Impact of major macroeconomic announcements on the daily trading volumes of several US ETFs is examined for the period of January 2004-April 2014. An ARIMA model with external factors that describe the announcement events is used. It is found that several macroeconomic announcements,...

In this work, a rule-based definition of market corrections that depends on price volatility is proposed. This enables consistent comparison of corrections in different markets. Statistics of corrections in several US equity indexes and major US equity sector ETFs is compiled. According to the...

A news-based model (NBM) in which stock prices are determined by three types of news is proposed. The first type is non-diversifiable macroeconomic and geopolitical news. Their impact on prices is accounted using the total market return in the spirit of the CAPM. The second type is the equity...

The optimal ESG portfolios (OESGPs) are based on the mean variance framework in which portfolio is simultaneously optimized in terms of return, risk (volatility) and portfolio ESG value (PESGV) (Pedersen et al. 2021; Schmidt 2020). PESGV is assumed to be the sum of the portfolio constituents’...