Search Results - "Financial analysts journal"

Why and How Investors Use ESG Information: Evidence from a Global Survey by Amel-Zadeh, Amir, Serafeim, George

“…Using survey data from mainstream investment organizations, we provide insights into why and how investors use reported environmental, social, and governance…”
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ESG Rating Disagreement and Stock Returns by Gibson Brandon, Rajna, Krueger, Philipp, Schmidt, Peter Steffen

“…Using environmental, social, and governance (ESG) ratings from seven different data providers for a sample of firms in the S&P 500 Index between 2010 and 2017,…”
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Index Investment and the Financialization of Commodities by Tang, Ke, Xiong, Wei

“…The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures…”
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Corporate Governance, ESG, and Stock Returns around the World by Khan, Mozaffar

“…Nonfinancial performance measures, such as environmental, social, and governance (ESG) measures, are potentially leading indicators of companies' financial…”
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Which Corporate ESG News Does the Market React To? by Serafeim, George, Yoon, Aaron

“…We analyze 109,014 firm-day observations for 3,109 companies and examine market reaction to different ESG news. We find that prices react only to financially…”
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Hedging Climate Risk by Andersson, Mats, Bolton, Patrick, Samama, Frédéric

“…We present a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk without sacrificing financial returns. We…”
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Machine Learning for Stock Selection by Rasekhschaffe, Keywan Christian, Jones, Robert C.

“…Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning…”
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News vs. Sentiment: Predicting Stock Returns from News Stories by Heston, Steven L., Sinha, Nitish Ranjan

“…The authors used a dataset of more than 900,000 news stories to test whether news can predict stock returns. They measured sentiment with a proprietary Thomson…”
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Public Sentiment and the Price of Corporate Sustainability by Serafeim, George

“…Combining environmental, social, and governance (ESG) data with "big data" measuring public sentiment about corporate sustainability performance, I found that…”
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Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly by Baker, Malcolm, Bradley, Brendan, Wurgler, Jeffrey

“…Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly may be…”
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Reports of Value's Death May Be Greatly Exaggerated by Arnott, Robert D., Harvey, Campbell R., Kalesnik, Vitali, Linnainmaa, Juhani T.

“…Value investing, as defined by the Fama-French high book-to-market minus low book-to-market (HML) factor, has underperformed growth investing since 2007,…”
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The Shift from Active to Passive Investing: Risks to Financial Stability? by Anadu, Kenechukwu, Kruttli, Mathias, McCabe, Patrick, Osambela, Emilio

“…The past two decades have seen a significant shift from active to passive investment strategies. We examined how this shift affects financial stability through…”
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Buffett's Alpha by Frazzini, Andrea, Kabiller, David, Pedersen, Lasse Heje

“…Warren Buffett's Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant,…”
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When Managers Change Their Tone, Analysts and Investors Change Their Tune by Druz, Marina, Petzev, Ivan, Wagner, Alexander F., Zeckhauser, Richard J.

“…The negativity of managerial word choice (managerial tone) in conference calls is a telltale indicator of a company's future. Specifically, increases in…”
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Applying Economics—Not Gut Feel—to ESG by Edmans, Alex

“…Interest in environmental, social, and governance (ESG) issues is at an all-time high. However, academic research is still relatively nascent, often leading us…”
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Hedge Fund Performance: End of an Era? by Bollen, Nicolas P.B., Joenväärä, Juha, Kauppila, Mikko

“…This article documents a decline in aggregate hedge fund performance over the past decade. We tested whether a set of prediction models can select subsets of…”
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Enhanced Portfolio Optimization by Pedersen, Lasse Heje, Babu, Abhilash, Levine, Ari

“…Portfolio optimization should provide large benefits for investors, but standard mean-variance optimization (MVO) works so poorly in practice that optimization…”
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Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens by Madhavan, Ananth, Sobczyk, Aleksander, Ang, Andrew

“…Using data on 1,312 active US equity mutual funds with $3.9 trillion in assets under management, we analyzed the link between funds' bottom-up, holdings-based…”
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Leverage Aversion and Risk Parity by Asness, Clifford S., Frazzini, Andrea, Pedersen, Lasse H.

“…The authors show that leverage aversion changes the predictions of modern portfolio theory: Safer assets must offer higher risk-adjusted returns than riskier…”
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Harry Markowitz and the Philosopher’s Stone by Sexauer, Stephen C., Siegel, Laurence B.

“…We celebrate the life, work, and intellectual legacy of Harry Markowitz (1927–2023). Professor Markowitz’s philosophy and math have guided portfolio…”
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