Search Results (31)

This paper studies the performance of ETFs that invest in companies involved in artificial intelligence (AI) technologies, such as firms focused on AI research, development, and applications. Using daily data from 15 American ETFs focused on AI-related companies over the period from 1 February 2019 to 29 December 2023, this paper investigates their investment style characteristics through a returns-based style analysis (RBSA). This study offers detailed insights into the degree of active versus passive management and highlights strategic patterns that may guide investment decisions in AI-themed financial products. We highlight that asset selection drives fund performances more than active management strategies, offering practical insights for investors and policymakers. Full article

This study investigates the role of the Big Three passive investors (BlackRock, Vanguard, and State Street) in influencing firms’ cost of equity. By examining the unique ownership structure these investors bring, the research sheds light on a pivotal yet underexplored aspect of institutional ownership and its implications for corporate financing. Using a comprehensive dataset spanning from 1997 to 2016, this study demonstrates that increased ownership by the Big Three is associated with improved disclosure practices and reduced information asymmetry, leading to a lower cost of equity. However, the study also uncovers a nuanced trade-off, as concentrated ownership may introduce liquidity risks in certain contexts. These findings bridge a critical gap in the literature by reconciling divergent perspectives on the role of passive investors and provide actionable insights for institutional investors, regulators, and corporate managers seeking to understand the broader implications of passive ownership on firm valuation and financing strategies. Full article

Property stocks are an attractive alternative investment for investors who want passive income. Investors’ decisions focus not only on maximizing returns but also on reducing risk. This study examines the extent to which macroeconomic factors affect stock performance by comparing the effectiveness of the Fama–French five-factor model (5FF) and Fama–French seven-factor model (7FF) in estimating returns. This study also verifies Fisher’s theory in the context of property and real estate stocks. The research data used are property and real estate stocks in the Indonesian capital market. The data are processed using the OLS estimation method, and Akaike’s Information Criterion (AIC) is used to choose the optimal model. The results show that property and real estate stocks in Indonesia with negative profitability at all quantiles can hedge inflation and interest rates. However, the interest rates are not the only factor affecting the market risk. The 7FF model is better at explaining the variability of stock portfolio returns. This research makes an essential contribution to the financial literature in Indonesia, particularly in the context of portfolio management in the property and real estate sector. Full article

We analyze return predictability for U.S. sectors based on fundamental, macroeconomic, and technical indicators and analyze whether return predictions improve tactical asset allocation decisions. We study the out-of-sample predictive power of individual variables for forecasting sector returns and analyze multivariate predictive regression models, including OLS, regularized regressions, principal component regressions, the three-pass regression filter, and forecast combinations. Using an out-of-sample Black–Litterman portfolio optimization framework and employing predicted returns as investors’ ‘views’, we evaluate the benefits of sector return forecasts for investors. We find that portfolio optimization with sector return prediction models significantly outperforms portfolios using historical averages as well as passive benchmark portfolios. Full article

The opacity of the impact investment decision-making process is one of the main constraints hampering further growth in the impact investing ecosystem. This paper takes a differentiated view on why (investment motivation) and how (investment decision criteria) the major private impact investor types allocate funding to investees. We incorporate insights from 34 interviews with the five major impact investor types: social business angels, foundations, social banks, impact investment funds, and crowdvesting platforms. We find that motivation and decision-making significantly differ between the impact investor types, especially concerning strict vs. ambiguous impact definitions, active vs. passive investment approaches, and return requirements reaching from capital preservation to market-driven returns. By providing a differentiated overview of the investor type-specific motivations and most important investment criteria, our study offers social entrepreneurs a roadmap to identify the most appropriate impact investors for their business model. Full article

We study whether the substantial rise in passive ownership reshapes activist shareholders’ behavior in sponsoring shareholder proposals, which shareholders use to address issues they believe are crucial for the sustainable growth of a company. Our findings reveal a positive impact of passive investors on the initiation of governance, socially responsible investing (SRI), and an aggregate of both proposals. Interestingly, we show that managerial ability and board co-option potentially moderate their link. In the subsequent analysis, we note a constructive influence of passive investors on post-initiation outcomes, evidenced by an increase in withdrawal and voting percentage of proposals corresponding to heightened levels of passive ownership. These findings suggest that passive investors foster communication between activists and management and endorse the case even when it progresses to the voting stage. More importantly, the market values these proposals positively as reflected in higher observed buy-and-hold returns. Finally, our results are robust to instrumental variable analysis using Russell reconstitution as an exogenous shock. Taken together, our study offers broad implications that passive investors can indirectly engage in promoting sustainable practices by encouraging activist investors to sponsor governance and socially responsible proposals, a collaborative approach where shareholders contribute to sustainability efforts. Full article

