I compare commonly employed factor models across 50 non-US developed and emerging
market countries by ranking them based on their maximum Sharpe ratios. Consistent with …

The popularity of sustainable investments is unbroken and attracts investors and
researchers alike. Modelling the properties of such 'green'firms, Pástor, Stambaugh, and …

High (low) quality stocks generate anomalously high (low) returns above and beyond
expected returns based on betas, market sizes, valuations, and momentum. We provide a …

We investigate the joint ability of fundamental-based and market-based news to explain the
anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out …

Sustainable investments remain popular, attracting investors and researchers alike.
Especially the tail-risk properties seem to differ between sustainable stocks and common …

Banks have always played an ambivalent role in financial markets. On the one hand, they
provide essential services for the market; on the other hand, problems in the banking sector …

I investigate the role of economic policy uncertainty (EPU), proxied by the news-based
measure of Baker et al.(2016), in the cross-section of individual stock returns in 23 countries …

Viimeisen vuosikymmenen aikana niin kutsuttu" Smart Beta" on saanut paljon huomiota ja
suosiota sijoittajien keskuudessa. Kasvua ovat johtaneet nettomerkinnät rahastoihin, uusien …

This research paper studies the quality factor within US equity markets from 1962 through
2018. Quality is a market characteristic that has explanatory power on the cross section of …