This study examines the behavior of sovereign bonds to COVID-19 related news in 24 countries most affected by the COVID-19 pandemic. The study applies a continuous Hidden Markov Model (HMM) to analyze the regime shifting behavior of sovereign bonds to the news. The results show that the COVID-19...

This paper explores the impact of global climate policy announcements on the performance of the fossil fuel and alternative energy sectors. I conduct an event-study analysis around the yearly United Nations Framework Convention on Climate Change Conference of the Parties (UNFCCC COP) meetings,...

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody's, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation...

We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is...

Using the monthly returns of 37,854 firms in 23 developed markets over the period 1990-2015, we document that multinational companies earn higher returns than domestic companies by 24 basis points per month. This finding is further confirmed by using a sample of 18,996 U.S. firms over the period...

This paper explores the source(s) of commodity futures momentum and an associated anomaly. We decompose the 12-month conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 to 11 months prior to portfolio formation...

We examine the predictability of government bond returns using a deep sample spanning 70 years of international data across the major bond markets. Using an economic, trading-based testing framework we find strong economic and statistical evidence of bond return predictability with a Sharpe...

Sustainability reporting and disclosure in India have received significant attention over the most recent few years propelled to a large extent by investors and policymakers. The sustainable business leadership forum (SBLF) has been closely working with many firms, owners of the companies, and...