DecisionSciRN: Other Investment Decision-Making (Sub-Topic)最新文献

{"title":"ESG Investing in Fixed Income: It's Time to Cross the Rubicon","authors":"M. Ben Slimane, E. Brard, Théo Le Guenedal, T. Roncalli, Takaya Sekine","doi":"10.2139/ssrn.3683477","DOIUrl":"https://doi.org/10.2139/ssrn.3683477","url":null,"abstract":"This research is the companion study of three previous research projects conducted at Amundi that address the issue of ESG (Berg et al., 2014; Bennani et al., 2018; Drei et al., 2019). These studies, which were focused on the stock market, showed that 2014 marks a turning point for ESG screening and the performance of active and passive management in developed equities. Indeed, ESG investing tended to penalize both passive and active investors between 2010 and 2013. Contrastingly, ESG investing has been a source of outperformance since 2014 in Europe and North America. Moreover, it appears that ESG investing and factor investing are increasingly connected. In particular, Bennani et al. (2018) and Drei et al. (2019) concluded that ESG is a new risk factor in the Eurozone. <br><br>The case of fixed income is particular since it has been little studied by academics and professionals. It is true that implementing an ESG investment policy in the bond market is less obvious than in the stock market. For example, in the case of sovereign bonds using ESG filters may dramatically change the profile of the bond portfolio, particularly in terms of liquidity. In fact, it seems that ESG investors pursue two different goals when they consider equities and bonds. They invest in stocks with good ESG ratings in order to avoid extra-financial longterm risks, whereas they consider that fixed income is the field of impact investing. This explains the high demand for green and social bonds, and this also explains why ESG screening is less widely implemented in fixed income markets than in equity markets.<br><br>The objective of this new study is to explore the impact of ESG investing on asset pricing in the corporate bond market. For that, we apply the methodologies that have been used by Bennani et al. (2018) for testing ESG screening in active and passive management. In particular, we consider the sorted portfolio approach of Fama and French (1992), and the index optimization method that consists in minimizing the active risk with respect to the benchmark while controlling for the ESG excess score. Three investment universes are analyzed: euro-denominated investment grade bonds, dollar-denominated investment grade bonds, and high-yield bonds. Results differ from one universe to another. In the case of EUR IG bonds, we retrieve some common patterns observed by Bennani et al. (2018) in the case of equities. Indeed, from 2010 to 2013, ESG screening has produced a negative alpha, whereas we observe an outperformance since 2014 when we implement ESG scoring in active and passive management. In the case of USD IG bonds, the results are disappointing since ESG screening produces negative alpha for the entire period. Results on high-yield bonds are difficult to interpret since ESG coverage of this market is not satisfactory.<br><br>We also test how ESG has impacted the cost of corporate debt. Our results show that there is a positive correlation between ESG and credit rati","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"284 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123376413","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}

{"title":"ESG Investing in Corporate Bonds: Mind the Gap","authors":"M. Ben Slimane, Théo Le Guenedal, T. Roncalli, Takaya Sekine","doi":"10.2139/ssrn.3683472","DOIUrl":"https://doi.org/10.2139/ssrn.3683472","url":null,"abstract":"This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in the stock market (Berg et al., 2014; Bennani et al., 2018a; Drei et al., 2019). The underlying idea of this new study is to explore the impact of ESG investing on asset pricing in the corporate bond market. For that, we apply the methodologies that have been used by Bennani et al. (2018a) for testing ESG screening in active and passive management. n particular, we consider the sorted portfolio approach of Fama and French (1992), and the index optimization method that consists in minimizing the tracking risk with respect to the benchmark while controlling for the ESG excess score. Moreover, we test how ESG has impacted the cost of corporate debt. Three investment universes are analyzed: euro-denominated investment grade bonds, dollar-denominated investment grade bonds, and high-yield bonds. Results differ from one universe to another. In particular, we observe that ESG has had a more positive impact on EUR IG bonds in recent years than on the USD IG and HY investment universes. Nevertheless, we observe a common trend that ESG is increasingly integrated into the pricing of corporate bonds and is a concern when building an investment portfolio. Moreover, we also show that ESG does not only affect the demand side, but is also a significant factor when it comes to understanding the supply side.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114258590","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}

