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...

Barro et al. (2022) investigate the quantity of safe assets held in the cross-section of developed countries and find that the average safe-asset ratio (ratio of safe assets to total assets) was 37% in 2015 and has remained relatively stable over time. They also document a crowding-out...

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...

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 run portfolio sorting exercises based on firm-specific measures of biodiversity loss in US equity markets. Using a dataset from Iceberg DataLab, we come to four conclusions. First, we confirm that the risk premium for biodiversity over the past decade is close to zero. Second, we show that...

This article investigates the usefulness of combining traditional factors with ESG data when building optimal equity portfolios. Our contribution departs from the traditional literature by focusing on allocations designed to adjust benchmark policies. We allow compositions to be embedded in a...