Related papers: Dissecting the explanatory power of ESG features o…
We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consists of regularly updated sets of rules that map regions into…
ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Specifically, we introduce an ESG-valued return that is a…
The widespread confusion among investors regarding Environmental, Social, and Governance (ESG) rankings assigned by rating agencies has underscored a critical issue in sustainable investing. To address this uncertainty, our research has…
I identify a new signaling channel in ESG research by empirically examining whether environmental, social, and governance (ESG) investing remains valuable as large institutional investors increasingly shift toward artificial intelligence…
Environmental Social Governance (ESG) is a widely used metric that measures the sustainability of a company practices. Currently, ESG is determined using self-reported corporate filings, which allows companies to portray themselves in an…
Environmental, Social, and Governance (ESG) datasets are frequently plagued by significant data gaps, leading to inconsistencies in ESG ratings due to varying imputation methods. This paper explores the application of established machine…
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension of investment performance: the ESG…
Environmental, Social, and Governance (ESG) are non-financial factors that are garnering attention from investors as they increasingly look to apply these as part of their analysis to identify material risks and growth opportunities. Some…
We present ESGBench, a benchmark dataset and evaluation framework designed to assess explainable ESG question answering systems using corporate sustainability reports. The benchmark consists of domain-grounded questions across multiple ESG…
We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market. Our data run from January 1970 to December 2019 and our analysis includes ordinary least…
Environmental, Social and Governance (ESG) rating is a way for investors to prioritise investments in companies with good corporate behaviour. However, ESG ratings are vulnerable to greenwashing in a number of ways. In this paper we study…
Environmental, social, and governance (ESG) factors are widely adopted as higher investment return indicators. Accordingly, ongoing efforts are being made to automate ESG evaluation with language models to extract signals from massive web…
We present ESG-FTSE, the first corpus comprised of news articles with Environmental, Social and Governance (ESG) relevance annotations. In recent years, investors and regulators have pushed ESG investing to the mainstream due to the urgency…
Over the past years, topics ranging from climate change to human rights have seen increasing importance for investment decisions. Hence, investors (asset managers and asset owners) who wanted to incorporate these issues started to assess…
This study investigates how emotion-specific sentiment embedded in financial news headlines interacts with firm-level Environmental, Social, and Governance (ESG) ratings to influence stock return behavior. Addressing key methodological gaps…
Environmental, Social, and Governance (ESG) scores measure companies' performance concerning sustainability and societal impact and are organized on three pillars: Environmental (E), Social (S), and Governance (G). These complementary…
This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure. This setting allows investors to accommodate their…
In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk and fundamental analysis viewpoint. We first determine the ESG indicators that are most relevant when it comes to explaining the sovereign bond…
Environmental, Social, and Governance (ESG) data provides non-financial insights into corporations. In this study, we aim to identify relevant ESG raw variables to assess financial risk, measured by logarithmic volatility of return. We…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…