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 […]
Speaker: Beatrice Bertelli, Dept. of Economics, Università degli Studi di Modena e Reggio Emilia Abstract: 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 […]
Speaker: Prof. Nandita Das, College of Business, Delaware State University Title:Is there a difference in ESG fund performance among different economies? This is joint work with Prof. Aman Sunder, Dean of the Graduate School, College for Financial Planning, Centennial CO Abstract: Public preference for Socially Responsible practices has grown exponentially over the past two decades. […]
Speaker: Dr. Aydin Aslan, Department of Finance, Technical University of Dortmund Abstract: 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. […]
Speaker: Prof. Ved Beloskar, Modi School of Commerce, NMIMS Deemed to be University, Mumbai Abstract: 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 […]