{"title":"Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning","authors":"B. Hientzsch","doi":"10.2139/ssrn.3494359","DOIUrl":"https://doi.org/10.2139/ssrn.3494359","url":null,"abstract":"In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can be formulated as time-continuous or time-discrete forward-backward stochastic differential equations (FBSDE) final-value or control problems, how these final value problems can be turned into control problems, how time-continuous problems can be turned into time-discrete problems, and how the forward and backward stochastic differential equations (SDE) can be time-stepped. We obtain both forward and backward time-stepped time-discrete stochastic control problems (where forward and backward indicate in which direction the $Y$ SDE is time-stepped) that we will solve with optimization approaches using deep neural networks for the controls and stochastic gradient and other deep learning methods for the actual optimization/learning. We close with examples for the forward and backward methods for an European option pricing problem. Several methods and approaches are new.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127080361","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}

{"title":"The Sky is the Limit: Assessing Aircraft Market Diffusion with Agent-Based Modeling","authors":"Xueying Liu, R. Madlener","doi":"10.2139/ssrn.3515429","DOIUrl":"https://doi.org/10.2139/ssrn.3515429","url":null,"abstract":"This paper presents an adapted agent-based model for the diffusion of new aircraft model series. Expanding on the classical economic decision framework, where investment decision-making is entirely based on profitability, our holistic modeling approach takes into account profitability, flexibility, as well as the environmental impact of new aircraft model series in the adoption decision process. Technical parameters such as the range and maximum take-off weight of an aircraft model series, various emissions of the aircraft engine, as well as daily operational data, are used to calibrate the model. In validation, our model produces results that are comparable to data on the market diffusion of an existing aircraft model series, the Boeing 737-500. This result shows the applicability of our model, which can also subsequently be used on aircraft with new generations of technologies. Our simulation shows that a price reduction or a decrease in emissions could lead to more adoption and faster diffusion. Furthermore, our modeling approach demonstrates that a holistic framework to include not only profitability but also flexibility and environmental impact can be helpful when modeling the investment decision-making process.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130444266","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}

{"title":"Investment Governance for Fiduciaries","authors":"M. Drew, Adam N. Walk","doi":"10.2139/ssrn.3485768","DOIUrl":"https://doi.org/10.2139/ssrn.3485768","url":null,"abstract":"Governance is a word that is increasingly heard and read in modern times, be it corporate governance, global governance, or investment governance. Investment governance, the central concern of this modest volume, refers to the effective employment of resources—people, policies, processes, and systems—by an individual or governing body (the fiduciary or agent) seeking to fulfill their fiduciary duty to a principal (or beneficiary) in addressing an underlying investment challenge. \u0000 \u0000Effective investment governance is an enabler of good stewardship, and for this reason it should, in our view, be of interest to all fiduciaries, no matter the size of the pool of assets or the nature of the beneficiaries. To emphasize the importance of effective investment governance and to demonstrate its flexibility across organization type, we consider our investment governance process within three contexts: defined contribution (DC) plans, defined benefit (DB) plans, and endowments and foundations (E&Fs). \u0000 \u0000Since the financial crisis of 2007–2008, the financial sector’s place in the economy and its methods and ethics have (rightly, in many cases) been under scrutiny. Coupled with this theme, the task of investment governance is of increasing importance due to the sheer weight of money, the retirement savings gap, demographic trends, regulation and activism, and rising standards of behavior based on higher expectations from those fiduciaries serve. These trends are at the same time related and self-reinforcing. \u0000 \u0000Having explored the why of investment governance, we dedicate the remainder of the book to the question of how to bring it to bear as an essential component of good fiduciary practice. At this point, the reader might expect investment professionals to launch into a discussion about an investment process focused on the best way to capture returns. We resist this temptation. Instead, we contend that achieving outcomes on behalf of beneficiaries is as much about managing risks as it is about capturing returns—and we mean “risks” broadly construed, not just fluctuations in asset values.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"49 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120854761","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}

{"title":"Relative Wealth Placement and Risk-Taking Behavior","authors":"Marc-André Hillebrandt, Petra Steinorth","doi":"10.2139/ssrn.3440690","DOIUrl":"https://doi.org/10.2139/ssrn.3440690","url":null,"abstract":"This study provides evidence that relative wealth placement substantially impacts risk-taking. We derive predictions on risk-taking in a standard portfolio problem in which individuals care about their placement in the wealth distribution relative to peers. In an incentivized laboratory experiment, we compare investment decisions between subjects who receive the same absolute endowment but who differ in relative wealth placement. Consistent with our theoretical predictions, we find that introducing information on other subjects' endowments significantly changes risk-taking; and individuals placed at the bottom (top) of their wealth distribution exhibit more (less) risk-taking--changing invested amounts by up to 50 percent.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131382938","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}

