Search Results - "Journal of asset management"

Are green bonds priced differently from conventional bonds? by Hachenberg, Britta, Schiereck, Dirk

“…The young growing market for green bonds offers investors the opportunity to take an explicit focus on climate protecting investment projects. However, it is…”
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Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles by Rizvi, Syed Kumail Abbas, Mirza, Nawazish, Naqvi, Bushra, Rahat, Birjees

“…The likelihood of pandemics has been perceived very low till very recently. Therefore, the exponential spread of Covid-19 was a major surprise that has…”
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Virtual currency, tangible return: Portfolio diversification with bitcoin by Brière, Marie, Oosterlinck, Kim, Szafarz, Ariane

“…Bitcoin (BTC) is a major virtual currency. Using weekly data over the 2010–2013 period, we analyze a BTC investment from the standpoint of a US investor with a…”
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Stock market reaction to green bond issuance by Baulkaran, Vishaal

“…This study examines the stock market reaction to the announcement of green bond issuance. The cumulative abnormal returns are positive and significant. This…”
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Measuring the level and risk of corporate responsibility – An empirical comparison of different ESG rating approaches by Dorfleitner, Gregor, Halbritter, Gerhard, Nguyen, Mai

“…This article empirically compares different rating approaches of corporate social performance (CSP) using environmental, social and corporate governance (ESG)…”
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ESG controversies and controversial ESG: about silent saints and small sinners by Dorfleitner, Gregor, Kreuzer, Christian, Sparrer, Christian

“…Based on an extensive international dataset containing Thomson Reuters environmental, social and corporate governance (ESG) rating, as well as Thomson Reuters…”
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Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak by Hasnaoui, Jamila Abaidi, Rizvi, Syed Kumail Abbas, Reddy, Krishna, Mirza, Nawazish, Naqvi, Bushra

“…Despite its relevance for financial services, the impact of human capital efficiency on mutual fund performance has remained unexplored. In this paper, we…”
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Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings by Hübel, Benjamin, Scholz, Hendrik

“…The rising sustainability awareness among regulators, consumers and investors results in major sustainability risks of firms. We construct three ESG risk…”
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Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19 by Papathanasiou, Spyros, Kenourgios, Dimitris, Koutsokostas, Drosos, Pergeris, Georgios

“…Documenting the interlinkages among assets that are widely used to hedge against inflation is crucial for investors, as the necessity to protect the investment…”
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Green bonds: shades of green and brown by Immel, Moritz, Hachenberg, Britta, Kiesel, Florian, Schiereck, Dirk

“…We analyse the existence of a green bond premium and find a negative premium of 8 to 14 basis points. We are further interested in the influence of ESG ratings…”
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Empirical asset pricing via machine learning: evidence from the European stock market by Drobetz, Wolfgang, Otto, Tizian

“…This paper evaluates the predictive performance of machine learning methods in forecasting European stock returns. Compared to a linear benchmark model,…”
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The effect of environmental sustainability on credit risk by Höck, André, Klein, Christian, Landau, Alexander, Zwergel, Bernhard

“…The European Commission has proposed establishing a framework that redirects capital to sustainable investments in order to foster sustainable economic growth…”
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Pricing climate change risk in corporate bonds by Allman, Elsa

“…Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A…”
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Cashing in on innovation: a taxonomy of FinTech by Imerman, Michael B., Fabozzi, Frank J.

“…In this article, we provide a taxonomy of the different types of innovation occurring in financial services, a framework which we refer to as our FinTech…”
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ESG integration: value, growth and momentum by Kaiser, Lars

“…This study provides finer-grained results on the financial effectiveness of ESG integration for mainstream active investment styles. We account for firm size,…”
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Are green bonds priced differently from conventional bonds? by Hachenberg, Britta, Schiereck, Dirk

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Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula by Jeribi, Ahmed, Fakhfekh, Mohamed

“…The purpose of this paper is twofold. Firstly, it discusses the relationship between five cryptocurrencies, oil prices, and US indices. Secondly, it focuses on…”
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Forecasting stock returns with sum-of-the-parts methodology: international evidence by Athari, Mahtab, Naka, Atsuyuki, Noman, Abdullah

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Portfolio optimization in deformed time by Fall, Malick

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Superior forecasting with simple AR(1) models in a low-volatility environment: evidence from the CAT bond market by Gürtler, Marc, Witowski, Eileen

“…Abstract In the recent literature on asset pricing, advanced machine learning methods often show better predictive quality than simple linear regression…”
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