This paper examines the effect of Environmental-, Social- and Governance- (ESG) rating events on returns and risks of stocks based on a large sample of US firms and their MSCI ESG ratings. Using event study methodology, we find that markets react with significant negative abnormal returns to...

We investigate the implications of environmental, social and governance (ESG) practices of firms for the pricing of credit default swaps (CDS). Our evidence indicates that higher ESG ratings mitigate credit risks of U.S. and European firms from 2007 to 2019. The risk mitigation effect is...

This study applies an innovative return-based approach to determine the style-shifting activity of mutual funds. Based on daily returns, we measure style-shifting activity as inter-quarterly changes in the style exposures of a fund. In order to test the robustness of style-shifting activity we...

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that (i) past alpha has power in predicting the cross-section of stock returns; (ii) alpha momentum...

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...