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METHOD:PUBLISH
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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TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20230312T080000
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TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20231105T070000
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230428T150000
DTEND;TZID=America/Chicago:20230428T160000
DTSTAMP:20260418T115046
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
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2021/06/Screen-Shot-2021-06-29-at-10.18.41-PM.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230421T100000
DTEND;TZID=America/Chicago:20230421T230000
DTSTAMP:20260418T115046
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
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/beloskar.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20230414
DTEND;VALUE=DATE:20230415
DTSTAMP:20260418T115046
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
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/aslan.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20230407
DTEND;VALUE=DATE:20230408
DTSTAMP:20260418T115046
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
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230331T120000
DTEND;TZID=America/Chicago:20230331T130000
DTSTAMP:20260418T115046
CREATED:20230102T173039Z
LAST-MODIFIED:20230113T180711Z
UID:1027-1680264000-1680267600@www.math.ttu.edu
SUMMARY:ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks
DESCRIPTION:Speaker: Beatrice Bertelli\, Dept. of Economics\, Università degli Studi di Modena e Reggio Emilia \nAbstract: The introduction of the Environmental\, Social\, Governance (ESG) dimensions in setting up optimal portfolios has been becoming of uttermost importance for the financial industry. Given the absence of consensus in empirical literature and the limited number of studies providing performance comparison of ESG strategies\, the aim of this paper is to assess the impact of ESG on optimal portfolios and to compare different approaches to the construction of ESG compliant portfolios. Following Varmaz et al. (2022) optimization model\, we minimize portfolio residual risk by imposing a desired level of portfolio average systemic risk and ESG (measured by Bloomberg ESG score) over both an unscreened and a screened sample based on the 586 stocks of the EURO STOXX Index in the period January 2007 – August 2022.\n\nThese are the main results.\n•	Regardless of the level of portfolio systemic risk\, the Sharpe ratio of the optimal portfolios worsens as the target ESG level increases.\n•	The Sharpe ratio dynamics of portfolios with the highest average ESG scores follows market phases: it is very close to/higher than other portfolios in bull markets\, whereas it underperforms in stable or bear markets suggesting that ESG portfolios do not seem to represent a safe haven.\n•	Negative screenings with medium-low threshold reduce the performance of optimal portfolios with respect to optimization over an unscreened sample. However\, when adopting a very severe screening we obtain a superior performance implying that very virtuous companies allows investors to do well by doing good.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-compliant-optimal-portfolios-the-impact-of-esg-constraints-on-portfolio-optimization-in-a-sample-of-european-stocks/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/bertelli.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230324T120000
DTEND;TZID=America/Chicago:20230324T130000
DTSTAMP:20260418T115046
CREATED:20230102T172624Z
LAST-MODIFIED:20230113T180726Z
UID:1025-1679659200-1679662800@www.math.ttu.edu
SUMMARY:A Comparison of ESG and Credit Ratings
DESCRIPTION:Speaker: Prof. Thierry Roncalli\, Head of Quantitative Research\, Amundi Institute; and Adjunct Prof. of Economics\, University of Evry \nAbstract: In this talk\, we analyze the construction of ESG ratings and investigate their time dynamics. For that\, we build the migration matrix of ESG ratings and assess the probabilistic properties of the associated Markov chain. We observe differences between ESG rating systems. Some of them are more reactive\, others present a best-in-class or worst-in-class bias. Finally\, we compare them with credit ratings\, and highlight the main differences.
URL:https://www.math.ttu.edu/mathematicalfinance/event/a-comparison-of-esg-and-credit-ratings/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/roncalli.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20230317
DTEND;VALUE=DATE:20230318
DTSTAMP:20260418T115046
CREATED:20230102T172321Z
LAST-MODIFIED:20230102T172321Z
UID:1022-1679011200-1679097599@www.math.ttu.edu
SUMMARY:TTU Spring Break - no mathematical finance seminar
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/ttu-spring-break-no-mathematical-finance-seminar/
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/unhappy.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230310T090000
DTEND;TZID=America/Chicago:20230310T100000
DTSTAMP:20260418T115046
CREATED:20220920T201704Z
LAST-MODIFIED:20230102T171639Z
UID:897-1678438800-1678442400@www.math.ttu.edu
SUMMARY:Risk-return performance of optimized ESG equity portfolios in the NYSE
DESCRIPTION:Speaker: Prof. Javier Lopez Prol\, Economics & Environmental Finance\, Yonsei University (Mirae) \nAbstract: The literature on the risk-return performance of equity portfolios depending on their ESG score is mixed. While most studies use some variant of Fama-French\, we optimize equity portfolios of the NYSE between 2018-2019 according to the Markovitz mean-variance framework depending on their ESG scores to better reflect the behavior of financial agents. We then systematically analyze the optimal and efficient portfolio performance and find that high ESG portfolios have lower volatility and even lower returns\, resulting in lower Sharpe ratios. The lower performance of high ESG portfolios is homogeneous across the three ESG components and robust across specifications.
