Market Timing and Predictability in FX Markets
Thomas A Maurer, Thuy-Duong Tô, Ngoc-Khanh Tran
Review of Finance, Volume 27, Issue 1, February 2023, Pages 223–246, https://doi.org/10.1093/rof/rfac014
Mean-variance optimized portfolios earn high out-of-sample (OOS) returns in foreign exchange (FX) markets [Baz et al.,… Read more...
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How Do Options Add Value? Evidence from the Convertible Bond Market
Inmoo Lee, Rex Wang Renjie, Patrick Verwijmeren
Review of Finance, Volume 27, Issue 1, February 2023, Pages 189–222, https://doi.org/10.1093/rof/rfac001
In this paper, we study whether options add value to issuers of underlying stocks in the context of convertible bond issues.… Read more...
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How Does Human Capital Affect Investing? Evidence from University Endowments
Matteo Binfarè, Gregory Brown, Robert Harris, Christian Lundblad
Review of Finance, Volume 27, Issue 1, February 2023, Pages 143–188, https://doi.org/10.1093/rof/rfac017
We examine the links between human capital and endowment investing.… Read more...
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Dissemination, Publication, and Impact of Finance Research: When Novelty Meets Conventionality
Rui Dai, Lawrence Donohue, Qingyi (Freda) Drechsler, Wei Jiang
Review of Finance, Volume 27, Issue 1, February 2023, Pages 79–141, https://doi.org/10.1093/rof/rfac018
Using numeric and textual data extracted from over 50,000 finance articles in SSRN’s Financial and Economics Network (FEN) during 2001–2019, our study is the first large-scale empirical research that uncovers the determinants of research outcomes, such as publication outlet, impact and readership in academic finance.… Read more...
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...
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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...
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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...
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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...
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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...
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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...
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