This study investigates performance of portfolios composed of British Socially Responsible Investments (SRI) stocks. Using the Global 100 Most Sustainable Corporations in the World list (known also as: Global-100) to select the SRI companies, we found that, in the period 2000-2010, the returns...

The paper compares beta estimates obtained from OLS regression with estimates corrected  for heteroscedasticity  of the error term using ARCH models,  for  145 UK shares. The differences are  mainly  less than 0.10, for betas calculated using daily returns, but even...

This paper considers different ways of forecasting UK RPI inflation. We show that the inflation risk premium on nominal gilts and inflation swaps vary significantly over time. The average inflation risk premia on both of these market instruments have increased considerably since 2004 and during...

Kosowski, Timmermann, Wermers, and White (2006) find that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of 3,181 US growth-oriented equity mutual funds over the period...

This paper identifies the classes of agents at play in the European Carbon Futures Market and analyses their trading behaviour during the market's early development period. A number of hypotheses related to microstructure are tested using enhanced three-regime specifications of smooth transition...

This paper investigates the micro and macro effects of income tax on large scale portfolio optimization. Stochastic integer programming is used to optimize post-tax large-scale portfolios when the global market is segmented by regional tax rules. A broad range of realistic trading rules and...

This paper empirically investigates the effects of macroeconomic and firm-specific risk on firms' leverage. The analysis is carried out for a large panel of public and non-public UK manufacturing firms over the period 1999-2008. Our investigation provides evidence that UK manufacturing firms use...

This study investigates performance of portfolios composed of British Socially Responsible Investments (SRI) stocks. Using the Global 100 Most Sustainable Corporations in the World list (known also as: Global-100) to select the SRI companies, we found that, in the period 2000-2010, the returns...

Using unique data about capital flows to private pension funds in Poland, we find that their impact, as a group of large institutional investors, on stock returns is statistically significant in short-term but no such effect exists in the long-run. We analyze the capital transfers, in form of...