ARX receives up to 100 new submissions each month: academic papers, industry research, white papers, market analysis and others. Here is a curated selection of new and noteworthy posts from our institutional and individual contributors published in the past month.
To browse or search ARX's repository of more than 3000 posts, select "Research" in the upper left-hand corner of the page.
Impact of Toeholds in Corporate Takeovers
An investment portfolio made up of companies subject to takeover offers achieves abnormal returns. This study uses a takeover prediction model with newly conceived "toehold" variables to create such a portfolio and beat the market.
13 September 2019 | Ray McNamara, Simone Kelly, Samuel Herlihy
There’s a Place, and a Time, for Stock Mispricings: Practitioner's Brief
An entire segment of the money management industry (“smart beta”) has flourished around identifiable anomalies such as momentum, when recent winners outperform recent losers. Curiously, however, anomalies seem to have gone missing in China.
13 September 2019 | Richard Blake
Data Regulation Implications for Robo-Advisory
A framework for protecting investors and their data in an AI-driven world. The report highlights key focus points for regulators as they approach the growing segment of robo-advisors and AI-driven investment algorithms. The issues include: privacy and protection of investor data, algorithm transparency, and model validation.
4 September 2019 | Alexander Helter, CFA, FRM, CAIA
Green Infrastructure Investment Opportunities: Australia 2019
The report advocates increasing green investment in the real economy to support Australia’s transition to a low carbon economy. It aims to facilitate greater engagement between project owners, governments and institutional investors.
31 August 2019 | Climate Bonds Initiative
Getting Tactical with International and Equal-Weight Sectors
S&P DJI’s Ed Ware and Anu Ganti join WST Capital Management’s Elizabeth Marchetti to discuss the range of tactical applications for international and equal-weight sectors.
29 August 2019 | S&P Dow Jones Indices | Video: 7 min.
A Window on Index Liquidity: Volumes Linked to S&P DJI Indices
A look at the extent and nature of the ecosystem for S&P DJI indices offers a window into trading around certain market benchmarks, providing a new perspective on the use of indices as the basis for active and passive investment strategies.
29 August 2019 | S&P Dow Jones Indices
Australia Green Finance: State of the Market 2019
Australia's green bond issuance has picked up significantly in 2019, with AUD15.6bn issued before 30 June. This places Australia 10th in cumulative global country rankings and 3rd in Asia Pacific.
26 August 2019 | Climate Bonds Initiative
ESG Disclosures in Asia Pacific
ESG disclosures by listed companies are an integral tool for investors who integrate ESG into their process. How are regulators and exchanges in Asia Pacific shaping their ESG disclosure regimes to meet investors' needs?
2 August 2019 | CFA Institute
Trading in Crowded Markets
Crowded markets are fragile, because flash crashes, triggered whenever some traders liquidate large positions at fire-sale rates, tend to be more pronounced. But overestimating how crowded markets are makes it even worse.
Winner of the 2019 Financial Management Association International Asia-Pacific Conference Best Paper Award in Investments and Asset Pricing.
1 August 2019 | Anna Obizhaeva, Yajun Wang, Stepan Gorban
Collateral and Loan Risk Premium: Evidence from China
Conflicting empirical results demonstrate both positive and negative relationships between loan risk premia and collateral. The mixed empirical results may come from different economic characteristics of collateral type and loan purpose.
31 July 2019 | Yongmin Zhang
FTSE Russell China Bond Research Report - July 2019
A quarterly report by FTSE Russell provides insights into the China bond market, including performance of the FTSE Russell China Bond Indexes.
29 July 2019 | FTSE Russell
Green Bonds Market Summary - H1 2019
Green bond issuance in the first half of 2019 reached USD117.8bn, 48% more than in the same period in 2018. With China in the lead, emerging markets make up nearly a fifth of the global issuance.
20 July 2019 | Climate Bonds Initiative
VIDEO: Exploring the Low-Volatility Anomaly
What’s driving the rise of low volatility strategies globally? S&P DJI’s Tim Edwards and Craig Lazzara challenge conventional wisdom about risk and return while discussing latest research on the low volatility anomaly.
17 June 2019 | S&P Dow Jones Indices | Video: 8 min.
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Director: Scott Lee
Editor, content manager: Piotr Zembrowski, CFA
Coordinator: Natalie Yiu