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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…
This paper introduces and defines a novel concept in sustainable investing, termed crosswashing, and explore its impact on ESG (Environmental, Social, and Governance) ratings through quantitative analysis using a Multi-Criteria Decision…
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but they also want to take into account the sustainability of…
We systematically investigate the links between price returns and Environment, Social and Governance (ESG) scores in the European equity market. Using interpretable machine learning, we examine whether ESG scores can explain the part of…
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…
While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory…
Sustainability reports are key for evaluating companies' environmental, social and governance, ESG performance, but their content is increasingly obscured by greenwashing - sustainability claims that are misleading, exaggerated, and…
In this paper we explore the challenges of measuring sentiment in relation to Environmental, Social and Governance (ESG) social media. ESG has grown in importance in recent years with a surge in interest from the financial sector and the…
We investigate the response of shareholders to Environmental, Social, and Governance-related reputational risk (ESG-risk), focusing exclusively on the impact of social media. Using a dataset of 114 million tweets about firms listed on the…
Environmental, social, and governance (ESG) reports are globally recognized as a keystone in sustainable enterprise development. However, current literature has not concluded the development of topics and trends in ESG contexts in the…
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…
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…
Environmental, social and governance (ESG) engagement of companies moved into the focus of public attention over recent years. With the requirements of compulsory reporting being implemented and investors incorporating sustainability in…
The analysis of determinants of a company's financial performance has aroused significant attention, particularly, the environmental, social, and governance (ESG) has been the research focus in recent years. In addition to increasing…
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…
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…
Trade policy uncertainty has become a significant feature of today's global economy. While its impact on free trade is evident, its microeconomic effects remain open to debate. This study explores the influence of trade policy uncertainty…
In this paper, we look at the impact of Environment, Social and Governance related news articles and social media data on the stock market performance. We pick four stocks of companies which are widely known in their domain to understand…
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…
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negative ESG premium is priced in the market, this mandate can…