GRA 19703

1) Our main takeaway is that ESG scores are higher in firms where government ownership exists; we observe this in the year 2009. This means that government owned

Jurek and Stafford (2015) show that a mechanical put-writing strategy, which writes short-dated out-of-the-money put options on the S&P500, outperforms traditional

Table 2 - Coefficients from in-sample regression using full data set 38 Table 3 - Analysis of the risk premium using asset pricing models on full data set 40 Table 4a - MSPE

The risk factor we use are the Fama-French three-factor model (1993), namely market risk, small minus big (SMB) and high minus low (HML) in addition we also include the

Hypothesis 1: There exists a positive relationship between SVI (ASVI) and stock returns (abnormal returns). First of all, we want to establish a relationship between SVI

After omitting observations of firms more than one year of age, firms with an average revenue of zero, firms with zero employees, firms with an average total assets of zero

We will do so not by forecasting the term risk premia, excess bond returns, or yields directly, but rather by fore- casting the parameters of the NS yield curve model by

Our findings do no s ignificantly differ from the case of constant prices of risk: the currency risk premium for investing in the Hungarian market is positive while