We consider the effectiveness of trailing stop-loss rules which, unlike traditional stop-loss rules, involve the sell trigger price being moved higher to protect profits as prices rise. Our results indicate that while these rules have inferior mean returns to a simple buy-and-hold strategy, they...

We consider the degree to which climate disasters influence investor behavior. Using data on events such as hurricanes and floods, we show that disasters prompt investors to pay more attention to socially responsible investing and invest more in mutual funds with an environmental focus....

While a large body of research documents various firm characteristics and market conditions that drive corporate default, whether risk aversion matters for default risk remains largely under-investigated. A challenge for prior studies that aim to examine the impact of fear on default risk is...

Air pollution is one of the greatest environmental risks and affects various aspects of life. Motivated by the increasing roles of mutual funds in financial markets in recent decades, this study examines the impact of ambient pollution on mutual fund risk in China where pollution is among the...

We show, using data for 57 countries over the 1990–2015 period, that investors' risk perceptions are an important determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact is not subsumed by other well-documented...