ESG investing has gained considerable traction over the past few years and, alongside smart beta, factor investing and alternative risk premia, is one of the current hot topics for the asset management industry. Nevertheless, even though large institutions such as insurance companies, pension...

ESG investing's popularity has continually increased in the past five years. ESG data is increasingly integrated into investment processes. However, the information contained in ESG-related news for corporates has not been entirely exploited by institutional and long-only investors. The...

In this research, we show that variables from the Global Database of Events, Language and Tone (GDELT) convey significant informational content that can improve on a purely macroeconomic approach when modeling the US equity market. Based on these metrics, we construct timeseries that represent...