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Friday Lunch Meeting, Olivier David Zerbib, January 17th 2020

17 January @ 11 h 30 min - 13 h 00 min

Speaker

Olivier David Zerbib – PhD student in finance at Tilburg University and ISFA

 

Title

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 disagreement among investors. 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.
 
 
 
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Chaire Economie du Climat

Palais Brongniart, 28 Place de la bourse – 75 002 Paris

FLM- Salle du Séminaire – 4è étage (12.30 pm – 2 pm)

Details

Date:
17 January
Time:
11 h 30 - 13 h 00
Event Category: