User profiles for Abraham Lioui
Abraham LiouiEDHEC Business School Verified email at edhec.edu Cited by 2043 |
Sustainable investing with ESG rating uncertainty
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 …
sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market …
Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects
This paper assesses the impact of environmental corporate social responsibility (ECSR) on
Corporate Financial Performance (CFP) measured by ROA and Tobin's Q. We show that the …
Corporate Financial Performance (CFP) measured by ROA and Tobin's Q. We show that the …
Chasing the ESG factor
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…
the time-series (ratings used to sort stocks) and cross-sectional (ratings used to weight stocks…
On optimal portfolio choice under stochastic interest rates
In an economy where interest rates and stock price changes follow fairly general stochastic
processes, we analyze the portfolio problem of an investor endowed with a non-traded cash …
processes, we analyze the portfolio problem of an investor endowed with a non-traded cash …
Market anomalies and disaster risk: Evidence from extreme weather events
MG Lanfear, A Lioui, MG Siebert - Journal of financial markets, 2019 - Elsevier
We document strong abnormal effects due to US landfall hurricanes over the period 1990 to
2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME), …
2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME), …
Dynamic ESG equilibrium
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, …
dynamics. Shocks in the demand for sustainable investing represent a novel risk source, …
Practitioner portfolio construction and performance measurement: Evidence from Europe
N Amenc, F Goltz, A Lioui - Financial Analysts Journal, 2011 - Taylor & Francis
Responses to a survey of investment management practitioners in Europe show that most
practitioners are aware of key academic concepts in portfolio construction. But they still resort …
practitioners are aware of key academic concepts in portfolio construction. But they still resort …
Interest rate risk and the cross section of stock returns
We derive a macroeconomic asset pricing model in which the key factor is the opportunity
cost of money. The model explains well the cross section of stock returns in addition to the …
cost of money. The model explains well the cross section of stock returns in addition to the …
Is ESG risk priced?
A Lioui - Available at SSRN 3285091, 2018 - papers.ssrn.com
Factor investing entails exposure to ESG risk. How big is the exposure to this risk? Is this
exposure rewarded by the market? We investigate the relevance of ESG risk for a cross section (…
exposure rewarded by the market? We investigate the relevance of ESG risk for a cross section (…
[PDF][PDF] Investment and asset pricing with ESG disagreement
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 …
decisions and asset pricing. Rating disagreement leads to higher effective risk aversion, higher …