Results 21 to 30 of about 4,224 (122)
Sustainable Portfolio Construction via Machine Learning: ESG, SDG and Sentiment
European Financial Management, EarlyView.ABSTRACT This study proposes portfolio construction strategies based on novel sentiment, ESG and SDG scores. We utilize natural language processing to establish a novel daily score system that mitigates concerns of different rating standards. The portfolios constructed are optimized via machine learning algorithms on a monthly basis using daily ...
Xin Feng +3 more
wiley +1 more source
Tests of Global Flights to Safety With US Financial Firm Bankruptcy Announcements
European Financial Management, EarlyView.ABSTRACT This paper investigates whether bankruptcy announcements by large US financial institutions can induce flights to safety, leading investors to seek safer investments. To test this relationship, we employ a short‐horizon event study methodology and show that low‐risk investments—such as the US dollar, sovereign bonds and gold—exhibit ...
Theodosis L. Kallenos +3 more
wiley +1 more source
Disagreement and returns: The case of cryptocurrencies
Financial Management, EarlyView.Abstract We present the first evidence of investor‐trading‐based disagreement's influence on cross‐sectional cryptocurrency daily returns. We interpret abnormal trading volume as investor disagreement and find evidence in support of Miller's disagreement model: when short‐sale constraints are binding, high abnormal volume (high disagreement) assets ...
Jon A. Garfinkel +2 more
wiley +1 more source
Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, EarlyView.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source
Do ESG factors influence firm valuations? Evidence from the field
Financial Review, EarlyView.Abstract We present results of a survey of more than 300 European financial professionals on best practices in integrating environmental, social, and governance (ESG) factors into corporate valuations. We find external stakeholders, such as investment advisors and financial consultants, are significantly more likely than corporate insiders, such as ...
Franck Bancel +2 more
wiley +1 more source
Policy Uncertainty and Bank Stability: Investigation From Supply‐Side Effect
International Finance, EarlyView.ABSTRACT The paper uses the most up‐to‐date data from US banks to investigate the impact of economic policy uncertainty (EPU) on bank stability. The results reveal that elevated uncertainty makes banks more fragile and prone to crash events through profitability erosion, capital buffer, and exacerbating return volatility. This negative impact of EPU is
Dung Viet Tran +2 more
wiley +1 more source
Journal of Financial Research, EarlyView.Abstract We use tail events at different levels of severity to define an asset's tail risk and to decompose the latter into a systematic and an idiosyncratic component. The systematic component captures an asset's tendency to experience joint tail losses with the market and generalizes a classic tail dependence coefficient.
Evarist Stoja +2 more
wiley +1 more source
Time‐Series Factor Modeling and Selection
Journal of Financial Research, EarlyView.Abstract The article proposes a statistical time‐series factor model that incorporates deterministic orthogonal trend polynomials. Such polynomials allow capturing variation in returns without initially identifying a set of robust time‐series factors.
Michael Michaelides
wiley +1 more source
Estimating background risk hedging demands from cross‐sectional data
Journal of Financial Research, EarlyView.Abstract Based on a theory of portfolio choice with non‐tradable assets, we estimate hedging demands due to background risks before and after the Great Recession for U.S households. Hedging demands related to human capital, residential property and business assets reduce financial risk‐taking, but these effects decline over the Great Recession, as does
James Brugler +2 more
wiley +1 more source
The efficacy of market timing and value creation
Journal of Financial Research, EarlyView.Abstract In this article, I use a total timing measure that differentiates between cash‐flow timing and discount‐rate timing to assess value creation among actively managed US equity mutual funds. My findings indicate that some funds exhibit cash‐flow timing skills.
Chunhua Lan
wiley +1 more source