Speaker: Dr. Carmine de Franco, Head of Research & ESG, Ossiam Abstract: We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consists of regularly updated sets of rules that map regions into the high-dimensional space of ESG features to excess […]
Speaker: Prof. Matthew Dixon, Applied Mathematics, Illinois Institute of Technology Abstract: Catastrophe (CAT) bond markets are incomplete and hence carry uncertainty in instrument pricing. As such various pricing approaches have been proposed, but none treat the uncertainty in catastrophe occurrences and interest rates in a sufficiently flexible and statistically reliable way within a unifying asset […]
Speaker: Prof. Julian Koelbel, School of Finance, University of St. Gallen Abstract: This study examines the impact of ESG ratings on mutual fund holdings, stock returns, corporate investment, and corporate ESG practices, using panel event studies. Looking specifically at changes in the MSCI ESG rating, we document that rating downgrades reduce ownership by mutual funds […]
Speaker: Prof. John Geanakoplos, Economics, Yale University Abstract: Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is […]
Speaker: Dr. Juan Sabuco, Smith School of Enterprise and the Environment, Oxford University Abstract: We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from clients in return for ensuring […]
Speaker: Prof. Lin Shen, Department of Finance, INSEAD, Fontainebleau, Fr. Abstract: We study how environmental, social and governance (ESG) investing reshapes in-formation aggregation by prices. We develop a rational expectations equilibrium model in which traditional and green investors are informed about financial and ESG risks but have different preferences over them. Because of the preference […]
Speaker: Ulrich Atz, Stern School of Business, NYU Abstract: Sustainability in business and ESG (environmental, social, and governance) in finance have exploded in popularity among researchers and practitioners. We surveyed 1,141 primary peer-reviewed papers and 27 meta-reviews (based on ∼1,400 underlying studies) published between 2015 and 2020. Aggregate conclusions from a sample suggest that the […]
Speaker: Prof. Laura T Starks, G. Kozmetsky Distinguished University Chair and Professor of Finance; University of Texas at Austin Abstract: TBA
Speaker: Prof. Jean-Charles Garibal, Grenoble School of Management Abstract: We study the formation of ESG scores and rankings. In particular, we investigate the impact of aggregation rules when combining information on firms across categories, notably the E, S and G categories, into single ESG scores. Usual aggregation rules may bias scores toward the most dispersed […]
Speaker: Christian Morgenstern, School of Public Health, Imperial College London Abstract: 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 […]
Speaker: Prof. Kazuyuki Shimizu, School of Business Administration, Meiji University Abstract:This paper tries to find out what the difference is between ESG and SRI. ESG developed from the SRI concept with “comply and explain” which was introduced in 1992, and it creates difficulties between their concepts and also can make difficulties for their methodological development. […]
Speaker: Stefan Pisera, Dept. of Economics & Statistics, University of Udine Abstract: By proposing a novel continuous and time-varying measure of Sharia compliance, we investigate whether it enhances the effects of corporate social responsibility, proxied by Environmental-Social-Governance scores, on firms' equity costs and market risks in emerging countries. We construct a large dataset of non-financial […]