Socially responsible fixed‐income funds

J Derwall, K Koedijk - Journal of Business Finance & …, 2009 - Wiley Online Library
The growing importance of SRI in the investment arena has resulted in considerable
academic interest in the performance of socially responsible equity mutual funds …

[HTML][HTML] Navigating the factor zoo around the world: an institutional investor perspective

SM Bartram, H Lohre, PF Pope… - Journal of Business …, 2021 - Springer
The literature on cross-sectional stock return predictability has documented over 450 factors.
We take the perspective of an institutional investor and navigate this zoo of factors by …

Momentum and reversal effects in corporate bond prices and credit cycles

L Pospisil, J Zhang - The Journal of Fixed Income, 2010 - search.proquest.com
This article studies momentum and reversal patterns in corporate bond prices. The authors
analyze returns on two momentum trading strategies-buying bonds with the best past …

Factor investing in emerging market credits

L Dekker, P Houweling, F Muskens - The Journal of Index Investing …, 2021 - papers.ssrn.com
We examine factors in a novel dataset on the cross-section of emerging market hard
currency corporate bonds. We find that the size, low-risk, value, and momentum factors …

Islamic investment and the cost of observance

O Al-Shakfa, G Lypny - The Journal of Investing, 2011 - pm-research.com
This article studies momentum and reversal patterns in corporate bond prices. The authors
analyze returns on two momentum trading strategies—buying bonds with the best past …

True Value Investing in Credits through Machine Learning

P Houweling, P Messow, RJ t Hoen - Available at SSRN, 2024 - papers.ssrn.com
Value investing in the credit market aims to identify mispricings by determining whether a
bond's credit spread offers a sufficient compensation for its risk. To assess how successful …

[PDF][PDF] Mutual funds with fixed-income holdings: a closer look at recent trends in the market

A Hejri - 2022 - figshare.mq.edu.au
This thesis aims to shed light on research developments in mutual funds with fixed-income
holdings, focusing on the 2007-2008 financial crisis and post-crisis periods. This research …

Quintet Volume Projection

V Markov, O Vilenskaia, V Rashkovich - arXiv preprint arXiv:1904.01412, 2019 - arxiv.org
We present a set of models relevant for predicting various aspects of intra-day trading
volume for equities and showcase them as an ensemble that projects volume in unison. We …

The impact of socially responsible investing on the performance of European bond portfolios

PA Pereira - 2018 - search.proquest.com
This dissertation investigates the performance of socially screened bond portfolios of 189
Eurozone companies between 2003 and 2016. Bond portfolios are formed on the basis of …

Essays in asset pricing

F Khushnud - 2015 - research-repository.uwa.edu.au
This dissertation follows on an asset pricing theme. Overall, it explores asset pricing tests in
the equity and the bond markets and attempts to identify the common risk factors that best …