We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market...

Companies increasingly announce goals to reduce carbon emissions. How do firms in the oil and gas industry achieve such goals without fundamentally changing their business model? We analyze this question and aim to identify any changes in firms' exposures to oil and to clean and renewable...

We examine how the systematic shock created by hysteria affects the volatility of responsible companies’ stock returns and how a company’s financial characteristics affect that relationship. Using daily data between January 2020 and June 2021 and the GJR-GARCH model, we demonstrate that...

The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation risk tends to affect the optimal weight calculation noticeably, especially when a large number of assets are considered. To overcome these issues, many...