Table 1.
Megatrends and themes.
Table 2.
Pure style factors and factor-related descriptors.
Table 3.
Sample size after data cleansing and multiple imputation procedures.
Fig 1.
Cumulative total log return of MSCI ACWI Index and market portfolio.
The market portfolio contains only companies that have prices, total returns and market capitalisations, and are not considered as penny stocks. “Market” portfolio is the reference point for the cross-sectional regressions. MSCI ACWI is the benchmark for the time series analysis.
Fig 2.
Cumulative market-relative return of environment megatrends, 2015–2019.
Returns are total log returns. MXWD is the Bloomberg ticker for MSCI ACWI Index.
Fig 3.
Cumulative market-relative return of social megatrends, 2015–2019.
Returns are total log returns. MXWD is the Bloomberg ticker for MSCI ACWI Index.
Fig 4.
Cumulative market-relative return of governance megatrends, 2015–2019.
Returns are total log returns. MXWD is the Bloomberg ticker for MSCI ACWI Index.
Table 4.
Regressions of megatrend portfolios on pure factor portfolios via OLS.
Table 5.
Regressions of megatrend portfolios on pure factor portfolios via GMM-IVd.
Table 6.
Summary of alphas via OLS and GMM-IVd.
Table 7.
Summary of alphas via OLS and GMM-IVd after controlling for transaction costs.