Essays about: "Portfolio sorting"

Showing result 1 - 5 of 21 essays containing the words Portfolio sorting.

  1. 1. EXPLORING THE RELATIONSHIP BETWEEN ESG DISAGREEMENT AND STOCK RETURNS - AN EMPIRICAL ANALYSIS

    University essay from Göteborgs universitet/Graduate School

    Author : Andrea Pasquali; [2023-06-29]
    Keywords : ;

    Abstract : During the recent years investors shifted their preferences towards sustainable stocks and funds, increasing the importance of Environmental, Social and Governance ratings. At a similar pace the related literature started to develop shedding light on some crucial aspects of the ESG ratings, such as the disagreement between rating agencies and the lack of common methodologies to assess the ratings. READ MORE

  3. 2. Flight to climate: liquidity commonality in brown equities

    University essay from Stockholms universitet/Företagsekonomiska institutionen

    Author : Haiping Yu; [2023]
    Keywords : ESG; ESG Investing; Climate investing; Liquidity Commonality; Systematic Liquidity Risk;

    Abstract : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. READ MORE

  4. 3. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : David Böckling; Jurgis Druktenis; [2023]
    Keywords : Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

    Abstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE

  5. 4. Is there a carbon emission-return relation? Exploring the existence of a carbon emission return relation in the Swedish stock market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Kaddik; William Lundell; [2023]
    Keywords : emission premium; emission alpha; carbon emissions; emission intensity; stock returns;

    Abstract : We use portfolio sorting and Fama-Macbeth regressions to investigate the potential relation between carbon emissions and stock returns in the Swedish stock market, a country with stringent carbon regulations and taxes. We research the Swedish stock market between 2010-2019 and do not find evidence of such a relationship. READ MORE

  6. 5. Estimating Believed Knowledge of Portfolio Agents Using Inverse Optimization

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Gustaf Zachrisson; Oscar Wink; [2022]
    Keywords : ;

    Abstract : In this report, we demonstrate the utility of inverse optimization in convex programming by applying it on estimating financial market beliefs and behaviors of portfolio investors. The inversion of the optimization  utilized the Karush–Kuhn–Tucker optimality conditions specified for the current situation. READ MORE