This paper develops a general model of investor choice to analyse Socially Responsible Investment (SRI). Drawing on data from a large survey of investors across five countries we show that SRI may be driven more by investor attitudes to the social aims of firms rather than by financial returns....

This paper provides an empirical analysis of the differences between socially responsible investors (SRI) and conventional investors in six countries. We show that differences are seen more often in investor attitudes and behaviour rather than in other criteria such as demographics. SRI...

This paper provides new evidence on the empirical success of structural models in explaining corporate credit risk changes. A parsimonious set of common factors and firm-level fundamentals, inspired by structural models, explains more than 54% (67%) of the variation in credit spread changes for...

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

This study examines, for the first time consistently, the performance of contrarian (value) strategies in the Athens Stock Exchange (ASE) based on the price/earnings ratios, dividend yields, size (in terms of market value), market to book ratios, financial leverage ratios and the beta...

Using thousands of brokerage accounts of U.S. individual investors, we analyze the motivations and consequences of foreign equity investment. We find that diversification is not the only reason that investors trade foreign securities. While wealthier, more experienced investors enjoy an...

Recent studies provide empirical evidence that family firms are outperforming their non-family counterparts in terms of stock market performance. For the Swiss stock market we find that family firms indeed outperform their non-family counterparts after controlling for firm size and beta. In...

In this research, we compare the forecasting performance of ANN and linear regression strategies in Istanbul Stock Exchange and we get some evidence of statistical and financial out perform of ANN models. Although the out-of-sample forecast accuracy statistics (RMSE, MAE and Theil's U) of ANN...

In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February...

In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...