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TSE
Japan Exchange Group, Inc. (JPX) was established via the business combination between Tokyo Stock Exchange Group and Osaka Securities Exchange on January 1, 2013. JPX operates financial instruments exchange markets to ...
Kibot
We provide instant access to over 58 years of daily data, over 22 years of top-quality, minute-by-minute intraday data and over 11 years of tick-by-tick (including bid/ask) historical market data for Stocks, ETFs, Futures ...
CCM
The CRSP/Compustat Merged Database provides CRSP and Compustat subscribers the ability to access CRSP’s stock data and Compustat’s Xpressfeed fundamental data within a single linked database. The CRSPLink® maps complex ...
BEDOFIH
The BEDOFIH database includes trades and orders with the highest frequency. BEDOFIH covers the most important European stock markets.
The salience of ESG ratings for stock pricing: Evidence from (potentially) confused investors
(2021-10-08)
We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show ...
Momentum-managed equity factors
(2019-07-22)
Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ...