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Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia
16 references·1 citing·50 second hopsampled
Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia (2021)Pricing ethics in the foreign exchange ma…Investor horizons, long-term blockholders, and corporate social responsibility (2019)Investor horizons, long-term …Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)Corporate Social Responsibili…Why Do Investors Hold Socially Responsible Mutual Funds? (2017)Why Do Investors Hold Sociall…Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2017)Social Capital, Trust, and Fi…International correlation risk (2017)International correlation riskCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Do Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …The crisis in the foreign exchange market (2009)The crisis in the foreign exc…Arbitrage in the foreign exchange market: Turning on the microscope (2008)Arbitrage in the foreign exch…Under the microscope: the structure of the foreign exchange market (2006)Under the microscope: the str…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Covered Interest Arbitrage and Market Turbulence (1989)Covered Interest Arbitrage an…Covered Interest Parity: A High-Frequency, High-Quality Data Study (1987)Covered Interest Parity: A Hi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Bilateral Effects of ESG Responsibility Fulfillment of Industrial Companies on Green Innovation (2023)Bilateral Effects of ESG Resp…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)The arbitrage theory of capital asset pricing (1976)The Determinants of Capital Structure Choice (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Asset Pricing at the Millennium (2000)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Shrinking the cross-section (2019)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Risk Aversion and Incentive Effects (2002)Incorporating Fairness into Game Theory and Economics (2011)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Impact investing (2020)Climate Finance (2021)Social Capital in the Creation of Human Capital (1988)The Cross-Section of Expected Stock Returns (1992)Bowling alone (2000)Do institutional investors drive corporate social responsibility? International evidence (2018)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Aggregate Confusion: The Divergence of ESG Ratings (2022)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Limits of Arbitrage (1995)Exchange rate forecasting, order flow and macroeconomic information (2009)Crash-neutral currency carry trades (2014)The Share of Systematic Variation in Bilateral Exchange Rates (2017)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)THE CORPORATE SOCIAL PERFORMANCE-FINANCIAL PERFORMANCE LINK (1997)The determinants and implications of corporate cash holdings (1999)Corporate Social Responsibility: A Theory of the Firm Perspective (2001)Corporate goodness and shareholder wealth (2014)Sustainable investing in equilibrium (2020)Mandatory CSR and sustainability reporting: economic analysis and literature review (2021)Liquidity Risk and Expected Stock Returns (2003)Safe Haven Currencies (2010)Forecasting stock market returns: The sum of the parts is more than the whole (2011)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2017Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis3,754 cited
  • 2018Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence2,219 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2017Why Do Investors Hold Socially Responsible Mutual Funds?1,378 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?522 cited
  • 2008Arbitrage in the foreign exchange market: Turning on the microscope341 cited
  • 2009The crisis in the foreign exchange market331 cited
  • 1989Covered Interest Arbitrage and Market Turbulence235 cited
  • 1987Covered Interest Parity: A High-Frequency, High-Quality Data Study182 cited
  • 2019Investor horizons, long-term blockholders, and corporate social responsibility182 cited
  • 2017International correlation risk128 cited

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  • 2006Under the microscope: the structure of the foreign exchange market121 cited
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    • 2023Bilateral Effects of ESG Responsibility Fulfillment of Industrial Companies on Green Innovation13 cited