This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

This study examines whether “a high dividend yield is equivalent to a high return”. For constructing a proposed portfolio, we use the panel data of listed companies' dividends in six consecutive quarters, and other financial data to estimate expected current yields, which more conform to...

[enter Environmental, Social, and Governance (ESG) investing is about ethical investing. While ESG investing has garnered heightened attention, the research has not settled on whether ESG investing can “do well while doing good”. Using a proprietary ESG rating database of monthly...

Environment, Social, and Governance (ESG) investing is about ethical investing. While ESG investing has garnered heightened attention, the research has not settled on whether ESG investing can “do well while doing good”. Using a proprietary ESG rating database of monthly firm-specific data,...

Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and...

Purpose Stirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and bear market conditions in emerging markets focusing on South Africa as a case study....

We extend the ex-ante mean-variance (SVIX) models of Martin (2017) and Martin-Wagner (2019) to a mean-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the left-tail asymmetries in return that corrects the...

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...