Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Maria E. de Boyrie"'
Publikováno v:
Managerial Finance. 48:1221-1239
PurposeThis study explores the “Sell-in-May” effect in environmental, social and governance (ESG) indices and compares the seasonal effects in ESG equity indices with conventional equity indices.Design/methodology/approachThe authors use ordinary
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab75bd58e6225f0a19654493142b96a8
https://doi.org/10.1108/mf-12-2021-0590
https://doi.org/10.1108/mf-12-2021-0590
Autor:
Maria E. de Boyrie, Ivelina Pavlova
Publikováno v:
Applied Economics. 52:5949-5966
This study investigates the effects of a country’s environmental performance on sovereign credit risk. We use sovereign credit default swap (CDS) spreads for a large panel of countries to analyse w...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7fce07f53d7d2655974ecd2d16596506
https://doi.org/10.1080/00036846.2020.1781772
https://doi.org/10.1080/00036846.2020.1781772
Publikováno v:
Finance Research Letters. 30:201-207
Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of adding commodities to international equity portfolios. The data covers the 2014/2015 commodities price crash. We compare commodities as a hedge for developed,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0af88f39fdef8ce48fa53ed6e60681af
https://doi.org/10.1016/j.frl.2018.09.012
https://doi.org/10.1016/j.frl.2018.09.012
Publikováno v:
International Review of Financial Analysis. 80:102033
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7fa2125e6f7048e70537f3a7285eecba
https://doi.org/10.1016/j.irfa.2022.102033
https://doi.org/10.1016/j.irfa.2022.102033
Autor:
Maria E. de Boyrie, Ivelina Pavlova
Publikováno v:
Finance Research Letters. 44:102051
This study adds to the literature on sustainable investment performance by assessing the risk-adjusted returns of ESG ETFs before and during the COVID-19 market crash. Employing five factor models and post-expense returns before and after the market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b4e195bbe2986f44a4b61d7716258a43
https://doi.org/10.1016/j.frl.2021.102051
https://doi.org/10.1016/j.frl.2021.102051
Publikováno v:
The Quarterly Review of Economics and Finance. 68:10-22
We study the dynamic spillover of crude oil prices and volatilities on sovereign risk premia of ten oil-exporting countries. Among the determining variables, we include a set of local and global factors that are identified through principal component
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32b514b58ea6bfcd1464ce361973a9eb
https://doi.org/10.1016/j.qref.2018.03.003
https://doi.org/10.1016/j.qref.2018.03.003
Publikováno v:
International Review of Financial Analysis. 49:155-165
We investigate the volatility transmission from commodities to sovereign credit defaults swaps (CDS) spreads of emerging and frontier markets. Using daily data for seventeen emerging and six frontier countries, we document a significant volatility sp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b37cdc52c974d8751e0f08b7eeee57f1
https://doi.org/10.1016/j.irfa.2016.11.001
https://doi.org/10.1016/j.irfa.2016.11.001
Publikováno v:
Global Economy Journal. 16:293-311
This paper assesses the welfare effects of integration in Latin America. It estimates trade creation and diversion of: 1) integration of the four Mercosur countries (Brazil, Argentina, Paraguay and Uruguay) and 2) amalgamation of Mercosur with the An
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f4f592e31226bcd8581e4c5bf1faa9d
https://doi.org/10.1515/gej-2015-0066
https://doi.org/10.1515/gej-2015-0066
Publikováno v:
Global Economy Journal. 18
This paper applies a mixed effect model to investigate the relationship between international equity returns and forward discount sorted currency returns from three base currencies (i. e., US dollar, euro, and pound sterling). Empirical results using
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b29c1bdbda0b82b96ae4e80e56ec988f
https://doi.org/10.1515/gej-2018-0041
https://doi.org/10.1515/gej-2018-0041
Autor:
Maria E. de Boyrie, Ivelina Pavlova
Publikováno v:
Global Economy Journal. 18
The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correla
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00af0128203f07c10051e52123732c28
https://doi.org/10.1515/gej-2017-0075
https://doi.org/10.1515/gej-2017-0075