Portfolio tilting deteriorates aggregate sustainable performance when investors use Environmental, Social, and Governance (ESG) ratings. Socially responsible investors shift their portfolios towards firms with high ESG ratings rather than sustainable firms because they experience difficulties...

Socially responsible divestment reduces aggregate sustainable performance when investors use Environmental, Social, and Governance (ESG) ratings. Due to information asymmetries, socially responsible investors shift their portfolios towards firms with high ESG ratings rather than firms with...

In this paper we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...

In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...

This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates. Specifically, we develop a fixed maturity/random time effects model that implies a time-invariant one-factor model. Our approach allows us to disentangle risk premia and unexpected...