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The Power of ESG Ratings on Stock Markets
(2021-03-10)
This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
DGEI
Thomson Reuters Datastream Global Equity Indices (DGEI)
Bundesbank
The monetary, financial and foreign trade statistics compiled within the framework of the Bundesbank's statutory mandate as well as the comprehensive indicator sets and seasonally adjusted economic data comprise a broad ...
Market impact of government communication: The case of presidential tweets
(2021-10-06)
"We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...
Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test
(2021-10-14)
Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...