We show that the ability of oil price changes to predict stock returns is largely limited to five extreme geopolitical events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and the 1973 Arab-Israel war. In the counterfactual...

Using a newly constructed survivorship-bias free dataset, I examine the performance and persistence of all Norwegian equity mutual funds that have been listed on the Oslo Stock Exchange between 1982 and 2008. Controlling for the factors in the Fama-French model, there is no statistically...

Recent research has documented that oil price changes lead the aggregate market in most industrialized countries, and has argued that it represents an anomaly - an underreaction to information that investors can profit from. I identify oil price changes that are caused by exogenous events and...

Recent research has documented that oil price changes lead the aggregate market in most industrialized countries, and has argued that it represents an anomaly - an underreaction to information that investors can profit from. I identify oil price changes that are caused by exogenous events and...

What are the implications of disagreement about environmental, social, and governance (ESG) ratings for portfolio choice? Constructing an optimal portfolio for each ESG rating agency by minimizing tracking error while satisfying a portfolio-level ESG constraint, we found that ESG rating...

Fixed-income managers need specialized attribution models that for example incorporate all the effects of yield-curve movements. The route is the factor based approach, where the performance of all securities is first decomposed using systematic factors and then aggregated. We consider a...

Can lab experiments on student populations serve to identify the motivational forces present in society at large? We address this question by conducting, to our knowledge, the first study of social preferences that brings a nationally representative population into the lab, and we compare their...