Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Ossola, Elisa"'
Publikováno v:
In International Review of Financial Analysis November 2023 90
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly cross-sectionally corre
Externí odkaz:
http://arxiv.org/abs/1612.04990
Publikováno v:
In Journal of Corporate Finance August 2021 69
Publikováno v:
In Journal of Financial Stability June 2021 54
Publikováno v:
In Journal of Econometrics October 2019 212(2):503-521
Publikováno v:
Econometrica, 2016 May 01. 84(3), 985-1046.
Externí odkaz:
http://www.jstor.org/stable/43866457
This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::c30d44d46442664eeaf26825b17be588
https://hdl.handle.net/10419/250161
https://hdl.handle.net/10419/250161
This study provides evidence on the existence of a negative Greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on European individual stock returns. We define a priced `greenness and transparency' factor ba
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1739::3dc386b6d18a61a6c528748f639b4e39
https://publications.jrc.ec.europa.eu/repository/handle/JRC120506
https://publications.jrc.ec.europa.eu/repository/handle/JRC120506
We examine time-invariant and time-varying market integration across European stock markets. Market integration has been increasing especially during the crisis period. Among others, market capitalization, technological developments and overall polit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1739::a152beb5656b2605ab26db1046796ae2
https://publications.jrc.ec.europa.eu/repository/handle/JRC121871
https://publications.jrc.ec.europa.eu/repository/handle/JRC121871
This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European individual stock returns and portfolios. By defining a green factor which is priced by the market, we offer a tool to assess a portfoli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1739::c4ca750ac0533fe19c3459e88ae9f4f2
http://publications.jrc.ec.europa.eu/repository/handle/JRC116108
http://publications.jrc.ec.europa.eu/repository/handle/JRC116108