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Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
(Delta PublicacionesAsociación Internacional de Economía Aplicada, 2012)
This study develops a multi-factor framework where not only the market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and ...
Contribution of sustainable investment to sustainable development within the framework of the SDGS: the role of the asset management industry
(Emerald, 2022)
PURPOSE: This study aims to understand how scholarly research addresses sustainable
investments’ contribution to sustainable development within the Sustainable Development
Goals (SDG) framework. This is achieved by ...
Market risk aversion under volatility shifts: An experimental study
(Elsevier, 2022-03-15)
We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the volatility ...
Sustainable development through the effect of board diversity and CEO duality on corporate risk: Does the state-owned enterprises matter?
(Wiley, 2022-04-12)
To date, not much research has been devoted to analyzing the impact of some corporate
governance mechanisms (board diversity and CEO duality) on corporate risk. Consequently, we believe that it is necessary to study such ...
The Risk-Return Trade-Off in Emerging Markets
(M.E. Sharpe, 2012-12)
This paper studies the risk-return trade-off in some of the main emerging stock markets in the world. Although previous studies on emerging markets were not able to show a positive and significant trade-off, favorable ...
¿Reaccionan los analistas de riesgos comerciales de las empresas españolas ante los informes de auditoría calificados?: Un estudio empírico
(Asociación Española de profesores Universitarios de Contabilidad (ADEPUC), 2008)
En este trabajo se presenta un estudio empírico en el que se analiza si los informes de
auditoría aportan información relevante en la evaluación de los riesgos comerciales de las
empresas. Para ello se ha realizado un ...
Las agencias de rating de sostenibilidad y su contribución al desarrollo sostenible: Nuevos retos ante los riesgos globales
(Fundación Acción contra el Hambre, 2021)
Este artículo explora el papel de las agencias de rating de sostenibilidad en el impulso del desarrollo
sostenible. Más específicamente, el artículo analiza los principales retos a los que se enfrentan las agencias
de ...
On the compensation for illiquidity in sovereign credit markets
(Elsevier, 2015-03)
This article analyzes the role of liquidity in the sovereign credit default swap (CDS) market. We employ a continuous-time specification to incorporate illiquidity as an additional pricing factor of default swap contracts ...
Mutual fund performance: dividends do matter
(Taylor & Francis, 2015)
This article studies the bias in mutual fund performance when a nondividend-reinvesting benchmark is used. Our empirical findings show how performance worsens when using a benchmark that includes reinvestment dividends. ...
Rating the Raters: Evaluating how ESG Rating Agencies Integrate Sustainability Principles
(MDPI, 2019)
Environmental, social, and governance (ESG) rating agencies, acting as relevant financial market actors, should take a stand on working towards achieving a more sustainable development. In this context, the objective of ...