{"title":"Capturing Energy Risk Premia","authors":"Adrian Fernández-Pérez, Ana‐Maria Fuertes, J. Miffre","doi":"10.2139/ssrn.3368936","DOIUrl":"https://doi.org/10.2139/ssrn.3368936","url":null,"abstract":"This paper studies the energy futures risk premia that can be extracted through long-short portfolios that exploit heterogeneities across contracts as regards various characteristics or signals and integrations thereof. Investors can earn a sizeable premium of about 8% and 12% per annum by exploiting the energy futures contract risk associated with the hedgers’ net positions and roll-yield characteristics, respectively, in line with predictions from the hedging pressure hypothesis and theory of storage. Simultaneously exploiting various signals towards style-integration with alternative weighting schemes further enhances the premium. In particular, the style-integrated portfolio that equally weights all signals stands out as the most effective. The findings are robust to transaction costs, data mining and sub-period analyses.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133603446","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}

{"title":"Rationalizing (Non-)Equilibrium Bidding in Maximum-Value Auctions Without Beliefs About Others’ Behavior","authors":"Paul Pezanis-Christou, Hang Wu","doi":"10.2139/ssrn.3301838","DOIUrl":"https://doi.org/10.2139/ssrn.3301838","url":null,"abstract":"We propose a novel approach to the modelling of second-price Maximum-Value auctions that assumes no belief about others’ behavior and no expected profit maximization. This individual decision-making model, naive Impulse Balance Equilibrium or nIBE, deals with bidders’ anticipated regrets from winning and from losing the auction. It exploits the stochastic properties of the auction format and rationalizes: (i) Nash equilibrium bidding, (ii) (non-)monotone overbidding and (iii) fully cursed equilibrium bidding. We fit this model to the available data and find that it explains median bids better than the Nash equilibrium prediction and, overall, as well as cursed-equilibrium. Furthermore, nIBE and the noise-free variant of cursed equilibrium typically outperform HQRE models with level-k or cursed equilibrium beliefs in terms of in- and out-of-sample quartile predictions.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127862782","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}

{"title":"Determining the Factors Affecting Individual Investors’ Behaviours","authors":"Sevilay USLU DİVANOĞLU, Dr. Haşim Bağci","doi":"10.33844/IJOL.2018.60407","DOIUrl":"https://doi.org/10.33844/IJOL.2018.60407","url":null,"abstract":"Behavioral finance is precisely non-rational behavior of market investors. Behavioral finance theory shows that investors make investment decisions rationally, by intermittent change from the past and that investment decisions can be taken under the influence of some psychological factors. This theory shows how human behaviors are effective in the functioning of investment decisions and that investment decisions can be made in nonrational behaviors. People are determined to invest under the influence of emotions and personal intuitions with models based on rational behavior and investment behaviors. Whether individuals are rational in the economic decision-making process is one of the key points of debate and it seems quite complex to be able to demonstrate this. This study will focus on individuals (investors), one of the economic decision makers. Socio-economic factors, as well as psychological factors, influence the risk that investors perceive in the decision-making process of individual investors. The purpose of this study is to identify stimuli that affect individual investors' drivers of financial investment decisions and to consider it in terms of behavioral finance. For this purpose, an individual investor questionnaire has been determined in the field which has previously been validated and reliable. This questionnaire was applied to 200 employees working in private and public banks operating in Aksaray and 177 people were provided feedback. In the case of Aksaray, it has been determined which stimulants are under the influence of predictions, estimates, emotions, personal intuitions, psychological and sociological behaviors of investment decision-making individuals.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127151030","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}

{"title":"Initial Coin Offerings (ICOs) to Finance New Ventures","authors":"Christian Fisch","doi":"10.2139/ssrn.3147521","DOIUrl":"https://doi.org/10.2139/ssrn.3147521","url":null,"abstract":"In an initial coin offering (ICO), new ventures raise capital by selling tokens to a crowd of investors. Often, this token is a cryptocurrency, a digital medium of value exchange based on the distributed ledger technology. Both the number of ICOs and the amount of capital raised have exploded since 2017. Despite attracting significant attention from ventures, investors, and policy makers, little is known about the dynamics of ICOs. This initial study therefore assesses the determinants of the amount raised in 423 ICOs. Drawing on signaling theory, the study explores the role of signaling ventures' technological capabilities in ICOs. The results show that technical white papers and high-quality source codes increase the amount raised, while patents are not associated with increased amounts of funding. Exploring further determinants of the amount raised, the results indicate that some of the underlying mechanisms in ICOs resemble those found in prior research into entrepreneurial finance, while others are unique to the ICO context. The study's implications are multifold and discussed in detail. Importantly, the results enable investors to more accurately understand crucial determinants of the amount raised (e.g., technical white papers, source code quality, token supply, Ethereum-standard). This reduces the considerable uncertainty that investors face when investing in ICOs and enables more informed decision-making.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115029940","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}