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Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital

via Zoom

Speaker: Massimo Guidolin, Department of Finance, Bocconi University, Milan, Italy Abstract: We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum over […]

Investigating Short-Term Dynamics in Green Bond Markets

via Zoom

Speaker: Prof. Lorenzo Mercuri, Dept. of Economics, Management & Quantitative Finance Methods, University of Milan Abstract: The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented […]

When ESG talks: ESG tone of 10-K reports and its significance to stock markets

via Zoom

Speaker: Dr. Konstantin Ignatov, WHU - Otto Beisheim School of Management Abstract Since the ESG topic consistently gains on importance in the investment universe, companies provide investors with information regarding recent and future ESG activities through different reporting channels. The most recent research finds relevance of ESG-related corporate activities for formation of investors' opinion regarding […]

Modeling Bitcoin Volatility: A Dual Perspective Analysis

via Zoom

Speaker: Prof. Abootaleb Shirvani, Dept. of Mathematical Sciences, Kean University Abstract: Understanding the volatility of speculative assets is critical for investment decisions. Given that Bitcoin is considered, at least by some, a potential alternative to fiat money, its volatility characteristics are of particular concern. It is, therefore, essential to comprehend and appropriately model the process […]

Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory

via Zoom

Speaker: Prof. Massimiliano Kaucic, Department of Economics, Business, Mathematics & Statistical Sciences, University of Trieste Abstract: In the last five years, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles. Consequently, the investment process is changing toward more ethical choices. In this […]

Convergence of the fixed-point iteration for the Bass Local Volatility model

via Zoom

Speaker Dr. Gudmund Pammer, Dept. of Mathematics, ETH Zürich Abstract: The Bass local volatility model introduced by Backhoff-Veraguas–Beiglböck–Huesmann–Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point nonlinear integral equation. […]

Risk budgeting portfolios: Existence and computation

via Zoom

Speaker: Prof. Olivier Guéant, Department of Applied Mathematics, Université Paris 1 Panthéon-Sorbonne Abstract: Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity to small changes in input parameters, especially expected returns, the mean-variance framework proposed by Markowitz (1952) has however been challenged by new construction methods that […]

On subordinated generalizations of 3 classical models of option pricing

via Zoom

Speaker: Dr. Grzegorz Krzyżanowski, Hugo Steinhaus Center, Faculty of Pure and Applied Mathematics, Wroclaw University of Science and Technology Abstract: We will investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models, in contrast to their classical equivalents, can be used in markets where periods of stagnation are […]

Good for the Planet, Good for the Wallet: The ESG Impact on Financial Performance in India

Department of Mathematics & Statistics, TTU

Speaker: Prof. Tauhidul Islam Tanin, EGADE Business School, Technologico de Monterrey Abstract: We examine the impact of ESG practices on financial performance among Nifty 50 companies in India from 2015 to 2022. Utilizing fixed-effects panel quantile regression, we observe that the relationship between ESG practices and financial profitability varies across the ROE distribution. While the […]

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model

via Zoom

Speaker: Makar Pravosud, Department of Economics and Business, Universitat Pompeu Fabra Abstract: In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic volatility process. Using techniques of […]

Unpacking the ESG ratings: Does one size fit all?

via Zoom

Speaker: Prof. Monica Billio, Department of Economics, Ca’ Foscari University of Venice Abstract: As ESG investing goes mainstream, investors increasingly rely on ESG ratings when making investment decisions. This study aims to delve into the overall ESG ratings provided by four prominent ESG data providers, focusing on their accounting methodologies, the relevance of the three […]

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