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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
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