Whether responsible investing reduces portfolio risk remains open to discussion. We study
the relationship between ESG performance and downside risk at fund level in the Chinese …

In this paper, we investigate the impact of innovative efficiency on a firm's market valuation
based on a sample of Chinese listed firms. We find that innovative efficiency prominently …

I examine 468 estimates on the relationship between trading volume and stock returns
reported in 44 studies. I study publication bias together with Bayesian and frequentist model …

In this study, we consider as a predictor of gold return predictability, an alternative measure
of systematic risk using the tail risk obtained from the four variants (Adaptive, Symmetric …

This study examines the predictive power of tail risk measures in stock indices returns using
a comprehensive dataset covering 50 countries from 1926 to 2021. Our findings reveal that …

We perform the most comprehensive test of long-term reversal in national equity indices
ever done. Having examined data from 71 countries for the years 1830 through 2019, we …

Recent studies challenge the standard model risk-return trade-off by showing inverse
predictive power of firm-specific left-tail risk for future returns (ie, left-tail momentum). In this …

This paper constructs a global tail risk (GTR) index and investigates the role of GTR in
predicting the volatility of international stock markets. The results emphasize that GTR …

In this study, we construct three proxies for tail risk observed in 39 markets between 1980
and 2015 to examine its effects on global pricing: TR KJ, following Kelly and Jiang (2014) …

We investigate whether reputation renders a firm more or less likely to report corporate
social responsibility (CSR) activities by studying A-share firms listed on the Chinese stock …