This paper investigates whether market quality, uncertainty, investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017–March 2019, we find significant time variation in the contribution to price discovery...

In the mutual fund literature, it is an established fact that investors "chase past performance". However, the opposite impact of flows on performance is widely discussed. Mainly, liquidity costs are held responsible for short-term erosion of performance, while high inflows enhance performance...

This article shows that corporate social responsibility (CSR) is positively related to firm value, given firms have shareholders who reveal a corresponding preference for social or environmental performance, as proxied by their quantifiable investment habits. I suspect that this corresponds to...

The impact of sustainable investment funds can in principle be achieved via three impact channels, which can be systematized in an impact framework. While the impact channels have already been described quite well in theoretical terms, relatively few empirical studies have been conducted to...

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite the dramatic changes in the market over the last 20...

Despite the nonlinearity in the relation between interest rate risk and expected return, bond fund performance regressions usually lever expected benchmark returnslinearly to the fund’srisk. This causes systematic miscalculations of expected passive style returns and active alphas. I propose a...

Recent equilibrium models predict a negative expected return premium in green stocks due toa non-financial utility for green investors, the so-called Equity Greenium, and in consequencea separation of the capital market. We derive a modified pricing relationship for equity futuresas a first...