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Data Set

Responsible Investing: The ESG-Efficient Frontier – Original Paper Data

This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.

Trade Publication

Hit 'Em Where It Hurts, ESG Investing 2.0

We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.

Working Paper

Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers

This paper proposes an ex ante proxy for the ranking of mutual fund trades. We find that the most attractive trades—the “best ideas"—beat the benchmarks by up to about 0.30% per month and outperform other fund trades by even higher margins.

Working Paper

Investing in Disappearing Anomalies

It is important to allow for a prolonged decay when studying anomalies or their impact on portfolio choice. We propose a framework for modeling anomalies that specifically allows for a gradual disappearance.

Working Paper

Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions

This paper demonstrates that mutual funds “follow the leaders"—Trades of well-performing funds are statistically and economically important determinants of subsequent portfolio decisions of the remaining managers.

Working Paper

Style Investing: Evidence From Mutual Fund Flows

The number of mutual funds in the U.S. has risen over the past decade and is so large that individual investors are unlikely able to analyze each fund in existence. How do investors choose from such a multitude of funds? We answer this question here.

Working Paper

Responsible Investing: The ESG-Efficient Frontier

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Journal Article

Decoding Inside Information

The authors employ a simple empirical strategy to identify “opportunistic” insider trading — that is, purchases or sales by traders with favored access to private information about the given firm — and conclude that portfolio strategy that focuses solely on “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month.

Journal Article

The Canadian Dollar as a Reserve Currency

A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.

Journal Article

Assessing Risk through Environmental, Social and Governance Exposures

ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.