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As “sin” stocks and “brown” stocks generally earn higher returns than “green” stocks, fund managers face a trade-off between profitability and sustainability preferences when investing in environmental, social and governance (ESG). We explore the investment styles of ESG funds in the...
Persistent link: https://www.econbiz.de/10014235885
Companies that go public on global stock markets are not obliged to disclose earnings forecasts in their prospectuses. We use this fact to examine the shipping sector, where most firms issue earnings forecasts during the IPO process, and provide unique, international-level evidence. We find...
Persistent link: https://www.econbiz.de/10012940288
forecast levels. A country's proximity to the US, importance to the firm, and visibility, as well as availability of more … precise information about foreign country exposures, contribute to consensus forecast efficiency. We identify a dimension of … — and show that it contributes to forecast efficiency, accuracy, and informativeness and that it helps the analyst achieve …
Persistent link: https://www.econbiz.de/10011800867
In this paper, we find that price and earnings momentum are pervasive features of international equity markets even when controlling for data-snooping biases. For Europe, we show price momentum to be subsumed by earnings momentum on an aggregate level. However, this rationale can hardly be...
Persistent link: https://www.econbiz.de/10013100627
When value and glamour stocks missed earnings expectation targets, what happened to their stock prices over the following year? Prices of value stocks increased when earnings expectations were beat and missed - and even when business fundamentals deteriorated. Glamour stocks behaved more...
Persistent link: https://www.econbiz.de/10013037751
We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical...
Persistent link: https://www.econbiz.de/10013115250
This paper examines whether foreign country consumer sentiment influences the pricing of closed-end country funds. It links the literature on investor sentiment and stock returns to the literature on sentiment and closed-end fund pricing. Using foreign country consumer sentiment indices, we...
Persistent link: https://www.econbiz.de/10013050780
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/10012518234
A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...
Persistent link: https://www.econbiz.de/10013033774
In today’s interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of...
Persistent link: https://www.econbiz.de/10011884162