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The Hidden Risks of ESG Conformity - Benefiting from the ESG Life Cycle

Conen, Ralf - 2019

This paper investigates the relationship between ESG scores and stock prices. Further to previous research we add ESG revisions to the overall level of ESG scores. We propose an ESG life cycle framework, which we decompose into four clusters. Each of these clusters exhibits different...

Persistent link: https://www.econbiz.de/10012865995

Global Invested Capital Market

Attaluri, Sudhakar - 2016

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

Persistent link: https://www.econbiz.de/10013006681

Country Value Premiums and Financial Crises

Zaremba, Adam - 2016

The paper concentrates on the value premium across countries and contributes to the nvestment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is...

Persistent link: https://www.econbiz.de/10013006856

A Performance Evaluation Model for Global Macro Funds

Zaremba, Adam - 2016

The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a...

Persistent link: https://www.econbiz.de/10013006886

Merger Imbalance and Returns in International Equity Markets

Zaremba, Adam - 2017

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

Persistent link: https://www.econbiz.de/10012968527

'Smart Money?' : The Trading Performance of Hedge Funds in a Zero-Sum Contest

Lu, Wei - 2017

This study makes an “apples-to-apples” comparison between hedge funds and all their counterparties, such as mutual funds', in a zero-sum contest utilizing a new methodology. Extensive institutional transactions involving precisely matched trade portfolios shows that hedge funds are...

Persistent link: https://www.econbiz.de/10012949736

REIT Valuation : A Global Perspective

Jain, Pawan - 2017

Prior empirical evidence regarding the impact of dividend taxes, corporate taxes, and corporate governance on firm valuation is inconclusive. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their...

Persistent link: https://www.econbiz.de/10012952515

Sponsorship of the FIFA World Cup™, Shareholder Wealth, and the Impact of Corruption

Hundt, Steffen - 2017

The FIFA World Cup™ is not only one of the most popular sporting events in the world: it is also famous for the … sponsorship deals – are rarely found in the literature. This study analyses the return effects for the stockholders of FIFA World … who choose to extend existing sponsorship contracts benefit most from the FIFA World Cup™ in terms of driving stockholder …

Persistent link: https://www.econbiz.de/10012953198

Cyberfinance : Liberating the Financial Markets

Wales, Kim - 2015

traditional ways, especially in the unbanked world with its huge potential for growth and social well being. These new financial … potential to radically transform the world in which we live, while promoting the core values of industrialized societies …

Persistent link: https://www.econbiz.de/10013021212

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403