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Sustainable Investing During the War in Ukraine

Chen, Linquan; Chen, Yao; Zhang, Chendi - 2022

This paper investigates how sustainable investing affects returns and investor flows of U.S. equity funds during the war in Ukraine. We find that funds with high sustainability ratings, low carbon risk, and low controversial involvement underperform their low sustainability counterparts....

Persistent link: https://www.econbiz.de/10013403206

What Alleviates Crowding in Factor Investing?

DeMiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman - 2021

not negatively correlated. Empirically, trading diversification increases capacity by 45%, optimal investment by 43%, and …

Persistent link: https://www.econbiz.de/10013227317

Comovement, Passive Investing and Price Informativeness

DeLisle, Jared - 2015

From 1992 to 2011, average R2 increased from 0.17 to 0.47. During this period, passive financial institutions also grew their ownership from 30 to 50% of the market. Passive investors do not perform fundamental research nor trade around firm-specific news, thus reducing the firm-specific...

Persistent link: https://www.econbiz.de/10013036350

Risk disclosure, liquidity, and investment efficiency

Smith, Kevin - 2019

reducing liquidity. Furthermore, risk information causes the firm's price to contain more information when its investment …

Persistent link: https://www.econbiz.de/10012065122

Does Profitability Really Matter? Marginality, Volatility & $ Trillion Question

Muthusamy, Senthil Kumar - 2020

Firm Profitability - Does it really matter for shareholder return or ROE (return on equity)? Does this question sound oxymoron and antithetic? Not really. On the contrary, evidence has surfaced that Returns on equity - based on the shareholders' equity accounted in the balance sheet - is not...

Persistent link: https://www.econbiz.de/10012841357

Asset Growth, Profitability, and Investment Opportunities

Cooper, Ilan - 2018

market volatility, thus being consistent with their positive prices of risk. The investment-based factors are also strong … with state variables that are more correlated with future investment opportunities or economic activity. Moreover, these …

Persistent link: https://www.econbiz.de/10012937532

Factor Investing using Capital Market Assumptions

Elkamhi, Redouane; Lee, Jacky S.H; Salerno, Marco - 2021

pillars of the investment industry. However, applying them reliably in portfolio construction has been (and still is) a … challenge in the industry. Despite the difficulties, this paper demonstrates that CMAs are useful for building an investment …

Persistent link: https://www.econbiz.de/10013236285

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Zaremba, Adam - 2015

Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized...

Persistent link: https://www.econbiz.de/10013034279

Stroke of a Pen : Investment and Stock Returns under Energy Policy Uncertainty

Imbet, Juan F. - 2022

in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value … aggregate market returns and consumption growth. Without an investment factor, uncertainty betas explain cross …

Persistent link: https://www.econbiz.de/10013300007

Risk Conscious Investment

Madan, Dilip B.; Schoutens, Wim; Wang, King - 2022

The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...

Persistent link: https://www.econbiz.de/10013492258