This paper analyzes the equilibrium implications of ESG rating disagreement for portfolio
decisions and asset pricing. Rating disagreement leads to higher effective risk aversion, higher …

This paper analyzes the asset pricing and portfolio implications of an important barrier to
sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market …

We analytically compare two dominant methodologies for the construction of an ESG factor:
the time-series (ratings used to sort stocks) and cross-sectional (ratings used to weight stocks…

This paper proposes a conditional asset pricing model that integrates ESG demand and supply
dynamics. Shocks in the demand for sustainable investing represent a novel risk source, …

This paper provides a joint quantitative analysis of capital structure decisions (debt versus
equity) and debt structure decisions (fixed-rate debt versus floating-rate debt or inflation-linked …

Anomaly-based long/short benchmarks are typically built from portfolios double-sorted on
size and one additional characteristic, applying simple fixed-weights schemes. Characteristic-…

What is the joint impact of different resolution regimes and capital requirements on the optimal
liability structure of a bank holding insured deposits and issuing non-bail-inable debt and …

Risk parity portfolios are traditionally constructed by choosing historical volatility as the risk
measure. In an asset allocation context, this results in a substantial overweighting of bonds …

In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy
exists for inflation-linked liabilities, so nominal bonds are often used as substitute hedging …

We solve the portfolio choice problem of a long-term investor holding real balances, a stock
index, multiple bonds and a remunerated money market account. We relate the factors …