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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;VALUE=DATE:20230407
DTEND;VALUE=DATE:20230408
DTSTAMP:20260414T024734
CREATED:20230102T174546Z
LAST-MODIFIED:20230403T201048Z
UID:1033-1680825600-1680911999@www.math.ttu.edu
SUMMARY:Seminar Cancelled
DESCRIPTION:Speaker: Prof. Nandita Das\, College of Business\, Delaware State University \nTitle:Is there a difference in ESG fund performance among different economies? \nThis is joint work with Prof. Aman Sunder\, Dean of the Graduate School\, College for Financial Planning\, Centennial CO \nAbstract: Public preference for Socially Responsible practices has grown exponentially over the past two decades. According to USSIF the estimated assets under management for SRMF was close to $17 trillion in 2019. Assets are poised to reach $41 trillion by the end of this year according to Bloomberg Intelligence estimates. Money held in sustainable mutual funds and ESG-focused exchange-traded funds rose globally by 53% in 2021 to $2.7 trillion according to Morningstar Inc. The AUM of ESG Funds in India is currently at Rs. 11\,956 crores as per AMFI as of Mar 31\, 2022. \nThis paper examines the risk-adjusted performance for socially responsible mutual funds (SRMF) in two different economies- US and India. Investors from different countries will probably weigh each of ESG criterion differently. The goal is to compare the performance of ESG funds based on overall score and specific criterion scores of a developed country with a developing country. We compare the results of funds with a high ESG rating in a developed country (US) with those in a developing country (India). For example\, in US it appears that Environment factor is more crucial to investors\, and it is possible that Governance might be a bigger factor in a developing country.  As for the comparability of performance\, there is no statistical difference in performance between the two economies for top-rated funds. This is not the case for the bottom-rated funds. The findings also show size to be a priced risk-factor for both the economies.
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-ttu-math-finance-seminar-scheduled/
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/das2-scaled.jpg
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BEGIN:VEVENT
DTSTART;VALUE=DATE:20230414
DTEND;VALUE=DATE:20230415
DTSTAMP:20260414T024734
CREATED:20230102T174618Z
LAST-MODIFIED:20230113T180643Z
UID:1035-1681430400-1681516799@www.math.ttu.edu
SUMMARY:How Do Investors Value Sustainability? A Utility-Based Preference Optimization
DESCRIPTION:Speaker: Dr. Aydin Aslan\, Department of Finance\, Technical University of Dortmund \nAbstract: We investigate how an investor’s preference for sustainable assets in the portfolio varies for differing levels of risk aversion. Using a sample of 411 publicly listed firms in the S&P 500\, we calculate financial and sustainability returns\, on which the investor’s utility depends. We approximate the investor’s preference by the exponential and s-shaped utility function and optimize with regard to the sustainability preference. We find that with increasing levels of risk aversion\, both minimum-variance and maximum Sharpe ratio type investors seek to incorporate sustainable assets in the portfolio.
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-ttu-math-finance-seminar-scheduled-2/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230421T100000
DTEND;TZID=America/Chicago:20230421T230000
DTSTAMP:20260414T024734
CREATED:20230102T174205Z
LAST-MODIFIED:20230113T180627Z
UID:1031-1682071200-1682118000@www.math.ttu.edu
SUMMARY:Did ESG Save the Day? Evidence From India During the COVID 19 Crisis
DESCRIPTION:Speaker: Prof. Ved Beloskar\, Modi School of Commerce\, NMIMS Deemed to be University\, Mumbai \nAbstract: Investors have shown increasing interest in Socially Responsible Investments (SRI) in the past few years\, especially during the financial crisis caused due to the outbreak of the COVID-19 pandemic. SRI are evaluated on the basis of Environmental\, Social and Governance (ESG) criteria. ESG information allows investors to assess the risks associated with a particular firm and how the firm manages or intends to manage future risks. Amidst the increasing investor interest in ESG products\, we attempt to study the value addition of ESG performance to investors during crisis period. Using a sample of ESG rated firms listed on the Bombay Stock Exchange (BSE)\, we examine the investment performance\, trading volumes and return volatility of ESG stocks in an emerging market like India during the COVID-19 crisis. The results of our event study conducted around the important events that have occurred in India during the COVID-19 pandemic provide evidence that investors can use ESG information as a signal of future stock performance. Most importantly\, ESG performance provides downside protection during crisis times. Our results show that ESG performance does not prove to be detrimental to investment performance during normal times. Also\, ESG performance was found to reduce stock return volatility during the COVID-19 pandemic. Overall\, our study attempts to establish an investment case for ESG stocks in emerging markets in India by providing support to the good management hypothesis.
URL:https://www.math.ttu.edu/mathematicalfinance/event/did-esg-save-the-day-evidence-from-india-during-the-covid-19-crisis/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230428T150000
DTEND;TZID=America/Chicago:20230428T160000
DTSTAMP:20260414T024734
CREATED:20230110T001014Z
LAST-MODIFIED:20230113T180608Z
UID:1057-1682694000-1682697600@www.math.ttu.edu
SUMMARY:Hedonic Models of Real Estate Prices with ESG Factors
DESCRIPTION:Speaker: Jason Bailey\, Department of Math & Statistics\, Texas Tech University \nAbstract: With the increasing importance of ESG factors in real estate constructions and prices\, we investigate commonly-accepted factors in real estate prices through hedonic models and then apply the select ESG factors of green-home\, air-conditioning\, accessibility\, and waterfront to evaluate their impact and significance in increasing the predictive powers of the models. In particular\, we investigate the use of a P-spline generalized additive hedonic model (GAM) for real estate prices in large U.S. cities and contrast their predictive efficiency against commonly-used linear and polynomial-based generalized linear models (GLMs). Using intrinsic and extrinsic factors available from Redfin\, we show that the GAM model is capable of describing 84% to 92% of the variance in the expected ln(sales price) based upon 2021 data. In contrast\, a strictly-linear GLM accounted for 65% to 78% of the variance\, while polynomial-based GLMs accounted for 82% to 88%. As climate change is becoming increasingly important\, we utilized the GAM model to examine the significance of environmental factors in two urban centers along the Pacific Northwest. While the results indicate city-dependent differences in the significance of environmental factors\, we find that multiple environmental factors were significant with their inclusion increasing the adjusted R2 of the GAM model by slightly less than 1%.
URL:https://www.math.ttu.edu/mathematicalfinance/event/hedonic-models-of-real-estate-prices-with-esg-factors/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
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