Pub Date : 2023-11-17DOI: 10.1057/s41260-023-00333-0
Pratish Patel, Andrew Raquel, Savannah Chadwick
A cash-secured put-write (PUTW) strategy involves writing an at-the-money put option and setting aside enough cash to buy the underlying. Empirically, the PUTW returns outperform the returns predicted by the traditional one- three- and five-factor models. We explain the outperformance. A model where the market is subject to disasters generates a Variance Risk Premium (VRP), which reflects information about both the risk aversion and the impact of disasters. VRP, when added to the market factor, accounts for the PUTW outperformance. This factor also explains abnormal returns for other derivative strategies.
{"title":"The cash-secured put-write strategy and the variance risk premium","authors":"Pratish Patel, Andrew Raquel, Savannah Chadwick","doi":"10.1057/s41260-023-00333-0","DOIUrl":"https://doi.org/10.1057/s41260-023-00333-0","url":null,"abstract":"<p>A cash-secured put-write (PUTW) strategy involves writing an at-the-money put option and setting aside enough cash to buy the underlying. Empirically, the PUTW returns outperform the returns predicted by the traditional one- three- and five-factor models. We explain the outperformance. A model where the market is subject to disasters generates a Variance Risk Premium (VRP), which reflects information about both the risk aversion and the impact of disasters. VRP, when added to the market factor, accounts for the PUTW outperformance. This factor also explains abnormal returns for other derivative strategies.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2023-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138525829","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-13DOI: 10.1057/s41260-023-00341-0
Caroline Bavasso, Marielle de Jong
{"title":"Green commodities: the making of a new asset class","authors":"Caroline Bavasso, Marielle de Jong","doi":"10.1057/s41260-023-00341-0","DOIUrl":"https://doi.org/10.1057/s41260-023-00341-0","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136282451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-11DOI: 10.1057/s41260-023-00339-8
David Buckle
{"title":"The futility of measuring relative performance of ESG portfolios if ESG investing improves the market performance","authors":"David Buckle","doi":"10.1057/s41260-023-00339-8","DOIUrl":"https://doi.org/10.1057/s41260-023-00339-8","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135041835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-07DOI: 10.1057/s41260-023-00336-x
Takashi Kanamura
{"title":"Portfolio diversification and sustainable assets from new perspectives","authors":"Takashi Kanamura","doi":"10.1057/s41260-023-00336-x","DOIUrl":"https://doi.org/10.1057/s41260-023-00336-x","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135476488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-11-04DOI: 10.1057/s41260-023-00335-y
Mark E. Bateman, Lisa R. Goldberg
Abstract A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors’ Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.
{"title":"Ownership of ESG characteristics","authors":"Mark E. Bateman, Lisa R. Goldberg","doi":"10.1057/s41260-023-00335-y","DOIUrl":"https://doi.org/10.1057/s41260-023-00335-y","url":null,"abstract":"Abstract A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors’ Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135773521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-25DOI: 10.1057/s41260-023-00337-w
Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein
Abstract Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights.
{"title":"ESG criteria and the credit risk of corporate bond portfolios","authors":"Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein","doi":"10.1057/s41260-023-00337-w","DOIUrl":"https://doi.org/10.1057/s41260-023-00337-w","url":null,"abstract":"Abstract Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135113429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-13DOI: 10.1057/s41260-023-00331-2
Amel Farhat, Amal Hili
{"title":"The performance of compliant stocks during the Covid-19 crisis","authors":"Amel Farhat, Amal Hili","doi":"10.1057/s41260-023-00331-2","DOIUrl":"https://doi.org/10.1057/s41260-023-00331-2","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135858425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-11DOI: 10.1057/s41260-023-00332-1
Edib Smolo, Ruslan Nagayev, Rashed Jahangir, Christo S. C. Tarazi
{"title":"Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises","authors":"Edib Smolo, Ruslan Nagayev, Rashed Jahangir, Christo S. C. Tarazi","doi":"10.1057/s41260-023-00332-1","DOIUrl":"https://doi.org/10.1057/s41260-023-00332-1","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136209671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-29DOI: 10.1057/s41260-023-00334-z
Emon Kalyan Chowdhury
{"title":"Do weather patterns effect investment decisions in the stock market? A South Asian perspective","authors":"Emon Kalyan Chowdhury","doi":"10.1057/s41260-023-00334-z","DOIUrl":"https://doi.org/10.1057/s41260-023-00334-z","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135199937","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-27DOI: 10.1057/s41260-023-00329-w
Arati Kale, Devendra Kale, Sriram Villupuram
{"title":"Decomposition of risk for small size and low book-to-market stocks","authors":"Arati Kale, Devendra Kale, Sriram Villupuram","doi":"10.1057/s41260-023-00329-w","DOIUrl":"https://doi.org/10.1057/s41260-023-00329-w","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135536497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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