In this paper, we examine whether the short-term variation in the size and value premium in the Japanese stock market is sufficiently predictable to be exploited by a tactical timing strategy. In the spirit of Pesaran and Timmermann (1995), we employ a dynamic modeling approach in which we...

We investigate the effect of insider ownership on corporate bond yield spreads from 2003 to 2014 using a sample of 10,470 bonds issued by 1,222 non-financial firms from 48 countries. We find that greater insider ownership is associated with higher yield spreads. This positive relationship holds...

In this study, we link records of fir rm performance, forecasts of analysts, and the returns after earnings announcements to fi rm-specifi c measures of heat exposure for 4,400 fi rms in 57 countries from 1995 to 2017. We fi nd that increasing exposure to extremely high temperatures reduces...

There exists a widespread consensus among mainstream academics and investors that socially responsible investing (SRI) leads to inferior, rather than superior, portfolio performance. Using Innovest's well-established corporate ecoefficiency scores, we provide evidence to the contrary. We compose...