ESG and alternative data: Capturing corporates' sustainability-related activities with job postings
AB Dor, J Guan, A Kelleher, A Lauretig… - The Journal of …, 2022 - pm-research.com
The emergence of environmental, social, and governance (ESG) investing resulted in a
flurry of studies examining the effects of incorporating ESG considerations on portfolio …
flurry of studies examining the effects of incorporating ESG considerations on portfolio …
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data
AB Dor, J Guan, C Rosa - The Journal of Portfolio Management, 2020 - pm-research.com
Do corporate bond return dynamics contain information that is not already fully reflected in
equity prices despite the lower liquidity of credit markets? Using a comprehensive dataset of …
equity prices despite the lower liquidity of credit markets? Using a comprehensive dataset of …
Is Incorporating ESG Considerations Costly?
A Ben Dor, J Guan, Y Sun - Journal of Portfolio Management, 2022 - search.ebscohost.com
A common approach to measuring the effect of ESG (or ESG premium) in equities is to use
the difference between a broad index and its ESG version. This approach, however, does not …
the difference between a broad index and its ESG version. This approach, however, does not …
Hedging systematic risk in high yield portfolios with a synthetic overlay: a comparative analysis of equity instruments vs. credit default swaps
AB Dor, J Guan - The Journal of Fixed Income, 2017 - search.proquest.com
We compare the efficacy of index credit default swaps to a synthetic overlay using equity index
futures in hedging the systematic risk of high yield portfolios in the US and Euro markets. …
futures in hedging the systematic risk of high yield portfolios in the US and Euro markets. …
Beta instability and implications for hedging systematic risk: Takeaways from the covid-19 crisis
AB Dor, S Florig, J Guan, X Zeng - Journal of Portfolio …, 2021 - search.proquest.com
The authors use the COVID-19 crisis as an example to highlight two dimensions of beta
instability that have been largely overlooked: First, the relative order in stock betas could change …
instability that have been largely overlooked: First, the relative order in stock betas could change …
How Do Credit Markets React to Earnings Releases? Empirical Analysis and Implications for Investors
AB Dor, J Guan, X Zeng - The Journal of Fixed Income, 2021 - search.proquest.com
Previous studies have found that stock prices incorporate information from earnings
announcements only gradually over an extended period. The authors investigate whether credit …
announcements only gradually over an extended period. The authors investigate whether credit …
[PDF][PDF] A hyperbolic-elliptic type conservation law on unit sphere that arises in delta wing aerodynamics
J Guan, S Sritharan - Int. J. Contemp. Math. Sci., 2008 - academia.edu
We consider a quasilinear hyperbolic-elliptic type mixed partial differential equation on the
unit sphere that describes supersonic inviscid flow past infinite cones of arbitrary cross …
unit sphere that describes supersonic inviscid flow past infinite cones of arbitrary cross …
Identifying performance persistence in hedge funds using a measure of manager skill
AB Dor, J Guan, X Zeng - The Journal of Portfolio …, 2020 - jpm.pm-research.com
In this article, the authors discuss the challenges in identifying performance persistence
among hedge funds and introduce a novel measure of manager skill, termed MMS, to address …
among hedge funds and introduce a novel measure of manager skill, termed MMS, to address …
Estimating the recession risk exposure of stocks
J Guan - Available at SSRN 1787427, 2013 - papers.ssrn.com
This paper develops a new method to estimate a stock's recession risk exposure and finds
that the exposure to macroeconomic risk is an important determinant for stocks' cross-…
that the exposure to macroeconomic risk is an important determinant for stocks' cross-…
Bond Duration and Convexity under Stochastic Interest Rates and Credit Spreads
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies
on bond instruments of all types—investment grade, high-yield, municipals, ABS and MBS…
on bond instruments of all types—investment grade, high-yield, municipals, ABS and MBS…