environmental, social, and governance (ESG) factors. Specifically, we consider studies describing and evaluating ESG methodologies and those studying the impact of ESG on credit risk, debt and...
Persistent link: https://www.econbiz.de/10013186551
This study revisits risk management in the German power market, specifically focusing on conventional thermal power generation. The subsidizing and prioritizing of electricity produced from renewable energy sources (RES) by means of the Renewable Energy Sources Act (EEG) has changed the market's...
Persistent link: https://www.econbiz.de/10013030289
Based on the two competing theoretical arguments of contracting versus predatory, we examine the effect of Sovereign Wealth Funds (SWF, henceforth) on corporate ESG reputation risk. We find a strong positive association of SWF ownership on firm ESG reputation risk in line with the predatory view...
Persistent link: https://www.econbiz.de/10013404872
This paper reports two composite bond market factor investment strategies for the Swiss and global sovereign bond markets. The composite factor strategies can be used as a tool for tactical asset allocation decisions between bonds and cash, and to base the duration debate upon. As such, the...
Persistent link: https://www.econbiz.de/10012900024
This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The...
Persistent link: https://www.econbiz.de/10013161740
According to recent research, diversification across risk factors (or investment styles) proves to be more efficient than traditional asset class diversification. In this paper, we take the next step and show that it is economically worthwhile to combine risk factors in a dynamic manner, in a...
Persistent link: https://www.econbiz.de/10013006973
Open-end mutual funds face redemptions by investors, but the sale of the underlying assets depends on the portfolio decision of asset managers. If asset managers use their cash holding as a buffer to meet redemptions, they can mitigate fire sales of the underlying asset. If they hoard cash in...
Persistent link: https://www.econbiz.de/10012964215
Persistent link: https://www.econbiz.de/10012951802
Persistent link: https://www.econbiz.de/10012951806
Recent studies document the diminishing benefits from international diversification, especially for large-cap stocks and in developed markets. This paper evaluates the potential diversification benefits of holding cross-listed stocks from a liquidity risk perspective. By examining the dependence...
Persistent link: https://www.econbiz.de/10013030041