Author name: Patricia Ponce

Search-Based Peer Groups and Commonality in Liquidity
Paul Brockman, Dennis Y Chung, Neal M Snow
Review of Finance, Volume 27, Issue 1, February 2023, Pages 33–77, https://doi.org/10.1093/rof/rfab033

In this study, we examine the relationship between EDGAR-initiated, search-based peer (SBP) groups proposed by (Lee, Ma, and Wang, 2015) as a potential determinant of commonality in liquidity.… Read more...

Responsible Hedge Funds
Hao Liang, Lin Sun, Melvyn Teo
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1585–1633, https://doi.org/10.1093/rof/rfac028

This paper sheds light on the investment implications of endorsing the United Nations Principles for Responsible Investment (PRI) by analyzing hedge funds.… Read more...

Financial Literacy in the Age of Green Investment
Anders Anderson, David T Robinson
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1551–1584, https://doi.org/10.1093/rof/rfab031

Anthropogenic climate change has made sustainable investment a hot topic across the globe. Increasingly, financial market participants place growing importance on sustainability and other ESG considerations.… Read more...

Climate Change Risk and the Cost of Mortgage Credit
Duc Duy Nguyen, Steven Ongena, Shusen Qi, Vathunyoo Sila
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1509–1549, https://doi.org/10.1093/rof/rfac013

Does the residential property market incorporate risks related to sea level rise (SLR)?… Read more...

Does Money Talk? Divestitures and Corporate Environmental and Social Policies
Nickolay Gantchev, Mariassunta Giannetti, Rachel Li
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1469–1508, https://doi.org/10.1093/rof/rfac029

There is an ongoing debate about whether divestitures can influence firms’ environmental and social (E&S) policies.… Read more...

Asset Prices and Portfolios with Externalities
Steven D. Baker, Burton Hollifield, Emilio Osambela
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1433–1468, https://doi.org/10.1093/rof/rfac065

Elementary portfolio theory implies that environmentalists optimally hold more shares of polluting firms than non-environmentalists, and that polluting firms attract more investment capital than otherwise identical non-polluting firms through a hedging channel.… Read more...

Do Responsible Investors Invest Responsibly?
Rajna Gibson Brandon, Simon Glossner, Philipp Krueger, Pedro Matos, Tom Steffen
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1389–1432, https://doi.org/10.1093/rof/rfac064

There is growing interest globally in responsible investing, whereby institutional investors incorporate environmental, social, and governance (ESG) issues into their investment processes.… Read more...

A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion
Olivier David Zerbib
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1345–1388, https://doi.org/10.1093/rof/rfac045

This paper shows how sustainable investing—through the joint practice of exclusionary screening and environmental, social, and governance (ESG) integration—affects asset returns.… Read more...

Aggregate Confusion: The Divergence of ESG Ratings
Florian Berg, Julian F Kölbel, Roberto Rigobon
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1315–1344, https://doi.org/10.1093/rof/rfac033

ESG (environmental, social, and governance) rating agencies have become influential institutions in today’s financial markets, affecting a wide range of important decisions.… Read more...