ESG factors are becoming mainstream in portfolio investment strategies, attracting
increasing fund inflows from investors who are aligning their investment values to …

This article proposes a new paradigm of asymmetric multifractality in financial time series,
where the scaling feature varies over two adjacent intervals. The proposed approach first …

The use of multifractal approaches has been growing because of the capacity of these tools
to analyze complex properties and possible nonlinear structures such as those in financial …

Timor-Leste is a new country still in the process of economic development and does not yet
have a capital market for stock and bond investments. These two asset classes have been …

This paper analyses the sensitivity of the most relevant European financial institutions'
returns to changes in selected risk factors between October 2003 and December 2018. In …

This paper investigates the strategic interaction of information acquisition, information-based
dynamic trading, and noise trading patterns, as well as its significant implications on market …

In the setting of a dynamic panel data framework, we investigate the international five‐factor
Fama–French (2017) model augmented with traditional illiquidity factors (Amihud, Journal of …

One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory
was to explain the correlation between assets through its relationship with the market index …

This study introduces a novel ESG intrinsic-based return factor and its application in asset
pricing. This factor is extracted using a parallelized rolling window estimation and extreme …

In allusion to some contradicting results in existing research, this paper selects China's latest
stock data from 2005 to 2020 for empirical analysis. By choosing this periods' data, we avoid …