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 […]
Speaker: Prof. Sandra Paterlini, Economics and Management, University of Trento Abstract: 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 […]
Speaker: Prof. Javier Lopez Prol, Economics & Environmental Finance, Yonsei University (Mirae) Abstract: 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 […]
Speaker: Prof. Thierry Roncalli, Head of Quantitative Research, Amundi Institute; and Adjunct Prof. of Economics, University of Evry Abstract: 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 […]
