Zobrazeno 1 - 3
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pro vyhledávání: '"H. Arthur Luo"'
Autor:
Ronald J. Balvers, H. Arthur Luo
Publikováno v:
Journal of Financial and Quantitative Analysis. 52:365-399
We model the pricing implications of screens adopted by socially responsible investors. The model reproduces the empirically observed abnormal return to sin stock and implies a premium for systematic investor boycott risk that affects targeted as wel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b5557f5a6e2a19b606ace74d89399f57
https://doi.org/10.1017/s0022109016000910
https://doi.org/10.1017/s0022109016000910
Autor:
H. Arthur Luo, Ronald J. Balvers
Publikováno v:
SSRN Electronic Journal.
We advance a procedure for deriving systematic factors from characteristics based on maximizing each factor’s exposure to a characteristic for given factor variance. The resulting characteristic-mimicking portfolios (CMPs) price assets identically
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::211005b6e39fb9e5207d3781de3e72e7
https://doi.org/10.2139/ssrn.3203031
https://doi.org/10.2139/ssrn.3203031
Publikováno v:
Applied Economics. 48:261-275
This article studies the impact of monetary policy shocks on equity returns and their volatility among nine industries and their affiliated firms in the United States. We use an extension of the traditional CAPM as the analytical framework and approx
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2b741bf4cf26799c2576a37555ea6ef8
https://doi.org/10.1080/00036846.2015.1078443
https://doi.org/10.1080/00036846.2015.1078443