Chasing the ESG factor

We analytically compare two dominant methodologies for the construction of an ESG factor: the time-series (ratings used to sort stocks) and cross-sectional (ratings used to weight stocks) approaches. Differences in ESG rating and exposure to other firm characteristics imply an ex ante expected return spread between the two factors. We construct a cross-sectional factor (i) featuring a targeted rating, thus allowing comparability with other factors, (ii) neutralizing exposure to other firm characteristics, and (iii) not harming diversification through stock screening. Using ratings from several data vendors, we document strong variations of the factor alpha in the time series and across vendors. The conditional alpha is negatively related to the level of media attention for ESG and positively related to variations in media attention

Money Illusion and TIPS Demand

The market demand for the Treasury Inflation-Protected Securities (TIPS) is rather small. This is puzzling, as we show that an agent, who derives utility from real wealth and dynamically invests into multiple asset classes over a 30-year horizon, incurs a certainty equivalent loss of 1.6% per annum from not investing in inflation-indexed bonds. However, if the investor suffers from money illusion, the perceived loss is only 0.5% per annum. Furthermore, the perceived loss is totally negligible for an unsophisticated money-illusioned investor ignoring the time variation of risk premia. Money illusion causes significant portfolio shifts from inflation-indexed toward nominal bonds, with little effects on equity allocations, contributing to the low market demand for TIPS

Usefulness of cellular fatty acid patterns for identification and pathogenicity of Yersinia species

The cellular fatty acid composition of common non-pathogenic and pathogenic Yersinia strains was determined by gas-liquid chromatography. This study included most of the species of the genus Yersinia, with the exception of Y. pestis. All species possess a rather similar fatty acid pattern characterized by some major compounds, namely C12:0, 14:0, 3-OH-14:0, 16:0, 16,1 omega 9cis, 17:0 cyclic and 18:1 omega 9trans acids, as in other Enterobacteriaceae. By using the overlap coefficient of Bousfield, the similarity value enabled us to identify easily the Yersinia genus of an unknown strain. In the same way, the pathogenicity of strains of Yersinia enterocolitica and related species can be determined by the C12:0/C16:0 and C14:0/C16:0 ratios

Une note pedagogique sur la theorie moderne de l'evaluation des actifs contingents

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 2866 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc