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ESG Preference, Institutional Trading, and Stock Return Patterns.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Aug2023, Vol. 58 Issue 5, p1843-1877. 35p.
Abstract: Socially responsible (SR) institutions tend to focus more on the environmental, social, and governance (ESG) performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to qua...
A Study of Multifactor Quantitative Stock-Selection Strategies Incorporating Knockoff and Elastic Net-Logistic Regression.
Publication Type: Academic Journal
Source(s): Mathematics (2227-7390). 8/15/2023, Vol. 11 Issue 16, p3502. 20p.
Abstract: In the data-driven era, the mining of financial asset information and the selection of appropriate assets are crucial for stable returns and risk control. Multifactor quantitative models are a common method for stock selection in financial assets, so i...
Carbon Emissions and Stock Returns: The Case of Russia.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Aug2023, Vol. 16 Issue 8, p370. 14p.
Abstract: Russia is taking the first steps in the formation of an emissions trading system. In this article, we studied the impact of carbon risk on Russian stock returns. We link carbon risk to CO2 emissions and air protection costs. We suggest that carbon firm...
Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Jun2023, Vol. 58 Issue 4, p1808-1842. 35p.
Abstract: We investigate the implications of recovering real-world conditional expectation of return functions using options on the S&P 500 index and Treasury bond futures. First, we construct estimates of the probability of disasters, defined as higher than 6%,...
Market Return Around the Clock: A Puzzle.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. May2023, Vol. 58 Issue 3, p939-967. 29p.
Abstract: We study how the market return depends on the time of the day using E-mini S&P 500 futures actively traded around the clock. Strikingly, 4 hours around European open account for the entire average market return. This period's returns have a 1.6 Sharpe ...
Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation.
Publication Type: Academic Journal
Source(s): Data (2306-5729). Aug2023, Vol. 8 Issue 8, p133. 22p.
Abstract: Value at risk is a statistic used to anticipate the largest possible losses over a specific time frame and within some level of confidence, usually 95% or 99%. For risk management and regulators, it offers a solution for trustworthy quantitative risk m...
The Use of the Partitioning Theorem to Prove Further Results Regarding the Distribution of IRRs: And an Open Question.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Aug2023, Vol. 16 Issue 8, p348. 20p.
Abstract: In 2018, Cuthbert proved that any transaction vector can be uniquely partitioned into a sequence of pure investments with strictly decreasing internal rates of return (IRRs). In a subsequent paper, Cuthbert used the partitioning theorem to derive a new...
Overflow Effect of COVID-19 Pandemic on Stock Market Performance: A Study Based on Growing Economy.
Publication Type: Academic Journal
Source(s): Discrete Dynamics in Nature & Society. 7/21/2023, p1-12. 12p.
Abstract: Purpose. The purpose of this study is to evaluate the effect that COVID-19 has on the performance of the stock market in emerging economies. The findings as a whole demonstrate that the stock market does not react significantly. We believe that the out...
Agency Problem and Stock Returns: Combining Measures of Asset Growth and Gross Profit.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Jul2023, Vol. 16 Issue 7, p336. 16p.
Abstract: In this paper, we propose a new factor in predicting stock returns, after taking agency problems into account. Although intensive studies have focused on asset growth and profitability as factors in predicting future returns, very limited attention has...
Return on Equity in Dairy Farms from Selected EU Countries: Assessment Based on the DuPont Model in Years 2004–2020.
Publication Type: Academic Journal
Source(s): Agriculture; Basel. Jul2023, Vol. 13 Issue 7, p1403. 16p.
Abstract: The European Union dairy sector plays a significant role in supplying dairy products to consumers all over the world. The aim of this study was to examine changes in the return on equity as one of the main financial indicators determining the economic ...