Using a sample of S&P 500 firms between 2013 and 2017, we study the impact of ESG rating disagreement on stock returns. We conjecture that for disagreement about environmental ratings, a risk-based explanation induces a positive relationship between rating disagreement and stock returns. In...

Extant research shows that CEO characteristics affect earnings management. This paper studies how investors infer a specific characteristic of CEOs, namely moral commitment to honesty, from earnings management and how this perception - in conjunction with their own social and moral preferences -...

This study focuses on a sensible issue in the hedge fund industry, namely the performance persistence of hedge fund managers.We first analyse the existence of relative performance persistence among individual hedge funds on a cumulative return basis. It is shown that the Specialist Credit and...

It is well known that shareholders in levered firms select more risky projects. Yet, Black and Scholes-Merton option pricing framework cannot explain these shareholders adverse risk incentives. Indeed, if they behave strategically they should always select infinite volatility projects. We...

Derivatives have become an integral part of the major financial institutions' business and the global derivatives market has grown into the largest market in the world by far. As for any other contract, derivatives are subject to default risk. The set of mechanisms employed by traders to...

In a continuous-time setting, we model the problem of sovereign borrowing. In our model, borrowing is used to generate exports. The sovereign borrower in our model is subject to two types of potential retaliatory actions from the lender in the event of default. First, the lender can capture a...

We explore a novel survey on responsible investing by institutional investors around the world and match it to archival data on their equity portfolio holdings. We document that institutions that publicly commit to responsible investing exhibit better environmental, social, and governance (ESG)...