Zobrazeno 1 - 10
of 91
pro vyhledávání: '"Robert F. Stambaugh"'
Publikováno v:
Journal of Financial Economics. 146:403-424
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15ec4c147544d32b21120037a41a0f1b
https://doi.org/10.1016/j.jfineco.2022.07.007
https://doi.org/10.1016/j.jfineco.2022.07.007
Publikováno v:
Critical Finance Review. 11:593-611
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0ad2f10d1fc8d10ff29b4a69c3c33d0c
https://doi.org/10.1561/104.00000121
https://doi.org/10.1561/104.00000121
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0af70e956b343e90f76ec2d605eae236
https://doi.org/10.2139/ssrn.4464537
https://doi.org/10.2139/ssrn.4464537
Publikováno v:
Journal of Financial Economics. 142:550-571
We model investing that considers environmental, social, and governance (ESG) criteria. In equilibrium, green assets have low expected returns because investors enjoy holding them and because green assets hedge climate risk. Green assets nevertheless
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3346d3b15f8cd61ba01f6a95308cb503
https://doi.org/10.1016/j.jfineco.2020.12.011
https://doi.org/10.1016/j.jfineco.2020.12.011
Publikováno v:
The Review of Asset Pricing Studies. 11:309-351
We construct optimal portfolios of mutual funds whose objectives include socially responsible investment (SRI). Comparing portfolios of these funds to those constructed from the broader fund universe reveals the cost of imposing the SRI constraint on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fc56b3a1e488b45e425e98c2dc298664
https://doi.org/10.1093/rapstu/raab004
https://doi.org/10.1093/rapstu/raab004
Publikováno v:
Journal of Financial Economics. 138:614-634
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8509c38906d4476e28fad9648aaed206
https://doi.org/10.1016/j.jfineco.2020.06.005
https://doi.org/10.1016/j.jfineco.2020.06.005
We investigate whether various asset pricing models could hold in an efficient market. Assuming decade-old information should be priced correctly, we test whether a model assigns zero alpha to investment strategies that use only such information. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bdbb8c1517345439a4d52ca3c218bb70
https://doi.org/10.3386/w29016
https://doi.org/10.3386/w29016
Autor:
Lubos Pastor, Robert F. Stambaugh
Publikováno v:
Critical Finance Review. 8:277-299
The Critical Finance Review commissioned Li et al. (2019) and Pontiff and Singla (2019) to replicate the results in PAistor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::71bba6a87ab434354714d1c6b3fabd7e
https://doi.org/10.1561/104.00000074
https://doi.org/10.1561/104.00000074
Publikováno v:
Journal of Financial Economics. 134:48-69
We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::40cd8889419b5291db50889bc4ba0b98
https://doi.org/10.1016/j.jfineco.2019.03.008
https://doi.org/10.1016/j.jfineco.2019.03.008
Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the ``greenium
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff0bde46233b1510ce2c1e3e6bef6255
https://doi.org/10.3386/w28940
https://doi.org/10.3386/w28940