BEGIN:VCALENDAR VERSION:2.0 PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN CALSCALE:GREGORIAN METHOD:PUBLISH X-WR-CALNAME:Mathematical Finance X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance X-WR-CALDESC:Events for Mathematical Finance BEGIN:VTIMEZONE TZID:America/Chicago BEGIN:DAYLIGHT TZOFFSETFROM:-0600 TZOFFSETTO:-0500 TZNAME:CDT DTSTART:20230312T080000 END:DAYLIGHT BEGIN:STANDARD TZOFFSETFROM:-0500 TZOFFSETTO:-0600 TZNAME:CST DTSTART:20231105T070000 END:STANDARD END:VTIMEZONE BEGIN:VEVENT DTSTART;TZID=America/Chicago:20230203T120000 DTEND;TZID=America/Chicago:20230203T130000 DTSTAMP:20260411T012807 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:20230210T140000 DTEND;TZID=America/Chicago:20230210T150000 DTSTAMP:20260411T012807 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:20230217T160000 DTEND;TZID=America/Chicago:20230217T170000 DTSTAMP:20260411T012807 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:20230224T120000 DTEND;TZID=America/Chicago:20230224T130000 DTSTAMP:20260411T012807 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 END:VCALENDAR