URL:https://www.math.ttu.edu/mathematicalfinance/event/risk-return-performance-of-optimized-esg-equity-portfolios-in-the-nyse/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/prol.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230303T120000
DTEND;TZID=America/Chicago:20230303T130000
DTSTAMP:20260418T115046
CREATED:20220920T201518Z
LAST-MODIFIED:20230301T205324Z
UID:895-1677844800-1677848400@www.math.ttu.edu
SUMMARY:Do lower ESG rated companies have higher systemic impact? Empirical Evidence from Europe and the United States
DESCRIPTION:Speaker: Prof. Sandra Paterlini\, Economics and Management\, University of Trento\n\nAbstract: In recent years\, companies have increasingly been characterized by environ- mental\, social\, and governance (ESG) scores\, and investors and academics have raised questions concerning financial performance and investment risks. Now\, as the European Banking Authority has acknowledged that ESG risks can potentially impact the economic and financial system\, the debate on systemic risk has gained traction. Understanding the relationship between ESG merit and systemic risk is of utmost importance for the stability of the eco- nomic and financial system\, still\, research is limited. Relying on real-world European and US data\, we quantify systemic risk by means of QL-CoVaR. Empirical analyses of the entire period from 2007-2021 show that compa- nies with high ESG scores tend to exhibit low QL-CoVaR values indicating a positive effect of ESG scores. Such evidence is confirmed by clustering the individual companies into ESG portfolios and focusing on COVID-19. Additional insights using the individual pillars are also provided.
URL:https://www.math.ttu.edu/mathematicalfinance/event/tba/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/paterlini.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230224T120000
DTEND;TZID=America/Chicago:20230224T130000
DTSTAMP:20260418T115046
CREATED:20230102T171402Z
LAST-MODIFIED:20230113T180819Z
UID:1018-1677240000-1677243600@www.math.ttu.edu
SUMMARY:Equity costs and risks in emerging markets: Are ESG and Sharia principles complementary?
DESCRIPTION:Speaker: Stefan Pisera\, Dept. of Economics & Statistics\, University of Udine \nAbstract: 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 listed firms incorporated in eighteen emerging markets\, both Sharia-compliant and conventional (4612 firm-year observations from 2002 to 2018)\, finding a consistent\, statistically significant\, and negative association between the interaction of ESG scores and the Sharia sensitivity with the cost of equity. Moreover\, we reveal that this negative relationship is mediated by firms’ market risk (risk channel).
URL:https://www.math.ttu.edu/mathematicalfinance/event/equity-costs-and-risks-in-emerging-markets-are-esg-and-sharia-principles-complementary/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/pisera.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230217T160000
DTEND;TZID=America/Chicago:20230217T170000
DTSTAMP:20260418T115046
CREATED:20230102T171123Z
LAST-MODIFIED:20230113T180835Z
UID:1016-1676649600-1676653200@www.math.ttu.edu
SUMMARY:The dilemma between ‘comply or explain’ and SRI\, ESG methodology; transitional terminology
DESCRIPTION:Speaker: Prof. Kazuyuki Shimizu\, School of Business Administration\, Meiji University \nAbstract: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. ESG and SRI had different concepts from each other before\, but they mix their methodologies after this introduction. Both concepts need to be rechecked against the pure (principle) model. ESG and SRI have different investment strategy which tries to capture both financial returns and societal good. The fundamental question of this dilemma between SRI and ESG is analysed with three steps.\n\nAt first\, the difference between the SRI investment approaches was investigated. The logical implication of SRI refers to a segmentation (Euler diagram). It contains three segments. The economic segment forms the smallest circle in the core and the social segment embedded within  the environmental component. The Euler diagram is showing a clear stance for the limitation of environmental resources\, compared to Venn’s idea. The Venn diagram reveals an interactional relationship between the economy\, society and the environment but is not interdependent\, that is why stocks were selected on the basis of investment assessment in favour of unlimited inclusion rather than limited exclusion.\n\nSecondly\, as far as the SRI and ESG investment approach is concerned\, the stocks should serve as a screen in the evaluation process. The screen can be applied with either exclusionary (negative) or inclusionary (positive) methodology. According to GSIA\, The largest sustainable investment strategy globally is exclusionary screening ($15.02 trillion). However\, the “exclusionary strategy” that several index firms are using still includes the stocks dealing with Alcohol such as Diageo plc\, and others exclude industries such as Gambling\, Tobacco\, Military Weapons\, Civilian Firearms\, Nuclear Power\, Adult Entertainment and Genetically Modified Organisms. Therefore\, this paper gave a trial difference between SRI and ESG from the historical and methodological point of view. SRI needs to be in place before the introduction of the “comply or explain” idea in 1992. After that\, the index used might be ESG\, which assesses more through the “included exclusion” criteria.\n\nFinally\, the performance of ESG and SRI are investigated\, compared with a known-ESG index such as the MSCI world index. The DJSI World index is applied as an SRI category and the FTSE4GOOD index as the ESG group. There is skepticism between social responsibility and financial performance. Then\, we found stability in SRI in the long-term capital performance\, especially during the crisis. However\, ESG methodology reveals almost the same movement\, like the MSCI world index. Values are changing due to crises such as Lehman and the Covid19 shock. Therefore\, I would like to consider ethics and stock performance by comparing the performance of SRI and ESG with stocks excluded by the Norwegian Pension Fund’s own ethical standards. Ethics and stock performance are levelled by countervailing power of the values of various AIs and DAOs with human values.
