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...

We perform a Laplace transform inversion in the time parameter on the two Wiener-Hopf factors for a spectrally negative tempered stable Lévy process. This yields the issuing price of continuously monitored lookback options. We also propose a simulation technique for the purpose of Monte-Carlo...