Ameliorating global warming has been touted as one of the most pressing issues of our time. We investigate whether there are mutual fund families that purposefully decrease their portfolios’ exposure to greenhouse gas emissions, and find families that sign the Principles for Responsible Investment (PRI) have significantly lower portfolio emissions after signing the initiative than do non-signatory families. There are two mechanisms via which this reduction occurs: access to the resources offered by the PRI (networks, information, education, etc.), and families with pro-environmental stakeholders. Families that reduce their emissions experience significantly increased fund flow.

In this study, we identify the relation between foreign institutional ownership and stock liquidity commonality in 39 countries from 2000 to 2014. Our results show a negative and robust linkage between foreign institutional ownership and global stock liquidity commonality. Corporate transparency is a key mechanism through which foreign institutional investors can reduce stock liquidity commonality. Independent and U.S.-based foreign institutional investors have a greater effect on reducing stock liquidity commonality. Additionally, there is a U-shaped relation between foreign institutional ownership and stock liquidity commonality. Next, we provide evidence that foreign institutional investors mitigate the effects of local culture, exaggerate the impacts of economic policy uncertainty, and substitute the role of a country's corporate governance level. Finally, it is evident that stock liquidity commonality mediates the relation between foreign institutional ownership and firm valuation. Foreign institutional investors can enhance firm valuation through stock liquidity commonality and stock illiquidity.

We propose a new nonparametric kernel (NPK) mean-lower partial moments model for portfolio construction that includes transaction costs. In the theory section, we study the properties of the solution to this model. We use simulated financial returns to demonstrate that the NPK model outperforms the traditional moment (MOM) model in terms of estimation accuracy, portfolio performance and transaction costs. We then empirically test our model using actual hedge fund returns, because holding these assets can expose investors to substantial downside risk. Portfolios formed using our NPK model significantly outperform those formed using the MOM model and other conventional investment strategies, regardless of the performance metric examined. Our NPK model will therefore be useful in a wide variety of contexts requiring downside risk management