Financial economic research has extensively documented the fact that the impact of the arrival of negative news on stock prices is more intense than that of the arrival of positive news. The authors of the present study followed an innovative approach based on the utilization of two artificial intelligence algorithms to test that asymmetric response effect. Methods: The first algorithm was used to web-scrape the social network Twitter to download the top tweets of the 24 largest market-capitalized publicly traded companies in the world during the last decade. A second algorithm was then used to analyze the contents of the tweets, converting that information into social sentiment indexes and building a time series for each considered company. After comparing the social sentiment indexes’ movements with the daily closing stock price of individual companies using transfer entropy, our estimations confirmed that the intensity of the impact of negative and positive news on the daily stock prices is statistically different, as well as that the intensity with which negative news affects stock prices is greater than that of positive news. The results support the idea of the asymmetric effect that negative sentiment has a greater effect than positive sentiment, and these results were confirmed with the EGARCH model.

The impact of Environmental, Social, and Governance (ESG) scores on financial performance remains a subject of debate, as the literature reports mixed evidence regarding their effect on stock returns. This research aims to examine the relationship between ESG ratings and the change in ESG scores, or ESG Momentum, concerning both returns and risk of a large sample of stocks traded on U.S. exchanges. The study examined a sample of 3856 stocks traded on U.S. exchanges, considering 20 years of quarterly data from December 2002 to December 2022. We applied multi-factor models and tested them through pooled ordinary, fixed effects, and random effects panel regression methods. Our results show negative relationships between ESG scores and stock returns and between ESG Momentum and volatility. Contrarily, we find positive associations between ESG Momentum and returns and between ESG scores and volatility. Although high ESG scores are generally associated with lower long-term stock returns, an increase in a company’s ESG rating tends to translate into immediate positive returns and reduced risk. Accordingly, investors may benefit from strategies that focus on companies actively improving their ESG performance, while firms themselves stand to gain by signaling continuous advancement in ESG-related areas.

Esta investigación tiene como objetivo estudiar las interacciones dinámicas de largo plazo entre los cambios en las emisiones de CO2, el crecimiento económico, los cambios en el uso de energía y electricidad, y los cambios de la población rural a la urbana en América Latina (AL) durante el período 1990-2014. Un enfoque de datos panel VEC (VAR) con datos del Banco Mundial muestra que la primera y segunda diferencias de los logaritmos de la proporción de la población urbana con respecto a la población total explican: emisiones de CO2, PIB per cápita, consumo de energía, electricidad per cápita y el proceso de urbanización. Además, las emisiones de CO2 se cointegran con la primera diferencia con el logaritmo de la proporción de la población urbana. Los resultados empíricos no sugieren evidencia de la existencia de una curva ambiental de Kuznets. Tampoco es posible generalizar la naturaleza de las relaciones de crecimiento económico-consumo de energía-urbanización y emisiones de CO2 en diferentes latitudes. Una delimitación de este documento es la disponibilidad limitada de datos para varios países de AL, lo cual restringe el alcance del análisis econométrico

This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM in the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure.

According to conventional portfolio theory, an increase in the interconnectedness of international financial markets may reduce the potential for constructing diversified portfolios. This article explores the implications of the creation of the Latin American Integrated Market (MILA)¹ over the dependence structure of its members using correlation and cointegration analysis as well as linear and nonlinear Granger causality tests. The creation of MILA aimed to enhance the integration process that Latin American financial markets “naturally” present while still providing diversification opportunities to investors. The results of our empirical analysis suggest that such objective is being achieved. Evidence of a rise in cross-country linear correlations and their linear causal relationship supports the idea of an increasing financial integration process in the region, while the absence of cointegration and the weakening of the nonlinear causal relationship favors the creation of diversified regional portfolios. These findings provide valuable insights for investment portfolio designers, regulators, and supervisors.

ResumenEste artículo presenta un análisis estadístico de las características de los emprendedores apoyados por Fondos de Capital Privado/Capital Emprendedor (FCP's) en México, y para ello utiliza la información obtenida a través de una encuesta nacional respondida por los últimos. La contribución de este trabajo consiste en utilizar la técnica de Análisis de Conglomerados sobre los constructos teóricos identificados en la literatura como elementos del Perfi del Emprendedor y medidos por la encuesta con escalas tipo Likert, para destacar la importancia que los distintos FCP's asignan a cada constructo durante la evaluación de los candidatos a recibir financiamiento. Aunque estudios similares han descrito el Perfi del Emprendedor desde perspectivas alternativas, la originalidad del presente artículo consiste en clasifi los FCP's con base en el perfi de los emprendedores a quienes apoyan con sus inversiones.AbstractThis paper presents a statistical analysis of the characteristics of the entrepreneur supported by the Private Equity/Venture Capital Funds in Mexico, and it uses the data gathered by a national survey answered by such funds. The contribution of this work consists in the use of Conglomerate Analysis on the theoretical constructs identified by the literature as elements of the Entrepreneur Profile and measured via the survey with Likert type scales to highlight the importance that the different funds assign to each construct in the evaluation of candidates to receive their funding. While similar studies have described the Entrepreneur Profile from alternative perspectives, the originality of the present one consists in classifying the funds based on the Profile of the Entrepreneurs they support with their investments