This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end, we utilize the weekly returns on the MSCI Saudi large-, mid-, and small-cap indices over a long sample period, spanning several crises. The econometric approach that we use is a VAR-asymmetric BEKK-GARCH model which accounts for structural breaks. On the basis of the VAR-asymmetric BEKK-GARCH model estimation results, we calculate portfolio weights and hedge ratios, and discuss their risk management implications. The empirical results confirm the presence of unilateral return spillovers running from mid- to small-cap stocks, while multilateral volatility spillovers are documented, albeit substantially weakened when accounting for structural breaks. The time-varying conditional correlations display clear spikes around crises, which translate to higher hedge ratios, increasing the cost of hedging during turbulent times. The optimal portfolio weights suggest that investors generally overweight large caps in their portfolios during uncertain times to minimize risk without lowering expected returns. The main takeaway from our results is that passively confining fund managers to a particular size category regardless of the prevailing market conditions may lead to suboptimal performance. Full article

Citizens are set to play an active role in the energy transition by transforming from ‘passive’ consumers to ‘active’ prosumers. Renewable Energy Communities (RECs) are envisioned as modes of collective prosumership by citizens under the Renewable Energy Directive of 2018 (RED II). A holistic understanding of RECs is essential to identify the benefits and challenges of collective prosumership. RECs have been the topic of several modelling studies, but a single model that simulates RECs from an integrated perspective—combining technical, economic and ecological analysis—is absent. Wide variability in the indicators discourages comparison of the results across studies. This article builds on the existing knowledge by proposing an integrated model to undertake a multi-disciplinary assessment of a potential REC. First, the proposed model analyses the technical possibilities of collective prosumership using energy flow analysis based on consumption and generation profiles. Second, the model evaluates the economic impacts of prosumership from two perspectives: from the consumers’ perspective (in terms of the annual cost of energy consumption) and from an investor’s perspective (in terms of the net present value of the investment). Thirdly, the model quantifies the annual greenhouse gas emissions of energy consumption (expressed in CO${}_2$ equivalent) to evaluate the ecological impact of prosumership. Lastly, a set of key performance indicators (KPIs) are proposed that can be used to interpret and compare the results of simulations and are mapped to the actors in the REC in line with their objectives. The proposed approach offers a single, replicable model that can be used to simulate RECs in the different Member States of the European Union. The KPIs can be used to compare the impact of combinations of various prosumership activities within the same REC or to compare two different RECs on the benefits offered vis-a-vis the investments incurred. The KPIs also offer insights into the aligning and conflicting objectives of the stakeholders of the REC. Full article

Population growth and urbanization cause developing-country cities to create energy-intensive buildings. Building energy efficiency can be improved through active and passive solar design to reduce energy consumption, increase equipment efficiency, and utilize renewable energy, converting renewable energy into thermal energy or electricity. In this study, passive architecture was evaluated for both urban block and building energy usage. When reliable information and analysis of signs and parameters impacting energy consumption are available, designers and architects can evaluate and passively design a building with higher precision and an accurate picture of its energy consumption in the early stages of the design process. This article compares the location of Baku’s building mass to six climate-related scenarios. Three methodologies are used to determine how much solar energy the models utilize and the difference between annual heating and cooling energy consumption. The structure’s rotation has little effect on the energy utilized in most forms. Only east-west linear designs employ 6 to 4 kWh/m² of area and are common. Most important is the building’s increased energy consumption, which can take several forms. The building’s westward rotation may be its most important feature. Any westward revolution requires more energy. Building collections together offers many benefits, including the attention designers and investors provide to all places. Having an integrated collection and a sense of community affects inhabitants’ later connections. Dictionary and encyclopedia entries include typology discoveries. These findings will inform future research and investigations. An architect must know a variety of qualities and organizations to define and segregate the environment because architecture relies heavily on the environment. This research involves analyzing the current situation to gain knowledge for future estimations. The present will determine the future. Full article

PV power plants utilizing solar energy to generate electricity on a large scale has become a trend and a new option that has been adopted by many countries; however, in actuality, it is difficult to anticipate how much electricity PV plants will generate. This analysis of existing photovoltaic (PV) power plants provides guidelines for more precise designs and performance forecasting of other upcoming PV technologies. In the literature, some authors have put their efforts into reviewing studies on PV power systems; however, those reviews are too focused on specific aspects of the topic. This study will review, from a broader perspective, recent investigations on PV power systems in the literature that were published between 1990 and 2022. The present study is divided into three main parts. Firstly, a performance assessment review of PV power plants is presented by taking different performance parameters into consideration, which were developed by the “International Electrotechnical Commission (IEC 61724-1)”. These parameters include reference yield, final yield, performance ratio, capacity utilization factor, and system efficiency. Secondly, different identifying factors that were investigated in previous studies, and which affect PV performance, were considered. These factors include solar irradiance, PV technology type, ambient temperature, cell temperature, tilt angle, dust accumulation, and shading effect. Thirdly, different methods were adopted and suggested to counter the effects of these influencing factors to enhance the performance efficiency of the PV power system. A hybrid cooling and cleaning system can use active techniques to boost efficiency during high solar irradiances and ambient temperatures while depending on passive techniques for everyday operations. This comprehensive and critical review identifies the challenges and proposed solutions when using photovoltaic technologies and it will be helpful for researchers, designers, and investors dealing with PV power systems. Full article

