How easy is it for investment managers to deploy their talent in green and brown stocks?
@article{Ardia2022HowEI, title={How easy is it for investment managers to deploy their talent in green and brown stocks?}, author={David Ardia and Keven Bluteau and Thien Duy Tran}, journal={Finance Research Letters}, year={2022} }
References
SHOWING 1-10 OF 23 REFERENCES
Climate Change Concerns and the Performance of Green Versus Brown Stocks
- Business, Economics
- 2020
We empirically test the prediction of Pastor, Stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increase unexpect- edly, using data for S&P 500…
ESG Rating Disagreement and Stock Returns
- BusinessFinancial Analysts Journal
- 2021
Using environmental, social, and governance (ESG) ratings from seven different data providers for a sample of firms in the S&P 500 Index between 2010 and 2017, we studied the relationship between ESG…
Dissecting Green Returns
- EconomicsSSRN Electronic Journal
- 2021
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…
Do Investors Care About Carbon Risk?
- Economics, BusinessJournal of Financial Economics
- 2019
This paper explores whether carbon emissions affect the cross-section of U.S. stock returns. We find that stocks of firms with higher total CO2 emissions (and changes in emissions) earn higher…
The Peer Performance Ratios of Hedge Funds
- Economics
- 2013
An essential component in the analysis of (hedge) fund returns is to measure its performance with respect to the group of peer funds. Through the analysis of risk-adjusted return percentiles an…
A Five-Factor Asset Pricing Model
- Economics, Business
- 2014
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF 1993).…
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
- Economics
- 2005
Standard tests designed to identify mutual funds with non-zero alphas are problematic, in that they do not adequately account for the presence of lucky funds. Lucky funds have significant estimated…
An Evaluation of Alternative Multiple Testing Methods for Finance Applications
- EconomicsThe Review of Asset Pricing Studies
- 2019
In almost every area of empirical finance, researchers confront multiple tests. One high-profile example is the identification of outperforming investment managers, many of whom beat their…
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power?
- EconomicsThe Journal of Finance
- 2019
Barras, Scaillet, and Wermers propose the false discovery rate (FDR) to separate skill (alpha) from luck in fund performance. Using simulations with parameters informed by the data, we find that this…
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply
- EconomicsSSRN Electronic Journal
- 2019
Andrikogiannopoulou and Papakonstantinou (AP; 2019) conduct an inquiry into the bias of the False Discovery Rate (FDR) estimators of Barras, Scaillet, and Wermers (BSW; 2010). In this Reply, we…