The aim of this paper is to study the performance of carbon-based portfolios when all emissions scopes are accounted for. We formalize low-carbon portfolio strategies by integrating a carbon intensity penalty to a constrained mean-variance optimization framework. To do so, we resort to direct...

In this article, we propose a theoretical framework that characterizes the range of outcomes in empirical studies, depending on the nature and number of design choices that researchers make. We provide a simple method that evaluates if particular choices have a significant impact on the...

We propose a linearization of rule-based algorithms that reveals the most important interactions between characteristics and macroeconomic variables when explaining future stock returns. Our results suggest that the two types of predictors are intertwined, which implies that the relationships...

We run portfolio sorting exercises based on firm-specific measures of biodiversity loss in US equity markets. Using a dataset from Iceberg DataLab, we come to four conclusions. First, we confirm that the risk premium for biodiversity over the past decade is close to zero. Second, we show that...

We propose a linearization of rule-based algorithms that reveals the most important interactions between characteristics and macroeconomic variables when explaining future stock returns. Our results suggest that the two types of predictors are intertwined, which implies that the relationships...

We document the impact of ESG shocks on the returns of suppliers and clients of affected firms. Our equilibrium model suggests that this impact is contingent not only on the sign and magnitude of the shock, but also on the product between the shock and the level of the ESG score. An empirical...

We propose an equilibrium construction process of asset prices that generates returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely separately on firm characteristics and on the log-price of assets. Market...

Trend Following (TF) is a well-known and documented strategy which has been employed by practitioners since the 1980s. The focus so far has been on the alpha-generating potential of the strategies and in particular on extending the strategy to a broader range of asset markets. In this paper, we...