We conduct an empirical investigation of an emerging strand of models, pioneered by Berk, Green and Naik (1999), relating firms' real investment behavior under investment irreversibility and asset return dynamics. The models in this literature share many of the same predictions. We first extend...

We jointly estimate and test a conditional asset pricing model which includes long term interest rate risk as a potentially priced factor for four broad classes of assets - large stocks, small stocks, long term Treasury bonds and corporate bonds. We find that the premium for long bond risk is...

We review the literature on ESG and Socially Responsible Investment with a special focus on fixed income investments. Most of the academic research is focused on the link between corporate CSR and ESG activities, investors' SR engagement and stock returns and firm value. Very few studies examine...

Currency risk hedging typically aims at minimizing portfolio volatility. We find that while hedging lowers the volatility of international equity and bond portfolios, it also lowers portfolio returns. Furthermore, Sharpe ratios often deteriorate, portfolio skewness worsens and its kurtosis...

We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not detect significant differences...

This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...