The growing importance of SRI in the investment arena has resulted in considerable
academic interest in the performance of socially responsible equity mutual funds …

This article studies momentum and reversal patterns in corporate bond prices. The authors
analyze returns on two momentum trading strategies-buying bonds with the best past …

The literature on cross-sectional stock return predictability has documented over 450 factors.
We take the perspective of an institutional investor and navigate this zoo of factors by …

We examine factors in a novel dataset on the cross-section of emerging market hard
currency corporate bonds. We find that the size, low-risk, value, and momentum factors …

This article studies momentum and reversal patterns in corporate bond prices. The authors
analyze returns on two momentum trading strategies—buying bonds with the best past …

Value investing in the credit market aims to identify mispricings by determining whether a
bond's credit spread offers a sufficient compensation for its risk. To assess how successful …

We examine the covariances of corporate bonds in emerging markets (EM) and present an
asset pricing framework using instrumented principal component analysis (IPCA) that …

This thesis aims to shed light on research developments in mutual funds with fixed-income
holdings, focusing on the 2007-2008 financial crisis and post-crisis periods. This research …

We present a set of models relevant for predicting various aspects of intra-day trading
volume for equities and showcase them as an ensemble that projects volume in unison. We …

This dissertation investigates the performance of socially screened bond portfolios of 189
Eurozone companies between 2003 and 2016. Bond portfolios are formed on the basis of …