Characteristics of companies associated with climate change predict excess equity returns. We show that firms with lower carbon emission intensities—with carbon emissions being a key component of the Paris Accord—have high excess returns. We present evidence that firms with lower carbon...

We construct fixed income portfolios for sovereign bonds and corporate bonds with sustainable insights. The climate methodology for sovereign bonds can be applied as an overlay on any benchmark and tilts towards sovereigns more prepared with the climate transition and away from those which are...

We document significant spreads in style factors — value, size, quality, momentum, and low volatility — in each of the style box categories. This is also true even for the value and small size factors, which are reflected in the original definition of the style box framework. Some single...

The authors embed Paris Aligned Benchmark (PAB) requirements in an illustrative multi-asset portfolio containing developed and emerging market equities, sovereign bonds, corporate bonds, listed real estate, and commodities. By being PAB compliant, the immediate reduction and ongoing reductions...

Computer trading in financial markets is a rapidly developing field with a growing number of applications. Automated analysis of news and computation of market sentiment is a related applied research topic which impinges on the methods and models deployed in the former. In this chapter we have...

We investigate how “news sentiment” in general and the “impact of news” in particular can be utilized in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived measure of news impact score which takes into...

Multifactor models are often used as a tool to describe equity portfolio risk. Naturally, risk is dependent on the market environment and investor sentiment. Traditional factor models fail to update quickly as market conditions change. It is desirable that the risk model updates to incorporate...

The field of natural language processing (NLP) has evolved significantly in recent years. In this chapter we consider two leading and well-established methodologies, namely, those due to Loughran McDonald, and FinBERT. We then contrast our approach to these two approaches and compare our...

Second order Stochastic Dominance (SSD) has a well recognised importance in portfolio selection, since it provides a natural interpretation of the theory of risk-averse investor behaviour. Recently, SSD-based models of portfolio choice have been proposed; these assume that a reference distribution...

Volatility prediction plays an important role in the financial domain. The GARCH family of prediction models is very popular and efficient in using past returns to forecast volatility. It has also been observed that news, scheduled and unscheduled, have an impact on return volatility of assets....