URL:https://www.math.ttu.edu/mathematicalfinance/event/the-dilemma-between-comply-or-explain-and-sri-esg-methodology-transitional-terminology/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/shimizu.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230210T140000
DTEND;TZID=America/Chicago:20230210T150000
DTSTAMP:20260418T115046
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
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230203T120000
DTEND;TZID=America/Chicago:20230203T130000
DTSTAMP:20260418T115046
CREATED:20230102T170440Z
LAST-MODIFIED:20230113T180903Z
UID:1012-1675425600-1675429200@www.math.ttu.edu
SUMMARY:Cross-dispersion bias-adjusted ESG rankings
DESCRIPTION:Speaker: Prof. Jean-Charles Garibal\, Grenoble School of Management \nAbstract: 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 category. We suggest a correction for this dispersion bias. We apply this correction to scores provided by two of the main score providers: Refinitiv and Bloomberg. We also provide simulation evidence. We show that the cross-dispersion bias may have a significant impact on ESG scores formation and that our proposed adjustment tends to weather it.
URL:https://www.math.ttu.edu/mathematicalfinance/event/cross-dispersion-bias-adjusted-esg-rankings/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/garibal.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230127T140000
DTEND;TZID=America/Chicago:20230127T150000
DTSTAMP:20260418T115046
CREATED:20230102T165908Z
LAST-MODIFIED:20230113T180920Z
UID:1003-1674828000-1674831600@www.math.ttu.edu
SUMMARY:Sustainable Finance and E\, S\, and G Issues – Values versus value
DESCRIPTION:Speaker: Prof. Laura T Starks\, G. Kozmetsky Distinguished University Chair and Professor of Finance; University of Texas at Austin  \nAbstract: TBA
URL:https://www.math.ttu.edu/mathematicalfinance/event/tba-prof-laura-starks-ut-austin/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/Laura-Starks_opt.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230120T140000
DTEND;TZID=America/Chicago:20230120T150000
DTSTAMP:20260418T115046
CREATED:20230102T164825Z
LAST-MODIFIED:20230113T181024Z
UID:999-1674223200-1674226800@www.math.ttu.edu
SUMMARY:Does sustainability generate better financial performance? Review\, meta-analysis\, and propositions
DESCRIPTION:Speaker: Ulrich Atz\, Stern School of Business\, NYU \nAbstract: 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 financial performance of ESG investing has on average been indistinguishable from conventional investing (with one in three studies indicating superior performance) – in contrast with research in the wider management literature as well as industry reports. Until recently top finance journals did not publish climate change related studies\, yet these studies capture the frontier of corporate risk and ESG investment strategies. We developed three propositions: first\, ESG integration as a strategy seems to perform better than screening or divestment; second\, ESG investing provides asymmetric benefits\, especially during a social or economic crisis; and third\, decarbonization strategies can potentially capture a climate risk premium.
URL:https://www.math.ttu.edu/mathematicalfinance/event/does-sustainability-generate-better-financial-performance-review-meta-analysis-and-propositions/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/atz.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230113T140000
DTEND;TZID=America/Chicago:20230113T150000
DTSTAMP:20260418T115046
CREATED:20230102T163654Z
LAST-MODIFIED:20230113T181039Z
UID:982-1673618400-1673622000@www.math.ttu.edu
SUMMARY:On ESG Investing: Heterogeneous Preferences\, Information\, and Asset Prices
DESCRIPTION:Speaker: Prof. Lin Shen\, Department of Finance\, INSEAD\, Fontainebleau\, Fr. \nAbstract: 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 het-erogeneity\, traditional and green investors trade in the opposite directions based on the same information. We show that the equilibrium price may not be uniquely determined. An increase in the fraction of green investors and an improvement in the ESG information quality can reduce price informativeness about the financial payoff and raise the cost of capital.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-esg-investing-heterogeneous-preferences-information-and-asset-prices/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/shen-2.jpg
END:VEVENT
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