Loading Events

« All Events

  • This event has passed.

Olivier-David ZERBIB (Tilburg University and ISFA) “A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from green investing and sin stock exclusion”

October 3, 2019, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time:11:30
Date: 03th of October 2019
Place: Room 3001

Olivier-David ZERBIB (Tilburg University and ISFA) “A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from green investing and sin stock exclusion”

Abstract : I demonstrate how sustainable investing through exclusionary screening and environmental, social and governance (ESG) integration affects asset returns. I develop an asset pricing model with partial segmentation and heterogeneous beliefs. I characterize two exclusion premia generalizing Merton’s (1987) premium on neglected stocks and a taste premium that disentangles the link between ESG and financial performance. By constructing an instrument that captures sustainable investors’ tastes for green firms, I estimate this model applied to green investing and sin stock exclusion using U.S. data between 2000 and 2018. The model outperforms the four-factor model, and yields a taste and an exclusion effect of 1.5% and 2.5% per year, respectively.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
October 3, 2019
Time:
11:30 am - 12:30 pm
Event Categories:
,

Venue