This study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the…
We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on…
Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures…
