Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...

In this study, we use daily gold log-returns to analyse the quality of forecasting expected shortfalls (ES) using volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed on the entire distribution of returns, as well as for...

Industrial policies greening the economy aim to accelerate the transition to net zero. We show that the United States (US) Inflation Reduction Act improved the supply of climate finance globally. Using granular data on global investment funds, we identify a novel international spillover channel...

Throughout history, gold has played a vital role as a financial asset in the global financial system. It has been prevalent as a currency in many civilizations, including Ancient Greece, Rome, and Egypt. In the modern era, gold continues to play a critical role in the global financial system,...

Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Unemployment leads to large and persistent income losses for workers. Higher unemployment in the labor market therefore has spillover effects on the housing market. This paper studies such spillover effects from both empirical and theoretical perspectives. Using data from the Current Population...