Does corporate social responsibility impact equity risk? International evidence
Sign Up to like & getrecommendations! Published in 2022 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-022-01059-7
Abstract: Based on a large panel of listed firms from 52 countries in the period 2002–2020, we investigate the relationship between corporate social responsibility (CSR) and equity risk. We confirm previous evidence that higher CSR scores… read more here.
Keywords: social responsibility; equity risk; corporate social; risk ... See more keywords
The mispricing of equity risk: behavioral and corporate leverage factors
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asset Management"
DOI: 10.1057/s41260-017-0041-z
Abstract: In this paper, we investigate the risk anomaly in equity market. Our focus is to assess the relationship between skewness preference, investor sentiment, corporate leverage and the mispricing of equity risk. Based on data of… read more here.
Keywords: equity; equity risk; risk; investor ... See more keywords
Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia
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DOI: 10.3390/risks6040121
Abstract: There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities. Similarly, parametric measures of value at risk… read more here.
Keywords: equity risk; risk; measures extreme; nonparametric measures ... See more keywords
Equity Risk and Return across Hidden Market Regimes
Sign Up to like & getrecommendations! Published in 2021 at "Risks"
DOI: 10.3390/risks9110188
Abstract: The key to understanding the dynamics of stock markets, particularly the mechanisms of their changes, is in the concept of the market regime. It is regarded as a regular transition from one state to another.… read more here.
Keywords: hidden market; market; financial turbulence; risk return ... See more keywords