We introduce a factor approach to performance measurement of global ESG equity investments. construct pure portfolios (PFP) following Fama-MacBeth; then, applying Fama-French (FF) spanning regressions that simultaneously test and the validity adding new factors FF 5-factor model. To address endogeneity, we use GMM-IV estimator. Our do not generate significant alphas during 2015-2019, corroborat...

As documented in Fama and French (1992), small firms’ expected equity returns are usually larger than big firms.’ Notably, Fama and French (1995) attributed this return pattern, dubbed as size premium, to a notion that small firms are assigned a higher risk premium because they face greater risk of distress. However, “distress anomaly” papers including Campbell, Hilscher, and Szilagyi (2008) em...

Alexithymia encompasses four dimensions, namely, a difficulty in identifying and describing feelings, confusion to distinguish between emotional arousals and bodily sensations, a poverty of imagination and fantasy life, and a concrete, reality-based cognitive style. The 20-item Toronto Alexithymia Scale (TAS-20) was designed to assess alexithymia in adult samples. Both exploratory and confirmat...

Arbitrage pressures that could equalize closed-end fund share prices with fund portfolio values appear to be largely absent in an extensive data set. Observed fund behavior violates the static arbitrage bounds of Gemmill & Thomas (2002) and is inconsistent with the dynamic arbitrage bounds of Pontiff (1996). Furthermore, Fama & French (1992) regressions run on arbitrage portfolios designed to p...

This paper examines whether nancial development facilitates economic growth by scrutinizing one rationale for such a relationship; that nancial development reduces the costs of external nance to rms. Speci cally, we ask whether industrial sectors that are relatively more in need of external nance develop disproportionately faster in countries with more developed nancial markets. We nd this to b...

We analyze the volatility risk premium by applying a modified two-pass Fama-MacBeth procedure to the returns of a large cross section of the returns of options on individual equities. Our results provide strong evidence of a volatility risk premium that is increasing in the level of overall market volatility. This risk premium provides compensation for risk stemming both from the characteristic...