It is assumed in the news-based model (NBM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using...

A news-based model (NBM) in which stock prices are determined by three types of news is proposed. First, it is non-diversifiable macroeconomic and geopolitical news. Their impact on prices is accounted using total market return in the spirit of the CAPM. Second, it is the equity sector/industry...

The news-based ESG ratings (NBESGRs) are a promising alternative to the widely used ESG ratings based on the corporate self-reporting. In this work, the NBESGRs derived using 26 Sustainability Accounting Standards Board (SASB) categories and the NBESGRs derived using 17 United Nations...

A news-based model (NBM) in which stock prices are determined by three types of news is proposed. The first type is non-diversifiable macroeconomic and geopolitical news. Their impact on prices is accounted using the total market return in the spirit of the CAPM. The second type is the equity...

Recently it was shown that the news-based stock pricing model (NBSPM) outperforms the momentum-enhanced five-factor Fama-French model (FF5M) for a representative list of holdings of the major US equity sector ETFs both in-sample (Schmidt 2023) and out-of-sample (Schmidt 2022). The leading term...

The notion of the greenhouse gas (GHG) aversion (GHGA) is introduced into the mean-variance portfolio (MVP) framework. GHGA is assumed to be a weighted sum of the portfolio holdings’ GHG emission intensities. A new portfolio performance measure, the GHGA-tilted Sharpe ratio, is offered for...

Two suggestions are offered to address growing criticism of the ESG-based investing. First, socially responsible investors need to use portfolio performance measure that is explicitly sensitive to the portfolio ESG value. Second, since the corporate ESG ratings are not regulated and are vaguely...

It is shown that the arbitrage free portfolio paradigm being applied to a portfolio with an arbitrary number of shares N allows for the extended solution in which the option price F depends on N. However the resulting stock hedging expense Q=MF (where M is the number of options in the portfolio)...

A binary mixture of hard-sphere polyions and point counterions is considered. It is shown that in the region of strong coupling, the symmetric Poisson–Boltzmann equation is capable of describing the counterion condensation near the polyion surface and the polyion–polyion attraction that was...