We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big stocks. Momentum premia are considerably diminished by...

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

We show that mutual funds compete for climate-conscious investment flows. In April 2018, Morningstar introduced a climate-focused label for mutual funds. The release of the "Low Carbon Designation" induced reactions on both the demand and supply sides of the market. First, investors flocked to...

In prior financial and economic crises such as the Global Financial Crisis and COVID-19, environmentally responsible stocks performed well or at least neutrally. Were they also resilient as another banking crisis began unfolding with the collapse of Silicon Valley Bank (SVB) and Signature Bank?...

This paper introduces a new measure of a firm's negative impact on biodiversity, the corporate biodiversity footprint, and studies whether it is priced in an international sample of stocks. On average, the biodiversity footprint does not explain the cross-section of stock returns. However, a...

The Tax Cut and Jobs Act (TCJA) slashed corporations' median effective tax rates from 31.7% to 20.8%. Nevertheless, 15% of firms experienced an increase. One fifth of firms recorded nonrecurring tax costs or benefits exceeding 3% of total assets. Proxies that existing studies employ to assess...