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 …

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 …

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 …

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. …

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 …

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 …

[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 …

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 …

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-…

Bond Duration and Convexity under Stochastic Interest Rates and Credit Spreads

…, KB Leggio, YS Shin, AB Dor, J Guan… - The Journal of Fixed …, 2024 - pm-research.com
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…