Related papers: Measuring ESG Risk in Supply Networks
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…
Recently, environmental, social, and governance (ESG) has become an important factor in companies' sustainable development. Artificial intelligence (AI) is also a core digital technology that can create innovative, sustainable,…
The rapid growth of sustainable investing, now exceeding 35 trillion USD globally, has transformed financial markets, yet the implications for monetary policy transmission remain underexplored. While existing literature documents…
In this article, we present a novel approach for the construction of an environment-friendly green portfolio using the ESG ratings, and application of the modern portfolio theory to present what we call as the ``green efficient frontier''…
Determining the sustainability impact of companies is a highly complex subject which has garnered more and more attention over the past few years. Today, investors largely rely on sustainability-ratings from established rating-providers in…
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…
In recent years, climate change repercussions have increasingly captured public interest. Consequently, corporations are emphasizing their environmental efforts in sustainability reports to bolster their public image. Yet, the absence of…
In this work we propose a framework to construct Market-Implied Sustainability (MIS) scores for individual firms by exploiting fund-level sustainability classifications and granular portfolio holdings. The central idea is that the relative…
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,…
This paper extends the application of ESG score assessment methodologies from large corporations to individual farmers' production, within the context of climate change. Our proposal involves the integration of crucial agricultural…
Context: Sustainable corporate behavior is increasingly valued by society and impacts corporate reputation and customer trust. Hence, companies regularly publish sustainability reports to shed light on their impact on environmental, social,…
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with…
Sustainability or ESG rating agencies use company disclosures and external data to produce scores or ratings that assess the environmental, social, and governance performance of a company. However, sustainability ratings across agencies for…
Sustainability reporting enables investors to make informed decisions and is hoped to facilitate the transition to a green economy. The European Union's taxonomy regulation enacts rules to discern sustainable activities and determine the…
Negative screening is one method to avoid interactions with inappropriate entities. For example, financial institutions keep investment exclusion lists of inappropriate firms that have environmental, social, and government (ESG) problems.…
Our main contribution is that we are using AI to discern the key drivers of variation of ESG mentions in the corporate filings. With AI, we are able to separate "dimensions" along which the corporate management presents their ESG policies…
This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy. It addresses the demand for socially responsible investment solutions by developing a unique…
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…
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…
Crises like COVID-19 or the Japanese earthquake in 2011 exposed the fragility of corporate supply networks. The production of goods and services is a highly interdependent process and can be severely impacted by the default of critical…