ESG scoring is a fundamental building block in the ESG index construction process. These scores provide a means of assessing the ESG credentials of companies in a simplified, intuitive way. ESG scores can be embedded within the index construction process through either tilting towards companies with stronger ESG profiles or excluding those…
The authors investigate the impact on firms of joining the S…
Assessing and managing a credit portfolio’s concentration risk is an important component of a sound risk management process. Understanding the impacts of new concentration risks as they vary across…
Past industry returns predict the cross section of industry returns, and this predictability is at its strongest at the one-month horizon (Moskowitz and Grinblatt 1999). We show that the cross…
