Quantitative Sustainable Economics and Finance 
Time: 11.00 am
Date: 19th of December 2024
Room 3001

Philippe VAN DER BECK (Harvard University) “Flow-Driven ESG Returns”

Abstract : I show that the recent returns to ESG investing are strongly driven by price impact from flows towards ESG portfolios. Using data on trades, I estimate the market’s ability to accommodate ESG flows, which is given by the elasticity of substitution between ESG and other stocks. I show that every dollar flowing towards a representative ESG portfolio increases the market value of ESG stocks by $0.5. Using a new measure of total ESG flows, I estimate an annual flow-driven ESG return of 2.5%. In the absence of flows, ESG stocks would not have outperformed the market from 2012 to 2024.

Organizers:  Patricia Crifo, Emmanuel Gobet, Peter Tankov, Gauthier Vermandel, and Olivier David Zerbib

Sponsors:
CREST-CMAP