Forests in the United States provide important carbon sequestration services that could be leveraged for climate change mitigation. There is increased interest among decision makers and investors to extend forest carbon payment programs to family forest owners (FFOs), the largest category of private forest owners. Since FFOs manage forests for multiple objectives, it is unclear which contract requirements and payment levels will appeal to early adopters and perhaps establish the direction of innovation. To answer this question, we conducted a comprehensive review of the research literature assessing forest owner preferences for carbon payment programs. Out of 22 papers reviewed, a total of 13 stated preference studies were included in the meta-analysis. Robust regression modeling and benefit transfer techniques were used to generate estimates for carbon payment contracts for different categories of FFOs. Results show significant variation in forest owner willingness to accept (WTA) as a function of management objectives, contract length, number of forest acres, management plan requirement, and management restrictions. Average annual per acre payment values were lowest for conservation-oriented forest owners, followed by passive and production-oriented forest owners. Overall, findings suggest the need for diverse types of contracts and payment levels in order to have widespread participation in carbon programs by forest owners. Full article

Investment efficiency shows how well a company invests its assets. Although institutional shareholders play undeniable roles in companies, it is not clear whether they are able to monitor managers and make investment decisions or not. This study gives answers to stakeholders, addresses concerns about the effect of the owners on investment efficiency, and aims to add to the literature on emerging markets by investigating the relationship in Iran, a different environment from developed ones. Based on monitoring power, the shareholders are divided into two types: active and passive ones. Investment problems are classified into two types: over- and under-investment problems. The sample consists of 101 firms listed on the Tehran Stock Exchange between 2010 and 2016. Some regression models are used. The results illustrated that institutional owners have a positive effect on investment efficiency and decrease both over- and under-investment problems and so, the efficient monitoring school is approved. Additionally, active ones are positively correlated with investment efficiency and decrease both investment inefficiency problems. Institutional ownership is the cause of investment efficiency, not the reverse. Based on findings, in emerging markets like Iran’s market, investors are recommended to give notice to the level of active ownership in firms; ownership structure is a good sign of efficiency. Full article

Green infrastructure in urban environments provides a wide range of ecological, social, aesthetic, and health co-benefits. Urban plant covers in particular contribute to improved outdoor environmental conditions that, in turn, influence the energy behavior of buildings and their indoor thermo-hygrometric comfort performance. Within this context, this study illustrates a methodology aimed at verifying the economic feasibility of alternative types of green areas for public and private stakeholders, which are analyzed as passive energy measures. Therefore, our methodology integrates approaches from different disciplines and consists of a microclimatic analysis of different vegetation scenarios and of the outdoor comfort level, an evaluation of the energy needs of a sample of houses, and an economic feasibility estimation considering different scenarios and public and private investors. The methodology is illustrated through its application to a suburban district of the Sicilian city of Trapani in the South of Italy, considered representative of Mediterranean climate conditions. Results showed significant differences between the scenario outcomes depending on the type of vegetation used in the green areas and put in evidence how economic feasibility for some stakeholders may be achieved in the management phase if adequate incentives equal to the planting cost are assumed. Full article

Poland has great potential for the development of renewable energy sources. The implementation of support systems dedicated to renewable sources has resulted in the installation of over 10,500 MW of installed capacity. At present, with high electricity prices, stimulated by the costs of CO₂ emissions and the costs of fuel purchase, renewable energy sources are of particular importance in the transformation of the Polish power industry. The RES auction system and the My Electricity Program contributed to the growth of entrepreneurship and the development of the economy. Energy consumers, from passive ones, have become active market participants—prosumers. The RES auction system alone contributed to the creation of approx. 5 GWp of installed capacity of photovoltaics (PV) sources in 2016–2021, while the My Electricity Program contributed to the creation of approx. 2 GWp of installed capacity in PV installations in 2019–2021. The aim of the study is to compare the economic and social costs of two photovoltaic development programs, My Electricity and the RES auction system, from the point of view of the country (in support distribution costs—subsidies) and investors, renewable energy installations operators and prosumers to which these programs are targeted, namely, individuals and enterprises. Full article

Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based on environmental criteria allows ecological investors to adjust their portfolios without compromising or even reducing risk-adjusted financial performance. In detail, we show that screening does not lead to a significant financial performance reduction. Moreover, we propose an asset selection based on an environmental criteria that improves the portfolios’ financial performance, and further improves its potential positive environmental impact. Our results suggest that a combination of a screening and an environmental-scoring-based asset allocation seems to be a viable option for environmentally responsible investors leveraging the advantages of both strategies. Furthermore, we construct a risk factor CMP (clean minus polluting) and document a significant factor loading when added to the Fama–French five-factor model, suggesting the existence of a risk premium based on a firm’s environmental performance. Full article