Our study considers whether ethical investments are also good investments. In contrast with previous studies, we utilize long-run event study methodology to examine abnormal returns associated with firms being included in, and dropped from, the MSCI KLD400 Social Index (MSCI KLD400). We find...

Social norms constrain investors from investing in “sin stocks”, affecting the returns and corporate financial policies of such firms (Hong and Kacperczyk, 2009). This paper finds that “Saints” are influenced by social norms. In almost all instances, where an effect on “Sinners” is...

We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings...

Investors' expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange's volatility index - also known as the quot;investor fear gaugequot;), affects the expected returns of US equities in two ways. Firstly, the VIX is a priced-factor in a five-factor model of...

The effects of trading Level I ADRs in the US OTC market were investigated for 119 firms from Hong Kong, the United Kingdom (UK), Australia, Japan, South Africa, Germany and Brazil during the period February 1992 to April 2001. Since firms that undertake Level I ADR programs do not reconcile...

We examine a sample of corporate inversions from 1993 to 2015 by firms active in the U.S. markets and find that shareholders experience positive abnormal returns in the short-run. In the long-run, inversions have a deleterious effect on shareholder wealth. The form of the inversion and...