We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum...

"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size--and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...

We investigate whether it is possible to find a Stochastic Discount Factor (SDF) that jointly prices the cross-section of eight U.S. portfolios of stocks, Treasuries, corporate bonds, and commodities and replicates their observed moments, and especially correlations. We use the first three...

Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach advocated by Fama and MacBeth (1973). The second approach is based on a Bayesian...

We investigate the potential role of Exchange Traded Products (Notes) as vehicles to trade volatility (here proxied by the VIX index) as an asset class in a fully optimizing asset allocation framework, subject to long-only constraints. In back-testing, recursive exercises based on an expanding...