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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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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20230210T140000
DTEND;TZID=America/Chicago:20230210T150000
DTSTAMP:20260521T173925
CREATED:20230102T171533Z
LAST-MODIFIED:20230113T180849Z
UID:1014-1676037600-1676041200@www.math.ttu.edu
SUMMARY:International market exposure to sovereign ESG
DESCRIPTION:Speaker: Christian Morgenstern\, School of Public Health\, Imperial College London \nAbstract: We quantify equity and bond market sensitivity to sovereign ESG scores and their variations which\, theoretically\, is equivalent to evaluating the demand for ESG at the global scale. We do so by estimating a longitudinal model\, at the issue level\, that captures exposures to sovereign ESG factors for both equity and fixed income indices. In spite of the surging interest in ESG investing\, our results do not support a strong impact of ESG factors on the returns of international markets\, implying that the demand for ESG at the country level is not a significant driver of prices. Nevertheless\, we document a strong association between GDP growth and ESG scores at the country level.
URL:https://www.math.ttu.edu/mathematicalfinance/event/international-market-exposure-to-sovereign-esg/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/morganstern.jpg
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