Results 31 to 40 of about 76,557 (47)
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Social Science Research Network, 2023
We estimate financial institutions’ portfolio tilts that relate to stocks’ environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry’s assets under management in 2021.
Ľuboš Pástor +2 more
semanticscholar +1 more source
We estimate financial institutions’ portfolio tilts that relate to stocks’ environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry’s assets under management in 2021.
Ľuboš Pástor +2 more
semanticscholar +1 more source
Machine Learning for Continuous-Time Finance
Social Science Research NetworkWe develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito’s lemma ...
Victor F. Duarte +2 more
semanticscholar +1 more source
Social Science Research Network, 2021
Benchmarking incentivizes fund managers to invest a fraction of their funds assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its ...
A. Pavlova, Taisiya Sikorskaya
semanticscholar +1 more source
Benchmarking incentivizes fund managers to invest a fraction of their funds assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its ...
A. Pavlova, Taisiya Sikorskaya
semanticscholar +1 more source
COVID-19 and Corporate Finance
Social Science Research Network, 2022We distill evidence about the effects of COVID-19 on companies. Stock price reactions to the shock differed greatly across firms, depending on their resilience to social distancing, financial flexibility, and corporate culture. The same characteristics
M. Pagano, J. Zechner
semanticscholar +1 more source
Energy Journal
This paper begins with an investigation on the relation between airline fuel hedging and volatility and builds on this idea to consider its effect on the risk and return relationship.
Jason P. Berkowitz +2 more
semanticscholar +1 more source
This paper begins with an investigation on the relation between airline fuel hedging and volatility and builds on this idea to consider its effect on the risk and return relationship.
Jason P. Berkowitz +2 more
semanticscholar +1 more source
How to Dominate the Historical Average
The Review of financial studiesWe present a novel methodology for the out-of-sample forecast of the equity premium. Our predictive slope coefficient is a conservative constant that has a lower bias than the zero slope employed by the historical average, but has the same variance. We
Kaiqiang Li +3 more
semanticscholar +1 more source
Understanding the Ownership Structure of Corporate Bonds
Social Science Research Network, 2022Insurers are the largest institutional investors of corporate bonds. However, a standard theory of insurance markets, in which insurers maximize firm value subject to regulatory or risk constraints, predicts no allocation to corporate bonds.
R. Koijen, Motohiro Yogo
semanticscholar +1 more source
Effects of Credit Expansions on Stock Market Booms and Busts
The Review of financial studiesThere is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious ...
Christopher Hansman +4 more
semanticscholar +1 more source
Supply chain finance and firm diversification: Evidence from China
Australian Journal of Management, 2022We establish a link between supply chain finance (SCF) and the diversification of core firms through a proprietary dataset of listed firms on the Shanghai and Shenzhen Stock Exchanges.
Lei Xu, Bin Li, Chen Ma, J. Liu
semanticscholar +1 more source
Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets
The Review of financial studiesWe propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—generates several new predictions: (i) skewness has a
Joost Driessen +2 more
semanticscholar +1 more source