Loading Events

« All Events

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, 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 financial exclusion and environmental, social and governance (ESG) screening affect asset prices. I develop an asset pricing model with partial segmentation and heterogeneous beliefs. I characterize two exclusion premia generalizing Merton (1987)’s 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 fi rms, I estimate this model applied to green investing and sin stock exclusion using U.S. data. The model has substantial explanatory power for the cross-section of stock returns and outperforms the four-factor model in several cases.

 

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
Time:
11:30 am - 12:30 pm
Event Categories:
,

Venue