Sercan Demiralay

In this study we identify low‐risk anomalies affiliated with industry in frontier markets, offering valuable insights for fund managers and investors managing an internationally diversified portfolio. Utilising a two‐beta model—incorporating both market and industry betas—we reveal a distinct low‐beta anomaly with a monthly magnitude of 2.13% tied to risk exposure in affiliated industries, which remains robust after controlling for size and value factors. We extend our analysis further to explore intra‐industry anomalies. We identify a low‐beta anomaly within the energy, healthcare, and industrial sectors, and idiosyncratic volatility (IVOL) anomalies in the energy, healthcare, and real estate sectors, showing consistency when controlling for relevant factors. We also incorporate transaction costs into our analysis and provide recommendations to enhance the profitability of these anomalies by reducing portfolio rebalancing frequency and accounting for tax implications.

This study examines the impact of LGBTQ+ workplace inclusion on corporate environmental performance, with a focus on the mediating role of environmental innovation. Drawing on 6419 firm‐year observations from 898 US firms between 2010 and 2023, we measure LGBTQ+ workplace inclusion using the Human Rights Campaign's Corporate Equality Index. Our findings show that firms with stronger LGBTQ+ inclusion exhibit higher environmental performance scores and greater renewable energy consumption. We further find that this relationship is partially mediated by environmental innovation, indicating that LGBTQ+‐inclusive workplace practices enhance environmental outcomes by fostering innovation. To strengthen causal inference, we implement a quasi‐natural experiment based on the staggered legalization of same‐sex marriage across states. Results reveal that firms headquartered in states that recognized same‐sex marriage prior to the Obergefell v. Hodges ruling demonstrate superior environmental performance. These findings are robust across various identification strategies and estimation methods.

Despite the growing importance of integrating climate risks into financial decision‐making, there has been limited research on how these risks affect stock–commodity correlations and the optimal hedging performance of commodities. Using four novel climate risk measures related to the US climate policy, international summits, global warming, and natural disasters, we explore the impact of climate risks on conditional correlations between commodity futures and equities. Our results reveal that higher transition risks (US climate policy and international summits) are associated with increased correlations, while higher physical risks (natural disasters and global warming) drive correlations lower in most cases. We also find that the interaction of climate risks with macro factors can exert significant influences on the time‐varying correlations. During periods of extremely high climate risk, we generally observe higher hedging costs, reduced portfolio allocations to commodities, and lower hedging effectiveness compared to periods of extremely low climate risk.

We investigate the perceptions of corporate managers of non-dividend-paying firms listed on the London Stock Exchange (LSE) to identify the factors and explanations leading to a zero cash dividend policy. Our survey evidence shows that the main reasons for not paying dividends involve poor profitability, the firm’s life cycle stage and profitable growth opportunities. Managers consider shareholder preferences when setting a zero cash dividend policy, but neither taxes nor share repurchases (as substitutes for cash dividends) explain this policy. High insider ownership and transaction costs also do not explain why some UK companies pay no cash dividends. However, respondents confirm that the cost of raising new external funds (debt) is an important factor in not distributing cash dividends. Our results are inconclusive on the potential signaling effect of not paying dividends. Finally, the findings indicate that the COVID-19 pandemic did not affect the decision to follow a zero cash dividend policy in the United Kingdom.

In this paper, we attempt to explore the effects of various uncertainty measures – namely, implied volatility (VIX), tail risk (SKEW), economic policy uncertainty (EPU) and partisan conflict (PCI) indices-, on U.S. REITs returns at sector level, using the non-linear Markov regime-switching model. Our empirical results reveal that uncertainty measures have regime-dependent impacts and do not affect the return dynamics of REIT sectors in a uniform way. Office and hotel & lodging REITs exhibit the strongest sensitivity to VIX and EPU, respectively, during bearish market periods. While residential REITs are the most resilient to uncertainties, healthcare REIT returns are negatively affected from all the uncertainty factors only in the low variance regime. Hence, our findings show evidence of asymmetric, non-linear and sector-dependent linkages between REITs and uncertainties. These results provide valuable insights and important implications for REIT investors.