The Hunt for Alpha in ESG Fixed Income: Fund Evidence from around the World

I Zorina, L Corlett-Roy - The Journal of Impact and ESG Investing, 2022 - pm-research.com
Investment organizations around the globe have increasingly been committed to integrating
ESG considerations into their processes. Capital allocation to ESG fixed-income funds …

Towards a dead end? EMU bond market exposure and manager performance

GS Konstantinov, FJ Fabozzi - Journal of International Money and Finance, 2021 - Elsevier
Using factor models we empirically investigate the performance of European Monetary
Union (EMU) bond managers. We find that (1) alpha is time varying,(2) bond managers …

Stock-Market Risk Factors and Manager Performance.

P Mladina, S Germani - Journal of Portfolio Management, 2022 - search.ebscohost.com
There has been a proliferation of stock-market factors that have been mined from historical
data, and researchers are now using different methods to address this factor zoo. The …

Errors and Challenges Associated with Investing in EMU Government Bonds

GS Konstantinov - The Journal of Portfolio Management, 2023 - jpm.pm-research.com
This article highlights some of the main practical errors and challenges associated with
investing in Economic and Monetary Union (EMU) government bonds and the difficulties in …

An ICAPM Framework for Asset Allocation

P Mladina - The Journal of Portfolio Management, 2023 - pm-research.com
Asset allocation should rely on a sound theoretical foundation that is empirically valid and
robust in practice. Intertemporal CAPM (ICAPM) portfolio theory resembles the …