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This is the first study to look at the characteristics of funds accepting the $2.7 trillion taxpayer guarantee of money market mutual funds during the 2008 financial crisis. Fund shares that benefited from Federal Reserve’s asset-backed commercial paper program were significantly more likely to...
Based on an extensive international dataset containing Thomson Reuters environmental, social and corporate governance (ESG) rating, as well as Thomson Reuters newest controversies and combined score of an average of 2500 companies in the years 2002–2018, this article contributes to the existing...
This paper analyses smart beta ETF performance and provides the first evidence on the funds’ performance persistence. Our sample is comprised of 152 US equity smart beta ETFs over the period June 2000 to May 2017. We found that as per the risk-adjusted performance, about 40% of smart beta ETFs...
Enhanced machine learning methods provide an encouraging alternative to forecast asset prices by extending or generalizing the possible model specifications compared to conventional linear regression methods. Even if enhanced methods of machine learning in the literature often lead to better...
We propose a robust formulation of the traditional risk parity problem by introducing an uncertainty structure specifically tailored to capture the intricacies of risk parity. Typical minimum variance portfolios attempt to introduce robustness by computing the worst-case estimate of the risk...
Market noises can lead to optimistic or pessimistic investor sentiments, which draw additional attention from irrational investors. Hence, when additional investor attention is misallocated on worthless information due to market noises, the consequential trading activities will raise stock...
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