In this paper we investigate the possible benefits of integrating ESG considerations into fixed income portfolio construction. When we create portfolios ranked by a composite ESG value or by an environmental ranking we find evidence to suggest that higher ESG rankings produce an improvement in...

The pricing-kernel, when estimated from index options, appears to show risk-loving behaviour for small gains and losses. Although this puzzle could be caused by option buyers using subjective probability-weighting, such weighting generates an unrealistically large (and time-varying)...

A long-standing puzzle in finance, first noted by Ingersoll (1977b), is that many firms delay the re-call of convertible bonds until the bonds' equity values by far exceed their values as straight debt. Butler (2002) argues that the delay is due to a put option which is granted to investors...