This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...

Index providers increasingly offer sustainable stock indices based on ESG (Environmental, Social, and Governance) ratings of firms. The performance of such indices with ESG tilts is driven by the impact of the applied weighting methodology and by the ESG firm ratings. In this paper, we focus on...

The Volkswagen emissions scandal is by far the largest case of emissions cheating in automotive history and had wide-reaching consequences for the industry throughout the world. This study examines the spillover effects to competitors and suppliers following Volkswagen's public admission of...

The rising sustainability awareness among regulators, consumers and investors results in major sustainability risks for firms. We construct three ESG risk factors (Environmental, Social, and Governance) to quantify the ESG risk exposures of firms. Taking these factors into account significantly...

Absent mandatory reporting, and although many companies report their carbon emissions, much of the emissions data are estimated by data providers. As we evaluate the forward-looking carbon scores from several popular data providers, we find no evidence that these scores predict future changes in...